投资组合管理和绩效评估英文版PPT幻灯片
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MarketsandSecurities投资分析与投资组合管理.ppt
• Value is depends directly on, or is derived from, the value of another security or commodity, called the underlying asset
• Forward and Futures contracts are agreements between two parties - the buyer agrees to purchase an asset from the seller at a specific date at a price agreed to now
terms, and are not liquid • Subject to credit risk or default risk • No payments until expiration • Agreement may be illiquid
Futures Contracts
• Standardized terms • Central market (futures exchange) • More liquidity • Less liquidity risk - initial margin • Settlement price - daily “marking to market”
Questions to be answered:
• What distinguishes a derivative security such as a forward, futures, or option contract, from more fundamental securities, such as stocks and bonds?
• Forward and Futures contracts are agreements between two parties - the buyer agrees to purchase an asset from the seller at a specific date at a price agreed to now
terms, and are not liquid • Subject to credit risk or default risk • No payments until expiration • Agreement may be illiquid
Futures Contracts
• Standardized terms • Central market (futures exchange) • More liquidity • Less liquidity risk - initial margin • Settlement price - daily “marking to market”
Questions to be answered:
• What distinguishes a derivative security such as a forward, futures, or option contract, from more fundamental securities, such as stocks and bonds?
投资组合业绩评估PPT课件
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§2 复合投资组合绩效分析方法 3.SHARPE的投资组合绩效评估方法
Sharpe同样的推算出一个计算共同基金的复合评估方法。这个方法与 他早期所研究的资本资产定价模型有紧密的联系，明确的说是与资本市场 线 有 紧 密 的 联 系 。 这 种 方 法 看 起 来 与 Treynor 的 方 法 很 相 似 ， 但 是 ， Sharpe 的 方 法 是 测 量 组 合 的 总 的 风 险 和 收 益 率 的 标 准 差 而 不 仅 仅 像 Treynor的方法只考虑系统风险β。因为分子表示的是组合的风险溢价 ， 这种方法计算的就是每一单位总的风险的风险溢价。根据资本市场理论， 这 种 绩 效 评 估 方 法 用 总 的 风 险 与 组 合 的 资 本 市 场 线 进 行 比 较 ， 而 Tr e y n o r 的方法却是检验组合的绩效与证券市场线的关系。 3.1.SHARPE绩效评估方法举例 3.2.TREYNOR的绩效评估方法与SHARPE的方法的比较
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§6 债券组合的绩效评估方法 债券市场的这种情况在20世纪70年代末特别是在80年代随着利率的
迅速提高和利率波动的频繁发生了很大的变化，这种变化刺激了债券的交 易并且这种对债券进行积极管理的趋势导致了债券组合绩效的差别。债券 组合绩效的差别反过来又产生了对可以帮助投资者评估债券组合管理者绩 效的方法的需求。
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§2 复合投资组合绩效分析方法
4.JENSEN投资组合绩效评估方法 4.1.JENSEN投资组合绩效评估方法介绍
Jensen的评估方法与前面我们讨论过的方法很相似，因为它是建立在资本资产定价模型的基础上的。 4.2.JENSEN投资组合绩效评估方法的应用 5.信息比率的绩效评估方法
第4页/共38页
§2 复合投资组合绩效分析方法 3.SHARPE的投资组合绩效评估方法
Sharpe同样的推算出一个计算共同基金的复合评估方法。这个方法与 他早期所研究的资本资产定价模型有紧密的联系，明确的说是与资本市场 线 有 紧 密 的 联 系 。 这 种 方 法 看 起 来 与 Treynor 的 方 法 很 相 似 ， 但 是 ， Sharpe 的 方 法 是 测 量 组 合 的 总 的 风 险 和 收 益 率 的 标 准 差 而 不 仅 仅 像 Treynor的方法只考虑系统风险β。因为分子表示的是组合的风险溢价 ， 这种方法计算的就是每一单位总的风险的风险溢价。根据资本市场理论， 这 种 绩 效 评 估 方 法 用 总 的 风 险 与 组 合 的 资 本 市 场 线 进 行 比 较 ， 而 Tr e y n o r 的方法却是检验组合的绩效与证券市场线的关系。 3.1.SHARPE绩效评估方法举例 3.2.TREYNOR的绩效评估方法与SHARPE的方法的比较
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§6 债券组合的绩效评估方法 债券市场的这种情况在20世纪70年代末特别是在80年代随着利率的
迅速提高和利率波动的频繁发生了很大的变化，这种变化刺激了债券的交 易并且这种对债券进行积极管理的趋势导致了债券组合绩效的差别。债券 组合绩效的差别反过来又产生了对可以帮助投资者评估债券组合管理者绩 效的方法的需求。
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第5页/共38页
§2 复合投资组合绩效分析方法
4.JENSEN投资组合绩效评估方法 4.1.JENSEN投资组合绩效评估方法介绍
Jensen的评估方法与前面我们讨论过的方法很相似，因为它是建立在资本资产定价模型的基础上的。 4.2.JENSEN投资组合绩效评估方法的应用 5.信息比率的绩效评估方法
andValuationofBonds投资分析与投资组合管理63页PPT
Pm = market price of the bond
AYC
Ct
Pc
Pm nc
Ct = annual coupon payment
PcБайду номын сангаас Pm
