我必须写下答案 I have to write in the answer.
好吧 OK,
谢谢你 thank you.
没有问题 No problem.
但我们可能会开始 But we might get under way.
然后呢 And?
等我们结束的时候 我会再多说一点测验的内容 I'll talk about the quiz a bit more when we get to the end.
所以我试着整理一下 So I was trying to get organized.
今天我们要进入一个新的领域 So we're moving on to new territory today.
我说的是风险和回报 I'm talking about risk and return.
所以 so.
很多材料 A lot of the material.
我想你们很多人会直观地理解这个领域 I think a lot of you will understand intuitively areas of this,
所以我们要做的就是给你们一些相关的理论背景 and so what we're trying to do is give you some of the theory background to this.
直觉的理解 我们很多人已经有了 Intuitive understanding that a lot of us have already so.
其中一件事是 One of the things is,
不要把你所有的财富都投资在一项资产上 don't put all your wealth into a single asset.
由 By that,
不要把所有的鸡蛋都放在篮子里 以防你把它掉在地上 你会把所有的鸡蛋都打破 don't put all your eggs in the basket in case you drop it and you'll break all your eggs.
或者你知道这个 or you know this.
我们不会把所有的钱都投资在一种酸上 This sort of common idea that we won't invest all of our money into one single acid.
这就是所谓的分散化 And the idea of that is this little thing called diversification.
多元化很简单 And diversification is simply.
将你的意愿分散在不同的选择中或者在一个典型的例子中 你的财富的一部分可能是家庭住宅 Spreading your will amongst different alternative or in a classic example of one part of your wealth could be the family home.
那 那只是你的一小部分意愿 还有很多人 That's that's a small part of your will and a lot of people.
这是遗嘱的重要部分 It's a major part of the will.
其余的都是在苦苦挣扎的人们身上打印出来的 The rest of it is typed up in struggling people.
养老基金我们可以有一艘船会生病 Superannuation Funds we could have a ship would fall ill.
我们可能有一些艺术品 We might have some artworks,
但我们正在分散 but we're spreading out.
所以 So,
为了达到这个目的 in order to get so.
今天我们要讲的是分散化的概念以及我们作为理性投资者应该怎么做 The whole thing about today is to get back to this idea of diversification and how we do it as a rational investor.
为了达到这个目的 To get to that point,
我得从头说起 I've gotta go back to the beginning.
开始谈论回报 And start talking about return,
如何计算 how to calculate,
回报和风险 return and talking about risk,
我们如何计算风险 然后继续 how we calculate risk and then moving on so?
这对它很重要 It's important to it.
我知道我们如何计算消息的预期回报 I understand how we calculate the expected return on the message.
我们还需要明白 我的实际回报超过了通货膨胀率 We also need to understand that I real return our returns in excess of the inflation rate,
换句话说 in other words,
他们将返回不包括通货膨胀 they will return does not include inflation.
所以当我们讨论实际回报时 So when we're talking about a real return,
我们讨论的是资产或投资的回报 we're talking about the return on an asset or investment.
某种形式的 Some sort of.
财富最大化或面积和回报有两个组成部分一个是通胀 Wealth maximisation or area and the return has two components an inflation component,
然后这个会返回 and then this will return.
名义回报是指我们在市场上观察到的或在市场上获得的回报 A nominal return are those that we observed in the market or acquired in the market,
它们还包括通货膨胀的因素 and they include a component for inflation.
所以知道这一点很重要 So it's just important to know.
但当我们看回报时 它自动假设回报涵盖了经济中的通胀因素 but when we're looking at returns that it's automatically assumed that returns cover the inflation element in the economy,
因此 therefore,
如果通胀上升 if inflation is going to increase,
但在一些国家 but there are concerns about that in some countries,
然后 then.
在利率上升以应对通货膨胀的时候 这是很有可能的 It's likely while interest rates will go up to cover the inflation.
计算回报的最简单方法 The simplest way to calculate return.
看看我们的价格和销售价格之间的差异 Is looking the difference between our by price and sale price,
另外 Plus,
任何收入 现金流在这段时间内收到的副产品 any income Cash flow were received during that time over the byproduct.
我们可以用概率 We could use probabilities,
所以这里的符号和夏天一起歌唱 so the sigma the sign here then sing with the summer.
每个概率乘以 each of the individual probabilities times,
每个人返回 each of the individual returns,
添加它们 adding them.
我们不能用金钱的时间价值来研究股利模型股利 We couldn't use time value of money practices where we look at the dividend model dividend,
它在回报上是常数 where it's constant over the return.
我们可以用内部收益率计算 We could use an internal rate of return calculation,
但我们可以考虑现值 but we could look at the present value,
未来价值和计算 future value and calculating on.
有很多方法可以计算投资回报 So there are a large number of ways that we can calculate return as an investment.
啊 Ah.
下一张幻灯片上有她的盘子 Her plates on the next slide.
风险更高的资产回报更高 The riskier assets off a higher return,
所以回报就越高 so the higher the return is regarded.
如果你喜欢 If you like,
作为承担资产风险的补偿 as the compensation for bearing the risk of the asset.
那我应该在开始的时候提一下 Then I should probably mention at the start,
但会做一些事情 所以我想继续擤鼻涕 but will do things so I wanted to keep blowing my nose.
我现在发高烧了 I've got a bad bout of high fever or something at the moment,
现在我需要谈谈我真正想说的 and also now I need to talk about what I really want to say.
这东西叫酸吗 Is this thing called an acid.
在这一主题 In this topic,
我们可以谈谈资产 we could talk about an asset.
我们可以谈谈投资 We could talk about an investment.
我们可以谈谈安保 We could talk about a security.
我们甚至可以谈谈股份 we might even talk about a share.
改天再说 For some other time.
的地方 Place.
我们可以把钱放在那里 产生一些未来的回报 Where we can put our money and generate some future returns,
它甚至可以是财产 可以是艺术品 可以是陪审团 it could even be property could be artworks it could be jury.
但这都是酸投资的一部分 But that's all part of this acid investing.
所以风险和回报是正相关的 So there's a positive relationship between risk and return.
资产 Assets,
提供更高的回报也有更高的风险 offering higher returns also have a higher risk.
所以我们需要一些基准 So we need some sort of benchmark.
在我讨论下一个股票点之前 Before I get into this next stock point,
我们需要一些基准来确定什么是可接受的回报 we need some sort of benchmark as what is an acceptable return.
毫无理由 For no reason.
现在 Now.
在许多 In lots.
的经济体 Of economies,
我们将关注政府债务的回报 we will regard the return on government debt.
正如无风险所写 As the risk free written,
原因是 the reason being is,
政府可以提高税收来偿还债务 the government can raise taxes to pay back its debt,
因此澳大利亚政府债务的回报 and so the return on government debt in Australia,
在U in the U.
欧洲是无风险回报的近似值 S Europe is an approximation for a risk free return.
所以 So.
这代表了我们经济中最低的回报率 This then represents in our economy the lowest rate of return,
合理的百世木可投资 a rationally bestwood investable.
所以 So.
它为最低水平设定了基准 It sets the benchmark for the lowest.
权利的回报表明 理性的投资者会将资金投入其中 Right of return that rational investors will invest the funds it.
所以 So.
那是因为我要搬家了 抱歉 That's because I'm going to move sorry.
风险回报和特定风险资产或投资回报之间的差异被称为酸的风险溢价 The difference between the risk return and a return on a particular risky asset or investment is called the risk premium of the acid.
所以风险溢价是投资风险较高证券的动机 So this risk premium is the incentive to invest in riskier securities.
没有理性 No rational,
这一点非常重要 and this is very important,
理性的投资者 rational investor,
我们说的是这些投资者分析过的 we are talking here that these investors analyzed.
投资分析了股票 the investment analyzed the shares,
的股票 the stocks,
它是什么 what it is,
然后他们会理性地决定是否投资 and then they make a rational decision on whether to invest or not.
因此 理性的投资者不会投资于风险资产 除非它能提供高于风险的回报 And so no rational investor would invest in a risky asset unless it offered a higher return than the risk.
免费的安全 Free security.
所以 So.
由此我们得到了投资者规避风险的基本信号 From that we have this basic sign that investors are risk averse,
给予具有相同回报的投资 given to investments with the same return,
他们喜欢风险小的投资 they prefer the investment with less risk.
回到这个简单的图 So I'll get back to this simple diagram.
我们这样说 We say that,
给定这三种证券的选择 given the choice of these three securities,
对于同样的风险水平 唯一的投资将是一项福利 the only investment would be a boon for the same level of risk.
我有更大的回报 I has a greater return.
对于同样水平的回报 For the same level of return,
我的风险比C低得多 I has a much lower risk level than C,
所以这是不合理的 so it would be irrational.
留意一下大城市的投资 Give an eye to invest in bigger cities.
我希望每个人都能看到 I hope everyone could see that,
这就是基本原则 and that is the underlying principle.
