美国注册管理会计师CMAP2_S4

Copyright高才国际教育集团S4:InvestmentRisk&PortfolioMgmt1MODULE34TAXES:TRANSACTIONSINPROPERTYS4:InvestmentRisk&PortfolioMgmtInstructor:HelenCopyright高才国际教育集团P2–FinancialDecisionMakingCopyright高才国际教育集团S4:InvestmentRisk&PortfolioMgmt2InvestmentRisk&PortfolioMgmtS4A.RiskandReturnB.ManagingFinancialRiskCopyright高才国际教育集团S4:InvestmentRisk&PortfolioMgmt3A.RiskandReturnCopyright高才国际教育集团S4:InvestmentRisk&PortfolioMgmt4ARiskandReturn1.RateofReturna)ReturnAbsolute$amountItistheamountreceivedbyaninvestorascompensationfortakingontheriskoftheinvestment.FormulaReturn=$received–$investedNormally,higherrisk,higherreturn.Example:Aninvestorpaid$100,000foraninvestmentthatreturn$112,000.Solution:Return=$112,000–$100,000=$12,000Copyright高才国际教育集团S4:InvestmentRisk&PortfolioMgmt5ARiskandReturn1.RateofReturnb)RateofreturnPercentageItisthereturnstatedasapercentageoftheamountinvested.FormulaRateofreturn=$Returnoninvestment÷$invested×100%Normally,higherrisk,higherrateofreturn.Example:Aninvestorpaid$100,000foraninvestmentthatreturn$112,000.Solution:Rateofreturn=$12,000÷$100,000×100%=12%Copyright高才国际教育集团S4:InvestmentRisk&PortfolioMgmt6ARiskandReturn1.RateofReturnc)RelationshipbetweenriskandreturnWhethertheexpectedreturnonaninvestmentissufficienttoenticeaninvestordependson①Risk②Risksandreturnsofalternativeinvestments,and③Investor’sattitudetowardrisk.RiskaverseRiskneutralRiskseekingUtilityofagainDisutilityofalossofthesameamount.Utilityofagain=Disutilityofalossofthesameamount.UtilityofagainDisutilityofalossofthesameamount.Copyright高才国际教育集团S4:InvestmentRisk&PortfolioMgmt7ARiskandReturn1.RateofReturnd)CalculatingexpectedreturnExpectedrateofreturn①Itisdeterminedusinganexpectedvaluecalculation.Expectedrateofreturn=∑(Possiblerateofreturn×Probability)Copyright高才国际教育集团S4:InvestmentRisk&PortfolioMgmt8ARiskandReturn1.RateofReturnd)CalculatingexpectedreturnExpectedrateofreturnExample:PossiblerateofreturnProbabilityWeightedaverage×=10.5%4.0%(6.5%)(8.0%)10%40%40%10%1.05%1.60%(2.60%)(0.80%)Expectedrateofreturn(0.75%)Copyright高才国际教育集团S4:InvestmentRisk&PortfolioMgmt9ARiskandReturn1.RateofReturnd)CalculatingexpectedreturnStandarddeviation①Itgivesanexactvalueforthetightnessofthedistributionandtheriskinessoftheinvestment.Standarddeviation=∑(Variance2×Probability)②Alargestandarddeviationreflectsabroadlydispersedprobabilitydistribution,meaningtherangeofpossiblereturnsiswide.Thegreaterthestandarddeviation,theriskiertheinvestment.Copyright高才国际教育集团S4:InvestmentRisk&PortfolioMgmt10ARiskandReturn1.RateofReturnd)CalculatingexpectedreturnStandarddeviationExample:Rateofreturn10.5%4.0%(6.5%)(8.0%)Expectedrateofreturn(7.5%)(7.5%)(7.5%)(7.5%)Variance11.25%4.75%(5.75%)(7.25%)Variancesquared1.266%0.266%0.331%0.526%Probability×10%40%40%10%–=Weightedsquaredvariances=12.6569.02513.2255.25640.163TotalweightedsquaredvarianceStandarddeviation=40.163=6.337Copyright高才国际教育集团S4:InvestmentRisk&PortfolioMgmt11ARiskandReturn1.RateofReturnd)CalculatingexpectedreturnCoefficientofvariation①Itisusefulwhentheratesofreturnandstandarddeviationsoftwoinvestmentsdiffers.②Itmeasurestheriskperunitofreturn.Coefficientofvariation=standarddeviation÷ExpectedrateofreturnCopyright高才国际教育集团S4:InvestmentRisk&PortfolioMgmt12ARiskandReturn1.RateofReturnd)CalculatingexpectedreturnCoefficientofvariationExample:StandarddeviationXCo.YCo.6.3378.831Expectedrateofreturn(0.75%)1.075%Therefore,comparedtoYCo.,XCohasalowerexpectedrateofreturn,butalsoatighterrangeofpossiblereturns.Whencomparedonaper-unit-ofreturnbasis,XCoistheriskierinvestment.÷Coefficientofvariation845.0821.5=Copyright高才国际教育集团S4:InvestmentRisk&PortfolioMgmt13ARiskandReturn2.TwoBasicTypesofInvestmentRiska)SystematicriskItistheriskfacedbyallfirms.Marketrisk,Undiversifiablerisk①Changesintheeconomyasawhole,suchasthebusinesscycle,affectallplayersinthemarket,whichiswhyequitypricessooftenmovetogether.②Itissometimesreferredtoasundiversifiablerisksinceallinvestmentsecuritiesareaffected,thisriskcannotbeoffsetthroughportfoliodiversification.Copyright高才国际教育集团S4:InvestmentRisk&PortfolioMgmt14ARiskandReturn2.TwoBasicTypesofInvestmentRiskb)UnsystematicriskItistheriskinherentinaparticularinvestmentsecurity.Specificrisk,DiversifiableriskIndustryProductsPatentsCustomerloyalty,etc.①Itisassociatedwithaspecificinvestee’soperations,suchas:Itistheriskthatcanbepotentiallyeliminatedbydiversification.①Inprinciple,itshouldcontinuetodecreaseasthenumberofdifferentsecuritiesheldincreases.②Inpractice,however,thebenefitsofdiversificationbecomeextremelysmallwhenmorethanabout20to30differentsecuritiesareheld.Copyright高才国际教育集团S4:InvestmentRisk&PortfolioMgmt15ARiskandReturn3.OtherTypesofInvestmentRiska)CreditriskItistheriskthattheissuerofadebtsecuritywilldefault.Thisriskcanbegaugedbytheuseofcreditratingagencies.b)ForeignexchangeriskItistheriskthataforeigncurrencytransactionwillbeaffectedbyfluctuationsinexchangerates.Ifpurchasingfromaforeignsupplierandthetransactionisdenominatedinforeigncurrency,appreciationofforeigncurrencycomparedtodomesticcurrencywillcauseatransact