1、Lecture Presentation Software to accompanyInvestment Analysis and Portfolio ManagementSeventh Editionby Frank K.Reilly&Keith C.BrownInvestment Analysis and Portfolio Management课程简介 教材:Investment Analysis&Portfolio Management 课时 教师金融学与投资流派Haugen（2019）将金融学划分3个时代：1、旧金融时代60年代前，财务会计,Graham,Dodd,19342、现代金
2、融或标准金融60-80,Markowitz1952,fama，19673、新时代金融80后，行为金融投资流派 基本分析 组合投资 行为与心理 技术分析 各种方法交叉,课程主要讲授基本分析和组合管理基本分析 价值与价格 价格最终回归价值 top down组合投资 学术流派 在理性人的一系列假设下,刻画了均衡时,风险和收益的关系.组合模型,资产定价模型,套利定价模型,期权定价模型等 为何组合投资?而不是集中投资?行为与心理 理性经济人与现实差距大行为金融学是行为理论与金融分析相结合的研究方法与理论体系。它分析人的心理、行为以及情绪对人的金融决策、金融产品的价格以及金融市场发展趋势的影响，是金融学与
3、心理学和其它学科结合的一门学科。考虑人们实际投资过程中的认知和决策，研究其行为和对定价的影响。更真实的理解金融现象技术分析 3假设 市场行为包含一切信息.价格存在趋势 历史会重现 Voodoo,自我实现 图形化-指标化-模型化课程目的 没有一门诚实的课程会保证你学完后能获得超额收益。投资分析不是精密的科学,行走于科学和艺术之间.学习主流投资管理的思路与方法 避免大多数人投资中经常犯的错误（story stock,false takeover）如果有天赋加努力，获得超额收益的概率比常人高。盲从股市名嘴预测后市的准确率 3年准确率总排行榜（2009年09月19日）姓名 准确率 姓名 准确率 李大霄
4、 100%叶檀 44%花荣 60%水皮 40%龚方雄 53%侯宁 39%叶荣添 50%谢国忠38%时寒冰 44%金岩石 27%掷硬币例子Chapter 1The Investment SettingQuestions to be answered:Why do individuals invest?What is an investment?How do we measure the rate of return on an investment?How do investors measure risk related to alternative investments?Chapter 1
5、The Investment Setting What factors contribute to the rates of return that investors require on alternative investments?必要收益率必要收益率 What macroeconomic and microeconomic factors contribute to changes in the required rate of return for individual investments and investments in general?Why Do Individual
6、s Invest?By saving money(instead of spending it),individuals tradeoff present consumption for a larger future consumption.Peoples willingness to pay the difference for borrowing today and their desire to receive a surplus on their savings give rise to an interest rate referred to as the pure time va
7、lue of money.How Do We Measure The Rate Of Return On An Investment?04.1$%400.1$How Do We Measure The Rate Of Return On An Investment?The pure rate of interest is the exchange rate between future consumption and present consumption.Market forces determine this rate.If the future payment will be dimin
8、ished in value because of inflation,then the investor will demand an interest rate higher than the pure time value of money to also cover the expected inflation expense.How Do We Measure The Rate Of Return On An Investment?If the future payment from the investment is not certain,the investor will de
9、mand an interest rate that exceeds the pure time value of money plus the inflation rate to provide a risk premium to cover the investment risk.How Do We Measure The Rate Of Return On An Investment?Defining an InvestmentA current commitment of$for a period of time in order to derive future payments t
10、hat will compensate for:required rate of return the time the funds are committed the expected rate of inflation uncertainty of future flow of funds.Measures of Historical Rates of ReturnHolding Period Return10.1$200$220 Investment of Value BeginningInvestment of Value EndingHPR1.1Measures of Histori
11、cal Rates of ReturnHolding Period YieldHPY=HPR-11.10-1=0.10=10%1.2Annual Holding Period ReturnAnnual HPR=HPR 1/nwhere n=number of years investment is heldAnnual Holding Period YieldAnnual HPY=Annual HPR-1Measures of Historical Rates of ReturnMeasures of Historical Rates of ReturnArithmetic Mean1.4yi
12、elds period holding annual of sum the HPY:whereHPY/AM nMeasures of Historical Rates of ReturnGeometric Mean1.5 nnHPRHPRHPR :follows as returns period holding annual theofproduct the:where1HPR GM 211A Portfolio of InvestmentsThe mean historical rate of return for a portfolio of investments is measure
13、d as the weighted average of the HPYs for the individual investments in the portfolio.Computation of HoldingPeriod Yield for a Portfolio#BeginBeginningEndingEndingMarketWtd.StockSharesPriceMkt.ValuePriceMkt.ValueHPR HPYWt.HPYA100,000 10$1,000,000$12$1,200,000$1.20 20%0.05 0.010 B200,000 20$4,000,000
14、$21$4,200,000$1.055%0.20 0.010 C500,000 30$15,000,000$33$16,500,000$1.10 10%0.75 0.075 Total20,000,000$21,900,000$0.095 21,900,000$20,000,000$HPY=1.095-1=0.095=9.5%HPR=1.095Exhibit 1.1Expected Rates of Return Risk is uncertainty that an investment will earn its expected rate of return Probability is
15、 the likelihood of an outcomeExpected Rates of Returnni 1iReturn)(Possible Return)ofy Probabilit()E(R Return Expected)R(P.)(R(P)(R(Pnn2211)(RP(1iini1.6Risk AversionThe assumption that most investors will choose the least risky alternative,all else being equal and that they will not accept additional
