AsseAllocaionDecision资产定价上海交大,蔡明

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TheAssetAllocationDecision曾经到达目标的可能性，是最终到达目标可能性的两倍。---见好就收1Chapter2

TheAssetAllocationDecisiona)describethestepsintheportfoliomanagementprocess;b)explaintheneedforapolicystatement;c)explainwhyinvestmentobjectivesshouldexpressedintermsofriskandreturn;d)listthefactorsthatmayaffectaninvestor’srisktolerance;e)capitalpreservation,capitalappreciation,currentincome,andtotalreturn;f)describetheinvestmentconstraintsofliquidity,timehorizon,taxconcerns,legalandregulatoryfactors,anduniqueneedsandpreferences.2FinancialPlanPreliminariesInsuranceLifeinsuranceTermlifeinsurance-Providesdeathbenefitonly.PremiumcouldchangeeveryrenewalperiodUniversalandvariablelifeinsurance–providecashvalueplusdeathbenefit3FinancialPlanPreliminariesInsuranceHealthinsuranceDisabilityinsuranceAutomobileinsuranceHome/rentalinsuranceLiabilityinsurance4FinancialPlanPreliminariesCashreserveTomeetemergencyneedsIncludescashequivalents(liquidinvestments)Equaltosixmonthslivingexpensesrecommendedbyexperts5IndividualInvestor

LifeCycleAccumulationphase–earlytomiddleyearsofworkingcareerConsolidationphase–pastmidpointofcareers.EarningsgreaterthanexpensesSpending/Giftingphase–beginsafterretirement6IndividualInvestorLifeCycleNetWorthAgeAccumulationPhaseLong-term: Retirement Children’scollege Short-term: House CarConsolidationPhaseLong-term: RetirementShort-term:VacationsChildren’sCollegeSpendingPhaseGiftingPhaseLong-term: EstatePlanningShort-term: LifestyleNeedsGifts

Exhibit2.17LifeCycleInvestmentGoalsNear-term,high-prioritygoalsLong-term,high-prioritygoalsLower-prioritygoals8LOSa:ThePortfolioManagementProcess1.Policystatement-Focus:Investor’sshort-termandlong-termneeds,familiaritywithcapitalmarkethistory,andexpectations2.Examinecurrentandprojectedfinancial,economic,political,andsocialconditions-Focus:Short-termandintermediate-termexpectedconditionstouseinconstructingaspecificportfolio3.Implementtheplanbyconstructingtheportfolio-Focus:Meettheinvestor’sneedsattheminimumrisklevels4.Feedbackloop:Monitorandupdateinvestorneeds,environmentalconditions,portfolioperformance9TheNeedForAPolicyStatementHelpsinvestorsunderstandtheirownneeds,objectives,andinvestmentconstraintsSetsstandardsforevaluatingportfolioperformanceReducesthepossibilityofinappropriatebehavioronthepartoftheportfoliomanager

