ch25国际投资

25-19
本国Dom 国际Int’l
股票数Securities
25-14
积极的国际投资业绩评估因素
Factors in Assessing Active International Investment Performance
货币选择 国家选择 股票选择 现金/债券选择
Currency Selection Country Selection Stock Selection Cash / Bond Selection
25-6
国际投资收益 Returns with FX
(1 + rUS) = (1 + rFM) (1 + rFX) rUS = 国际投资的美元收益 return on the foreign investment in US Dollars rFM = 外国市场的本币收益 return on the foreign market in local currency rFX = 汇率收益 return on the foreign exchange
25-16
小结
以外汇投资会产生一个额外的不确定的汇率风险，大 部分汇率风险可以通过运用外汇期货或外汇远期对冲 掉，但是，一个完全的套期保值是难以做到的，因为 外币的收益率难以确定。Exchange rate risk imparts an extra source of uncertainty to investments denominated in foreign currencies. Much of that risk can be hedged in foreign exchange futures or forward markets, but a perfect hedge is not feasible unless the foreign currency rate of return is known.
调查的重要性 Emphasis for our investigation
– 风险评估 – 多样化 Risk Assessment Diversification
25-3
问题 Issues
什么是投资外国证券的风险？ What are the risks involved in investment in foreign securities? 如何测量国际投资的基准收益？ How do you measure benchmark returns on foreign investments? 对分散投资外国证券有否好处？ Are there benefits to diversification in foreign securities?
25-9
国际投资的其它风险
Other Risks in International Investing
国家原由Country - Specific 风险类别Composition
– 政治Political – 金融Financial – 经济Economic
综合率Composite Ratings
25-15
小结
美国股权只占世界股权资产组合的一小部分， 国际资本市场为资产组合的分散化与强化风险收益特性提供了重要的机会。U.S. equities are only a small fraction of the world equity portfolio. International capital markets offer important opportunities for portfolio diversification with enhanced risk–return characteristics.
25-7
收益举例：美元对英磅贬值
Return Example: Dollar Depreciates Relative to the Pound
初始投资Initial Investment : $100,000 初始汇率2美元对1英磅 Initial Exchange: $2.00/ Pound Sterling 最后汇率2。1美元对1英磅 Final Exchange:$2.10/ Pound Sterling 英国证券的收益率：10% Return in British Security: 10% 收益（按美元计） Return in US Dollars (1 + rUS) = (1.10) (1.05) = (1.155) rUS = 15.5%
25-8
收益举例：美元对英磅升值
Return Example: Dollar Appreciates Relative to the Pound
初始投资Initial Investment : $100,000 初始汇率2美元对1英磅 Initial Exchange: $2/ Pound Sterling 最后汇率1。85美元对1英磅 Final Exchange: $1.85/ Pound Sterling 英国证券的收益率： Return in British Security: 10% 收益（按美元计） Return in US Dollars (1 + rUS) = (1.10) (.9250) = (1.0175) rUS = 1.75%
25-4
国际投资风险：汇率
Risks in International Investing: Foreign Exchange 汇率风险Exchange Rate Risk 本国货币对外币相对价值的变化会涉及投资收益的变动 Variation in return related to changes in the relative value of the domestic and foreign currency 总的收益= 投资收益加上汇率变动的收益 Total Return = Investment return plus return on foreign exchange 对国际投资完全套期是不可能的 Not possible to completely hedge a foreign investment
25-5
国际投资收益 Returns with FX
在美国，投资的收益函数是两因数函数 Return in US is a function of two factors
1. 外国市场的收益 Return in the foreign market 2. 汇率收益 Return on the foreign exchange
25-2
国际投资背景 Background
全球市场 Global Market
– 美国市场大约占全部市场的50% US Market is approx. 50% of all markets – 改善了的市场准入体系和技术 Improved access & technology – 新投资工具 New Instruments
事实表明国际多样化投资是有益的 Evidence shows international diversification is beneficial 有可能延伸本国投资领域 Possible to expand the efficient frontier above domestic only frontier 有可能减少本国系统风险水平 Possible to reduce the systematic risk level below the domestic only level
25-17
小结
有些世界市场指数可以成为消极国际投资的基 础，积极的国际投资可以划分为货币选择、国 家选择、股票选择与现金/债券选择。 Several world market indexes can form a basis for passive international investing. Active international management can be partitioned into currency selection, country selection, stock selection, and cash/bond selection.
第25章 国际投资 International Investing
25-1
国际投资 International Investing
25.1 25.2 25.3 25.4 25.5 25.6 25.7 国际投资 世界股票市场 国际分散化 汇率风险 消极与积极的国际投资 因素模型与国际投资 世界资本市场的均衡
25-12
国际多样化投资的有效领域
Efficient Frontier with International Diversification 国际Int’l 收益Return 本国 Dom
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风险Risk
25-13
国际多样化的系统风险
Systematic Risk Level with International Diversification 风险Risk%
25-10
国际投资选择 Int’l Investment Choices
直接投资股票Direct Stock Purchases 共同基金Mutual Funds
– 开放式Open End – 封闭式Closed End – 网络式WEBS
25-11ຫໍສະໝຸດ 多样化投资的益处Diversification Benefits
25-18
小结
国际投资中运用因素模型将包括世界因素与国 内因素，虽然一些证据表明国内因素是影响股 票收益率的主要因素，但是，1987年10月的股 市崩盘证明了存在着国际因素的重要影响。 A factor model applied to international investing would include a world factor as well as the usual domestic factors. Although some evidence suggests domestic factors dominate stock returns, effects of the October 1987 crash demonstrate existence of an important international factor.