所有的吗 All of?
他们有更高的风险和更低的回报 Financing that they had higher risks and lower return.
尽管如此 Still,
我们不会投资 we wouldn't invest in.
总是以最低的风险换取最高的可能回报 Always invest at the highest possible return for the lowest level of risk.
现在 Now,
如果我们不想冒险 if we want no risk,
会有 there will be.
某种回报 Some sort of return,
目前可能在澳大利亚 probably in Australia at the moment.
我想基准利率大概是1点5 I think it's about point five is a benchmark rate.
一些国家 Some countries,
这是消极的 it's negative.
所以有了投资 我们会在我们的主题中回到这一点 So with an investment and we're gonna come back to this throughout our subject.
每种资产都有两种风险 There are two types of risk for each individual asset.
有一种资产的独特风险我们将其分类为资产或想法的可分散风险特殊的或非系统性的 There's the unique risk of the asset which we class as the diversifiable risk of the asset or idea sitting idiosyncratic or unsystematic.
然后是系统风险或不可分散风险的投资组合或市场相关风险 Then there is the systematic risk or non diversifiable risk for portfolio or market related risk.
所以 so.
与每个资产 With each asset,
最后我们会讲到两个部分 there is two components that we're going to get to at the end.
这个想法是 资产的独特风险 And so the idea is that the unique risk of the asset,
管理行业资产的类型它有市场服务于这类问题 这是我们应该努力消除的夜晚通过多样化 但生病了 the type of industry assets in the management it has the market serving those sorts of issues is what we should be trying to eliminate night by diversifying but fall ill.
因为财产有一种风险艺术品有另一种风险陪审团有另一种风险 As a property has one type of risk artworks of another type of risk jury has a different type of risk,
所以我们要看所有这些东西 but so we're looking at all of those things.
因此 风险可以被看作是未来回报的可变性或不确定性 So risk may be regarded as the variability or uncertainty of future returns.
方差和标准偏差是最常用的风险度量 The variance and standard deviation are the most commonly used measures of risk.
方差就计算出来了 So the variance is calculated.
平方等于1除以T Sigma Squared is equal to one divided by T,
-1次 minus one times.
这可怕的事 This horrible thing.
在那里 Where,
平均每天一次是多少 once a day is the average return?
这是平均收益 So this is the average return.
收益方差为零的资产称为无风险资产 An asset whose returned variance is zero is called the risk free asset.
对于政府债务 So for government debt,
上帝是零风险的吗 will God as having a zero risk?
海伦 Helen?
标准差是方差的平方根 The standard deviation is the square root of the variance,
所以方差可以是一个很大的数字 so the variance can be a very large number,
标准差 so the standard deviation.
但它将其标准化为百分制 but it standardizes it into a percentage measure.
所以回报的分布是这样描述的 So the distribution of returns is described,
它可能的价值以及实现这些价值的可能性 its possible values and the possibility to attain these values.
从回报的分配来看 From this distribution of return,
这基本上是一个图表 so it's basically a diagrams.
得到一个图 Get a diagram.
如果你喜欢 if you like,
所有可能的投资回报中 of all the possible returns of an investment,
然后假设它是正态分布 and then if we assume it is a normal distribution will normally distributed.
而其分布可以用男性的期望值和标准差的方差来描述 And their distribution can be described by the men were expected value and the variance of standard deviation.
那么X Then the probability that X,
回报率在平均值的两个标准差范围内 the return lies within two standard deviations of the average,
是通知 is notified.
我们得到了这个 And so we have this.
钟形曲线的概念是这样的吗 Idea of the bell shaped curve so?
让我试着回到我们在这整张幻灯片中想要说的 Let me try and get back to what we're trying to say in this whole slide here.
在金融领域 In finance.
我们看看标准差 We'll look at standard deviation.
和月亮的平均值这两个重要的因素来衡量资产的风险 And the average of the moon for the two important elements to look at risk of an asset.
所以主值或期望值是你期望的平均收入 so the main or expected value is the average you would expect to earn on average,
将这笔投资持有数年 holding that investment for a number of years.
这是我们的预期收益 This would be our expected return.
有时会很高 Sometimes it's gonna be high.
有时候你得放低点 Sometimes you gotta be lower.
但平均来说 But on average,
你会期望赚到钱 you're going to expect to earn.
第二部分是方差 The second part is the variance,
一个标准差 one standard deviation.
更重要的是 More importantly.
标准差是正态分布 When looking at the standard deviation and assuming a normal distribution.
我们可以用95%的信心系数来保证我的返回值在X和Y之间 We can assure ourselves with this ninety five percent confidence factor that I'll return will be between X and Y.
如果你喜欢 if you like.
所以 So.
让我们假设你的平均或预期回报率是10% Let's assume that your average or expected return is ten percent.
然后得到1%的标准差 Then you've got a one per cent standard deviation.
有95%的信心 With ninety five percent confidence,
我可以说 我将在8到12岁之间通过投资获得收益 I could say that I am going to earn with that investment between eight and twelve,
苹果两边都有三个标准差 the same three standard deviations either side of the Apple.
这就是为什么标准差很重要 So this is why standard deviation is important.
它非常确定地告诉我可能的收益范围 It shows me the range of possible returns with a great certainty.
所以你没有错 So you just are not wrong.
如果我在寻找一项投资来计算它们涉及的实际风险 So if I was looking for an investment to calculate the actual risk they involve.
是的 Yeah,
这是一种你会用到的公式 it is a kind of the formula you would use,
或者我不是奥地利人 or I'm not an Austrian,
只是方差的平方根 but it's simply the square root of the variance would give you that idea.
但是但是已经离开了 but but but had left.
回到上一张幻灯片 Goes back to the previous slide.
的总风险 That's total risk.
它包括独特风险和市场相关风险 it includes the unique risk and the market related risks.
我们稍后会说 OK And so what we're going to say later on is OK.
你可能会有完全的风险 You can have total risk.
标准差 Standard deviation.
什么是理性投资者 What is a rational investor?
你吗 You?
你需要分散风险 You need to spread your risk,
你不能只看一种资产和我能拥有什么 因为我可以拥有高风险的资产 you just don't look at the one asset and what I can have as I can have very high risk assets.
有大量的独特风险 而这些风险我并不希望出现在我的初始投资组合中 With huge amounts of unique risk that I don't necessarily want to have in my starting portfolio.
但我要看的是 我添加的每一项资产对我投资组合的总体风险和预期回报的贡献 But what I'll be looking at is how each asset that I add contributes to the overall risk of my portfolio and my expected return.
但这就是这就是我们想说的 But that's that's what we're trying to get to say.
有没有一个公式可以量化单身约翰刚结婚的风险 Is there a formula to quantify that risk for unique John's just married.
假设我们要去买一件皮大衣 Let's say we're going to get to a parka,
但我们不会在这门课上接受测试 but we won't be tested in this subject.
但我知道接下来我们想知道的事 but I got the next thing we want to know.
这在概要中并没有提到 This wasn't originally given in the recaps lines.
我放进去是因为我觉得它很重要 I've put it in because I think it's important.
我说的是市场效率 I'm talking about market efficiency,
如果有人能比你赚更多的钱你为什么还要投资市场呢 so why would you invest in a market if some people can make extra profits than you can?
市场效率的概念是 给定一种弱形式的效率 So the idea of market efficiency is that given a weak form of efficiency,
这是市场效率的最低水平 and so that's the lowest level of market efficiency,
无限危机反映信息 infinite crisis reflect information.
基本上 Basically,
通过过度关注这些年来的趋势 by looking at trends overly over the years,
这就像一个趋势分析 如果你在市场上涨的时候买东西 so it's like a trend analysis looking for one thing if you buy when the markets are going up,
尽管如此 still,
随着市场的下跌 with the markets going down,
你可以看看过去的趋势 看看这将如何发生 you look at the past trend to see how that's going to happen.
我的评价很差 I'm very poor form of evaluation,
不是很复杂的 not very sophisticated.
这意味着市场上的人会做出超级承诺 So it does mean that people in that market will make super promise.
不只是知道利润分配的超级力量 Not just know a profit split super power.
所以强形式有效表示所有的公共信息 So a strong form efficient says that all public information.
不是私下里受到股价的影响 Not privately inside is impacted in the share price,
所以分析师们会分析投资份额或者其他我们所关注的东西来找出他们的天赋 so analysts will be analyzing the shares of the investments or whatever we're looking at to work out where their gifts.
和整体吗 And the overall?
正确的价格吗 Correctly priced?
因为我们相信外面有很多人 Because we believe that there is a large number of people out there,
提供服务 providing services too.
一个不断分析的客户 A clientele that are constantly analyzing.
公司业绩 Company performance.
用来判断某项投资是否值得的信息 Information that's out there to work to work out whether something is a worthwhile investment or not.
一个有价值的投资 a worthwhile investment.
