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CFA三级基础班讲义SS11-12 Equity Investments & SS13 Alternati

CFA三级基础班讲义SS11-12 Equity Investments & SS13 Alternative Investments–pdf下载

1. The role of the equity portfolio
Equities are a substantial portion of the investment universe, and US
equity typically constitutes about half of the world equities.
In the US, institutional investors hold about 60 % of their portfolio in
equities. In Europe, the percentage is closer to 20%.
US and in other countries indicates that equities have been a good inflation
hedge.
There are some important qualifiers, however.
First, because corporate income and capital gains tax rates are not
indexed to inflation, inflation can reduce the stock investor’s return,
unless this effect was priced into the stock when the investor bought it.
Second, the ability of an individual stock to hedge inflation will depend
on its industry and competitive position. The greater the competition,
the less likely the firm will be able to pass inflation on to its consumers,
and its stock will be a less effective hedge·
Examined the historical record in 17 countries from 1900—2005, equities
have had consistently positive real returns. Equities have also had higher
real returns than bonds in all 17 countries.

3. Passive equity investing
Index vs. weighting
There are 3 weighting choices:
Price weighted;
Value weighted; and
Equal weighted.
Price weighted
Each stock in the index is weighted according to its absolute share
price;
The performance of index represents the performance of a portfolio
that simply bought and held one share of each index component.
It is biased towards the highest-priced share.

3. Passive equity investing
Value weighted
Each stock is weighted according to its market cap;
the performance of a portfolio that owns all the outstanding shares of
each index component.
Float-weighted
Involves adjustment of market cap weights for each issue’s
floating supply of shares – the shares outstanding that are
actually available to investors;
The performance of portfolio that busy and holds all the shares of
index component available for trading;
It’s the gold benchmark;
It is biased towards the shares with the largest market capitalizations,
large and mature companies or overvalued companies.
A value weighted index may be:
Concentrated on relatively few issues and;
Less diversified


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