nc = the number of years to first call date
2
Promised Yield to Call
Present-Value Method
Ci (1 i
2 2)t
(1
Pp i 2)
2
n
Where:
i = the discount rate that will discount the cash flows to equal the current market price of the bond
Computing Bond Yields
• What is modified duration and what is the relationship between a bond’s modified duration and its volatility?
Chapter 19 - The Analysis and Valuation of Bonds
Yield Measure
Nominal Yield
Purpose
Measures the coupon rate
Current yield
Measures current income rate
Promised yield to maturity
Measures expected rate of return for bond held to maturity
AYC
Ct
Pc
Pm nc
Ct = annual coupon payment
PcБайду номын сангаас Pm
nc = the number of years to first call date
2
Promised Yield to Call
Present-Value Method
Ci (1 i
2 2)t
(1
Pp i 2)
2
n
Where:
i = the discount rate that will discount the cash flows to equal the current market price of the bond
Computing Bond Yields
• What is modified duration and what is the relationship between a bond’s modified duration and its volatility?
Chapter 19 - The Analysis and Valuation of Bonds
Yield Measure
Nominal Yield
Purpose
Measures the coupon rate
Current yield
Measures current income rate
Promised yield to maturity
Measures expected rate of return for bond held to maturity
项目组合管理(ppt 38页)(英文)
total risk
Risk Reduction with Diversification
St. Deviation Unique Risk
Market Risk
Number of Securities
Components of Risk
Market or systematic risk: risk related to the macro economic factor or market index
The optimal combinations result in lowest level of risk for a given return
The optimal trade-off is described as the efficient frontier
The Efficient Frontier vs Naive Diversification
expected return
better performance
A portfolio dominates all others if no other equally risky portfolio has a higher expected return, or if no portfolio with the same expected return has less risk.
expected return
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small
18
capital appreciation
company stocks
1614121 intermediate-8
term government
bonds
6
large company stocks
PortfolioManagementandPerformanceEvaluation(高级公司财务—投资组合管理和绩效评估—英文版课件)
σ
p
rp = Average return on the portfolio rf = Average risk free rate无风险利率 无风险利率 σp = Standard deviation of portfolio
return
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Risk Adjusted Performance: Treynor
3
Portfolio Performance Evaluation
• The basic idea is that the assets held by informed portfolio managers will have higher risk-adjusted returns when they are included in the portfolio than when they are not included • Portfolio performance measures based on Sharpe (1964) and Lintner (1965) asset pricing model (CAPM) are still used in finance literature despite the fact that there has been a number of objections against the CAPM
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Risk Adjusted Performance
Jensen Measure:(Jensen 1968,1969)
• Jensen recognised the need for an evaluation model which will incorporate and reflect the ability of the manager to forecast the market’s behaviour 预 计 市 场 走 势 as well as his ability to choose 选择能力 选择能力individual issues.
MarketAnalysis投资分析与投资组合管理.ppt
• What has happened to the values for the other relative valuation ratios - i.e., the P/BV, P/CF, and P/S ratios?
Chapter 13 Stock Market Analysis
• What additional factors must be considered when you apply this microanalysis approach to the valuation of stock markets around the world?