你经常看到人们说最好的股票选择 You often see people saying the best stock picks,
等 etc.
无论什么 Whatever.
半强效率的问题是有一个私人信息 The problem with the semi strong efficiency is that there is a private information that so,
如果人们利用自己的私人信息进行交易 if people were to trade on their private information,
这意味着市场上有很多人 it means is a whole lot of people out there in the market,
但是不要这样 but don't have this.
所以这是可能的 and so it's possible.
但价格并没有反映出它的真正价值 But the price is not reflecting its true value.
所以 And so.
这对我们来说是个问题 Is this is a bit of an issue for us,
随着投资者吗 as investors?
然后是强效率 And then there's the strong from efficient,
也就是说 所有信息 which says that all information,
无论是公共的还是私人的 both public and private,
反映 is reflected.
如果你喜欢 If you like.
牧羊人 In the shepherds.
然后呢 And?
这是非常高的 This is a very high.
市场效率水平 The level of market efficiency,
顺便说一下 by the way,
这意味着唯一的原因 唯一的原因在半强的和强的形式的视觉是信息变得可用 it means that the only reason the only reason in the semi strong and the strong form of vision is information becomes available.
在中间的那个 In the middle one,
新的公共信息可以获得 价格会迅速做出反应 改变这种方式 new public information becomes available and the price reacts quickly to change the way.
投资价格反映了这一点 the price of the investment to reflect that.
在半强形式中 In the semi strong form,
所有信息 all information,
无论是私人的还是公共的 both private and public,
一旦有了新的信息 as soon as new information becomes available,
都反映在股价上 is reflected in the share price.
我们会说澳大利亚 We would say the Australia,
美国和欧洲经济体 American and European economies,
我们处在半强之间 we are in between the semi strong.
接近高效的强形式 Approaching the strong form of efficient,
主要是因为这是违法的 mainly because it's illegal.
在这些国家就私人信息采取行动 To act in these countries on private information.
这是什么意思 So that what that does mean?
在股票价格中 股票价格是所有与股票相关的信息的公平价格人们将从投资中获得公平回报 In the share price is that the share price is a fair price for all of the information related to that share that people will earn a fair return from investing in that.
这是一种股票 that's a stock that share.
现在每个人都有权获得公平的回报或利润 Now everybody is entitled to make a fair return or fair profit,
考虑到风险 given the risk.
而且对人们来说 产生存取问题是不寻常的 And it is unusual for people to make access problems.
因此我们感到羞愧的是 市场是半强有效的 So we are shamed markets are in the semi strong form efficient,
我马上要对这个进行说明 and I've got to qualify this in a minute.
每个人都是赚正常利润的小伙子 Everybody is the lad to earn normal profits,
不是医学博士 not Md.
它的意思是金融证券 It means financial securities.
无论你是专家还是新手 If you're an expert or a novice.
如果你要买金融证券 If you are to buy a financial security,
就现有的信息而言 它的价格是合理的 it's fairly priced for the information available.
当澳大利亚有新信息时 价格会发生变化 Prices will change when new information becomes available in Australia.
如果一家公司掌握了会改变其股价的信息 if a company has information that will change its share price,
它是 it is.
一旦信息变得可用 它就必须进入市场 It has to in for the market as soon as that information becomes available.
这是根据股票市场的规则 That's according to the stock market rules.
然而 However.
一些公司蓬勃发展 Some companies have boomed.
有一点慢 谁拿了线 或者我们认为它不会有影响 A bit slow who took the line or we didn't think it would have the impact.
所以它有一些问题 So there is some problems with it.
它的意思是 股票价格遵循我们在金融中所说的 What it does mean is that share prices follow what we call in finance,
一个随机的 a random.
所以 So.
这对你来说意味着什么 What does this mean to you?
这意味着股价将以随机模式向前移动 It means that share prices will move going forward in a random pattern.
它改变股价的唯一原因 The only reason for it to change the share price,
也就是说 他的新信息对该公司或行业来说是可用的 that is his new information becomes available specific to that company or industry.
它可以是经济的 也可以是全球性的 It could be economy while it could be global.
所以随机游走理论认为这是最好的战争 So the random walk theory says the best in the kind of war.
今天下午的价格是今天上午的价格 This afternoon's price is this morning's price.
只有在新信息可用时才会更改 Only changes if new information becomes available,
但是全球市场的信息 but that information where the global market,
所以这可能是发生在世界任何地方的信息 可能会影响我们的经济 市场或自身的个体复制品 so that could be information happening anywhere in the world that could impact upon our economy or the market or the individual copies of itself.
所以 So.
会回来吗 Going back?
我们必须穿半高效率的鞋子 We have to wear shoes semi strong efficient.
我们确信 只有当有新信息可用时 它们的价格才会发生变化 而且只有变化才会产生新信息 We're sure that they're fairly priced only changes when new information becomes available and only changes did a new information.
然而 However.
人们说 People say well,
关于什么 what about?
他叫什么名字 What's his name,
不是非典 not SARS?
他叫什么名字 What's his name?
沃伦 巴菲特(WarrenBuffett) Warren Buffett?
好 Well.
沃伦 巴菲特(WarrenBuffett) Warren Buffett,
不幸的是 unfortunately,
幸运的是 or fortunately,
已经活了很久了 has been living a long life.
沃伦·巴菲特有一个 The Warren Buffett has a very,
非常基本的市场观点 very basic view of market.
首先 First off,
他有好几条路线 he has several route with.
他的主要原则之一是 One of his major rules is.
他只买股票 He only buys shares.
他没有那么多男孩分享 He doesn't so so many boys shares.
他永远都买 He buys them forever.
我知道他最近卖掉了一些 Now I know he has sold some recently,
但他把钱给了 but he gave the money to.
我想是贝琳达·盖茨 I think it was the Belinda Gates.
信任 Trust.
这样他们就可以购买疫苗 为欠发达国家提供疫苗 这有点慈善的意思 So that they could buy vaccines and stopped for less developed countries are a bit of philanthropy.
的屁股 Butt.
沃伦 巴菲特(WarrenBuffett) Warren Buffett,
他买入并持有 he's a buy and hold.
所以他买进股票并持有 不想卖出 so he buys shares and hold them and doesnt want to sell them.
第二 他只买公司的股票 The second thing is he only buys in companies.
对于人们需要的行业 For industries that people need,
我们都需要吃食品公司里的虫子 we all need to eat the bugs in food companies.
在美国 In America.
我有一家私人发电公司 I have a private power generation companies.
每个人都需要力量 everyone needs power.
发电行业的男孩们 The boys in power generation.
他买进基础公司的股票 He buys in basic companies,
每个人都需要他们的产品 companies that everybody needs to use that their products.
他没有参与互联网的繁荣 因为他不明白这一点 He didn't take part in the dotcom boom because he didn't understand that,
他说 he said,
如果所有这些价格都来了 were all these price is coming,
没有生产或销售任何东西 Nothing's being manufactured or sold.
你越早进去 人们就越不需要它 People don't need it the early you'll go in later on.
但是汽油买了一些 But the gas bought some,
但这只是因为他们现在已经建立了自己的地位 成为了一个人人都在使用的平台 but only because they are now established themselves and become a platform that everybody uses.
所以 So.
已经说过 Having said that,
你有什么问题要问吗 was there any questions you want to ask?
我并不是说 当我们在美国寻找工作时 我们经常在世界各地寻找工作 I'm not saying when jobs in America we seek what often and around the world.
沃伦·巴菲特可能会说他买了一家公司的股票 Warren Buffet might say he's bought shares in a company.
我还会邀请很多人加入因为我相信乔治 And I'll have a lot of other people forward because I believe with George,
这将是一个伟大的决定 it's gonna make a great decision.
我不会做错任何事的 I can't do any wrong.
现在他们依靠他过去的表现 Now they're relying on his past performance,
如果你仔细看 and if you look at it,
他犯了一些错误 he has made some mistakes.
不总是正确的 Not always.
但他在市场上并不总是姗姗来迟 But he has not always late in the market.
但一旦他购买并宣布它成为一种满足 but as soon as he buys and announces that it becomes a fulfilling,
与其他所有人匹配的人开始买入股票 a fit with everybody else starts following a buying shares.
为什么 Why?
他们为什么要这么做 why should they do that?
就因为你买了一些股票 Just because you bought some stock,
这个名字吗 does that name?
这是个好消息 It's great news.
无论如何 Anyway.
一股股价连续四天下跌 比船舶交易价格几乎肯定会下跌 The price of a share falls on four consecutive days of trading than ships than prices are almost certainly to decrease.
今天 Today,
几乎可以肯定的是 今天仍然可以遵循一个随机漫步不可能遵循一个随机漫步或以上都没有 almost certainly to increase today can still be following A random walk could not be following a random walk or none of the above.
我来看看你听得有多认真 I'll let me see how well have you been listening?
