The_Investment_Setting(投资分析与投资组合管理)

LecturePresentationSoftwaretoaccompanyInvestmentAnalysisandPortfolioManagementSeventhEditionbyFrankK.Reilly&KeithC.BrownChapter1TheInvestmentSettingQuestionstobeanswered:•Whydoindividualsinvest?•Whatisaninvestment?•Howdowemeasuretherateofreturnonaninvestment?•Howdoinvestorsmeasureriskrelatedtoalternativeinvestments?Chapter1TheInvestmentSetting•Whatfactorscontributetotheratesofreturnthatinvestorsrequireonalternativeinvestments?•Whatmacroeconomicandmicroeconomicfactorscontributetochangesintherequiredrateofreturnforindividualinvestmentsandinvestmentsingeneral?WhyDoIndividualsInvest?Bysavingmoney(insteadofspendingit),individualstradeoffpresentconsumptionforalargerfutureconsumption.04.1$%400.1$HowDoWeMeasureTheRateOfReturnOnAnInvestment?Thepurerateofinterestistheexchangeratebetweenfutureconsumptionandpresentconsumption.Marketforcesdeterminethisrate.People’swillingnesstopaythedifferenceforborrowingtodayandtheirdesiretoreceiveasurplusontheirsavingsgiverisetoaninterestratereferredtoasthepuretimevalueofmoney.HowDoWeMeasureTheRateOfReturnOnAnInvestment?Ifthefuturepaymentwillbediminishedinvaluebecauseofinflation,thentheinvestorwilldemandaninterestratehigherthanthepuretimevalueofmoneytoalsocovertheexpectedinflationexpense.HowDoWeMeasureTheRateOfReturnOnAnInvestment?Ifthefuturepaymentfromtheinvestmentisnotcertain,theinvestorwilldemandaninterestratethatexceedsthepuretimevalueofmoneyplustheinflationratetoprovideariskpremiumtocovertheinvestmentrisk.HowDoWeMeasureTheRateOfReturnOnAnInvestment?DefininganInvestmentAcurrentcommitmentof$foraperiodoftimeinordertoderivefuturepaymentsthatwillcompensatefor:–thetimethefundsarecommitted–theexpectedrateofinflation–uncertaintyoffutureflowoffunds.MeasuresofHistoricalRatesofReturnHoldingPeriodReturn10.1$200$220InvestmentofValueBeginningInvestmentofValueEndingHPR1.1MeasuresofHistoricalRatesofReturnHoldingPeriodYieldHPY=HPR-11.10-1=0.10=10%1.2AnnualHoldingPeriodReturn–AnnualHPR=HPR1/nwheren=numberofyearsinvestmentisheldAnnualHoldingPeriodYield–AnnualHPY=AnnualHPR-1MeasuresofHistoricalRatesofReturnMeasuresofHistoricalRatesofReturnArithmeticMean1.4yieldsperiodholdingannualofsumtheHPY:whereHPY/AMnMeasuresofHistoricalRatesofReturnGeometricMean1.5nnHPRHPRHPR:followsasreturnsperiodholdingannualtheofproductthe:where1HPRGM211APortfolioofInvestmentsThemeanhistoricalrateofreturnforaportfolioofinvestmentsismeasuredastheweightedaverageoftheHPYsfortheindividualinvestmentsintheportfolio.ComputationofHoldingPeriodYieldforaPortfolio#BeginBeginningEndingEndingMarketWtd.StockSharesPriceMkt.ValuePriceMkt.ValueHPRHPYWt.HPYA100,00010$1,000,000$12$1,200,000$1.2020%0.050.010B200,00020$4,000,000$21$4,200,000$1.055%0.200.010C500,00030$15,000,000$33$16,500,000$1.1010%0.750.075Total20,000,000$21,900,000$0.09521,900,000$20,000,000$HPY=1.095-1=0.095=9.5%HPR==1.095Exhibit1.1ExpectedRatesofReturn•Riskisuncertaintythataninvestmentwillearnitsexpectedrateofreturn•ProbabilityisthelikelihoodofanoutcomeExpectedRatesofReturnni1iReturn)(PossibleReturn)ofyProbabilit()E(RReturnExpected)R(P....))(R(P))(R[(Pnn2211))(RP(1iini1.6RiskAversionTheassumptionthatmostinvestorswillchoosetheleastriskyalternative,allelsebeingequalandthattheywillnotacceptadditionalriskunlesstheyarecompensatedintheformofhigherreturnProbabilityDistributionsRisk-freeInvestment0.000.200.400.600.801.00-5%0%5%10%15%Exhibit1.2ProbabilityDistributionsRiskyInvestmentwith3PossibleReturns0.000.200.400.600.801.00-30%-10%10%30%Exhibit1.3ProbabilityDistributionsRiskyinvestmentwithtenpossibleratesofreturn0.000.200.400.600.801.00-40%-20%0%20%40%Exhibit1.4MeasuringtheRiskofExpectedRatesofReturn2n1iReturn)Expected-Return(Possibley)Probabilit()(Variance2iii1)]E(R)[RP(ni1.7MeasuringtheRiskofExpectedRatesofReturnStandardDeviationisthesquarerootofthevariance1.8MeasuringtheRiskofExpectedRatesofReturnCoefficientofvariation(CV)ameasureofrelativevariabilitythatindicatesriskperunitofreturnStandardDeviationofReturnsExpectedRateofReturnsE(R)i1.9MeasuringtheRiskofHistoricalRatesofReturnvarianceoftheseriesholdingperiodyieldduringperiodIexpectedvalueoftheHPYthatisequaltothearithmeticmeanoftheseriesthenumberofobservations2/nn1ii2HPY)(EHPY[nE(HPY)HPYi21.10DeterminantsofRequiredRatesofReturn•Timevalueofmoney•Expectedrateofinflation•RiskinvolvedTheRealRiskFreeRate(RRFR)–Assumesnoinflation.–Assumesnouncertaintyaboutfuturecashflows.–InfluencedbytimepreferenceforconsumptionofincomeandinvestmentopportunitiesintheeconomyAdjustingForInflationRealRFR=1Inflation)ofRate(1RFR)Nominal1(1.12NominalRisk-FreeRateDependentupon–ConditionsintheCapitalMarkets–ExpectedRateofInflationAdjustingForInflationNominalRFR=(1+RealRFR)x(1+ExpectedRateofInflation)-11.11FacetsofFundamentalRisk•Businessrisk•Financialrisk•Liquidityrisk•Exchangeraterisk•CountryriskBusinessRisk•Uncertaintyofincomeflowscausedbythenatureofafirm’sbusiness•Salesvolatilityandoperatingleveragedeterminethelevelofbusinessrisk.FinancialRisk•Uncertaintycausedbytheuseofdebtfinancing.•Borrowingreq