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1、InvestmentsReadingmaterialsnInvestmentsbyBodie,Kane,andMarcus,XthEdition,McGraw-Hill.机械工业出版社有影印版nOthers:nNewspaper,magazinesRequirementsnEvaluation:nQuiz:10% nHomework20%nMidtermExam:35%nFinalExam:35%Attitude Everything can be taken from a man but one thing: the last of the human freedoms to choose
2、ones attitude in any given set of circumstances, to choose ones own wayViktor FranklQuiznComparetothedaybeforeyesterday,wasthechangeofindexingreenorinred?nIfyouhadput$1intoT-BillsinJanuary1926,androlledovertheproceedseverymonth,youwouldhavehad$1.71onJanuary1,2003.nIfyouhadput$1intoS&P500,youwouldhav
3、ehad$282nIfyouareaperfectmarkettimer,youwouldhavehad$25,616,693InvestmentsnTopicsnSecuritymarketsnValuationofrisklesssecuritiesnPortfolioanalysisnCAPMandAPTnDerivativesSecurityMarketsOverviewnTheInvestmentObjectivenMarketsandInstrumentsnHowSecuritiesareTradednMutualFundsandtheInstitutionalEnvironmen
4、tValuationofRisklessSecuritiesnYield-to-maturitynSpotratesandforwardratesnTermstructurePortfolioAnalysisnUtilityandtherisk-returntradeoffnMean-varianceanalysisnEfficientportfoliosnDiversificationnLeverageanditsimplicationsforefficientportfolios.TheCAPMandAPTnTheCapitalMarketLinenTheSecurityMarketLin
5、enFactorModelsnArbitrageandimplicationsforpricingnPropertiesofreturnsDerivativesnForwardandfuturescontractsnOptionsSecurityMarketsOverviewnTheInvestmentObjectivenMarketsandInstrumentsnHowSecuritiesareTradednMutualFundsandtheInstitutionalEnvironmentRoleofFinancialAssetsandMarketsnConsumptionTimingnAl
6、locationofRisknSeparationofOwnershipSecurityMarketsOverviewnTheInvestmentObjectivenMarketsandInstrumentsnHowSecuritiesareTradednMutualFundsandtheInstitutionalEnvironmentMarketsandInstrumentsnMajorclassesoffinancialassetsorsecurities:nDebtnMoneymarketinstrumentsnBondsnCommonstocknPreferredstocknDeriv
7、ativesecuritiesMoneyMarketInstrumentsnTreasurybillsnCertificatesofDepositandBearerDepositNotes(BDNs)nCommercialPapernBankersAcceptancesnRepurchaseAgreements(REPOs)andReverseREPOsChineseMarketRatesofReturns 我国货币基金投资范围我国货币基金投资范围n现金n一年以内(含一年)的银行定期存款、大额存单n剩余期限在三百九十七天以内(含三百九十七天)的债券n期限在一年以内(含一年)的债券回购n期限在一
8、年以内(含一年)的中央银行票据n中国证监会、中国人民银行认可的其他具有良好流动性的货币市场工具。FixedIncomeInstrumentsnPubliclyIssuedInstrumentsnTreasuryBondsnProvincialGovernmentBondsnMunicipalBondsnPrivatelyIssuedInstrumentsnCorporateBondsnMortgage-BackedSecuritiesEquitynCommonstocknResidualclaimnLimitedliabilitynCorporategovernanceandrestricte
9、dsharesnPreferredstocknFixeddividends-limitednPriorityovercommonnTaxtreatmentStockIndexesnUsesnTrackaveragereturnsnComparingperformanceofmanagersnBaseofderivativesnFactorsinconstructingorusinganIndexnRepresentative?nBroadornarrow?nHowisitconstructed?ExamplesofIndexesnUSnDowJonesIndustrialAverage(30S
10、tocks)nStandard&Poors500CompositenNASDAQCompositenNYSECompositenWilshire5000nChinanShanghaicompositeindex(shenzhen)n全流通指数ConstructionofIndexesnHowarestocksweighted?nPriceweighted(DJIA)nMarket-valueweighted(S&P500,NASDAQ,TSE300)nEquallyweighted(ValueLineIndex)nHowreturnsareaveraged?nArithmetic(DJIAan
11、dS&P500)nGeometric(ValueLineIndex)AveragingMethodsComponentReturnrA=10% rB=(-5%) rC=20%ArithmeticAverage:Geometric Average:BondIndexesnLehmanBrothersnMerrillLynchnSalomonBrothersnScotiaCapital(Canada)nSpecializedIndexesnMerrillLynchMortgageDerivativesSecuritiesOptionsBasicPositionsCall(Buy)Put(Sell)
12、TermsExercisePriceExpirationDateUnderlyingAssetsFuturesBasicPositionsLong(Buy)Short(Sell)TermsDeliveryDateUnderlyingAssetsSecurityMarketsOverviewnTheInvestmentObjectivenMarketsandInstrumentsnHowSecuritiesareTradednMutualFundsandtheInstitutionalEnvironmentHowSecuritiesareTradednPrimarynNewissuenKeyfa