因此 如果股票价格在连续四天的培训中下跌 股价就会下跌 So if the price of a share falls on four consecutive days of training than share prices.
好吧 Okay.
所以你得分散注意力 So you gotta be spread.
他放弃了我们的选择 He across our options.
难道就没有人会这样吗 Are there no one's going to be so?
就到这里吧 Lets just end it there.
谢谢你的参与 Thank you for participating well,
答案是C the answer is C.
我仍然可以随机游走 I can still be following a random walk.
这只是意味着有更多的坏消息或其他影响经济的因素 It just means that they've been more bad news or other factors affecting the economy.
人们把这个时期的墙 People take the wall of the period.
她在哪里 Where is she me?
当然 Of course,
不受监管或不受控制的市场 I unregulated or non controlled market?
让我们开始分散化 So let's get into our diversification.
多样化多样化降低风险 Diversity diversification reduces risk.
通过持有一些资产 So by holding a selection of assets,
我们要降低风险 we're going to reduce the risk.
投资者通常有一个资产组合 Investors normally have a portfolio of assets,
投资组合只是一种不同于以往的选择 and the portfolio just means a selection of different of yore,
也没有举行 nor holding.
投资组合的预期收益是单个资产或证券的预期收益的加权平均 He expected return for a portfolio is the weighted average of the expected returns of the individual assets or securities.
投资组合的风险取决于单个证券回报之间的协方差或相关性 Now the risk of the portfolio depends on the co variance or correlation between the returns on the individual securities.
这个公式很复杂 The formula is very complex and.
一旦你行动 Once you move,
过去的两项资产变得更大 past two assets becomes even larger.
如果你不打算看 If you are not going to look at.
我们的目标是尝试合并风险资产 And so the goal is to try and combine risky assets,
利用大的方差使投资组合的风险最小化 taking advantages of big cove variances in a way that the risk of the portfolio is minimized.
而是相干性的整体概念 But the whole idea of a correlation of coherence.
他是当我坐上去的时候那些人在往下走 He's when when I sits is going up the ones going down.
所以我们试着把问题解决掉 so we try and smooth out.
里士满 Al Richmond.
现在 Now,
所以当我们看我们的投资组合时 so the idea of when looking at our portfolio,
我们着眼于如何将一项资产加入投资组合 以固定其整体回报 we look at how adding one asset to a portfolio to fix its overall return,
总体风险 因此 an overall risk and therefore,
如果你正在挑选它 if you are looking at picking it,
你会观察单个资产和投资组合之间的相关性 you would look at the correlation between the individual asset and the portfolio.
我们可能会看他们 We would probably look at them.
投资组合内的资产 即有效边界 由在给定风险水平下提供最高预期回报的所有风险资产组合组成 the assets within the portfolio so efficient frontier consists of all portfolios of risky assets that offer the highest expected return for a given level of risk.
然后引入无风险资产 得到资本市场线 So then we introduce the risk free assets to get what's called the capital market line.
这条紫色的线是有效边界 So the purple line here is the efficient frontier.
它代表风险资产组合的最高可能回报 It represents the highest possible return of a portfolio of risky assets.
它上面什么都不是 因为它不存在 It is nothing above it because it doesn't exist.
它下面有很多 There's lots below it.
这些都是效率低下 These are inefficient.
这意味着投资者将把风险资产组合在一起 We then so what this means is that investors will put together a portfolio of the risky assets.
这将成为市场的投资组合 That will become the market portfolio.
然后他们有一个选择 And then they have a choice.
现在是赚取高回报的时候 now of earning a high return.
所有的无风险利率 all the risk free rate.
如果他们想降低风险 If they want to have low risk,
他们会把一部分钱投资于政府债券 they'll put part of their money in government bonds,
他们把一部分钱投在市场上 a part of their money in the market put forward,
所以它们在这条线上的某个地方 so they lie somewhere along this line.
之间的你 Between thee.
无风险利率 即开始回报和市场投资组合 The risk free rate where it starts return and the market portfolio.
如果他们想增加收益 增加风险 If they want to increase their return and by heads increasing their risk,
他们将开始借钱并投资于他们的市场投资组合 they will start borrowing money and investing it in their market portfolio.
他们会通过借款利率和投资率的差来增加回报 And so they will increase their return by the difference between the borrowing rate and the investment rate.
这是一个高风险的策略 因为他们必须偿还债务 This is a high risk strategy because they have to pay back the debt.
但它的意思是投资者会选择 But what it's saying is that investors will select.
哦 Oh.
把他们的资产风险资产组合成一个投资组合 Combine their assets risky assets into a portfolio.
市场 The market.
在这里 is here,
但每个人不需要真正掌控市场 but each person doesn't have to actually hold the market,
我们有它的所有百分比 we have all the percentage of it,
然后我们决定在哪里投资 and then we decide where to invest.
因此 最好是衡量资产相对于市场的系统性或市场相关风险的程度 So better is the degree of systematic or market related risk of an asset relative to the market.
它关注的是 相对于整个市场 个体资产的行为形式 So what it looks at is how an individual asset to forms of behavior relative to the overall market.
系统风险无法分散 Systematic risk can't be diversified,
只有杂乱无章 only unsystematic,
风险的国王 risk king,
所以 so,
在市场上 持有独特风险是没有回报的 and there's no reward in a market now for holding the unique risk.
资产的非系统性风险 The unsystematic risk of an asset.
beta的重要之处是什么 And what's important about beta?
它告诉我们 如果我有一个烧杯 It's telling us if I have a beaker of one.
我的风险水平和市场的预期是一样的 I've got the same level of risk as the market would follow and the same expected.
如果我看一下澳大利亚市场 So if I was looking at the Australian market,
我们的银行通常有一个圆形或接近圆形 our banks generally have a bit of a round or close to it.
我一直是一个大于1对应的激进证券将比市场风险更大 I've been a greater than one corresponds to an aggressive security will riskier than the market.
所以他们会有更高的回报 And so they would have a higher return.
而不是整个市场 Than the overall market.
最好小于1对应的是防御性安全 I'd better less than one corresponds to a defensive security.
它的回报低于市场 It has a return less than the market,
但重要的是市场是否会下跌 but what's important here is if the market was to fall.
一个有更好的 A company with a better,
哀悼者少于一人 less than one mourner share,
低于1点的股票不会像市场下跌那么多 with a bit of less than one won't fall as much as the market.
它已经退出市场了 It's out of the market.
它将下跌10%而你的安全系数必须小于1 It was going to fall ten per cent and your security has to be less than one.
它将下降不到10% It would fall less than ten percent.
因此 期望收益与系统性风险之间的关系构成了资本资产定价模型的基础 So the relationship between expected return and systematic risk forms the basis of the capital asset pricing model.
资本资产定价模型在20世纪50年代并没有提到 Capital asset pricing model was not written about it about the nineteen fifties sixties,
还有一些非常受人尊敬的变体 and there's been some very honoured variations on it.
但这仍然是投资分析的基本点之一 but it's still a basic point of investment analysis of the one.
所以我们有无风险的安全措施 So we have the risk free security,
政府债券 government bonds,
政府债务 government debt,
在那里返回是完全确定的 where the return is known with complete certainty.
我们有市场组合 We have the market portfolio.
在那里 我们的时代回归了 Where it has a return of our era.
所有的人都有轴承 And all were bearing.
如果我们的市场组合是系统性的或与市场相关的 If we have the market portfolio is systematic or market related.
微风 breeze.
因此 证券的预期回报取决于系统风险水平 So the expected return on a security depends on its level of systematic risk,
通过测量β measured by beta.
市场回报率和无风险利率 The return on the market and the risk free rate.
所以这个公式你需要知道什么是矿 So this formula what a mine is one you need to know.
在这门课上我们会一次又一次地用到它 we're going to be using it again and again in this subject.
阿拉伯语是政府债券的回报率或无风险利率或政府债券 Arabic is the return on government bonds or the risk free rate or government debt.
对他来说 就是市场投资组合的回报 For him is the return on the market portfolio.
就这样 And just so,
你知道市场投资组合的回报和如果是市场风险溢价的区别我们的梦想 you know the difference between the return on the market portfolio and if is the market risk premium that the difference between our dream,
一个地球是市场风险溢价 an earth is the market risk premium.
那么证券市场线呢 So the security market line?
从无风险利率开始 starts at the risk free rate,
我们会找个更好的 we'd go out a better of one.
我们在市场上获得了回报 We've got the return on the market.
直线的斜率是上升的 The slope of the line rise over run,
从0上升到1代表了市场的斜率或风险因素 so are going up from zero to one represents the slope or the risk element in the market.
在平衡 And in equilibrium,
所有资产和投资组合都应该在证券市场线上 every asset should lie and every portfolio should lie on the security market line.
我们可以用它来判断资产是否可信 So we can use to determine whether the asset is unbelievable,
高估 overpriced.
