《投资分析与组合管理英文版ppt课件完整版》由会员分享，可在线阅读，更多相关《投资分析与组合管理英文版ppt课件完整版（1170页珍藏版）》请在金锄头文库上搜索。
1、Lecture Presentation Software to accompanyInvestment Analysis and Portfolio ManagementSeventh EditionChapter 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
2、alternative investments?Chapter 1The Investment SettingWhat factors contribute to the rates of return that investors require on alternative investments?What macroeconomic and microeconomic factors contribute to changes in the required rate of return for individual investments and investments in gene
3、ral?Why Do Individuals Invest?Bysavingmoney(insteadofspendingit),individualstradeoffpresentconsumptionforalargerfutureconsumption.How Do We Measure The Rate Of Return On An Investment?Thepurerateofinterestistheexchangeratebetweenfutureconsumptionandpresentconsumption.Marketforcesdeterminethisrate.Pe
4、opleswillingnesstopaythedifferenceforborrowingtodayandtheirdesiretoreceiveasurplusontheirsavingsgiverisetoaninterestratereferredtoasthepuretimevalueofmoney.How Do We Measure The Rate Of Return On An Investment?Ifthefuturepaymentwillbediminishedinvaluebecauseofinflation,thentheinvestorwilldemandanint
5、erestratehigherthanthepuretimevalueofmoneytoalsocovertheexpectedinflationexpense.How Do We Measure The Rate Of Return On An Investment?Ifthefuturepaymentfromtheinvestmentisnotcertain,theinvestorwilldemandaninterestratethatexceedsthepuretimevalueofmoneyplustheinflationratetoprovideariskpremiumtocover
6、theinvestmentrisk.How Do We Measure The Rate Of Return On An Investment?Defining an InvestmentAcurrentcommitmentof$foraperiodoftimeinordertoderivefuturepaymentsthatwillcompensatefor:the time the funds are committedthe expected rate of inflationuncertainty of future flow of funds.MeasuresofHistorical
7、RatesofReturnHoldingPeriodReturn1.1MeasuresofHistoricalRatesofReturnHoldingPeriodYieldHPY=HPR-11.10-1=0.10=10%1.2AnnualHoldingPeriodReturnAnnualHPR=HPR1/nwheren=numberofyearsinvestmentisheldAnnualHoldingPeriodYieldAnnualHPY=AnnualHPR-1MeasuresofHistoricalRatesofReturnMeasuresofHistoricalRatesofRetur
8、nArithmeticMean1.4MeasuresofHistoricalRatesofReturnGeometricMean1.5APortfolioofInvestmentsThemeanhistoricalrateofreturnfor a portfolio of investments ismeasuredastheweightedaverageof the HPYs for the individualinvestmentsintheportfolio.ComputationofHoldingPeriodYieldforaPortfolioExhibit 1.1ExpectedR
9、atesofReturnRiskisuncertaintythataninvestmentwillearnitsexpectedrateofreturnProbabilityisthelikelihoodofanoutcomeExpectedRatesofReturn1.6RiskAversionTheassumptionthatmostinvestorswillchoosetheleastriskyalternative,allelsebeingequalandthattheywillnotacceptadditionalriskunlesstheyarecompensatedinthefo
10、rmofhigherreturnProbabilityDistributionsRisk-freeInvestmentExhibit 1.2ProbabilityDistributionsRiskyInvestmentwith3PossibleReturnsExhibit 1.3ProbabilityDistributionsRisky investment with ten possible rates of returnExhibit 1.4MeasuringtheRiskofExpectedRatesofReturn1.7MeasuringtheRiskofExpectedRatesof
11、ReturnStandardDeviationisthesquarerootofthevariance1.8MeasuringtheRiskofExpectedRatesofReturnCoefficientofvariation(CV)ameasureofrelativevariabilitythatindicatesriskperunitofreturnStandard Deviation of ReturnsExpected Rate of Returns1.9MeasuringtheRiskofHistoricalRatesofReturnvarianceoftheserieshold
12、ingperiodyieldduringperiodIexpectedvalueoftheHPYthatisequaltothearithmeticmeanoftheseriesthenumberofobservations1.10DeterminantsofRequiredRatesofReturnTimevalueofmoneyExpectedrateofinflationRiskinvolvedTheRealRiskFreeRate(RRFR)Assumesnoinflation.Assumesnouncertaintyaboutfuturecashflows.Influencedbyt
13、imepreferenceforconsumptionofincomeandinvestmentopportunitiesintheeconomyAdjustingForInflationReal RFR=1.12NominalRisk-FreeRateDependentuponConditionsintheCapitalMarketsExpectedRateofInflationAdjustingForInflationNominal RFR=(1+RealRFR)x(1+ExpectedRateofInflation)-11.11FacetsofFundamentalRiskBusines
14、sriskFinancialriskLiquidityriskExchangerateriskCountryriskBusinessRiskUncertaintyofincomeflowscausedbythenatureofafirmsbusinessSalesvolatilityandoperatingleveragedeterminethelevelofbusinessrisk.FinancialRiskUncertaintycausedbytheuseofdebtfinancing.Borrowingrequiresfixedpaymentswhichmustbepaidaheadof
15、paymentstostockholders.Theuseofdebtincreasesuncertaintyofstockholderincomeandcausesanincreaseinthestocksriskpremium.LiquidityRiskUncertaintyisintroducedbythesecondarymarketforaninvestment.Howlongwillittaketoconvertaninvestmentintocash?Howcertainisthepricethatwillbereceived?ExchangeRateRiskUncertaint
16、yofreturnisintroducedbyacquiringsecuritiesdenominatedinacurrencydifferentfromthatoftheinvestor.Changesinexchangeratesaffecttheinvestorsreturnwhenconvertinganinvestmentbackintothe“home”currency.CountryRiskPoliticalriskistheuncertaintyofreturnscausedbythepossibilityofamajorchangeinthepoliticaloreconomicenvironmentinacountry.Individualswhoinvestincountriesthathaveunstablepolitical-economicsystemsmustincludeacountryrisk-premiumwhendeterminingtheirrequiredrateofreturnRiskPremiumf(BusinessRisk,Financi
