兹维博迪投资学英文Chap025课件

CHAPTER25InternationalDiversificationGlobalmarketUSmarketis39.2%ofallmarketsin2005USmarketshareisdownfrom47%in2000Improvedaccess&technologyNewinstrumentsEmphasisforourinvestigationRiskassessmentDiversificationBackgroundTable25.1MarketCapitalizationofStockExchangesinDevelopedCountriesTable25.2MarketCapitalizationofStockExchangesinEmergingMarketsFigure25.1PerCapitaGDPandMarketCapitalizationasPercentageofGDP

(logscale)Whataretherisksinvolvedininvestmentinforeignsecurities?Howdoyoumeasurebenchmarkreturnsonforeigninvestments?Aretherebenefitstodiversificationinforeignsecurities?IssuesForeignExchangeRiskVariationinreturnrelatedtochangesintherelativevalueofthedomesticandforeigncurrencyTotalreturn=investmentreturn&returnonforeignexchangeIt’snotpossibletocompletelyhedgeaforeigninvestmentForeignExchangeRiskReturninUSisafunctionoftwofactors:1.Returnintheforeignmarket2. ReturnontheforeignexchangeReturnswithForeignExchangeFigure25.2StockMarketReturnsinU.S.DollarsandLocalCurrenciesfor2005Table25.3RatesofChangeintheU.S.DollarAgainstMajorWorldCurrencies,2001–2005(Annualizedfrommonthlydata)HedgingExchangeRateRiskFuturesorforwardmarketsareusedtoeliminatetheriskofholdinganotherassetTheU.S.investorcanlockinarisklessdollar-denominatedreturneitherbyinvestinginUKbillsandhedgingexchangerateriskorbyinvestingrisklessU.S.assetsPoliticalRiskServicesGroupRatingsRankcountrieswithrespecttopoliticalrisk,financialriskandeconomicriskAssigncompositeratingfromveryhighrisktoverylowriskbasedontheaboveelementsofriskCountrySpecificRiskTable25.4CompositeRiskRatingsforOctober2004andNovember2003Table25.5TheThreeRatingsthatCompriseICRG’sCompositeRiskRatingTable25.6CurrentRiskRatingsandCompositeRiskForecastsTable25.7CompositeandPoliticalRiskForecastsTable25.8PoliticalRiskPointsbyComponent,October2004EvidenceshowsinternationaldiversificationisbeneficialIt’spossibletoexpandtheefficientfrontierabovedomesticonlyfrontierIt’spossibletoreducethesystematicrisklevelbelowthedomesticonlylevelDiversificationBenefitsTable25.9RiskandReturnAcrosstheGlobe,2001–2005(DevelopedCountriesandEmergingMarkets)Figure25.3AnnualizedStandardDeviationofInvestmentsAcrosstheGlobe($returns,2001–2005)Figure25.4BetaonU.S.StocksAcrosstheGlobe,2001–2005Figure25.5AnnualizedAverage$ReturnofInvestmentsAcrosstheGlobe,2001–2005Figure25.6StandardDeviationofInvestmentsAcrosstheGlobeinU.S.DollarsversusLocalCurrency,2001–2005Table25.10CorrelationforAssetReturns:UnhedgedandHedgedCurrenciesTable25.11CorrelationofU.S.EquityReturnswithCountryEquityReturnsFigure25.7InternationalDiversificationFigure25.8ExPostEfficientFrontierofCountryPortfolios,2001–2005Figure25.9EfficientFrontierofCountryPortfolios(worldexpectedexcessreturn=.6%permonth)Figure25.10RegionalIndexesaroundtheCrash,October14–October26,1987Figure25.11EfficientDiversificationbyVariousMethodsFigure25.12DiversificationbyMarketCapitalization:NationalMarketsversusRegionalFundsFigure25.13DiversificationBenefits

overTimeTable25.12WeightingSchemesforEAFECountriesPerformanceAttributionwithInternationalExtensiontoconsideradditionalfactorsCurrencyselectionCountryselectionStockselectionCashandbondselection35写在最后成功的基础在于好的学习习惯Thefoundationofsuccesslie