《房地产股票vs50ETF课件》由会员分享，可在线阅读，更多相关《房地产股票vs50ETF课件（21页珍藏版）》请在金锄头文库上搜索。
1、房地产股票vs.50ETF（组长）1房地产股票vs50ETF目标v时间：2006年12月最后一个交易日v备选投资产品：万科A(000002)银基发展(000511)浙江广厦(600052)50ETF(510050)v基于可观测的公开信息，计算各投资产品主要的财务指标v比较牛市时期，房地产股票与50ETF的投资收益v在备选的投资产品中选出最佳的投资组合2房地产股票vs50ETF2006年下半年各投资产品的表现3房地产股票vs50ETF公开信息万科万科A银基基发展展浙江广厦浙江广厦50ETF总资产（万元）（万元）42,245,109,71442,245,109,714 2,776,937,4672
2、,776,937,467 5,782,179,8965,782,179,896 395,406.27395,406.27EPS(2006.12.29)0.860.2130.213亏亏损0.49742006.12平均价格平均价格8.862.7213.451.579Book Value(2006.9.30)2.5063.583.582.461.76301.7630P/E Ratio10.312.77n/a3.174P/B Ratio3.530.761.400.89本表数据基于在2006年12月可获得的公开信息4房地产股票vs50ETF估值TheoreticalPi=(P/E)industry*Ei
3、沪深房地产股整体市盈率达沪深房地产股整体市盈率达5050（剔除亏损和市盈率超过（剔除亏损和市盈率超过200200的企业），的企业），平均市净率为平均市净率为3.23.2。ETF的平均市盈率是5倍。万科万科A银基基发展展浙江广厦浙江广厦50ETFEPS(2006.12.29)0.860.2130.213亏亏损0.4974Book Value(2006.9.30)2.5063.583.582.461.76301.7630Real price10.1932.6614.0731.788Theoretical price4310.657.822.487Underpriced range32.807.98
4、93.7470.699Underpriced ratio-76.29%-75.01%-47.9%-28.1%5房地产股票vs50ETF投资策略与组合选择Pick-upsKick-outsP/B Strategy银基发展浙江广厦万科A50ETFSize Strategy银基发展50ETF万科A浙江广厦Industrial P/E ratiovaluation strategy银基发展万科A浙江广厦50ETF6房地产股票vs50ETF现在股市是否过热？v中国GDP从2000年起至2030年依然可以保持较高的增长率（林毅夫）v从长期看，股指增长率和GDP增长率二者是正相关的。v上证指数2004年12
5、月31日是1995年12月29日的2.28倍。v同期，2004年GDP是1995年GDP的2.399倍。v2005年起中国GDP年平均增长率假设为9%。v2030年中国GDP将是现在的约9.399倍。（1+0.09）26=9.399倍v2030年上证指数预计为1492.72*9.399=14030点注：1995年-2004年人民币汇率稳地，1995年和2004年的中国股市都处于相对温和的时期（AnimalSpirit成分相对较少)。7房地产股票vs50ETF现在股市是否过热？（H-PTrend分析）v股市实现预期的过程：先加速上升，然后再缓慢上升或高位震荡直到下一次加速上升。v现在股市正处于加
6、速实现预期的过程中（趋势线的斜率较大）v黑线是与波浪理论(上升五波，下跌三波)吻合的。现在是上升的阶段的五波中的第三波，也是最长的一个上升波。v此图使用的是月度数据。8房地产股票vs50ETF牛市选择Beta值大的股票v买Beta大的股票9房地产股票vs50ETF股神如是说v你是否同意我的投资策略?v我的真实持股银基发展50ETF其他股票春节后持有浙江广厦(ST广厦)v要用2007年上半年的数据说话10房地产股票vs50ETF各投资产品2007年上半年表现11房地产股票vs50ETF 时间时间 收盘收盘市场收益市场收益每周五每周五7 7天加权平均利率天加权平均利率( (非年化非年化) )市场超
7、额收益市场超额收益 2006/12/292675.47 2007/01/052641.33-1.28%0.000293417 -1.31% 2007/01/122668.111.01%0.000270667 0.99% 2007/01/192832.216.15%0.000300417 6.12% 2007/01/262882.561.78%0.000345528 1.74% 2007/02/022673.21-7.26%0.000386361 -7.30% 2007/02/092730.392.14%0.000814333 2.06% 2007/02/162998.479.82%0.0006
8、43611 9.75% 2007/03/022831.53-5.57%0.000326667 -5.60% 2007/03/092937.913.76%0.000288556 3.73% 2007/03/162930.48-0.25%0.000293417 -0.28% 2007/03/233074.294.91%0.000360694 4.87% 2007/03/303183.983.57%0.000381306 3.53% 2007/04/063323.584.38%0.000445550 4.34% 2007/04/133518.275.86%0.000482611 5.81% 2007
9、/04/203584.21.87%0.000817639 1.79% 2007/04/273759.874.90%0.000932167 4.81% 2007/04/303841.272.16%0.000932167 2.07% 2007/05/114021.684.70%0.000584111 4.64% 2007/05/184030.260.21%0.000498750 0.16% 2007/05/254179.783.71%0.000455583 3.66% 2007/06/014000.74-4.28%0.000543667 -4.34% 2007/06/083913.14-2.19%