与证券市场有关 In relation to the security market.
这只是告诉你如果你没有资产 This is just showing you if you had no assets.
顺便说一句 你什么都没有 You've got nothing by the way,
但如果我们有一种酸 but if we've got one acid,
我们现在得到了资产的独特风险以及与此相关的市场 we've now got the unique risk of that asset and the market related this I was,
我们继续向输出添加资产 we keep adding assets to output follow.
我们开始降低每种资产的独特风险 We start reducing the unique risk of each asset.
所以到澳大利亚的时候 So by the time in Australia,
市场上大约有20种资产 we've got about twenty assets were about here or about here on the market said Basically,
我们已经摆脱了每种资产的独特风险 因此我们只承担澳大利亚市场的经济风险 we've been able to get rid of the unique risk of each of the assets and therefore we're only taking on the market or the economic risk of being in the Australian market.
在美国 In America,
大约有五十把椅子 that's about fifty chairs.
五十个投资者 Fifty investor.
但这取决于市场选择的数量 But it depends on the number of options of the market there,
所以 so.
在我开始第一个练习之前 Before I start at the first exercise,
在我们继续之前 有什么问题吗 any questions before we go on.
交易所交易基金 So an exchange traded fund,
八十分之一 an eightieth.
是的 yeah,
如果是针对市场的指数 if it was an indexed against its market,
例如 for example,
就像埃塞克斯的差距那样 like an Essex gap hundreds then that is effectively delineating,
这是不同持有量之间的方差 and it's kind of variance between its different holdings.
照明 It's illuminating,
系统性风险 systematic risk,
它不是 It's not.
这不是系统的消除 抱歉 It's not eliminating systematic by not not sorry.
我不是说这是在消灭唯一的生锈创始人 I didn't mean to say that it's eliminating the unique rusted founder.
非系统性风险说明了两件事 Unsystematic risk said two things.
首先 First off.
你已经把你所有的基金管理选择都移交给了这个被管理的粉丝 You've devolved all of your choice of management of your funds to this managed fan.
谁来尝试追踪市场 Who is going to try and track the market.
现在他们要尝试追踪市场 Now they're going to try and track the market,
这意味着随着市场和权重的变化 which means that as the market changes and as weightings change,
他们会买卖资产 they'll be buying and selling assets.
证券 Securities.
根据这个标准 So by that measure,
购买和出售资产的影响 并试图与市场匹配 effects of buying and selling assets and trying to match the market,
他们实际上是在减少回报 they are actually reducing their returns.
因为这违背了沃伦·巴菲特的原则 Because it goes against Warren Buffetts principle by an hall so as.
交易所交易基金(etf)仍然必须利用股票经纪人来买卖资产和阻止工人 An exchange traded fund still has to use a stock broker to buy and sell assets and stop workers.
不要白干 Don't do it for nothing.
我收取费用 I charge fees,
这已经被一次又一次地证明了 and so it's been proven over and over again.
市场基金的表现与市场不同 Market funds don't perform the same as the market.
如果你要买房子 If you were to buy a home.
对的 Right,
但我想说的是 看看我们很多人 but what I'm saying is yet look a lot of us.
有一定的资金 Have certain funds,
不管我们买什么 whatever we'd buy those.
但他们正在做这些 But they are doing the ones.
他们没有必要去追踪市场 They don't try and necessarily track the market.
他们试着打了个洞就离开了 They tried by an a hole and left.
他们的分红投资就会停止 Their investments into dividends would stop track.
他们的市场 the market for them and.
只要不急着把资金集中起来 As long as there's no great rush from pooling funds out,
他们的表现应该和分数一样好 they should perform as well as the mark.
所以 So.
交易所交易基金正试图模仿市场 Exchange traded funds are trying to mimic the market,
他们唯一能模仿市场的方法就是当市场变化时 and the only way they could mimic the market is when the market changes,
他们必须重新调整投资组合 they have to rebalance their portfolio.
所以这确实减少了 so that does reduce there.
他们的性能 Their performance.
一个角色 A character.
时机 Timing.
我不能回去了 I can't return on.
政府债券是5% Government bonds is five per cent,
而市场投资组合的回报率是7% while a return on the market portfolio is seven percent.
我记得政府债券的回报是无风险利率 So I remember the return on government bonds is the risk free rate.
市场投资组合的回报 The return on the market portfolio,
百分之七 seven percent.
什么是苦的一份期待 What is the bitter of a share has expected.
回报率是6% return is six per cent.
假设无风险利率为5% so a given the risk free rates five per cent.
辛普森的市场回报率为6% The return of the market Simpson return on the share is six per cent.
利用证券市场直线方程 Using the security market line equation.
我们有阿拉伯 We have got Arab,
我们有乌陵 we've got urim,
我们得到了个人股份的回报 we've got the return on individual share.
计算后 Calculate later,
所以我们得到点 so we get at the beta is point.
百分之五 Five per cent.
有问题吗 Any questions on that.
多元化是通过投资大量资产来实现的 Diversification is achieved by investing in a large amount of assets.
哪种类型的风险会因这种多样化而降低呢 答案是否定的 What type of risk is reduced by this diversification broke at the answer.
还有一个问题 Another question you might see here if,
当然 of course,
如果我持有市场投资组合 if I investor holds the market portfolio,
他们的投资是无风险的 they have a risk free investment.
答案是错误的 The answer is false.
分散风险降低了非系统风险 独特风险或可分散风险 The diversification reduces unsystematic risk or the unique risk or diversifiable risk.
所以它并没有降低市场的系统性风险或与市场相关的风险 So it does not reduce the systematic risk or the market related risks of the market,
所以 so.
通过多样化 By diversification,
我只是去掉了公司特有的非系统性风险 I just get rid of the firm specific have the unsystematic risk.
我仍然把市场相关风险和市场的系统性风险结合起来 I've still got the market related risk for the systematic risk of the market.
这不是冒险 It's not risk for it.
分散投资并不是没有风险的 The diversification does not make an investment risk free.
选择资产 selects asset.
对不起 Sorry.
顺便说一下 我们只是试图使资产多样化 We just try and diversify assets by the way in this.
如果我有一个投资组合 比如银行 If I was to have a portfolio of say and that Bank,
联邦银行 Commonwealth Bank,
西太平洋银行对澳大利亚国民银行 Westpac over Mr National Australia Bank,
有银行 there are banks.
他们都在澳大利亚排名前十的公司 They're all in the top ten companies in Australia.
我没有分散风险 I haven't diversified my risk.
他们都在同一个行业 They're all in the same industry,
如果你看银行指数上升的时候 and if you look when the banking index goes up,
他们都出去了 they all go out,
他们都倒下了 they all go down,
所以如果我的投资组合 so I only need one bank if my portfolio,
但我已经做了所有我需要的一个采矿公司 我完全不知道 but I've made all I need one mining company I don't know at all.
所以啊 So ah.
我不知道过去和过去发生了什么 I don't know what happened there and back.
希望 hopefully.
因此 资本资产定价模型提供了一个确定预期安全回报的模型预期退出中尉对高不列颠来说是很好的荒野预感 So the capital asset pricing models provides a model of determining expected security returns expected Exit Lieutenant excellent for High British is excellent for wilderness hunches.
他强调普遍接受的指导原则在计算他的梦想时是精确的 He emphasized that generally acceptable guideline precise in its calculation of his dream.
你认为最好的答案是什么 What do you think is the best answer?
但在资本资产定价模型中 But with a capital asset pricing model,
投资者需要计算β需要无风险 investors need to calculate beta need to have a risk free,
他们说 they said.
并在市场上提出了回报 And the return on the market put forward.
我想我们可以到此为止 I thought we might end it there.
感谢大家的参与 Thank you for those participating.
大约70%的人认为答案是C There's about seventy per cent said the answer is C.
这是不精确的 It's imprecise,
但一般意想不到的 but generally unexpected,
上帝 God,
这是为什么呢 why is it?
在精确 In precise,
我们必须通过对过去股票价格相对于过去市场变化的估计来估计育婴者的偏好 we have to estimate breeder favours done by estimating looking at past share prices relative to past changes in the market.
我们现在关注的市场是股票市场 The market we're looking at tends to be the share market.
那真的不能把你带到一个不能工作的地方 That really doesn't take you to a cannot works.
陪审团 jury.
四种其他资产的集合 Four sorts of other collections of other assets.
这是一个近似值 So it's an approximation.
的市场 For the market.
即使如此 And even then,
当我们观察市场时 when we're looking at the market,
例如 for example,
在澳大利亚 in Australia,
所有普通股票指数仅为前500家公司 the all ordinaries index is only the top five hundred companies.
还有大约1500家甚至更多的公司甚至没有进入这个指数 There's about another fifteen hundred or more companies that don't even make up the index.
这是一个不精确的计算 so it's an imprecise calculation.
假设你对A股市场的预期 Suppose your expectations regarding the A share market,
下表所述 the described by the following table.
