投資學(xué)講義-MBA知識講義

投資學(xué)講義-MBA知識講義ReadingmaterialsModernPortfolioTheoryandInvestmentAnalysisbyEltonandGruber,5th(or6th)Edition,JohnWiley&Sons,Inc.Others:Newspaper,magazinesIntroductionAnintermediateinvestmentcourseEmphasizesportfoliosSecurityMarketsInvestmentanalysisandmanagementQuizQ1假設(shè)你正在考慮投資于兩只股票。通過一定的分析之后，你認(rèn)為未來一年的經(jīng)濟(jì)會呈現(xiàn)健康或者不健康兩種可能的狀態(tài)。這兩種情況發(fā)生的可能性相同（50%）。而兩只股票在兩種經(jīng)濟(jì)狀態(tài)下的回報(bào)率見下表：(a).請問每只股票的期望回報(bào)率和回報(bào)率的標(biāo)準(zhǔn)差是多少？(b).兩只股票回報(bào)率的協(xié)方差和相關(guān)系數(shù)是多少？(c).畫圖說明投資于這兩只股票能夠提供什么樣的風(fēng)險(xiǎn)與回報(bào)的組合？(d).假設(shè)現(xiàn)在有無風(fēng)險(xiǎn)資產(chǎn)可以投資（無風(fēng)險(xiǎn)回報(bào)率為5%）。請問這對于你是否意味著一個(gè)獲利機(jī)會？為什么？經(jīng)濟(jì)狀態(tài)股票1回報(bào)股票2回報(bào)健康30%5%不健康10%10%QuizQ2你在為一個(gè)小型對沖基金設(shè)計(jì)一個(gè)債券組合，目的是為了對沖基金四年后的一筆10億的債務(wù)來提供資金。基金經(jīng)理希望用一個(gè)兩年期的零息債券和一個(gè)八年期的零息債券來構(gòu)成組合。假設(shè)利率曲線為水平線，這樣對于所有不同到期日的零息債券的到期收益率都為5%。(a).設(shè)計(jì)由上訴兩種債券構(gòu)成的組合來保護(hù)對沖基金，使得基金不受到利率變化的影響(b).假設(shè)在你設(shè)計(jì)完成這一組合后，利率曲線對于所有到期日都平移到6%。請問這種情況下你設(shè)計(jì)的組合4年后的未來價(jià)值是多少？是否還能為債務(wù)提供足夠的資金保障？QuizQ3Comparetothedaybeforeyesterday,wasthechangeofShanghaiCompositeindexingreenorinred?RequirementsAttitudeSkillPracticeEvaluation:?MyObjectivesfortheClassCreatealearningatmosphere…Encourageindependentthinking…Contributingandhelpingyouachievingahighlevelofacademicexcellence…HowCanWeDefineInvestments?Investmentcanbedefinedasthesacrificeofpresentconsumptionforsomefuturevalue.ThisfuturevalueispossiblyuncertainInvestmentEnvironmentandInvestmentProcessInvestmentEnvironmentreferstothedifferenttypesofmarketablesecuritiesavailableforinvestors;InvestmentProcessisaboutthewayinvestorsshoulddecideonthemarketableinstrumentstheywillinvestin,whentoinvest,etc.FinancialSecuritiesMoneyMarketSecuritiesRatesofReturns

CapitalMarketSecuritiesFixedincomesecuritiesEquitymarketPreferredstockDerivativesFuturesOptionsExoticoptionsStructuredinstruments:FX,etc…RatesofreturnsversustimeformajorsecuritytypesInvestmentsOverthe