10ConstructingAPolicyStatementQuestionsforinvestorstobeanswered:Whataretherealrisksofanadversefinancialoutcome,especiallyintheshortrun?WhatprobableemotionalreactionswillIhavetoanadversefinancialoutcome?HowknowledgeableamIaboutinvestmentsandthefinancialmarkets?11ConstructingAPolicyStatementWhatothercapitalorincomesourcesdoIhave?Howimportantisthisparticularportfoliotomyoverallfinancialposition?What,ifany,legalrestrictionsmayaffectmyinvestmentneeds?What,ifany,unanticipatedconsequencesofinterimfluctuationsinportfoliovaluemightaffectmyinvestmentpolicy?12InputstoPolicyStatementRiskToleranceInvestmentObjectiveConstraintsTaxTimehorizonLiquidity..13LOSd:Listthefactorsthatmayaffectaninvestor'srisktolerance.Risktoleranceisafunctionofthefollowing:Age.Familysituation.Existingwealth.Insurancecoverage.Currentcashreserves.14MeasureYourRiskToleranceP4615LOSc:whyinvestmentobjectivesshouldbeexpressedintermsofriskandreturn.Returnobjectivesmaybestatedinabsoluteterms(dollaramounts)orpercentages.Returnconsiderationsalsocovercapitalpreservation,capitalappreciation,currentincomeneeds,andtotalreturns.Specifyinginvestmentgoalsintermsofjustreturnmayexposeaninvestortoinappropriatehighriskinvestmentstrategies.Also,return-onlyobjectivescanleadtounacceptablebehavioronthepartofinvestmentmanagers,suchasexcessivetradingtogenerateexcessivecommissions16MerillLynchSuggestClientsStockbondsCashConservativeforincome306010Conservativeforincome603010ModerateRisk504010AggressiveRisk604017LOSe:Describethereturnobjectivesofcapitalpreservation,capitalappreciation,currentincome,andtotalreturn.Capitalpreservationistheobjectiveofearningareturnonaninvestmentthatisatleastequaltotheinflationrate.Theconcernhereisthemaintenanceofpurchasingpower.Toachievethisobjective,therateofreturnmustequaltheinflationrate.Capitalappreciationistheobjectiveofearninganominalreturnthatexceedstherateofinflationoversomeperiodoftime.Achievingthisgoalmeansthatthepurchasingpoweroftheinitialinvestmentincreasesovertime,usuallythroughcapitalgains.18LOSe:Describethereturnobjectivesofcapitalpreservation,capitalappreciation,currentincome,andtotalreturn.Currentincomeistheobjectiveofearningareturnonaninvestmentforthepurposeofgeneratingincome.Thecurrentincomeobjectiveisusuallyappropriatewhenaninvestorwantsorneedstosupplementothersourcesofincometomeetlivingexpensesorsomeotherplannedspendingneed.Totalreturnistheobjectiveofhavingaportfoliogrowinvaluetomeetafutureneedthroughbothcapitalgainsandthereinvestmentofcurrentincome.Thetotalreturnobjectiveisriskierthantheincomeobjective,butlessriskythanthecapitalappreciationobjective.19LOSf:Discusstheinvestor'sinvestmentconstraintsLiquidityneedsVarybetweeninvestorsdependinguponage,employment,taxstatus,etc.TimehorizonInfluencesliquidityneedsandrisktolerance20InvestmentConstraints*TaxconcernsCapitalgainsorlosses––taxeddifferentlyfromincomeUnrealizedcapitalgain––reflectpriceappreciationofcurrentlyheldassetsthathavenotyetbeensoldRealizedcapitalgain––whentheassethasbeensoldataprofitTrade-offbetweentaxesanddiversification–taxconsequencesofsellingcompanystockfordiversificationpurposes21InvestmentConstraints*Taxconcerns(continued)interestonmunicipalbondsexemptfromfederalincometaxandfromstateofissueinterestonfederalsecuritiesexemptfromstateincometaxcontributionstoanIRAmayqualifyasdeductiblefromtaxableincometaxdeferralconsiderations-compounding*denotealsorequiredbyCFAtest22EquivalentTaxableYield23EffectofTaxDeferralonInvestorWealthoverTime$1,000InvestmentValueTime$10,062.66$5,365.91Exhibit2.624MethodsofTaxDeferral*RegularIRA-taxdeductibleTaxonreturnsdeferreduntilwithdrawalRothIRA-nottaxdeductibletax-freewithdrawalspossibleCashvaluelifeinsurance–fundsaccumulatetax-freeuntiltheyarewithdrawnTaxShelteredAnnuitiesEmployer’’s401(k)and403(b)plans–tax-deferredinvestments25LegalandRegulatoryFactors*LimitationsorpenaltiesonwithdrawalsFiduciaryresponsibilities-““prudentman”ruleInvestmentlawsprohibitinsidertrading26UniqueNeedsandPreferences*PersonalpreferencessuchassociallyconsciousinvestmentscouldinfluenceinvestmentchoiceTimeconstraintsorlackofexpertiseformanagingtheportfoliomayrequireprofessionalmanagementLargeinvestmentinemployer’’sstockmayrequireconsiderationofdiversificationneedsInstitutionalinvestorsneeds27TheImportanceofAssetAllocationAninvestmentstrategyisbasedonfourdecisionsWhatassetclassestoconsiderforinvestmentWhatnormalorpolicyweightstoassigntoeacheligibleclassDeterminingtheallowableallocationrangesbasedonpolicyweightsWhatspecificsecuritiestopurchasefortheportfolio28TheImportanceofAssetAllocationAccordingtoresearchstudies,most(85%to95%)oftheoverallinvestmentreturnisduetothefirsttwodecisions,nottheselectionofindividualinvestments29ReturnsandRiskofDifferentAssetClassesHistorically,smallcompanystockshavegeneratedthehighestreturns.ButthevolatilityofreturnshavebeenthehighesttooInflationandtaxeshaveamajorimpactonreturnsReturnsonTreasuryBillshavebarelykeptpacewithinflation30ReturnsandRiskofDifferentAssetClassesMeasuringriskbyprobabilityofnotmeetingyourinvestmentreturnobjectiveindicatesriskofequitiesissmallandthatofT-billsislargebecauseoftheirdifferencesinexpectedreturnsFocusingonlyonreturnvariabilityasameasureofriskignoresreinvestmentrisk31AssetAllocationandCulturalDifferencesSocial,political,andtaxenvironmentsinfluencetheassetallocationdecisionEquityallocationsofU.S.pensionfundsaverage58%IntheUnitedKingdom,equitiesmakeup78%ofassetsInGermany,equityallocationaverages8%InJapan,equitiesare37%ofassets32AssetAllocationSummaryPolicystatementdeterminestypesofassetstoincludeinportfolioAssetallocationdeterminesportfolioreturnmorethanstockselectionOverlongtimeperiods,sizableallocationtoequitywillimproveresultsRiskofastrategydependsontheinvestor’sgoalsandtimehorizon33SummaryPMprocessIdentifyinvestmentneeds,risktolerance,andfamiliaritywithcapitalmarketsIdentifyobjectivesandconstraintsFocusonassetallocationasitdetermineslong-termreturnsandrisk34TheInternetInvestmentsOnline中国证券报上海证券报报证券时报35Appendix:ObjectivesandConstraintsofInstitutionalInvestorsMutualFunds–poolinvestorsfundsandinveststheminfinancialassetsDifferentfundshavetheirowninvestmentobjectiveConstraintscomesfromlawsanditsprospectus36PensionFundsReceivecontributionsfromthefirm,itsemployees,orbothandinveststhosefundsDefinedBenefit–promisetopayretireesaspecificincomestreamafterretirementDefinedContribution–donotpromiseasetofbenefits.Employees’’retirementincomeisnotanobligationofthefirm37EndowmentFundsTheyrepresentcontributionsmadetocharitableoreducationalinstitutionsConstraintsorganization’sneedforthefund38InsuranceCompaniesLifeInsuranceCompaniesearnrateinexcessofactuarialrategrowingsurplusifthespreadispositivefiduciaryprincipleslimittherisktoleranceliquidityneedshaveincreasedtaxrulechanges399、静夜夜四无无邻，，荒居居旧业业贫。。。1月-231月-23Sunday,January1,202310、雨雨中中黄黄叶叶树树，，灯灯下下白白头头人人。。。。21:46:4521:46:4521:461/1/20239:46:45PM11、以我独独沈久，，愧君相相见频。。。1月-2321:46:4521:46Jan-2301-Jan-2312、故人江江海别，，几度隔隔山川。。。21:46:4521:46:4521:46Sunday,January1,202313、乍见见翻疑疑梦，，相悲悲各问问年。。。1月-231月-2321:46:4521:46:45January1,202314、他乡生白白发，旧国国见青山。。。01一月月20239:46:45下下午21:46:451月-2315、比不了得得就不比，，得不到的的就不要。。。。一月239:46下下午1月-2321:46January1,202316、行行动动出出成成果果，，工工作作出出财财富富。。。。2023/1/121:46:4521:46:4501January202317、做前，能够够环视四周；；做时，你只只能或者最好好沿着以脚为为起点的射线线向前。。9:46:45下午9:46下下午21:46:451月-239、没有失失败，只只有暂时时停止成成功！。。1月-231月-23Sunday,January1,202310、很多多事情情努力力了未未必有有结果果，但但是不不努力力却什什么改改变也也没有有。。。21:46:4521:46:4521:461/1/20239:46:45PM11、成功就就是日复复一日那那一点点点小小努努力的积积累。。。1月-2321:46:4521:46Jan-2301-Jan-2312、世世间间成成事事，，不不求求其其绝绝对对圆圆满满，，留留一一份份不不足足，，可可得得无无限限完完美美。。。。21:46:4521:46:4521:46Sunday,January1,202313、不知香香积寺，，数里入入云峰。。。1月-231月-2321:46:4521:46:45January1,202314、意志坚强的的人能把世界界放在手中像像泥块一样任任意揉捏。01一月20239:46:45下午21:46:451月-2315、楚楚