16、 risk unless they are compensated in the form of higher return Probability DistributionsRisk-free Investment0.000.200.400.600.801.00-5%0%5%10%15%Exhibit 1.2 Probability DistributionsRisky Investment with 3 Possible Returns0.000.200.400.600.801.00-30%-10%10%30%Exhibit 1.3 Probability DistributionsRis
17、ky investment with ten possible rates of return0.000.200.400.600.801.00-40%-20%0%20%40%Exhibit 1.4Measuring the Risk of Expected Rates of Return2n1iReturn)Expected-Return(Possibley)Probabilit()(Variance2iii1)E(R)RP(ni1.7Measuring the Risk of Expected Rates of ReturnStandard Deviation is the square r
18、oot of the varianceni 12iii)E(R-RP1.8Measuring the Risk of Expected Rates of ReturnCoefficient of variation(CV)a measure of relative variability that indicates risk per unit of return Standard Deviation of ReturnsExpected Rate of ReturnsE(R)i1.9Measuring the Risk of Historical Rates of Returnvarianc
19、e of the seriesholding period yield during period Iexpected value of the HPY that is equal to the arithmetic mean of the seriesthe number of observations2/nn1ii2HPY)(EHPYn E(HPY)HPY i21.10Determinants of Required Rates of Return Time value of money Expected rate of inflation Risk involvedThe Real Ri
20、sk Free Rate(RRFR)Assumes no inflation.Assumes no uncertainty about future cash flows.Influenced by time preference for consumption of income and investment opportunities in the economyAdjusting For InflationReal RFR=1Inflation)of Rate(1RFR)Nominal1(1.12Nominal Risk-Free RateDependent uponConditions
21、 in the Capital MarketsExpected Rate of InflationAdjusting For InflationNominal RFR=(1+Real RFR)x(1+Expected Rate of Inflation)-11.11Facets of Fundamental Risk Business risk Financial risk Liquidity risk Exchange rate risk Country riskBusiness Risk Uncertainty of income flows caused by the nature of
22、 a firms business Sales volatility and operating leverage determine the level of business risk.Financial Risk Uncertainty caused by the use of debt financing.Borrowing requires fixed payments which must be paid ahead of payments to stockholders.The use of debt increases uncertainty of stockholder in
23、come and causes an increase in the stocks risk premium.Liquidity Risk Uncertainty is introduced by the secondary market for an investment.How long will it take to convert an investment into cash?How certain is the price that will be received?Exchange Rate Risk Uncertainty of return is introduced by
24、acquiring securities denominated in a currency different from that of the investor.Changes in exchange rates affect the investors return when converting an investment back into the“home”currency.Country Risk Political risk is the uncertainty of returns caused by the possibility of a major change in
25、the political or economic environment in a country.Individuals who invest in countries that have unstable political-economic systems must include a country risk-premium when determining their required rate of returnRisk Premiumf(Business Risk,Financial Risk,Liquidity Risk,Exchange Rate Risk,Country
26、Risk)orf(Systematic Market Risk)Risk Premium and Portfolio Theory The relevant risk measure for an individual asset is its co-movement with the market portfolio Systematic risk relates the variance of the investment to the variance of the market Beta measures this systematic risk of an assetFundamen
27、tal Risk versus Systematic Risk Fundamental risk comprises business risk,financial risk,liquidity risk,exchange rate risk,and country risk Systematic risk refers to the portion of an individual assets total variance attributable to the variability of the total market portfolio Relationship BetweenRi
28、sk and ReturnExhibit 1.7(Expected)Changes in the Required Rate of Return Due to Movements Along the SMLExhibit 1.8Changes in the Slope of the SMLRPi=E(Ri)-NRFRwhere:RPi=risk premium for asset iE(Ri)=the expected return for asset iNRFR=the nominal return on a risk-free asset1.13Market Portfolio RiskT
29、he market risk premium for the market portfolio(contains all the risky assets in the market)can be computed:RPm=E(Rm)-NRFR where:RPm=risk premium on the market portfolioE(Rm)=expected return on the market portfolioNRFR=expected return on a risk-free asset1.14 Change in Market Risk PremiumExhibit 1.1
30、0NRFRExpected ReturnRm RmCapital Market Conditions,Expected Inflation,and the SMLExhibit 1.11NRFRNRFR Expected ReturnThe InternetInvestments Onlinefinancecenterinvestoramamoneyadvisorinvestorguidefinwebaaii.orgwsjcob.ohio-state.edu/dept/fin/osudata.htmftfortunemoneyforbesworthbarronsFuture TopicsChapter 2 The asset allocation decision The individual investor life cycle Risk tolerance Portfolio management