Lecture Presentation Software
to accompany
Investment Analysis and Portfolio Management
Seventh Edition by
Frank K. Reilly & Keith C. Brown
Chapter 13
Chapter 13 Stock Market Analysis
• Two-part valuation procedure
Vjຫໍສະໝຸດ PjD1 kgPj D1 1 k g
D1 Pj k g
Market Valuation Using Relative Valuation Approach
• Importance of both components of value
• What are some differences between stock market statistics for the U.S. versus other countries?
Chapter 13 Stock Market Analysis
• What additional factors must be considered when you apply this microanalysis approach to the valuation of stock markets around the world?
Lecture Presentation Software
to accompany
Investment Analysis and Portfolio Management
Seventh Edition by
Frank K. Reilly & Keith C. Brown
Chapter 13
Chapter 13 Stock Market Analysis
• Two-part valuation procedure
Vjຫໍສະໝຸດ PjD1 kgPj D1 1 k g
D1 Pj k g
Market Valuation Using Relative Valuation Approach
• Importance of both components of value
• What are some differences between stock market statistics for the U.S. versus other countries?
投资项目评估PowerPointPresentati
n 需要编制预算，是工程承包合同款的重要依据。
3、施工阶段
n 根据施工图设计方案进行各项工程及投产前的准备
4、 竣工验收阶段
（三）生产经营周期 (运营
PPT文档演模板
报废)
投资项目评估PowerPointPresentati
二、贷款项目管理周期
适用对象：银行等金融机构 （一）准备时期 1、初选阶段 n 内容：根据国家规划及有关政策，经过初步调查
为完成某项开发目标而规划投资、实施政策措施、
组建机构，以及包括其他活动在内的独立的整体。
PPT文档演模板
投资项目评估PowerPointPresentati
2、 内容
（1）具有对土建工程、设备或二者兼而有之的资金 投入；
（2）具有对工程设计、技术方案、监督施工、改善 经营和维修等方面提供服务的能力；
（9）实施计划 n （10) 财务和经济分析
n 可行性研究阶段对项目投资成本和生产成本费用的估 算精度（误差要求）：+（-）10%
n 研究经费占投资总额：1.0%—3.0%（小型项目）， 0.2%—1.0%（大型项目）
n 时间：8—10个月
PPT文档演模板
投资项目评估PowerPointPresentati
n 初步可行性研究阶段对项目投资成本和生产成本费用的 估算精度（误差要求）：+（-）20%
n 研究经费占投资总额：0.25%—1.25%
n 时间：4—6个月
PPT文档演模板
投资项目评估PowerPointPresentati
n 3、 可行性研究阶段（详细可行性研究）[投资决策的 重要基础]
n 根据联合国工业发展组织（UNIDO）编写的《工业可行 性研究编制手册》，研究内容为：
投资分析与投资组合管理ppt课件 (3)
– Assumes normal relationships exist between the yields for bonds in alternative sectors
• Bond swaps
– Involve liquidating a current position and simultaneously buying a different issue in its place with similar attributes but having a chance for improved return
– The immunization techniques attempt to derive a specified rate of return during a given investment horizon regardless of what happens to market interest rates
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2021精选ppt
Immunization Strategies
• Components of Interest Rate Risk
– Price Risk – Coupon Reinvestment Risk
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2021精选ppt
Classical Immunization
• Immunization is neither a simple nor a passive strategy
duration and long duration securities
• Valuation analysis
– The portfolio manager attempts to select bonds based on their intrinsic value
• Bond swaps
– Involve liquidating a current position and simultaneously buying a different issue in its place with similar attributes but having a chance for improved return
– The immunization techniques attempt to derive a specified rate of return during a given investment horizon regardless of what happens to market interest rates
14
2021精选ppt
Immunization Strategies
• Components of Interest Rate Risk
– Price Risk – Coupon Reinvestment Risk
15
2021精选ppt
Classical Immunization
• Immunization is neither a simple nor a passive strategy
duration and long duration securities
• Valuation analysis
– The portfolio manager attempts to select bonds based on their intrinsic value
andValuationofBonds投资分析与投资组合管理.ppt
Promised Yield to Maturity
• Widely used bond yield figure
• Assumes
– Investor holds bond to maturity
– All the bond’s cash flow is reinvested at the
computed yield to maturity
Measures expected rate of return for bond held to maturity
Measures expected rate of return for bond held to first call date
Measures expected rate of return for a bond likely to be sold prior to maturity. It considers specified reinvestment assumptions and an estimated sales price. It can also measure the actual rate of return on a bond during some past period of time.