10、0.000482806 -2.24%12房地产股票vs50ETF 时间时间万科万科A A（000002000002）周收益周收益无风险利率：每周五无风险利率：每周五7 7天加权平均利率（非年化）天加权平均利率（非年化）万科万科A A超额收益超额收益市场超额收益市场超额收益2006-12-2910.193 2007/01/059.8-3.86%0.000293417-3.88%-1.31% 2007/01/1210.6338.50%0.0002706678.47%0.99% 2007/01/1911.366.84%0.0003004176.81%6.12% 2007/01/2612.2878.1
11、6%0.0003455288.13%1.74% 2007/02/029.513-22.58%0.000386361-22.62%-7.30% 2007/02/099.9274.35%0.0008143334.27%2.06% 2007/02/161110.81%0.00064361110.74%9.75% 2007/03/029.493-13.70%0.000326667-13.73%-5.60% 2007/03/0910.38.50%0.0002885568.47%3.73% 2007/03/1610.51.94%0.0002934171.91%-0.28% 2007/03/2310.722
12、.10%0.0003606942.06%4.87% 2007/03/3010.962.24%0.0003813062.20%3.53% 2007/04/0611.5135.05%0.000445555.00%4.34% 2007/04/1312.3277.07%0.0004826117.02%5.81% 2007/04/2011.853-3.85%0.000817639-3.93%1.79% 2007/04/2711.8670.12%0.0009321670.02%4.81% 2007/04/3011.9530.72%0.0009321670.63%2.07% 2007/05/1114.827
13、24.04%0.00058411123.99%4.64% 2007/05/1816.611.96%0.0004987511.91%0.16% 2007/05/2518.3210.36%0.00045558310.32%3.66% 2007/06/0118.2-0.66%0.000543667-0.71%-4.34% 2007/06/07194.40%0.0004828064.35%-2.24%13房地产股票vs50ETF万科A证券特征线14房地产股票vs50ETF 时间时间银基发展银基发展周收益周收益无风险利率：每周五无风险利率：每周五7 7天加权平均利率（非年化）天加权平均利率（非年化）银基
14、发展超额收益银基发展超额收益市场超额收益市场超额收益2006-12-292.661 2007/01/042.7673.98%0.0002934173.95%-1.31% 2007/01/122.7670.00%0.000270667-0.03%0.99% 2007/01/192.8834.19%0.0003004174.16%6.12% 2007/01/263.43919.29%0.00034552819.25%1.74% 2007/02/023.039-11.63%0.000386361-11.67%-7.30% 2007/02/093.93329.42%0.00081433329.34%2
15、.06% 2007/02/164.96126.14%0.00064361126.07%9.75% 2007/03/025.0060.91%0.0003266670.87%-5.60% 2007/03/095.52810.43%0.00028855610.40%3.73% 2007/03/165.8836.42%0.0002934176.39%-0.28% 2007/03/236.1394.35%0.0003606944.32%4.87% 2007/03/306.2111.17%0.0003813061.13%3.53% 2007/04/066.87810.74%0.0004455510.69%
16、4.34% 2007/04/137.559.77%0.0004826119.72%5.81% 2007/04/209.02819.58%0.00081763919.49%1.79% 2007/04/2710.111.87%0.00093216711.78%4.81% 2007/04/309.89-2.08%0.000932167-2.17%2.07% 2007/05/1110.344.55%0.0005841114.49%4.64% 2007/05/1811.4410.64%0.0004987510.59%0.16% 2007/05/2513.1214.69%0.00045558314.64%
17、3.66% 2007/06/0111.5-12.35%0.000543667-12.40%-4.34% 2007/06/0710.44-9.22%0.000482806-9.27%-2.24%15房地产股票vs50ETF银基发展证券特征线16房地产股票vs50ETF 时间时间STST广厦广厦周收益周收益无风险利率：每周五无风险利率：每周五7 7天加权平均利率（非年化）天加权平均利率（非年化）STST广厦超额收益广厦超额收益市场超额收益市场超额收益2006-12-294.073 2007/01/054.3426.60%0.0002934176.58%-1.31% 2007/01/125.3362
18、2.89%0.00027066722.87%0.99% 2007/01/195.269-1.26%0.000300417-1.29%6.12% 2007/01/265.2910.42%0.0003455280.38%1.74% 2007/02/024.88-7.77%0.000386361-7.81%-7.30% 2007/02/095.64315.64%0.00081433315.55%2.06% 2007/02/166.2039.92%0.0006436119.86%9.75% 2007/03/026.7568.92%0.0003266678.88%-5.60% 2007/04/1310.