我们有了概率 So we've got probability.
以及 正常 和 衰退 两个词的回报 And the return for each of the term normal and recession.
计算的主要 Calculate the main,
表示平均收益率和收益率的标准差 said the average return and the standard deviation of return.
计算均值和标准差 So calculate the mean and standard deviation.
顺便说一下 By the way,
他可能会在你们的测验中被问到这个问题 this is something he could be asked in your quiz.
不是两个 而是一个 not both but one on these things,
先生 sir,
不好意思 这是标准差的公式 I'm sorry there's our formula for the standard deviation.
来计算标准差 To calculate the standard deviation.
我们首先需要计算均值 we first need to calculate the mean.
所以 So,
用每个概率乘以我们得到的回报 taking each of the probabilities multiplied by the returns we get,
标准差是意料之外的 the standard deviation is unexpected.
回报率是40% Return is forty percent.
标准差 Standard deviation,
首先通过计算方差来计算 calculated by calculating the variance first.
然后求方差的平方根 And then getting the square root of the variance.
23和4% So twenty three and point to four per cent.
分开的 Separate.
注意 So notice,
它是概率乘以期望收益和实际收益之差的平方 it's the probability times the difference between the expected return and the actual returned squared.
增加了新的洞 Added new hole up.
这个计算有任何问题 Any issues on that calculation.
再一次 Again,
这是你可能会被要求去做的事情 it's something that you could be asked to do,
通常情况下 如果它在 and usually if it's in.
无尽的你会把答案当成点 Endless you would put the answer as point.
一得四分 one for four point,
两三到四点 two or three to four.
根据以下信息 Given the following information,
所以我们分享了 so we've got shared,
共享库应该看到不同的回报率 a shared library should see different rates of return.
我们得到了繁荣和萧条的概率 And we've got this probability for boom and bust.
一个等权重的键的期望收益是多少 What is the expected return on an equally weighted to the key here is equally weighted,
所以30%的人说33%又1/3 so thirty per cent say thirty three and a third percent,
和我 and I,
历史学家的百分比基本上是3%到6%的C the historian of the percent you'd basically three and six per cent in C.
计算标准差有点复杂 Calculate the standard deviation is a bit more complex again,
它可以被要求去计算 one it could be asked to calculate.
所以我们需要使用投资组合的预期收益我们需要使用投资组合的预期收益和标准差的方法 So we need to use the expected return of a portfolio we need to use the way you would expect the return of a portfolio and the standard deviation.
所以 So.
计算繁荣时期投资组合的预期回报 Calculating the expected return on a portfolio for boom,
第三个说 said a third.
三分之一 a third.
那儿有公共汽车 The bus there is,
第三 there's a third,
所以我有 so I've got.
他们期待投资组合的收益 They expected return for the portfolio with boom,
他们预计投资组合的回报将以破产告终 they expect to return for the portfolio with bust.
所以投资组合的总预期回报率是10 19 So the overall expected return of the portfolio is ten point one nine,
百分之五 five per cent.
记住这些来自于投资组合的概率 Remember that these come from the portfolio's probability.
然后 Then,
计算出投资组合的预期收益后 having got the expected return of the portfolio calculate,
他们的预期 they expected.
投资组合的标准差 The standard deviation of the portfolio.
有问题吗 Any questions on that one.
注意 我们必须使用繁荣投资组合和萧条投资组合的答案 Notice that we had to use the answer for the portfolio of a boom and the answer for the portfolio of a bust.
得到投资组合的标准差 To get our standard deviation of the portfolio.
股票预期回报率为百分之十六 Share has an expected return of sixteen per cent.
它的收益率为1 2 无风险利率为5% Its Bader is one point two and the risk free rate is five per cent.
他们必须期望从市场中获得什么回报 What is what must they expect a return on the marketplace?
这是无风险利率 So I've got a risk free rate.
股票回归 还有贝塔系数 The shares return and the sheer beta.
利用证券市场线 Using security market line,
他们计算出市场投资组合的回报率为7% they work out that the return on the market portfolio is following point won seven per cent.
有什么问题吗 Any questions on fire.
布什曼公司的收益和股息都有限 The earnings of Bushman tuck a limited as well as its dividend,
其普通股的价格预计每年增长7% and the price of its ordinary shares are expected to grow by seven per cent per annum.
布什曼卡住了 Bushman stuck.
他的平凡 his ordinary.
目前股票交易价格为每股23美元 shares are currently trading at twenty three dollars per share,
去年是2美元 its last year when it was two dollars,
在今年年底 它将支付8美元来获得股息 and it will pay eight to develop for a dividend at the end of the current year.
布须曼人的塔克资产的贝塔值是1 6% The beta of Bushmen's Tucker equity is one point six percent,
所以在1 6%的时候 so at one point six percent it,
而市场有很大的利率和预期回报 while there is great interest rate and expected return of the market.
但随后分别是9%和30% But following nine and thirty percent respectively.
这是要确定的股利折现模型 Here's the dividend discount model to determine.
布什曼带我们 Bushman took us.
权益成本是由他来决定的 Cost of equity is kept him to determine the cost of equity.
卖家 On that sellers,
鉴于7%的增长 given seven per cent growth.
去年股息 Last dividends.
它将在今年年底总共支付8个股息 And it's gonna pay a total of eight dividend at the end of the current year.
让我们计算一下它的预期收益 Let's work out its expected return.
这是年末的所有者价格股息 So we've got our ownership price dividend at the end of the current year.
的增长 growth,
股息 the dividends.
我已经在1点6了 I've been at one point six.
版权是什么 What is copyright?
9%的人预期今天的市场回报率 Nine per cent expect the return on the market today,
所以我们要做两个计算并比较结果 so we're going to do two calculations and compare the results.
一些股息贴现模型 Some of the dividend discount model.
和他一起结束一天的工作 taking the end of your day with him,
得到16分 we get sixteen point.
当他们回到这张椅子上时 有3% Three percent as they return on this chair.
使用股利折现模型 Using the dividend discount model.
用证券市场的赔付方式来承担风险 Using the security market line with paid up to take the risk,
重写市场回报率 rewrite return on the market.
我们知道是15点 We get that it's fifteen point.
百分之四 Four percent.
所以我们有了不同 So we've got a difference.
现在可能是这样了 Now it could be.
我们的增长率是不精确的 Our growth rate is imprecise.
也许它 Maybe it.
6点 Six point,
某物 something,
不仅仅是7% not just seven per cent,
也许酒精预期预期市场回报错误或者无风险利率 maybe alcohol expected expect the return on the markets wrong or the risk free rate.
当整个市场上涨15%时 When the overall market is up by fifteen per cent,
一个有着防御性眼光的投资者 an investor with a portfolio of defensive stares,
换句话说 B in other words B,
到小于1 to less than one,
我们可能会有 we'll probably have.
一个正的投资组合回报大于15% A positive portfolio returns greater than fifteen per cent positive portfolio returns,
不到15% less than fifteen per cent.
消极投资组合的回报 Negative portfolio returns,
超过50%的负投资回报 greater than fifty per cent negative portfolio returns,
不到50% less than fifty per cent.
以上都不是 None of the above.
好 Well.
好吧 Okay,
有点复杂 so a bit mixed,
但是让我们来看看 but let's have a look.
这似乎是 So seems to be the.
70%的人认为他就是答案 Seventy per cent of you thought that he was the answer.
事实的确如此 and it is so.
我们仍将期望获得正回报 We will still expect to have positive returns.
但低于15%的市场增长率 But less than the fifteen per cent increase of the market.
的关键 From the key,
有可能 there is probably.
它没说一定要这样 It doesn't say it has to be,
但它将更少地转向市场 but it will move less to the market.
对于下面的陈述 要站在主张正确或不正确的一边 并提供理由为您的答案 For the following statements to side with the claim is correct or incorrect and provide reasons for your answer.
我们在证券市场上的投资 All shares our investments on the security market line,
公平定价的所有股票高于证券价格 a fairly priced all shares above the security mark on overpriced a share,
尖刻地说 with a bitter of point,
其中有七人目前的收入为10% seven currently earning ten percent.
风险重写为2 5% It's a risk rewrite is two point five percent,
市场风险溢价注意 the market risk premium noticed.
市场 the market.
风险溢价被用在6%是一个合理的定价 Risk premium is being used in a six per cent is a fairly priced.
所以 So,
看是吗 looking at eh?
这些股票在证券市场上的价格是公平的这是真的 Those shares on the security market line a fairly priced this is true,
没能抓到他分享安全标志上的阴谋就其系统的水平而言是正确的预期回报 couldn't catch him share the plots on the security mark arm is delivering the correct expected return for its level of systematic,
换句话说 in other words,
市场 marketplace.
既不便宜 It's neither too cheap,
不要太贵 not too expensive.
均衡定价 It's priced in equilibrium.
有什么问题吗 Any issues on that.
