《投資基礎(chǔ)》原版英文標(biāo)配課件現(xiàn)代投資組合的概念 Modern

Chapter 5Modern Portfolio ConceptsCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-2Modern Portfolio Concepts??Learning Goals1.Understand portfolio management objectives and calculate the return and standard deviation of a portfolio.2.Discuss the concepts of correlation and diversification and the effectiveness methods and benefits of international diversification.3.Describe the two components of risk beta and the capital asset pricing model CAPM.Copyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-3Modern Portfolio Concepts??Learning Goals cont’d4.Review traditional and modern approaches to portfolio management and reconcile them.5.Describe the role of investor characteristics and objectives and of portfolio objectives and policies in constructing an investment portfolio.6.Summarize why and how investors use an asset allocation scheme to construct an investment portfolio.Copyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-4What is a Portfolio??Portfoliois a collection of investment vehicles assembled to meet one or more investment goals.??Growth-Oriented Portfolio: primary objective is long-term price appreciation??Income-Oriented Portfolio: primary objective is current dividend and interest incomeCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-5The Ultimate Goal: An Efficient Portfolio??Efficient portfolio –A portfolio that provides the highest return for a given level of risk–Given the choice between two equally risky investments an investor will chose the one with the highest potential return.–Given the choice between two investments offering the same return an investor will choice the one that has the least risk.Copyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-6Portfolio Return and Risk Measures??Return on a Portfolio is the weighted average of returns on the individual assets in the portfolio.??Standard Deviation of a portfolio’s returns is calculated using all of the individual assets in the portfolio.Copyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-7Return on PortfolioReturnonportfolio??Proportion ofportfolios totaldollar valuerepresented byasset 1??????????????Returnon asset1????????????????Proportion ofportfolios totaldollar valuerepresented byasset 2??Returnon asset2??????????????????????????????Proportion ofportfolios totaldollar valuerepresented byasset n??Return on assetn????????????????????????????j??1n??Proportion ofportfolios totaldollar valuerepresented byasset j??????????????Returnon assetj??????????????rp??w1??r1??????w2??r2????????wn??rn??????wj??rj????j??1n??Copyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-8Correlation: Why Diversification Works??Correlationis a statistical measure of the relationship between two series of numbers representing data.??Positively Correlateditems move in the same direction.??Negatively Correlateditems move in opposite directions.??Correlation Coefficientis a measure of the degree of correlation between two series of numbers representing data.Copyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-9Correlation Coefficients??Perfectly Positively Correlated describes two positively correlated series having a correlation coefficient of 1??Perfectly Negatively Correlated describes two negatively correlated series having a correlation coefficient of -1??Uncorrelated describes two series that lack any relationship and have a correlation coefficient of nearly zeroCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-10Figure 5.1The Correlation Between Series M N and PCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-11Correlation: Why Diversification Works??To reduce overall risk in a portfolio it is best to combine assets that have a negative or low-positive correlation.??Uncorrelated assets reduce risk somewhat but not as effectively as combining negatively correlated assets.??Investing in different investments with high positive correlation will not provide sufficient diversification.Copyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-12Figure 5.2Combining Negatively Correlated Assets to Diversify RiskCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-13Table 5.3Correlation Return and Risk for Various Two-Asset Portfolio CombinationsCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-14Figure 5.3Range of Portfolio Return and Risk for Combinations of Assets A and B for Various Correlation CoefficientsCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-15Why Use International Diversification??Offers more diverse investment alternatives than U.S.-only based investing??Foreign economic cycles may move independently from U.S. economic cycle??Foreign markets may not be as “efficient〞 as U.S. markets allowing true gains from superior research??Study done between 1984 and 1994 suggests that portfolio 70 SP 500 and 30 EAFE would reduce risk 5 and increase return 7 over a 100 SP 500 portfolioCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-16International Diversification??Advantages of International Diversification–Broader investment choices–Potentially greater returns than in U.S.–Reduction of overall portfolio risk??Disadvantages of International Diversification–Currency exchange risk–Less convenient to invest than U.S. stocks–More expensive to invest–Riskier than investing in U.S.Copyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-17Methods of International Diversification??Foreign company stocks listed on U.S. stock exchanges–Yankee Bonds–American Depository Receipts ADRs–Mutual funds investing in foreign stocks–U.S. multinational companies typically not considered a true international investment for diversification purposesCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-18Components of Risk??Diversifiable Unsystematic Risk–Results from uncontrollable or random events that are firm-specific–Can be eliminated through diversification–Examples: labor strikes lawsuits??Nondiversifiable Systematic Risk–Attributable to forces that affect all similar investments–Cannot be eliminated through diversification –Examples: war inflation political eventsCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-19Components of RiskTotal risk??Nondiversifiable risk??Diversifiable riskCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-20Beta: A Popular Measure of Risk??A measure of nondiversifiable risk??Indicates how the price of a security responds to market forces??Compares historical return of an investment to the market return the SP 500 Index??The beta for the market is 1.00??Stocks may have positive or negative betas. Nearly all are positive.??Stocks with betas greater than 1.00 are more risky than the overall market.??Stocks with betas less than 1.00 are less risky than the overall market.Copyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-21Figure 5.5Graphical Derivation of Beta for Securities C and DCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-22Beta: A Popular Measure of RiskCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-23Interpreting Beta??Higher stock betas should result in higher expected returns due to greater risk??If the market is expected to increase 10 a stock with a beta of 1.50 is expected to increase 15??If the market went down 8 then a stock with a beta of 0.50 should only decrease by about 4??Beta values for specific stocks can be obtained from Value Line reports or online websites such as yahoo Copyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-24Interpreting BetaStockBetaStockBetaAmazon 1.60Int??l BusinessMachines1.10Anheuser Busch0.60Merrill Lynch Co.1.60Bank of AmericaCorp.1.25Microsoft1.15Dow Jones Co.1.00Nike Inc.0.90Disney1.25PepsiCo Inc.0.65eBay1.55Qualcomm1.20ExxonMobil Corp.0.80Sempra Energy0.85Gap The Inc.1.35Wal-Mart Stores1.00General Motors Corp.1.20Xerox1.45Intel1.35Yahoo Inc.1.85Copyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-25Capital Asset Pricing Model CAPM??Model that links the notions of risk and return??Helps investors define the required return on an investment??As beta increases the required return for a given investment increasesCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-26Capital Asset Pricing Model CAPM cont’d??Uses beta the risk-free rate and the market return to define the required return onan investmentRequired returnon investment j??Risk-free rate??Beta forinvestment j????????Marketreturn??Risk-freerate??????????????????Copyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-27Capital Asset Pricing Model CAPM cont’d??CAPM can also be shown as a graph??Security Market Line SML is the “picture〞 of the CAPM??Find the SML by calculating the required return for a number of betas then plotting them on a graphCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-28Figure 5.5The Security Market Line SMLCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-29Two Approaches to Constructing PortfoliosTraditional ApproachversusModern Portfolio TheoryCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-30Traditional Approach??Emphasizes “balancing〞 the portfolio using a wide variety of stocks and/or bonds??Uses a broad range of industries to diversify theportfolio??Tends to focus on well-known companies–Perceived as less risky–Stocks are more more liquid and available–Familiarity provides higher “comfort〞 levels for investorsCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-31Modern Portfolio Theory MPT??Emphasizes statistical measures to develop a portfolio plan??Focus is on:–Expected returns–Standard deviation of returns–Correlation between returns??Combines securities that have negative or low-positive correlations between each other’s rates of returnCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-32Key Aspects of MPT: Efficient Frontier??Efficient Frontier –The leftmost boundary of the feasible set of portfolios that include all efficient portfolios: those providing the best attainable tradeoff between risk and return–Portfolios that fall to the right of the efficient frontier are not desirable because their risk return tradeoffs are inferior–Portfolios that fall to the left of the efficient frontier are not available for investmentsCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-33Figure 5.7The Feasible or Attainable Set and the Efficient FrontierCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-34Key Aspects of MPT: Portfolio Betas??Portfolio Beta–The beta of a portfolio calculated as the weighted average of the betas of the individual assets the portfolio includes–To earn more return one must bear more risk–Only nondiversifiable risk relevant risk provides a positive risk-return relationshipCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-35Key Aspects of MPT: Portfolio BetasCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-36Figure 5.8Portfolio Risk and DiversificationCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-37Interpreting Portfolio Betas??Portfolio betas are interpreted exactly same way as individual stock betas.–Portfolio beta of 1.00 will experience a 10 increase when the market increase is 10–Portfolio beta of 0.75 will experience a 7.5 increase when the market increase is 10–Portfolio beta of 1.25 will experience a 12.5 increase when the market increase is 10??Low-beta portfolios are less responsive and less risky than high-beta portfolios.??A portfolio containing low-beta assets will have a low beta and vice versa.Copyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-38Interpreting Portfolio BetasCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-39Reconciling the Traditional Approach and MPT??Recommended portfolio management policy uses aspects of both approaches:–Determine how much risk you are willing to bear–Seek diversification between different types of securities and industry lines–Pay attention to correlation of return between securities–Use beta to keep portfolio at acceptable level of risk–Evaluate alternative portfolios to select highest return for the given level of acceptable riskCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-40Figure 5.9The Portfolio Risk-Return TradeoffCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-41Constructing a Portfolio Using Asset Allocation??Asset Allocationis the process of dividing an investment portfolio into various asset classes to preserve capital by protecting against negative developments while taking advantage of positive ones.??In other words don’t put all of your eggs in one basket and choose your baskets carefully.Copyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-42Constructing a Portfolio Using Asset Allocation cont’d??Individual investor characteristics and objectives determine relative income needs and ability to bear risk??Investor characteristics to consider:–Level and stability of income net worth–Age and family factors–Investment experience and ability to handle risk–Tax considerations??Investor objectives to consider:–High level of current income–Significant capital appreciationCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-43Portfolio Objectives and Policies??Capital Preservation Objective–Low-risk conservative investment strategy–Emphasis on current income and capital preservation–Normally contains low-beta securities??Capital Growth Objective–Higher-risk investment strategy–Emphasis on more speculative investments–Normally contains higher-beta securities??Tax Efficient Objective–Emphasis on capital gains and longer holding periods to defer income taxesCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-44Approaches to Asset Allocation??Fixed-Weightings Approach: asset allocation plan in which a fixed percentage of the portfolio is allocated to each asset category??Flexible-Weightings Approach: asset allocation plan in which weights for each asset category are adjusted periodically based on market analysis??Tactical Approach: asset allocation plan that uses stock-index futures and bond futures to change a portfolio’s asset allocation based on market behaviorCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-45Alternative Asset AllocationCopyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-46Applying Asset Allocation??Consider impact of economic and other factors on your investment objective.??Design your asset allocation plan for the long haul at least 7 to 10 years.??Stress capital preservation.??Provide for periodic reviews to maintain consistency with changing investments goals.??Consider using mutual funds especially for portfolios under 100000.Copyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-47Chapter 5 Review??Learning Goals1.Understand portfolio management objectives and calculate the return and standard deviation of a portfolio.2.Discuss the concepts of correlation and diversification and the effectiveness methods and benefits of international diversification.3.Describe the two components of risk beta and the capital asset pricing model CAPM.Copyright ?? 2005 Pearson Addison-Wesley. All rights reserved.5-48Chapter 5 Review cont’d??Learning Goals cont’d4.Review traditional and modern approaches to portfolio management and reconcile them.5.Describe the role of investor characteristics and objectives and of portfolio objectives and policies in constructing an investment portfolio.6.Summarize why and how investors use an asset allocation scheme to construct an investment portfolio.