19、6757.93%0.00048261157.89%5.81% 2007/04/2011.810.59%0.00081763910.51%1.79% 2007/04/2711.29-4.32%0.000932167-4.42%4.81% 2007/04/3011.310.18%0.0009321670.08%2.07% 2007/05/1112.026.28%0.0005841116.22%4.64% 2007/05/1813.9415.97%0.0004987515.92%0.16% 2007/05/2516.0415.06%0.00045558315.02%3.66% 2007/06/011
20、5.75-1.81%0.000543667-1.86%-4.34% 2007/06/0715.15-3.81%0.000482806-3.86%-2.24%17房地产股票vs50ETFST广厦证券特征线18房地产股票vs50ETF 时间时间50ETF50ETF周收益周收益无风险利率：每周五无风险利率：每周五7 7天加权平均利率（非年化）天加权平均利率（非年化）50ETF50ETF超额收益超额收益市场超额收益市场超额收益2006-12-2910.193 2007/01/059.8-3.86%0.000293417-3.88%-1.31% 2007/01/1210.6338.50%0.000270
21、6678.47%0.99% 2007/01/1911.366.84%0.0003004176.81%6.12% 2007/01/2612.2878.16%0.0003455288.13%1.74% 2007/02/029.513-22.58%0.000386361-22.62%-7.30% 2007/02/099.9274.35%0.0008143334.27%2.06% 2007/02/161110.81%0.00064361110.74%9.75% 2007/03/029.493-13.70%0.000326667-13.73%-5.60% 2007/03/0910.38.50%0.000
22、2885568.47%3.73% 2007/03/1610.51.94%0.0002934171.91%-0.28% 2007/03/2310.722.10%0.0003606942.06%4.87% 2007/03/3010.962.24%0.0003813062.20%3.53% 2007/04/0611.5135.05%0.000445555.00%4.34% 2007/04/1312.3277.07%0.0004826117.02%5.81% 2007/04/2011.853-3.85%0.000817639-3.93%1.79% 2007/04/2711.8670.12%0.0009
23、321670.02%4.81% 2007/04/3011.9530.72%0.0009321670.63%2.07% 2007/05/1114.82724.04%0.00058411123.99%4.64% 2007/05/1816.611.96%0.0004987511.91%0.16% 2007/05/2518.3210.36%0.00045558310.32%3.66% 2007/06/0118.2-0.66%0.000543667-0.71%-4.34% 2007/06/07194.40%0.0004828064.35%-2.24%单位净值2.799累计净值3.386最新规模298,5
24、56.68贝塔系数0.9269夏普比率0.4892特雷诺指数0.0206简森指数0.005619房地产股票vs50ETFTestingP/E银基基发展展万科万科A50ETFST广厦广厦2007年年P/E (Top-Down)58.8858.8851.3851.385.5925.592n/an/a2006年年P/E12.7710.33.174n/ar2.772.770.940.940.570.572.492.49Jensen Index0.03940.03940.00470.00470.00560.00560.07270.0727ST广厦广厦万科万科A银基基发展展50ETFP/B(Top-Dow
25、n)8.515.302.901r2.492.490.940.942.772.770.570.57Jensen Index0.07270.07270.00470.00470.03940.03940.00560.0056TestingP/BTestingSize万科万科AST广厦广厦银基基发展展50ETFTotal Assets(万元万元)50,178,579,91050,178,579,910 8,942,091,0298,942,091,029 2,384,350,8872,384,350,887 558,778.71558,778.71r0.940.942.492.492.772.770.570.57Jensen Index0.00470.00470.07270.07270.03940.03940.00560.005620房地产股票vs50ETF结论v地产股击败了50ETFv投资小股本，低P/E，低P/B的公司股票，通常更有可能获得更高的回报v中国市场上投资ST公司的股票也可能获得高收益？（浙江广厦是否真的亏损？浙江广厦在牛市报亏的真实动机？）v公司的盈利能力是最重要的指标，但是要注意被隐藏的利润v综合考量各种财务指标，同时敏锐地观察上市公司的行为，才是必胜之道。21房地产股票vs50ETF