让我们看看这些声明迫使资本资产定价模型一个在证券市场线之上的股票在其系统风险水平上提供更高的预期回报 So let's look at the statements force causing the capital asset pricing model a share that plots above the security market line is delivering a higher expected return for its level of systematic risk.
这种股票对投资者很有吸引力 因为它能产生更高的回报 Such a share will be attractive to investors because it's producing a higher return,
但它现在应该尝试购买所谓的惊喜 以增加预期回报 直到它回到证券市场 but it should now try and purchase as you're called surprise to increase expected return to decrease until it was back up on the security market.
这是投资者为了获得更高回报而买进的主要影响 There was a main effect of investors buying to get the higher returns.
供需双方不断购买 Supply and demand people keep buying.
它推动价格回到证券市场线上 it pushes the price makes it returned back onto the security market line.
所以 So.
该股目前定价过低 The share is currently underpriced.
关于B有问题吗 Any questions on B?
只是把它放在这里 如果你看股息公式的话 Just putting it there if you're looking at a dividend formula.
我们想说的是这个价格太低了 What we're saying is that this price is low.
随着利率的下降 as interest rates fall,
他们的价格增加 their prices increase.
还有另一种生活方式 There's another way of life.
所以我要分享一个苦涩的点在酒吧目前回报10%的风险重写提出的市场风险溢价 这不是市场上的回报 So I'm going to share with a bitter points in a bar Currently returning ten per cent risk rewrites to put forward the market risk premiums that this is not the return on the market.
市场风险溢价是6% It's the market risk premium six per cent.
价格合理吗 Is it fairly priced.
记住m和如果m是市场的区别 So remember that the differences between our m and if M is the market was screaming.
看起来就是这样 That's what it seems.
我是一个地球 The difference between I am an earth.
由于市场溢价 As the market was premium.
所以 So.
它的回报率应该是7% It should be returning seven per cent.
那份是他的 The share is his.
应该回10的时候却回7 Returning seven when it should be returning ten,
这是低估 so it's underpriced.
可能一样 Just like probably,
人们会买的 people will buy it.
因为它回来的时间超过了下午六点 Cause it's returning greater than one at six pm.
如果你想创建一个put If you want to create a put,
跟在市场的后面 follow equally as risky as the market,
你有一百万美元可以投资 and you have a million dollars to invest.
有了这些信息和完整的风险表 Given this information and complete the risk of the table,
他们的第一站 their first stop.
让我们看看你想要创建一本书遵循的问题 Let's just look at the question you want to create a book follow.
是 这就产生了 Alpha is the delta and there is created.
这和市场风险一样大 That is as equally as risky as the market,
你有一百万美元可以投资 and you've got a million dollars to invest.
所以 So.
同时 Also,
你已经有三百了 you've already got three hundred,
两万块阿尔法 两万五 变焦效果好 twenty thousand in alpha and two fifty and zoom well.
无风险资产的贝塔值是多少 What's the beta of the risk free asset?
这是零 It's zero,
所以你需要把这些投资结合起来 so you need to combine these investments.
α祖马三角洲 Alpha Zuma Delta.
投资组合的贝塔系数为1 Into a portfolio that produces a beta of one.
所以我们需要一个更好的 或者获得一百万美元的头衔 So we need a better one or get a title of a million dollars.
无风险资产的刀刃 The blade of the risk free assets,
零 zero.
所以我们有100万美元可以投资 So we've got a million dollars to invest.
基本上需要弄清楚什么投资在delta和alpha和zoom将交付这个beta的1 basically need to work out what investment in delta with alpha and zoom will deliver this beta of one.
这就是基底 So we've got our basis.
α Alpha,
奥卡万戈三角洲 the Delta.
潮汐给火灾投了一百万美元 Tidal put fires a million dollars,
这意味着投资的等待时间是32% so that means the wait for the investment in alpha is thirty two percent.
在珠海的投资是25% The investment in Zhuhai is twenty five percent.
对达美航空的投资是我们必须解决的问题 The investment in Delta is what we've got to work out.
对不起 Sorry.
这是我们首先要解决的问题 That's what we're going to work out first up.
我们在达美航空投资多少才能获得回报 How much do we invest in Delta to get a return for?
我看到了一个更好的 I saw it a better of one.
所以 So,
再次使用我们的击球手 using our beaters again.
W是重量 总重量必须是100% W is the weight and the total weight has to be one hundred percent,
我们用alpha和zoom表示这些量 so we've got these amounts in alpha and zoom.
32%投资于 So thirty two percent invested in alpha,
给你一个更大的分数 giving you up with a bigger point Seven,
25%的变焦 一点一点 白色 twenty five percent in zoom with a bit of one point one and the white.
三角洲 Delta.
乘以1 5 风险中的白色在时间0时产生因为它的贝塔值为0 Times one point five and the white in the risk creates at time zero because it has a beta of zero,
所以我们可以忽略最后一位 so we can ignore the last bit.
我们想要一个全面的 And we want an overall,
更好的一个 better one,
把它乘出来 然后再除以 so multiplying it out and dividing by out later.
Delta的重量是1 5 one point five we get the weight in Delta.
实际上是3 4% is really three point four per cent.
这就得到了投资于Delta的金额 So that will give us the amount invested in Delta.
有问题吗 Any questions on that.
最后 Finally,
计算无风险资产中的金额 calculate the amount in the risk free asset.
我们想少投资10亿美元 we wanted to invest a billion dollars less fair offers.
三角洲给了我们九万六千的风险压制性的 A delta gives us ninety six thousand in our risk repressive,
你的桌子就不会是这个样子了 and that's what your table wouldn't look like.
是的 Yeah.
有问题吗 Any questions on that.
当一个投资者持有8个 When an investor holds eight,
当然多样化 surely diversified,
将跟进 put follow.
他们已经排除了对或错 They have eliminated always true or false.
所以 So.
当一个投资者持有一个完全多样化的投资组合时 When an investor holds a fully diversified portfolio,
他们已经排除了所有风险 they have eliminated all risk truffles.
这就是北极熊 That's it in the polar bear.
因为你们大部分人发的都是假的 Because our most of you sent false,
这是真的 and that's true.
力就是答案 The force is the answer.
我们无法消除系统性或市场相关风险 We cannot eliminate the systematic or market related risk.
我们只能消除公司特有的风险 We can only eliminate the firm specific risk that can be diversified away.
这就是那个问题 So that was that question.
考虑一下澳新银行的这个投资组合 Consider this portfolio you've got to ANZ,
银行 a bank,
伍尔沃斯 woolworth,
里约热内卢拓和政府债券注意到 没有比政府债券更好的投资了 Rio Tinto and government bonds noticed there is no better for government bonds have got the amounts invested.
回答以下问题投资组合的权重是什么 Answer the following questions what are the portfolio weights?
投资组合的构建者是谁 球员的预期回报是什么 What is the builder of the portfolio and what is the expected return of the footballer?
所以我需要能够计算重量 So I need to be able to calculate the weight.
好吧 Well,
这将是很简单的四个四预见到百分之二十五 it's going to be pretty easy for four four foresaw twenty five per cent each.
接下来的猪肉哪个比较好 What is the better of the pork follow?
预期收益是多少 What is expected return?
如果市场投资组合的回报率达到10% If the market portfolio delivers a return of ten per cent,
你期望从采矿中得到什么回报 what return would you expect from should be reacted by mining?
对不起 Sorry.
所以投资组合的权重是25% So the portfolio weights or twenty five per cent,
提出了风险和预期收益 the dangers are put forward and the expected return.
所以 So.
我已经这样用过了 I've used it so.
我只是乘以 And I just multiplied.
25点的返回列 以得到我的重量作为回报 The return column by point two five to get my weight in return,
我可能会选他们 或者选最差的 I might take them or worst point.
哦 9 Oh nine,
7 seven,
6乘以点2 six and multiplied it by point two,
五个人走这条路回来 Five to get this way to return.
这是我投资组合的回报点2也是一样5倍 That's giving me my returned for the portfolio and the same with beta point two five times the beta,
一点二点二 one point out two point two,
五次 five times,
给我写最后一篇专栏 giving me my final column.
加起来 And adding up,
所以我得到了投资组合的收益 so I've got the better of the portfolio and the return of the portfolio.
有问题吗 Any questions on that.
如果市场投资组合的回报率达到10% If the market portfolio delivers a return of ten per cent,
你希望从现实中得到什么回报 what return would you expect from reality to the morning?
我们有无风险率 So we had the risk Free rate.
政府债券已被告知重返市场 Government bonds have been told to return on the market.
我们有更好的现实品味 And we've got reality taste better.
使用证券市场线 Using the security market line.
里约热内卢Tinto应该生产10分 Rio Tinto should be producing ten point,
6 six,
百分之九 nine per cent.
你被要求做任何评论 You were asked to do any commentary on it,
但是我们可以把它和桌子比较一下 but we could have comfort compared it back to the table.
