投资学讲义-MBA知识讲义

投资学讲义-MBA知识讲义ReadingmaterialsModernPortfolioTheoryandInvestmentAnalysisbyEltonandGruber,5th(or6th)Edition,JohnWiley&Sons,Inc.Others:Newspaper,magazinesIntroductionAnintermediateinvestmentcourseEmphasizesportfoliosSecurityMarketsInvestmentanalysisandmanagementQuizQ1假设你正在考虑投资于两只股票。通过一定的分析之后，你认为未来一年的经济会呈现健康或者不健康两种可能的状态。这两种情况发生的可能性相同（50%）。而两只股票在两种经济状态下的回报率见下表：(a).请问每只股票的期望回报率和回报率的标准差是多少？(b).两只股票回报率的协方差和相关系数是多少？(c).画图说明投资于这两只股票能够提供什么样的风险与回报的组合？(d).假设现在有无风险资产可以投资（无风险回报率为5%）。请问这对于你是否意味着一个获利机会？为什么？经济状态股票1回报股票2回报健康30%5%不健康10%10%QuizQ2你在为一个小型对冲基金设计一个债券组合，目的是为了对冲基金四年后的一笔10亿的债务来提供资金。基金经理希望用一个两年期的零息债券和一个八年期的零息债券来构成组合。假设利率曲线为水平线，这样对于所有不同到期日的零息债券的到期收益率都为5%。(a).设计由上诉两种债券构成的组合来保护对冲基金，使得基金不受到利率变化的影响(b).假设在你设计完成这一组合后，利率曲线对于所有到期日都平移到6%。请问这种情况下你设计的组合4年后的未来价值是多少？是否还能为债务提供足够的资金保障？QuizQ3Comparetothedaybeforeyesterday,wasthechangeofShanghaiCompositeindexingreenorinred?RequirementsAttitudeSkillPracticeEvaluation:?MyObjectivesfortheClassCreatealearningatmosphere…Encourageindependentthinking…Contributingandhelpingyouachievingahighlevelofacademicexcellence…HowCanWeDefineInvestments?Investmentcanbedefinedasthesacrificeofpresentconsumptionforsomefuturevalue.ThisfuturevalueispossiblyuncertainInvestmentEnvironmentandInvestmentProcessInvestmentEnvironmentreferstothedifferenttypesofmarketablesecuritiesavailableforinvestors;InvestmentProcessisaboutthewayinvestorsshoulddecideonthemarketableinstrumentstheywillinvestin,whentoinvest,etc.FinancialSecuritiesMoneyMarketSecuritiesRatesofReturns

CapitalMarketSecuritiesFixedincomesecuritiesEquitymarketPreferredstockDerivativesFuturesOptionsExoticoptionsStructuredinstruments:FX,etc…RatesofreturnsversustimeformajorsecuritytypesInvestmentsOverthe

