Www 2ndmortgagemtgmortgage Tag This 2nd Mortgage Mortgage CFA 学习笔记 – L1 at 收藏家 J‘s Collection

Portfolio Variance/Standard Deviation 3部分
1.Weights of the assets in the portfolio
2.Standard deviation of each asset
3.each pairwise combination of assets

Markowitz and Efficient Frontier
EF:tradeoff graph between expected return and total risk measured by standard deviation
简单的曲线，表达intersection between potential reward and the corresponding level of risk for each individual investor.

Development of the efficient Frontier
Markowitz推导出，可以same level of risk and higher rates of return或者同样的回报更低的风险，通过多元化来分散风险。correlation coefficient 越低(越接近-1)，benefits of diversification 越大。

Asset Pricing Models
Capital Market Theory 8 假设
1.投资者是Markowitz efficient investors
2.投资者可以用Rf借和贷
3.投资者预期一致
4.所有投资者有一样的investment horizon
5.所有investments可以无限分割
6.tax和transactions costs不存在
7.没有inflation或者完全预期的通货膨胀
8.资本市场equilibrium

从MPT到CMT
Markowitz的EF不考虑risk-free asset的存在
additional risk-free asset 把EF从曲线改成了直线（Capital Market Line）
Sharpe 说所有的证券都有某些相同的基本点

Risk-Free Asset
1.从MPT到CMT的主要因素是 RFA
2.RFA有zero-variance ,所以跟其他risk资产有zero correlation

Capital Market Line CML
1.直线，通过Rf和ef相交代表最佳风险组合
2.CML上的点是风险资产，Market portfolio和无风险资产的组合
3.为满足投资者需要，可以调整组合
4.由于投资者取向一致，M一定是market portfolio
4.M是completely diversified
Total risk = Systematic Risk +  Unsystematic Risk
SR, market risk，投资者的return/premium 是由SR决定
USR:unique risk, residual risk specific risk or diversified risk, MPT理论说USR可以通过分散风险变成0风险的Market portfolio

Capital Asset Pricing Method
单一资产用Beta衡量SR，跟Markowitz理论不同，他管total risk
Beta衡量the asset’s sensitivity to movements in the market portfolio, 是单一资产跟Market portfolio 的covariiance
β>1, 大于系统风险。 <1, 小于系统风险。=1，等于系统风险

Securities Market Line (SML)
用Beta替换total risk, E(R)= RFR + Beta[E(Rmkt)-RFR]
Overpriced stock点在SML下方
underprice在SML上方

Expected Return = (P1-P0+D1) /P0
Required Return =RFR + Beta[E(Rmkt)-RFR]

SML假设
1.CML会更steeper，因为不可能借到Rf的钱
2.交易成本和税，导致是一个band不是一条线
3.一致性，投资者不可能一致性导致一个band不是一条线

The Asset Allocation Dicision

Portfolio Management Process
1.Investment policy statement- road map
2.Investment stratagy -审视当前的金融和经济状况，预测未来趋势
3.Implementation – Portfolio construction
4.Monitor and rebalance -持续观察投资者需求和市场状况

Policy statement
确认客户目标和局限，provide discipline for investment process, reduce possibility for making ad hoc decisions,create a standard to judge performance of the portfolio manager.
Two objectives.
1.risk tolerance : 心理学，personal factors, age, family situation, existing wealth and income expectations
2.Return objectives: Capital preservation – minimize risk of loss, Capital appreciation – real growth , Current income – focus on income , Total income -capital gains + reinvesting curreent income.

Risk is defined before the return.

5 investment constrainst
1.time horizon
2.Liquidity needs
3.Taxes, marginal tax rate, longterm gains, current income, estate taxes, 需考虑tax的影响.
4.Legal/regulatory
5.Unique needs

Asset allocation重点
1.90%的组合收益是目标资产的收益
2.Asset classes 解释回报
3.difficult to improve returns with market timing

文化差异，人口年龄， 通货膨胀，组合权重约束，养老金

Risk Aversion
回报一样，投资者偏向低风险的资产组合，证据：买保险，债券评级
风险衡量：用variance 和 standard deviation, 还有用range 和semi-variance，可以用expectation和historical data计算variance

Markowitz and Investor Behavior
Required Inputs for Markowitz Portfolio Optimization
1.Expected retuin
2.Standard deviation
4.Correlation

PI , Profitablility Index = (PV of future cash flows)/ CF0= 1+(NPV/CF0)
Decision Rule , if independent, 选 PI >1 ； 如果不互相独立，选PI最大的

NPV vs IRR

独立项目，都可以用，都一样
非独立项目，2者可能不一致。
因为1.inconsistent reinvestment rate assumption, 2.Multiple rate of return
不同时期的cash flows，NPV默认同一个reinvestment rate，但IRR不默认

NPV和IRR的优势 ：
NPV理论上更好
IRR用百分比来衡量比较直观，还可以show margin of safety

欧洲喜欢用PBP
大公司喜欢用Discounted CF
私有公司喜欢PBP，上市公司用DCF
管理层教育程度高，喜欢用DCF

NPV和股价：NPV是净现金流，可以除以股份得到每股增加值

Cost of Capital :
WACC weighted average cost of capital in capital budgeting
based on the target or optimal capital structure
the weights are based on market values not book values
may adjust for trends (比如, debt 增加)
may use industry average capital structure as target capital structure

Raising and Spending Capital ,两个部门两个不同的决策 ，WACC is the cost of financing the firm’s assets, the average risk of the firm is represented by WACC(firm 会希望根据discount rate来调整风险)

WACC成分,  Cost of debt,Cost of preferred stock,Cost of common stock

3 Steps to computing WACC  利息在税前扣除用Kd(1-tax rate)，优先股和普通股股利在税后支付不需调整
1.After – tax cost of debt = Kd(1-t),  用YTM(Yield to Maturity,用price, coupon rate, period算)估计Kd .   Bond rating approach, 用yield curve估计YTM
2.Cost of Preferred Stock , Kps=Dps/P    Ds, preferred dividends, P = price
Zero growth DDM, P= D/k
3.Cost of common Equity, CAPM , Bd yld + risk Premium & DCF
CAPM ,Kce = RFR + (Rmarket – RFR)/beta
Bond Yield Plus Risk Premium Kce= bond yield+ risk premium
DCF, P0=D1/(k-g), Kce=(D1/P0)+g
3个加权平均

Marginal Capital
Risk may increase(borrowing more)

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