有问题吗 Any questions on mine.
那么好 So good,
不是很多股份 not a lot of shares.
耳蜗JBHifisevenWestEnergyresources Cochlear J B Hi fi seven West Energy resources,
政府债券 government bonds,
持仓不等于这次返仓和打者 holdings not equal this time returns and beaters.
回答以下问题 假设市场投资组合的预期回报率是11% Answer the following questions given the expected return on the market portfolio is eleven percent.
投资组合权重是多少 What are the portfolio weights?
和田料吗 WADA expected?
投资组合的回报和账本是否遵循 Return on the portfolio and is the book followed,
产生一种恐惧 producing a fear.
所以 So.
再次使用Excel Using Excel again.
计算的白色 Calculating the white,
所以是7分 so it's seven point,
五百万对两千万 five million on twenty million,
三个点 three point,
五百万和两千万给我每个资产的权重 five million and twenty million give me the weights for each of the individual assets,
加起来 adding up to?
然后将光线乘以返回值 得到返回值的重量 Then multiplying the lights by the return to get the weight in return.
大胆 Bold,
利用障壁下的湖泊得到加权beta值 applying the lakes by the barrier to get the weighted beta.
他们已经有了 They've got.
哦 Oh.
投资组合权重 Portfolio weights.
啊 Ah,
啊 ah,
为什么返回和僧侣的加权贝塔 why did return and the weighted beta of the monk?
有问题吗 Any questions on that one.
这是一种投资组合优势利用无风险权利产生公平回报的期望回报 It's a portfolio edge of producing a fair return using expected return using a risk free right.
市场投资组合中较好的投资组合 The market portfolio in the beter of the portfolio just going back.
明白了 Got that.
β Beta.
我觉得这里有点不对劲 I think something's going on here.
这就带来了一个数字 So that brings a number.
这是错误的 there is wrong.
应该是第8点 should be point eight,
7 seven,
八棵树 eight tree.
所以投资组合表现不佳 因为它的产出是9 8 So the portfolio is underperforming because it's producing nine point eight,
一个在它 one where it.
它产生了9点1 而实际上它的回报是7 So it's producing nine point out one where its return was actually seven.
所以 So.
如果你回来了 If you got back.
接下来就是生产有限的九点 What follows is producing nine point finite.
它应该产生9点 It should be producing nine point,
八个 eight.
一个小的差异 one small difference.
好吧 OK,
任何问题 any questions.
有问题吗 Any questions on that.
里面有很多材料 A lot of material in there.
我会回去 I would go back.
很抱歉 我得回去看看那个车间 I'm sorry I would go back over that workshop.
第一个规则是测试前的问题 The first rule as questions before attempting your quiz.
我会试着不去看答案 I would try and do it without looking at the answers.
试着解决这个问题 Try to work through that.
该研讨会 That workshop.
认为你可以用你的答案来解决问题 Think you can pay your answers to the solutions.
我也会这样做上周的物化 I'd also do that with last week's materialise.
好吧 Well,
他们有五个问题 they've got five questions,
三十分钟 thirty minutes.
在30分钟内完成所有问题可能会很紧张 It's probably going to be tight to manage to do all the questions in the thirty minutes.
啊 Ah.
它是完全开放的 你可以使用Excel来帮助你回答问题 It's totally open book and you can use Excel to help you in answering the questions.
由你决定 Up to you.
大家对今天或上周的内容有什么问题吗 Any questions people have on today's material or last week.
什么都没有 Nothing,
你想说什么就说什么 say anything you would like to.
等你有了你想让我掩护的东西 When you get all you want me to cover.
证据显示了如何建立那个形状 The evidence shows an excel how to set up that shape.
让我先装好 Let me just loaded up first.
茶在这里 Tea is over here.
如果我们使用Excel So if we're using Excel.
公司天空 Company the Sky.
它返回 It returned.
啊 Ah.
我想我的投资很失败 I guess I've been a poor investment.
手臂的书 Arm books.
太阳 The sun.
看来最好还是存点钱 Looks better put some money out.
哦 Oh.
我想 I was gonna.
把这个放大一点 make this a bit bigger,
这样你们看得更清楚一些 so you can see it a bit better.
所以首先 So first off,
你需要计算 you want to calculate.
我会回到这个问题 I'll come back to that question.
你怎么在真正的市场上买到黄油 How do you get the butter in the real market?
我现在就去做 I'll do it now.
苦在真实的市场是很难计算的 The bitter in the real market is very difficult to calculate.
你需要了解很多关于市场回报的信息 而且它们永远都是个股 You would need to get lots of information on the return on the market and also they're eternally individual share,
然后你需要做一个回归分析 and then you would have to do in a regression analysis on it.
否则 Otherwise,
你可以看看像雅虎彭博社这样的市场金融流媒体服务 you could look at market financial streaming services like Yahoo Bloomberg.
我不知道有些报纸会这么做 I don't know some of the newspapers do it.
他们会告诉你股票的值 They will tell you what that the beta of the share is,
如果你看看一些金融流媒体服务 so if you look at some of the financial streaming services,
他们会为你提供更好的 they will provide you a better,
但唯一的问题是你不知道他们是如何计算的很多时候市场上的看台是不同的 but only problem is you don't know how they calculated many a time there are instances in the market with the bleachers are different.
重量 Weight.
他们已经有了 They've got,
等待 等待 wait and wait.
为了计算她物品的重量 So to calculate the weight of her stuff,
所以我们需要一个总数 so we need a total.
你养了只乌龟 So you get a turtle?
我刚走到控制面板就走了 I just got to my control panel and go.
σ的儿子 Sigma Son.
它突出显示了这四个细胞 情况会好转的 It's highlighted these four cells and it's gonna get better.
白色 Get the white.
车辆 Vehicles.
把我算在里面 Count me,
是吗 eh?
除以总 Divided by total.
军政府 Junta.
正确的了 The right again.
我们不能用投资除以头衔吗 Can't we be investment divided by the title?
公司日是由标题提供的 Company Day they were provided by the title.
政府债券提供的时间 Government bonds provided by the time.
只是一个检查 Just a check.
σ Sigma.
是一个 Take was one.
计算重量作为回报 Calculate the weight in return.
他们关闭了等待时间 They close the wait times.
回报 Return.
因为它们的计算方法是一样的 And because they're all the same calculation.
复制下来 Copy it down.
白色时代更好 所以我要编辑控制面板 The White Times better so I Gotta Editor Control panel.
一些 Some.
如果你想知道 If you want to know,
你可以把它变成一个百分比 you can make it a percentage.
白人认为进球是白人的 Whites think goals the whites.
次彼得 Times Peter.
指甲花 Henna.
回去 Go back,
单元格g3复制 the cell g three copy.
暮光之城 Twilight.
粘贴 Paste.
艾德 Ed.
这是你等待的回报 So there's you waited returns,
你等着看为什么会返回 you wait to see why that return.
他等待着 And he waited.
繁荣 Booms.
有问题吗 Any questions on that.
做一个Excel电子表格可能是个好主意 So it's probably a good idea to build a little Excel spreadsheet.
多练习一下 因为这样做 Just get practice with it because doing that,
手工编写最后三列只需要一点时间 these last three columns by hand just takes a bit of time.
但我想说的是 But all I would say is,
检查你的计算 check your calculations.
你的公式 Are your formula.
Excel上的任何东西 Anything else on Excel.
水 Water.
还有什么需要我负责的吗 Is there anything else you would like me to cover?
我要回去做媒体作业了 I'm just going back to the media assignment.
是的 Yeah,
不会赢 won't win.
你认为年轻的马克思会支持什么 When do you think the young Marx will be backing for?
这是一两周的时间因为我会检查每个人的情况 That's gonna be the week or two because I'm going to be marking every body's OK.
有些人有一些问题 And some people had some problems.
珠峰说 Everest say.
如果把这个也整理出来 So if sorting that out too.
我为什么要感谢你 Why can I thank you?
我的问题 My problem,
但可能要到第二周结束 but probably by the end of the second week.
好吧 OK,
还有什么好问题吗 what else good question?
我想感谢大家今天下午的到来 I want to thank you all for coming along this afternoon.
午夜 Midnight.
谢谢你下周是光明非教的弱项 Thank you next week is a bright non teaching weak.
所以没有一个类 So there isn't a class.
下个星期 next week.
但如果你看一下你的时间表 But if you have a look at your schedule,
不过 though,
下周 next week,
如果你想做作业 没有一门课能给你很好的机会 there is no classes in which gives you a good chance to work on the assignment if you wish to.
好吧 Okay,
谢谢你能来 thanks for coming along,
大家会说下午好 下次见 everybody will say good afternoon and see you next time.
非常感谢 rocky有足够的时间说 Thank you very much and rocky for a while enough time say you say,
他会说谢谢你 and he'll say thank you up.