Long-TermWhatisthecurrentvalueof$1investedbetween1926-2002inPortfoliooflargeU.S.stocks(StandardandPoor’sCompositeIndex)Portfoliooflong-termTreasurybonds?AssumethatthedividendsandtheinterestpaymentsarereinvestedintheassetWealthAccumulationofStocksandBonds(1926-2002)WhatAboutInvestmentExpenses?ThepreviousperformanceignoresinvestmentexpensesHowmuchwouldinvestorshaveaccumulatedwitha1percentannualexpenseratio?WealthAccumulationafterExpensesWhatAboutTaxes?Thegovernmenttaxesinterest,dividendincome,andrealizedcapitalgainsHowmuchdotaxesaffectourwealthaccumulations?IassumedthatdividendsandinterestincomeistaxedatthemarginaltaxrateoftheaveragestockandbondholderandthatcapitalgainsarenottaxedWealthAccumulationafterExpensesandTaxesWhatAboutInflation?$1in1926couldbuymuchmorethan$1in2002Consumerpricesincreasedoverthisperiodaboutten-foldHowmuchdoesinflationaffectourwealthaccumulations?RealWealthAccumulationafterExpensesandTaxesStockandBondReturnsBetween1926and2002GeometricMeanArith.MeanStd.Dev.NominalReturn10.20%12.76%22.09%RealReturn6.94%9.44%22.37%RealNetReturn4.75%7.19%21.96%LargeStocksGeometricMeanArith.MeanStd.Dev.NominalReturn5.43%5.70%8.99%RealReturn2.31%2.66%10.12%RealNetReturn-0.13%0.20%9.87%Long-termTreasuryBondsRiskFoundingDatesforWorldEquityMarketHowaresecuritiestradedPrimaryMarketMarketfornewissuesofsecuritiesInitialPublicOfferings(IPO)SeasonedPublicOfferingsPrivatePlacementsSecondaryMarketExistingsecuritiesaretradedBuyingandSellingSecuritiesInvestorspurchasesecuritiesthroughbrokersforacommissionInvestormustspecifyObviousthings:NameoffirmBuyorsellorderSizeoforderOthercharacteristics:TypeoforderHowlongorderistobeoutstandingOrderSpecificationOrdertypeMarketorderBuyorsellimmediatelyLimitorderLimitpricespecifieslowestsellingprice(orhighestpurchaseprice)StoporderStoppricespecifieshighestsellingprice(orlowestpurchaseprice)SellOrdersbidaskLimitSellStop-lossMarketSell25.0025203025.25OrderSpecificationTimelimitDayordersIforderisnotfilledbyendofday,orderexpires.GoodthroughordersValidforaspecifiednumberofdaysandautomaticallyexpiresifithasnotbeenexecutedbyexpirydateOpenorders(good-till-cancelled)Validuntileitherfilledorcancelledbyinvestor.AllornoneordersMustbefullyexecutedornotaccepted(asopposedtoanypartorder)DiscretionaryorderBrokerdecidesonspecificationsMarginAbrokeragefirmmayallowcustomerstopurchasesecuritiesonmargin.Youputupthemarginincashandborrowtheremainder(thedebitbalance)fromthebroker.BuyingonMarginSecuritieslawmandateslimitationsonborrowing,e.g.:Initialmarginmustexceed50%Maintenancemarginmustexceed30%Themarginisdefinedas:MarginPurchasesMarginismarkedtomarketdailyMarginshortfallsresultinmargincalls.Purchasingonmarginleversupreturns:e.g.purchase100sharesfor$50/shareandsellinoneyearfor$65Returnis30%With60%marginpurchaseandan8%borrowingratethereturnis44.7%((15x100-.08x$2000)/$3000)RisksofMarginPurchasesBrokergivesyouamargincallifthemaintenancemarginisnotmetBrokercansellyoursecuritieswithoutaskingforyourpermissionThepotentiallossescanexceedyourinitialinvestmentShortSalesCanuseashortsaletosellastockyoudon’town.Brokereffectivelyarrangestoborrowthesharesyouwanttosellfromanotherinvestor.SomedetailsUptickrule–stockpricemustrisebeforeyoucanshort.Mustputupsomemarginthatdependsonstockprice.ShortSaleExleXYZBroker,Inc.Mr.OriginalXYZBroker,Inc.Mr.OriginalMr.JonesMr.JonesMs.ShortMs.ShortXYZBroker,Inc.Mr.OriginalDividends,annualreportsandvotingrightsForwardseverythingNotifiedthatJonesownsstockAllowsstocktobelentPayspurchasepriceReceivesstockcertificateProvidesinitialmarginAnnualReportDividendsAnnualReportVotingRightsProvidescashtomakeupfordividendsAnnualreportanddividends融资融券试点维持担保比例：例如130%融资保证金比例：如0.5融资融券可充抵保证金证券范围和折算率：如成分指数股不超过70%例子假设:客户拥有资金100万元;融资保证金比例为0.5。那么客户可以先普通买入股票100万元,再将普通买入的股票作为担保物向证券公司融资买入股票融资买入金额＝保证金/融资保证金比例＝担保物市值×折算率/融资保证金比例=140万维持担保比例＝担保物/负债＝（现金+担保证券市值）/(融资买入金额+融券卖出证券数量×市价＋利息及费用）=？对应Margin是多少？Homework1PleasedrawthecumulativereturnoftheShanghaiCompositeindexfrom1997to2009andthedensityfunctionofthereturn.(Iwantverynicepictures!Monthlyreturn)Homework2(exercise)Supposeyouhave$10,000andyouareverybullishinMicrosoft.Youcanborrow$10,000fromyourbrokerata10%interestrate.Buy$20,000worthofMSFTstockWhatarethereturnsofthistradingstrategyifMicrosoftstockincreasesorfallsby25%duringthenextyear?Homework3(exercise)Shortsell1,000GMstocksinOctober2004andclosepositioninJanuary2005:DateActionCashFlowsOct2004Short-sell1000GMfor$4545,000Jan2005GMpays$0.50dividendJan2005Saleproceedspay1%interest

Jan2005Closepositionat$55

Profit/Loss

Yourbrokerrequiresaninitialmarginof50%andamaintenancemarginof30%HowmuchinitialmargindoyouneedtoaddtoyouraccountinOctobertoshort-sell1,000GMstock?Atwhichstockpricewillyoureceiveyourfirstmargincall?InstitutionalInvestorsTypeofInvestorRiskToleranceIndividualandpersonaltrustsLifecycleMutualfundsVariablePensionfundsDependsonproximityofpayoutsEndowmentfundsGenerallyconservativeInsurancecompaniesConservativeBanksVariable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ConstraintsinPortfolioManagementLiquidityInvestmenthorizonRegulatoryconstraints(institutionalinvestors)TheprudentpersonlawLimitsonforeignholdingsLimitsonindividualfirmholdingsServicesofInvestmentCompaniesAdministration&recordkeepingDiversification&divisibilityProfessionalmanagementReducedtransactioncostsIncreasedinvestmentopportunitiesTypesofInvestmentCompaniesMutualfundsClosed-endOpen-endLoadfundsCommingledfundsRealestatefundsRealestatelimitedpartnershipsMortgagefundsTypesofMutualFunds(InvestmentPolicies)MoneymarketfundsEquityfunds(income,growth)Fixed-incomefundsBalancedandincomefundsAssetallocationfundsIndexfundsSpecializedsectorfundsNetAssetValueUsedasabasisforvaluationofinvestmentcompanysharesSellingnewsharesRedeemingexistingsharesCalculation:Open-EndandClosed-

EndFunds:KeyDifferencesSharesOutstandingClosed-end:nochangeunlessnewstockisofferedOpen-end:changeswhennewsharesaresoldoroldsharesareredeemedPricingOpen-end:NetAssetValue(NAV)Closed-end:PremiumordiscounttoNAVCostsofInvestinginMutualFundsFeeStructureFront-endloadBack-endloadOperatingexpensesOthercharges(called‘12b-1