Long-TermWhatisthecurrentvalueof$1investedbetween1926-2002inPortfoliooflargeU.S.stocks(StandardandPoor’sCompositeIndex)Portfoliooflong-termTreasurybonds?AssumethatthedividendsandtheinterestpaymentsarereinvestedintheassetWealthAccumulationofStocksandBonds(1926-2002)WhatAboutInvestmentExpenses?ThepreviousperformanceignoresinvestmentexpensesHowmuchwouldinvestorshaveaccumulatedwitha1percentannualexpenseratio?WealthAccumulationafterExpensesWhatAboutTaxes?Thegovernmenttaxesinterest,dividendincome,andrealizedcapitalgainsHowmuchdotaxesaffectourwealthaccumulations?IassumedthatdividendsandinterestincomeistaxedatthemarginaltaxrateoftheaveragestockandbondholderandthatcapitalgainsarenottaxedWealthAccumulationafterExpensesandTaxesWhatAboutInflation?$1in1926couldbuymuchmorethan$1in2002Consumerpricesincreasedoverthisperiodaboutten-foldHowmuchdoesinflationaffectourwealthaccumulations?RealWealthAccumulationafterExpensesandTaxesStockandBondReturnsBetween1926and2002GeometricMeanArith.MeanStd.Dev.NominalReturn10.20%12.76%22.09%RealReturn6.94%9.44%22.37%RealNetReturn4.75%7.19%21.96%LargeStocksGeometricMeanArith.MeanStd.Dev.NominalReturn5.43%5.70%8.99%RealReturn2.31%2.66%10.12%RealNetReturn-0.13%0.20%9.87%Long-termTreasuryBondsRiskFoundingDatesforWorldEquityMarketHowaresecuritiestradedPrimaryMarketMarketfornewissuesofsecuritiesInitialPublicOfferings(IPO)SeasonedPublicOfferingsPrivatePlacementsSecondaryMarketExistingsecuritiesaretradedBuyingandSellingSecuritiesInvestorspurchasesecuritiesthroughbrokersforacommissionInvestormustspecifyObviousthings:NameoffirmBuyorsellorderSizeoforderOthercharacteristics:TypeoforderHowlongorderistobeoutstandingOrderSpecificationOrdertypeMarketorderBuyorsellimmediatelyLimitorderLimitpricespecifieslowestsellingprice(orhighestpurchaseprice)StoporderStoppricespecifieshighestsellingprice(orlowestpurchaseprice)SellOrdersbidaskLimitSellStop-lossMarketSell25.0025203025.25OrderSpecificationTimelimitDayordersIforderisnotfilledbyendofday,orderexpires.GoodthroughordersValidforaspecifiednumberofdaysandautomaticallyexpiresifithasnotbeenexecutedbyexpirydateOpenorders(good-till-cancelled)Validuntileitherfilledorcancelledbyinvestor.AllornoneordersMustbefullyexecutedornotaccepted(asopposedtoanypartorder)DiscretionaryorderBrokerdecidesonspecificationsMarginAbrokeragefirmmayallowcustomerstopurchasesecuritiesonmargin.Youputupthemarginincashandborrowtheremainder(thedebitbalance)fromthebroker.BuyingonMarginSecuritieslawmandateslimitationsonborrowing,e.g.:Initialmarginmustexceed50%Maintenancemarginmustexceed30%Themarginisdefinedas:MarginPurchasesMarginismarkedtomarketdailyMarginshortfallsresultinmargincalls.Purchasingonmarginleversupreturns:e.g.purchase100sharesfor$50/shareandsellinoneyearfor$65Returnis30%With60%marginpurchaseandan8%borrowingratethereturnis44.7%((15x100-.08x$2000)/$3000)RisksofMarginPurchasesBrokergivesyouamargincallifthemaintenancemarginisnotmetBrokercansellyoursecuritieswithoutaskingforyourpermissionThepotentiallossescanexceedyourinitialinvestmentShortSalesCanuseashortsaletosellastockyoudon’town.Brokereffectivelyarrangestoborrowthesharesyouwanttosellfromanotherinvestor.SomedetailsUptickrule–stockpricemustrisebeforeyoucanshort.Mustputupsomemarginthatdependsonstockprice.ShortSaleExleXYZBroker,Inc.Mr.OriginalXYZBroker,Inc.Mr.OriginalMr.JonesMr.JonesMs.ShortMs.ShortXYZBroker,Inc.Mr.OriginalDividends,annualreportsandvotingrightsForwardseverythingNotifiedthatJonesownsstockAllowsstocktobelentPayspurchasepriceReceivesstockcertificateProvidesinitialmarginAnnualReportDividendsAnnualReportVotingRightsProvidescashtomakeupfordividendsAnnualreportanddividends融資融券試點(diǎn)維持擔(dān)保比例：例如130%融資保證金比例：如0.5融資融券可充抵保證金證券范圍和折算率：如成分指數(shù)股不超過70%例子假設(shè):客戶擁有資金100萬元;融資保證金比例為0.5。那么客戶可以先普通買入股票100萬元,再將普通買入的股票作為擔(dān)保物向證券公司融資買入股票融資買入金額＝保證金/融資保證金比例＝擔(dān)保物市值×折算率/融資保證金比例=140萬維持擔(dān)保比例＝擔(dān)保物/負(fù)債＝（現(xiàn)金+擔(dān)保證券市值）/(融資買入金額+融券賣出證券數(shù)量×市價(jià)＋利息及費(fèi)用）=？對應(yīng)Margin是多少？Homework1PleasedrawthecumulativereturnoftheShanghaiCompositeindexfrom1997to2009andthedensityfunctionofthereturn.(Iwantverynicepictures!Monthlyreturn)Homework2(exercise)Supposeyouhave$10,000andyouareverybullishinMicrosoft.Youcanborrow$10,000fromyourbrokerata10%interestrate.Buy$20,000worthofMSFTstockWhatarethereturnsofthistradingstrategyifMicrosoftstockincreasesorfallsby25%duringthenextyear?Homework3(exercise)Shortsell1,000GMstocksinOctober2004andclosepositioninJanuary2005:DateActionCashFlowsOct2004Short-sell1000GMfor$4545,000Jan2005GMpays$0.50dividendJan2005Saleproceedspay1%interest

Jan2005Closepositionat$55

Profit/Loss

Yourbrokerrequiresaninitialmarginof50%andamaintenancemarginof30%HowmuchinitialmargindoyouneedtoaddtoyouraccountinOctobertoshort-sell1,000GMstock?Atwhichstockpricewillyoureceiveyourfirstmargincall?InstitutionalInvestorsTypeofInvestorRiskToleranceIndividualandpersonaltrustsLifecycleMutualfundsVariablePensionfundsDependsonproximityofpayoutsEndowmentfundsGenerallyconservativeInsurancecompaniesConservativeBanksVariable趨勢在延續(xù)，我將在下一個(gè)調(diào)整鞏固點(diǎn)買入啊！在漲，等我繼續(xù)觀察下市場再說幸好我買了，沒再等機(jī)會來了加倉哦，正常調(diào)整，等待嘿，我套了，再一漲上來我準(zhǔn)備賣出機(jī)會錯(cuò)過了，不能再等了，買進(jìn)！準(zhǔn)備獲大利見底了，我不信你還跌你再跌我就準(zhǔn)備長線投資，不信你沒底咳！國家在干什么，證監(jiān)會怎么不管受夠了，我再也不玩了。辛苦賺來的錢全泡湯了，以后再也不玩了不好，又跌了，準(zhǔn)備賣了算了賣?。。。。∥遗履懔?，再也不看你了，ok!?嘿，老子賣了你漲了哦，還是賣對了，幸虧賣的好。OK怎么了？嗨，我是說做長線的，這可糟了瘋狂！可能還要漲，這次我有經(jīng)驗(yàn)了還是要把本扭轉(zhuǎn)回來這次判斷完全正確，水平高了，準(zhǔn)備買進(jìn)！哈哈，這次一定賺錢，而且比上次買的便宜，國家政策也好了，股市是國家的晴雨表，我們的股市要漲到10000點(diǎn)！堅(jiān)決看好！OK!Ok!!!我是老手了，大賺！注：非原創(chuàng)。取材網(wǎng)上，作者不詳ConstraintsinPortfolioManagementLiquidityInvestmenthorizonRegulatoryconstraints(institutionalinvestors)TheprudentpersonlawLimitsonforeignholdingsLimitsonindividualfirmholdingsServicesofInvestmentCompaniesAdministration&recordkeepingDiversification&divisibilityProfessionalmanagementReducedtransactioncostsIncreasedinvestmentopportunitiesTypesofInvestmentCompaniesMutualfundsClosed-endOpen-endLoadfundsCommingledfundsRealestatefundsRealestatelimitedpartnershipsMortgagefundsTypesofMutualFunds(InvestmentPolicies)MoneymarketfundsEquityfunds(income,growth)Fixed-incomefundsBalancedandincomefundsAssetallocationfundsIndexfundsSpecializedsectorfundsNetAssetValueUsedasabasisforvaluationofinvestmentcompanysharesSellingnewsharesRedeemingexistingsharesCalculation:Open-EndandClosed-

EndFunds:KeyDifferencesSharesOutstandingClosed-end:nochangeunlessnewstockisofferedOpen-end:changeswhennewsharesaresoldoroldsharesareredeemedPricingOpen-end:NetAssetValue(NAV)Closed-end:PremiumordiscounttoNAVCostsofInvestinginMutualFundsFeeStructureFront-endloadBack-endloadOperatingexpensesOthercharges(called‘12b-1