13、ctor:issuerreceivestheproceedsfromthesalenSecondarynExistingownersellstoanotherpartynIssuingfirmdoesntreceiveproceedsandisnotdirectlyinvolvedInvestmentBankingArrangementsnUnderwrittenvs.“BestEfforts”nUnderwritten:firmcommitmentonproceedstotheissuingfirmnBestEfforts:nofirmcommitmentnNegotiatedvs.Comp
14、etitiveBidnNegotiated:issuingfirmnegotiatestermswithinvestmentbankernCompetitivebid:issuerstructurestheofferingandsecuresbidsPublicOfferingsnPublicofferings:registeredwiththeSECinUSAandsaleismadetotheinvestingpublicnRedherringnPromptofferingprospectusnInitialPublicOfferings(IPOs)nEvidenceofunderpric
15、ingnPerformancePrivatePlacementsnPrivateplacement:saletoalimitednumberofsophisticatedinvestorsnotrequiringtheprotectionofregistrationnDominatedbyinstitutionsnVeryactivemarketfordebtsecuritiesnNotactiveforstockofferingsTypesofMarketsnDirectsearchmarketsnBrokeredmarketsBlocktransactionsnDealermarketsO
16、TCmarketnAuctionmarketsMajorexchangesOrganizedExchangesnAuctionmarketswithcentralizedorderflownDealershipfunction:canbecompetitiveorassignedbytheexchange(specialistsorregisteredtraders)nSecurities:stock,futurescontracts,options,andtoalesserextent,bondsnExamples:TSE,ME,VSE,NYSE,AMEX,Regionals,CBOEOTC
17、MarketnDealermarketwithoutcentralizedorderflownNASDAQ:largestorganizedstockmarketforOTCtrading;informationsystemforindividuals,brokersanddealersnLevelsofinteraction:users, market-makers nSecurities:stocks,bondsandderivativesnMostsecondarybondstransactionsTheexecutionoftradesnRegisteredtrader(market-
18、maker)functionsnMaintaininga“book”nMaintaina“fairandorderlymarket”nExecute“stabilizing”tradesnRegisteredtraderspossessvaluableinsideinformationaboutthefuturedirectionofthemarketBuyingandSellingSecuritiesnInvestorspurchasesecuritiesthroughbrokersforacommissionnInvestormustspecifynObviousthings:nNameo
19、ffirmnBuyorsellordernSizeofordernOthercharacteristics:nTypeofordernHowlongorderistobeoutstandingOrderSpecificationnOrdertypenMarketordernBuyorsellimmediatelynLimitordernLimitpricespecifieslowestsellingprice(orhighestpurchaseprice)nStopordernStoppricespecifieshighestsellingprice(orlowestpurchaseprice
20、)SellOrdersbidaskLimitSellStop-lossMarketSell25.0025203025.25ExampleofaLimitOrderBooknLasttrade:$50nIfamarketbuyfor100sharescomesin,whatpricewillitget?nAtwhatpricewillthenextmarketbuybefilled?nIfyouwerethespecialist,wouldyouwanttooryourinventory?BuyOrdersSellOrdersPriceSharesPriceShares49.7550050.25
21、10049.5080051.5010049.2550054.7530049.0020058.2510048.50600 OrderSpecificationnTimelimitnDayordersnIforderisnotfilledbyendofday,orderexpires.nGoodthroughordersnValidforaspecifiednumberofdaysandautomaticallyexpiresifithasnotbeenexecutedbyexpirydatenOpenorders(good-till-cancelled)nValiduntileitherfill
22、edorcancelledbyinvestor.nAllornoneordersnMustbefullyexecutedornotaccepted(asopposedtoany part order)nDiscretionaryordernBrokerdecidesonspecificationsMarginPurchasesnAbrokeragefirmmayallowcustomerstopurchasesecuritieson margin.nYouputupthemarginincashandborrowtheremainder(thedebit balance) fromthebro
23、ker.MarginPurchasesnMarginismarked to marketdailynMarginshortfallsresultinmargin calls.nPurchasingonmarginlevers upreturns:ne.g.purchase100sharesfor$50/shareandsellinoneyearfor$65nReturnis30%nWith60%marginpurchaseandan8%borrowingratethereturnis44.7%(15x100-.08x$2000)/$3000)ShortSalesnCanuseashortsal
