《投资组合目标设定.ppt》由会员分享，可在线阅读，更多相关《投资组合目标设定.ppt（31页珍藏版）》请在三一文库上搜索。
1、第二章 组合目标设定和投资计划书,引言,投资目标是投资过程中最为重要的步骤，也可以作为法律依据 投资目标的三个维度：时间、收益、风险投资必要收益率的三个组成部分 核心是客户对风险收益的要求和资金的使用期限,引言,中国的情况：无对冲手段，克服风险的手段只有Timing 对上市公司深入的了解是克服风险的手段吗？ 融资融券、股指期货的推出对中国股市的影响,引言,洋洋洒洒的招募说明书有用吗？ 招募说明书只需把两件事情说清楚： 投资者面临的最大风险时的情形 影响收益和投资策略的资金使用期限,投资组合管理的过程,1. 投资计划书Policy statement specifies investment g
2、oals and acceptable risk levels should be reviewed periodically经常审视 guides all investment decisions指引所有的投资决策,投资组合管理的过程,2. 研究金融和经济现状并预测未来其趋势 determine strategies to meet goals requires monitoring and updating,投资组合管理的过程,3. 构建投资组合 allocate available funds to minimize investors risks and meet investment
3、 goals,投资组合管理的过程,4. Monitor and update evaluate portfolio performance Monitor investors needs and market conditions revise policy statement as needed modify investment strategy accordingly,投资计划书的必要性,Helps investors understand their own needs, objectives, and investment constraints理解并明确现实投资者的目标和风险水平
4、Sets standards for evaluating portfolio performance评估投资组合绩效的标准 Reduces the possibility of inappropriate behavior on the part of the portfolio manager 保护客户免受pm错误投资和不道德行为的侵害,Constructing A Policy Statement,Questions to be answered: What are the real risks of an adverse financial outcome, especially in
5、 the short run? What probable emotional reactions will I have to an adverse financial outcome? How knowledgeable am I about investments and the financial markets?,Constructing A Policy Statement,What other capital or income sources do I have? How important is this particular portfolio to my overall
6、financial position? What, if any, legal restrictions may affect my investment needs? What, if any, unanticipated consequences of interim fluctuations in portfolio value might affect my investment policy?,投资计划书的要素1 投资目标,Risk Tolerance Absolute or relative percentage return General goals,1 投资目标,Genera
7、l Goals Capital preservation本金的安全性 minimize risk of real loss Capital appreciation资本增值 Growth of the portfolio in real terms to meet future need Current income当前收入 Focus is in generating income rather than capital gains,Investment Objectives,General Goals Total return总收益率 Increase portfolio value by
8、 capital gains and by reinvesting current income Maintain moderate risk exposure,2 投资限制,Liquidity needs流动性 Vary between investors depending upon age, employment, tax status, etc. Time horizon时间限制 Influences liquidity needs and risk tolerance,2 投资限制,Tax concerns税收考虑 Capital gains or losses taxed diff
9、erently from income Unrealized capital gain reflect price appreciation of currently held assets that have not yet been sold Realized capital gain when the asset has been sold at a profit Trade-off between taxes and diversification tax consequences of selling company stock for diversification purpose
10、s,3 法律和监管因素,Limitations or penalties on withdrawals Fiduciary responsibilities - “prudent man” rule Investment laws prohibit insider trading,5 特殊要求,Personal preferences such as socially conscious investments could influence investment choice Time constraints or lack of expertise for managing the por
11、tfolio may require professional management Large investment in employers stock may require consideration of diversification needs Institutional investors needs,制定投资计划书-总结,Objectives - risk and return Constraints - liquidity, time horizon, tax factors, legal and regulatory constraints, and unique nee
12、ds and preferences Developing a plan depends on understanding the relationship between risk and return and the the importance of diversification,资产配置的重要性The Importance of Asset Allocation,An investment strategy is based on four decisions四个决策 What asset classes to consider for investment什么样的资产类别可以进行投
13、资 What normal or policy weights to assign to each eligible class权重如何 Determining the allowable allocation ranges based on policy weights资产配置比例范围 What specific securities to purchase for the portfolio应该买入哪些证券,The Importance of Asset Allocation,According to research studies, most (85% to 95%) of the o
14、verall investment return is due to the first two decisions, not the selection of individual investments,投资组合的目标 四项基本目标: (1)保本 (2)收益 (3)收益增长 (4)资本增值（成长）,传统的投资组合目标 保本:重点在于保持基金的“初始”本金价值.通常受益人不能容忍任何本金损失. 当投资组合目标是保本时,适当的投资工具包括银行大额存单和其他货币市场工具. 例面额为10，000美圆一年期银行大额存单年息为5%。任何时候不能以低于“初始”本金的价格出售。,传统的投资组合目标 收益:
15、收益目标与保本目标不同,收益目标并没有强行规定本金价值不能定期下降.但国债可以挂牌交易,且对利率敏感.如果一般利率水平提高,债券价值就下跌.在账面上,基金会产生损失. 如果将它们持有到到期日,本利收回就会使账面损失消失;但如果债券持有人认为必须在到期日前卖出就很容易造成损失.,传统的投资组合目标 收益:收益型基金目标主要从固定收益证券和普通股股息中获得收益。 例新发行的五年期国债的利息率为6%，假定基金经理以面值买进10，000美圆，每年可获得600美圆利息，比银行大额存单多获100美圆，这就是收益。,传统的投资组合目标 收益增长 (income growth)：这个目标通常是指减少最初的收益
16、支付,但支付会随着时间而增长并最终超过收益目标的支付水平。以收益增长作为主要目标的基金经常要求收益的年增长率至少等于通胀率.,14,12,10,价值100,000美元的初始投资 GOI:B收益率8%,收益增长率4%, A收益:收益率10%,B组合:收益增长目标,A组合:收益目标,传统的投资组合目标 资本增值(capital appreciation)：如果基金经理拥有这样的投资组合,他们对资本价值持续增长比对从中获得额外收益更感兴趣. 他们的目标就是看政府对利息和股利是否立即征税,资本利得则要在实现后才征税.这意味着除非这确实需要这笔收益,否则1美元的资本利得就大于1美元的现金收益. 未实现的
17、资本利得比现金收益更有价值。,传统的投资组合目标 如果投资目标是保本,可以通过投资市政债券共同基金来获得免税收益. 对以收益作为目标的投资组合来说，直接投资市政债券是适当的。 对收益增长目标，同时投资市政债和普通股也是必要的。 对寻求从投资组合中获得资本增值的投资者来说,期望其投资组合也产生免税收益是不现实的.,传统的投资组合目标,保本,收益,资本增值,收益增长,(1),(2),(3),(4),(5),(6),(1)银行大额存单、国库券 (2)中期政府债券 (3)长期政府债券 (4)长期公司债券 (5)大公司股票 (6)小公司股票,标准差,收益,传统的投资组合目标 图中显于了四种基本目标的相对风险.保本和收益比收益增长和资本增值更为安全.因为后两者都要求投资股票. 资本增值目标有风险/预期收益范围较大的特点.高值的投资组合显然风险更大,但在长期中,它们产生的收益更高.,