兹维博迪 投资学 英文课件 Chap025

Investments,8theditionBodie,KaneandMarcusSlidesbySusanHineMcGraw-Hill/IrwinCopyright©2009byTheMcGraw-HillCompanies,Inc.Allrightsreserved.CHAPTER25InternationalDiversification25-2•Globalmarket–USmarketis39.2%ofallmarketsin2005–USmarketshareisdownfrom47%in2000–Improvedaccess&technology–Newinstruments•Emphasisforourinvestigation–Riskassessment–DiversificationBackground25-3Table25.1MarketCapitalizationofStockExchangesinDevelopedCountries25-4Table25.2MarketCapitalizationofStockExchangesinEmergingMarkets25-5Figure25.1PerCapitaGDPandMarketCapitalizationasPercentageofGDP(logscale)25-6•Whataretherisksinvolvedininvestmentinforeignsecurities?•Howdoyoumeasurebenchmarkreturnsonforeigninvestments?•Aretherebenefitstodiversificationinforeignsecurities?Issues25-7ForeignExchangeRisk•Variationinreturnrelatedtochangesintherelativevalueofthedomesticandforeigncurrency•Totalreturn=investmentreturn&returnonforeignexchange•It’snotpossibletocompletelyhedgeaforeigninvestmentForeignExchangeRisk25-8•ReturninUSisafunctionoftwofactors:1.Returnintheforeignmarket2.ReturnontheforeignexchangeReturnswithForeignExchange101()1()fErUSrUKE25-9Figure25.2StockMarketReturnsinU.S.DollarsandLocalCurrenciesfor200525-10Table25.3RatesofChangeintheU.S.DollarAgainstMajorWorldCurrencies,2001–2005(Annualizedfrommonthlydata)25-11HedgingExchangeRateRisk•Futuresorforwardmarketsareusedtoeliminatetheriskofholdinganotherasset•TheU.S.investorcanlockinarisklessdollar-denominatedreturneitherbyinvestinginUKbillsandhedgingexchangerateriskorbyinvestingrisklessU.S.assets00001()1()rearranged:1()1()ffffFrUKrUSErUSFErUK25-12•PoliticalRiskServicesGroupRatingsRankcountrieswithrespecttopoliticalrisk,financialriskandeconomicriskAssigncompositeratingfromveryhighrisktoverylowriskbasedontheaboveelementsofriskCountrySpecificRisk25-13Table25.4CompositeRiskRatingsforOctober2004andNovember200325-14Table25.5TheThreeRatingsthatCompriseICRG’sCompositeRiskRating25-15Table25.6CurrentRiskRatingsandCompositeRiskForecasts25-16Table25.7CompositeandPoliticalRiskForecasts25-17Table25.8PoliticalRiskPointsbyComponent,October200425-18Evidenceshowsinternationaldiversificationisbeneficial•It’spossibletoexpandtheefficientfrontierabovedomesticonlyfrontier•It’spossibletoreducethesystematicrisklevelbelowthedomesticonlylevelDiversificationBenefits25-19Table25.9RiskandReturnAcrosstheGlobe,2001–2005(DevelopedCountriesandEmergingMarkets)25-20Figure25.3AnnualizedStandardDeviationofInvestmentsAcrosstheGlobe($returns,2001–2005)25-21Figure25.4BetaonU.S.StocksAcrosstheGlobe,2001–200525-22Figure25.5AnnualizedAverage$ReturnofInvestmentsAcrosstheGlobe,2001–200525-23Figure25.6StandardDeviationofInvestmentsAcrosstheGlobeinU.S.DollarsversusLocalCurrency,2001–200525-24Table25.10CorrelationforAssetReturns:UnhedgedandHedgedCurrencies25-25Table25.11CorrelationofU.S.EquityReturnswithCountryEquityReturns25-26Figure25.7InternationalDiversification25-27Figure25.8ExPostEfficientFrontierofCountryPortfolios,2001–200525-28Figure25.9EfficientFrontierofCountryPortfolios(worldexpectedexcessreturn=.6%permonth)25-29Figure25.10RegionalIndexesaroundtheCrash,October14–October26,198725-30Figure25.11EfficientDiversificationbyVariousMethods25-31Figure25.12DiversificationbyMarketCapitalization:NationalMarketsversusRegionalFunds25-32Figure25.13DiversificationBenefitsoverTime25-33Table25.12WeightingSchemesforEAFECountries25-34PerformanceAttributionwithInternationalExtensiontoconsideradditionalfactors•Currencyselection•Countryselection•Stockselection•Cashandbondselection25-35Table25.13ExampleofPerformanceAttribution:International