24、etosellastockyoudontown.nBrokereffectivelyarrangestoborrowthesharesyouwanttosellfromanotherinvestor.nSomedetailsnUptickrulestockpricemustrisebeforeyoucanshort.nMustputupsomemarginthatdependsonstockprice.ShortSaleExampleXYZBroker,Inc.Mr.OriginalXYZBroker,Inc.Mr.OriginalMr.JonesMr.JonesMs.ShortMs.Shor
25、tXYZBroker,Inc.Mr.OriginalDividends,annualreportsandvotingrightsForwardseverythingNotifiedthatJonesownsstockAllowsstocktobelentPayspurchasepriceReceivesstockcertificateProvidesinitialmarginAnnualReportDividendsAnnualReportVoting RightsProvidescashtomakeupfordividendsAnnualreportanddividendsHomework1
26、nSincethebeginningoftheChinesestockmarket,wehaveexperienceddifferenceprocessesofIPO.Brieflydescribethem.(quoteyoursource)nPleasedrawthecumulativerateofreturnoftheShanghaiCompositeindexfrom1997to2012andthedensityfunctionoftherateofreturn.(Iwantverynicegraphics!Monthlyreturn)SecurityMarketsOverviewnTh
27、eInvestmentObjectivenMarketsandInstrumentsnHowSecuritiesareTradednMutualFundsandtheInstitutionalEnvironmentInstitutionalInvestorsTypeofInvestorRiskToleranceIndividualandpersonaltrustsLifecycleMutualfundsVariablePensionfundsDependsonproximityofpayoutsEndowmentfundsGenerallyconservativeInsurancecompan
28、iesConservativeBanksVariable趋势在延续，我将在下一个调整巩固点买入啊！在涨，等我继续观察下市场再说幸好我买了，没再等机会来了加仓哦，正常调整，等待嘿，我套了，再一涨上来我准备卖出机会错过了，不能再等了，买进！准备获大利见底了，我不信你还跌你再跌我就准备长线投资，不信你没底咳！国家在干什么，证监会怎么不管受够了，我再也不玩了。辛苦赚来的钱全泡汤了，以后再也不玩了不好，又跌了，准备卖了算了卖！我怕你了，再也不看你了，ok!?嘿，老子卖了你涨了哦，还是卖对了，幸亏卖的好。OK怎么了？嗨，我是说做长线的，这可糟了疯狂！可能还要涨，这次我有经验了还是要把本扭转回来这次判断完全
29、正确，水平高了，准备买进！哈哈，这次一定赚钱，而且比上次买的便宜，国家政策也好了，股市是国家的晴雨表，我们的股市要涨到10000点！坚决看好！OK!Ok!我是老手了，大赚！注：非原创。取材网上，作者不详ConstraintsinPortfolioManagementnLiquiditynInvestmenthorizonnRegulatoryconstraints(institutionalinvestors)nTheprudentpersonlawnLimitsonforeignholdingsnLimitsonindividualfirmholdingsServicesofInvestme
30、ntCompaniesnAdministration&recordkeepingnDiversification&divisibilitynProfessionalmanagementnReducedtransactioncostsnIncreasedinvestmentopportunitiesKeyPlayersnInvestors:nOrdinaryindividualsnPensionplans:corporate,state,laborunionsnEndowmentsnVeryrichindividualsnMoneymanagers:nMutualfundmanagersnIns
31、titutionalmoneymanagers(indexvs.active)nHedgefundmanagersnAtendof1990s,$7.1trillionheldbyinstitutions(47%)n55%ofU.S.equitiesheldbyinstitutionsPensionFundnFirstoneestablishedintheU.K.300yearsago.nToday,morethan$7trillionworthofpensionfundassets(approximately25%ofworldwideGDP).nTheyarenon-insuredfunds
32、createdtoprovideretirementbenefitstomembersofthepensionplan,bothintheprivateandpublicsector.nAllpensionsystemsusesomecombinationofdefined-benefitanddefined-contributionplans.DefinedBenefitFundnDefinedbenefit: pensionmembersareguaranteedapre-specifiedpaymentamountovertimeuponretirement(usuallybasedon
33、endingsalary).nFundinglevel:=MVoftotalassets/PVoftotalliabilitiesnif100%thenoverfundedandif100%thenunderfunded.DefinedContributionFundnDefinedcontribution: employerand/oremployeescontributespecifiedamounts,and,uponretirement,receiveapaymentamountovertimethatdependsontheinvestmentperformanceofthefund
34、s.DifferencesnDefinedcontributionplanmembershavemorediscretionoverhowthemoneyisinvested.nDefinedbenefitplansgenerallyallocatemorefundstooutsideequity(i.e.,otherthanowncompanystock).nDefinedcontributionplanstypicallyinvestinguaranteedinvestmentcontracts (GICs)thatlockinareturn.nMoreactivemanagementin
35、definedbenefitplans.TrendnTherehasbeenaswitchfromdefined-benefittodefined-contributionpensionplansnIncreaseinindexed(vs.activelymanaged)fundsMutualFundnMaindifferencebetweenmutualfundandpensionfundindustry:nInvestmentinmutualfundsaredecidedbyindividuals,whoallocatetheirownwealth.nInvestmentinpension
36、fundsareguidedbycorporatetreasurerstoprovidebenefitsforitsemployees.Mutualfundtypesnmoneymarket,nfixed-income,nequity(growth,value,income,aggressivegrowth,etc.),nbalanced,nassetallocation,nindex,nsectorornspecialized.NetAssetValueUsedasabasisforvaluationofinvestmentcompanysharesSellingnewsharesRedee
37、mingexistingsharesCalculation:Open-EndandClosed-EndFunds:KeyDifferencesSharesOutstandingnClosed-end:nochangeunlessnewstockisofferednOpen-end:changeswhennewsharesaresoldoroldsharesareredeemedPricingnOpen-end:NetAssetValue(NAV)nClosed-end:PremiumordiscounttoNAVCostsofInvestinginMutualFundsnFeeStructur
38、enFront-endloadnBack-endloadnOperatingexpensesnFeesandperformanceAFirstLookatFundPerformancenBenchmark:Wilshire5000nResultsnMostfundsunderperformnNotfaircomparisonbecauseofcostsnAdjustedBenchmark:Wilshire5000withpassivemanagementcostsconsiderednThemajorityoffundsstillunderperformConsistencyofFundPer
39、formancenDosomemutualfundsconsistentlyoutperform?nEvidencesuggeststhatsomefundsshowconsistentstrongerperformancenDependsonmeasurementintervalnDependsontimeperiodnEvidenceshowsconsistentpoorperformanceSourcesofInformationonMutualFundsnWiesenbergersInvestmentCompaniesnMorningstar(PalTrak)nInvestmentCo
40、mpanyInstitutenPopularpressnInvestmentservicesExchange-TradedFundsnPassivevsActiveinvestingnLowfeesnExchangeindexfundsnSpecializedETFs(bonds,sub-indicesandsectors)nInternationalindexfundsHedgefundnEmployaggressiveinvestmentstrategies:nHighlyleverednSeekarbitrageopportunities(relativevalue)nStrategie
41、softeninvolvecomplexderivativesnLimitedtounder100investorsnIndividualsmusthavenetworthatleast$1mnFewdisclosurerequirementsnEvaluatedonanabsolutebasisnFeesare%ofassets(125+bp)and%ofupsidePerformancenNotveryimpressivenOnestudybasedon91pensionfundsfrom1974-1983foundunderperformancerelativetotheS&Pof110
42、bpnAnother,basedon769pensionfundsfrom1983-1990foundunderperformanceof50bp/yearnAndallofthisisbeforefees(typically50bp/year).nActivepensionmanagementsubtractedratherthanaddedvalue.PerformancePerformancenMutualfund:slightlybetterMoneyManagersnGenericProducts(Indexing):PassivenSomebigplayersdominate:nB
43、GIBarclays,StateStreetBank,MellonBanknCommoditybusiness,verylowfees(5bp)MoneyManagersnActiveManagement(stock-picking)nOver500managers,managemorethan$500millioneachnNotaconcentratedindustry:no-onehasalargemarketsharenFees(%ofassetsmanaged):equities50-100bp;bonds20-50bpMoneyManagersnActiveManagement(s
44、tock-picking)nPerformanceevaluatedagainstbenchmarksnSuccessdependsalotonschmoozing ability,notjustmoneymanagementabilitynneedtohaveagoodstory/conceptnbegoodatexplaining(poor)performancenentertainyourclientsnAlocalbias amongmoneymanagersandclients.Howdotheypickstocks1.Generateuniverseofeligiblestocks
45、nStartwithadatabaseofstocks,doinitialscreeningon:marketcapitalization,tradingvolume,pastearningsgrowth,forecastedgrowth,P/EandP/Bratios,leveragenGetideasfromWallStreetanalystreports,regionalbrokerages,industrycontacts,IPOs,generalreadingnEndupwitheligiblesetofabout200stocksHowdotheypickstocks2.Dofun
46、damentalanalysis tofindundervaluedstocksnEquityanalystsstudycompanyandindustryandgenerateearningsforecastsnUsePresentValueformulatofind“truevalueandcomparetomarketprice3.Holdportfolioofabout50-100stocksnThinkabouttrackingerrorrelativetotheS&PTypesofInvestmentCompaniesnMutualfundsnClosed-endnOpen-endnRealestatefundsnRealestatelimitedpartnershipsnMortgagefundsHomework2nListtwoclose-endfundsinChinaanddrawthegraphicoftheirhistoricalperformancesnListtwoopen-endfundsinChinaanddescribetheirassetallocation012345678905101520253035404550444036302620128383428242014106买方卖方