The Fundamentals of Bond Valuation
• If yield < coupon rate, bond will be priced at a premium to its par value
• If yield > coupon rate, bond will be priced at a discount to its par value
投资组合的绩效评价(ppt42张)
2019/4/4
特雷诺（Treynor）方法
例16－1 基金C的表现要好于基金A，它们的表现都要
好于市场的表现。
R A M C
SML
Rf
B
图16-1 SML线与特雷诺指数
β
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2．夏普（Sharp）方法
夏普指数等于一定评价期内基金投资组合的平均收益 率超过无风险收益率部分与该基金收益率的标准差之 比，计算公式是：
多因素业绩评价模型
（二）四因子模型
Carhart(1997年)在三因子模型的基础上，提出了四 因子模型。他认为，基金收益与基金经理实施一年期 动态策略有关。 模型为：
R a b R M R F S S M B h H M L P P R 1 Y R i t ii t i t i t i ti
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（四）法玛业绩归属模型
法玛将组合的总超额收益率分解为选择回报和风险回 报两部分。选择回报率进一步分解为多样化回报率与 净选择回报率两部分；风险回报率分解为投资者风险 和经理人风险两部分。这样模型为：
RR RR ) ( R R ) p f ( d n i m
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( R R p p m f) p S R S p m p p p
其中，Sp为市场指数的夏普指数。
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各种不同业绩评价指标的相互联系
从这两个表达式可见，我们首先必须找到一些具有较 大α值的股票，并利用它来构造潜在的收益。但是，资 产组合高的α值却被升高的标准差所稀释。在高的α值 股票投资越多，资产组合与市场指数之间的相关R就 越低，于是资产组合业绩的潜在损失也就越大。
投资组合管理ppt课件
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存在无风险证券时的风险厌恶者的最优投资策略：分离性质 分离性质：无论投资者的风险厌恶如何，他们选择相同的风
险资产投资组合
最优资产组合选择过程可以分成两步：
决定最优风险资产组合 依据风险厌恶的程度在无风险资产和风险资产之间配置资本。
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a limited number of portfolios may be sufficient to serve the demands of a wide range of investors, this is the theoretical basis of the mutual fund industry.
假设投资者有一笔资金在现时进行投资，这笔资金要投资一段 特定的时期，即所谓投资者的持有期。在持有期的期末，投资 者将卖掉在期初购买的所有证券，然后将所得收入用于消费或 者再投资。
投资者仅仅根据预期收益率和标准差来进行他们的组合的决策 。这就是说，投资者将估计出每一组合的预期收益率和标准差 ，并基于这两个参数的相对大小来选择“最好的”一个。
风险厌恶也指投资者不会选择fair game，fair game指 预期回报率为0的赌博
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A 资产组合选择问题 3. 效用
Markowitz的资产组合选择问题表述为最大化投资者 末期财富的期望效用
效用财富函数
非满足性=》边际效用为正
U (W ) 0
风险厌恶=》边际效用递减
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A 资产组合选择问题 2. 不满足与风险厌恶(NONSATIATION AND RISK AVERSION)
投资项目管理和经济效益评价-英文版
Also, because the size of investment outlays for A and B are different. By NPV, A is better than B; by IRR (or PVI) B is over A. This case is typical as a conflict raised from decision criteria by NPV or by IRR?
2. A Formal Definition of Capital Budgeting
Capital budgeting is a filed of finance concerned with cost and benefit, and return and risk derived from investment project undertaken by a firm.
Project I0
A
1000
NCF1 1000
NCF2 310
NPV(K=10%) 165.3
IRR NPV(K=20%)
24.8%
48.6
B
1000
200
1200
173.6
20%
0
To answer the question for the case of graph 2, we has to create a differential project (B-A), we regard the difference of B’s NCF and A’NCF in the first year (NCF1B -NCF1A) as I1, which is a negative value (or cash outflow). Also we treated the difference of B’s NCF and A’NCF in the second year (NCF2B -NCF1A) as NCF1, which is a positive value (or cash inflow). Thus the differential project’s NPV and IRR can be shown as follows: