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Investments : Principles of Portfolio and Equity Analysis.

By: Contributor(s): Material type: TextTextSeries: CFA Institute Investment SeriesPublisher: Newark : John Wiley & Sons, Incorporated, 2011Copyright date: ©2011Edition: 1st edDescription: 1 online resource (649 pages)Content type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9781118001165
Subject(s): Genre/Form: Additional physical formats: Print version:: InvestmentsDDC classification:
  • 332.6
LOC classification:
  • HG4529 -- .M36 2011eb
Online resources:
Contents:
Intro -- Investments: Principles of Portfolio and Equity Analysis -- Contents -- Foreword -- Acknowledgments -- Introduction -- Chapter 1: Market Organization and Structure -- Learning Outcomes -- 1. Introduction -- 2. The Functions of the Financial System -- 2.1. Helping People Achieve Their Purposes in Using the Financial System -- 2.2. Determining Rates of Return -- 2.3. Capital Allocation Efficiency -- 3. Assets and Contracts -- 3.1. Classifications of Assets and Markets -- 3.2. Securities -- 3.3. Currencies -- 3.4. Contracts -- 3.5. Commodities -- 3.6. Real Assets -- 4. Financial Intermediaries -- 4.1. Brokers, Exchanges, and Alternative Trading Systems -- 4.2. Dealers -- 4.3. Securitizers -- 4.4. Depository Institutions and Other Financial Corporations -- 4.5. Insurance Companies -- 4.6. Arbitrageurs -- 4.7. Settlement and Custodial Services -- 4.8. Summary -- 5. Positions -- 5.1. Short Positions -- 5.2. Levered Positions -- 6. Orders -- 6.1. Execution Instructions -- 6.2. Validity Instructions -- 6.3. Clearing Instructions -- 7. Primary Security Markets -- 7.1. Public Offerings -- 7.2. Private Placements and Other Primary Market Transactions -- 7.3. Importance of Secondary Markets to Primary Markets -- 8. Secondary Security Market and Contract Market Structures -- 8.1. Trading Sessions -- 8.2. Execution Mechanisms -- 8.3. Market Information Systems -- 9. Well-Functioning Financial Systems -- 10. Market Regulation -- 11. Summary -- Problems -- Chapter 2: Security Market Indices -- Learning Outcomes -- 1. Introduction -- 2. Index Definition and Calculations of Value and Returns -- 2.1. Calculation of Single-Period Returns -- 2.2. Calculation of Index Values over Multiple Time Periods -- 3. Index Construction and Management -- 3.1. Target Market and Security Selection -- 3.2. Index Weighting.
3.3. Index Management: Rebalancing and Reconstitution -- 4. Uses of Market Indices -- 4.1. Gauges of Market Sentiment -- 4.2. Proxies for Measuring and Modeling Returns, Systematic Risk, and Risk-Adjusted Performance -- 4.3. Proxies for Asset Classes in Asset Allocation Models -- 4.4. Benchmarks for Actively Managed Portfolios -- 4.5. Model Portfolios for Investment Products -- 5. Equity Indices -- 5.1. Broad Market Indices -- 5.2. Multimarket Indices -- 5.3. Sector Indices -- 5.4. Style Indices -- 6. Fixed-Income Indices -- 6.1. Construction -- 6.2. Types of Fixed-Income Indices -- 7. Indices for Alternative Investments -- 7.1. Commodity Indices -- 7.2. Real Estate Investment Trust Indices -- 7.3. Hedge Fund Indices -- 8. Summary -- Problems -- Chapter 3: Market Efficiency -- Learning Outcomes -- 1. Introduction -- 2. The Concept of Market Efficiency -- 2.1. The Description of Efficient Markets -- 2.2. Market Value versus Intrinsic Value -- 2.3. Factors Contributing to and Impeding a Market's Efficiency -- 2.4. Transaction Costs and Information-Acquisition Costs -- 3. Forms of Market Efficiency -- 3.1. Weak Form -- 3.2. Semistrong Form -- 3.3. Strong Form -- 3.4. Implications of the Efficient Market Hypothesis -- 4. Market Pricing Anomalies -- 4.1. Time-Series Anomalies -- 4.2. Cross-Sectional Anomalies -- 4.3. Other Anomalies -- 4.4. Implications for Investment Strategies -- 5. Behavioral Finance -- 5.1. Loss Aversion -- 5.2. Overconfidence -- 5.3. Other Behavioral Biases -- 5.4. Information Cascades -- 5.5. Behavioral Finance and Efficient Markets -- 6. Summary -- Problems -- Chapter 4: Portfolio Management: An Overview -- Learning Outcomes -- 1. Introduction -- 2. A Portfolio Perspective on Investing -- 2.1. Portfolio Diversification: Avoiding Disaster -- 2.2. Portfolios: Reduce Risk.
2.3. Portfolios: Composition Matters for the Risk-Return Tradeoff -- 2.4. Portfolios: Not Necessarily Downside Protection -- 2.5. Portfolios: The Emergence of Modern Portfolio Theory -- 3. Investment Clients -- 3.1. Individual Investors -- 3.2. Institutional Investors -- 4. Steps in the Portfolio Management Process -- 4.1. Step One: The Planning Step -- 4.2. Step Two: The Execution Step -- 4.3. Step Three: The Feedback Step -- 5. Pooled Investments -- 5.1. Mutual Funds -- 5.2. Types of Mutual Funds -- 5.3. Other Investment Products -- 6. Summary -- Problems -- Chapter 5: Portfolio Risk and Return: Part I -- Learning Outcomes -- 1. Introduction -- 2. Investment Characteristics of Assets -- 2.1. Return -- 2.2. Other Major Return Measures and Their Applications -- 2.3. Variance and Covariance of Returns -- 2.4. Historical Return and Risk -- 2.5. Other Investment Characteristics -- 3. Risk Aversion and Portfolio Selection -- 3.1. The Concept of Risk Aversion -- 3.2. Utility Theory and Indifference Curves -- 3.3. Application of Utility Theory to Portfolio Selection -- 4. Portfolio Risk -- 4.1. Portfolio of Two Risky Assets -- 4.2. Portfolio of Many Risky Assets -- 4.3. The Power of Diversification -- 5. Efficient Frontier and Investor's Optimal Portfolio -- 5.1. Investment Opportunity Set -- 5.2. Minimum-Variance Portfolios -- 5.3. A Risk-Free Asset and Many Risky Assets -- 5.4. Optimal Investor Portfolio -- 6. Summary -- Problems -- Chapter 6: Portfolio Risk and Return: Part II -- Learning Outcomes -- 1. Introduction -- 2. Capital Market Theory -- 2.1. Portfolio of Risk-Free and Risky Assets -- 2.2. The Capital Market Line -- 3. Pricing of Risk and Computation of Expected Return -- 3.1. Systematic Risk and Nonsystematic Risk -- 3.2. Calculation and Interpretation of Beta -- 4. The Capital Asset Pricing Model -- 4.1. Assumptions of the CAPM.
4.2. The Security Market Line -- 4.3. Applications of the CAPM -- 5. Beyond the Capital Asset Pricing Model -- 5.1. The CAPM -- 5.2. Limitations of the CAPM -- 5.3. Extensions to the CAPM -- 5.4. The CAPM and Beyond -- 6. Summary -- Problems -- Chapter 7: Basics of Portfolio Planning and Construction -- Learning Outcomes -- 1. Introduction -- 2. Portfolio Planning -- 2.1. The Investment Policy Statement -- 2.2. Major Components of an IPS -- 2.3. Gathering Client Information -- 3. Portfolio Construction -- 3.1. Capital Market Expectations -- 3.2. The Strategic Asset Allocation -- 3.3. Steps toward an Actual Portfolio -- 3.4. Additional Portfolio Organizing Principles -- 4. Summary -- Problems -- Chapter 8: Overview of Equity Securities -- Learning Outcomes -- 1. Introduction -- 2. Equity Securities in Global Financial Markets -- 3. Types and Characteristics of Equity Securities -- 3.1. Common Shares -- 3.2. Preference Shares -- 4. Private versus Public Equity Securities -- 5. Investing in Nondomestic Equity Securities -- 5.1. Direct Investing -- 5.2. Depository Receipts -- 6. Risk and Return Characteristics of Equity Securities -- 6.1. Return Characteristics of Equity Securities -- 6.2. Risk of Equity Securities -- 7. Equity Securities and Company Value -- 7.1. Accounting Return on Equity -- 7.2. The Cost of Equity and Investors' Required Rates of Return -- 8. Summary -- Problems -- Chapter 9: Introduction to Industry and Company Analysis -- Learning Outcomes -- 1. Introduction -- 2. Uses of Industry Analysis -- 3. Approaches to Identifying Similar Companies -- 3.1. Products and/or Services Supplied -- 3.2. Business-Cycle Sensitivities -- 3.3. Statistical Similarities -- 4. Industry Classification Systems -- 4.1. Commercial Industry Classification Systems -- 4.2. Governmental Industry Classification Systems.
4.3. Strengths and Weaknesses of Current Systems -- 4.4. Constructing a Peer Group -- 5. Describing and Analyzing an Industry -- 5.1. Principles of Strategic Analysis -- 5.2. External Influences on Industry Growth, Profitability, and Risk -- 6. Company Analysis -- 6.1. Elements That Should Be Covered in a Company Analysis -- 6.2. Spreadsheet Modeling -- 7. Summary -- Problems -- Chapter 10: Equity Valuation: Concepts and Basic Tools -- Learning Outcomes -- 1. Introduction -- 2. Estimated Value and Market Price -- 3. Major Categories of Equity Valuation Models -- 4. Present Value Models: The Dividend Discount Model -- 4.1. Preferred Stock Valuation -- 4.2. The Gordon Growth Model -- 4.3. Multistage Dividend Discount Models -- 5. Multiplier Models -- 5.1. Relationships among Price Multiples, Present Value Models, and Fundamentals -- 5.2. The Method of Comparables -- 5.3. Illustration of a Valuation Based on Price Multiples -- 5.4. Enterprise Value -- 6. Asset-Based Valuation -- 7. Summary -- Problems -- Chapter 11: Equity Market Valuation -- Learning Outcomes -- 1. Introduction -- 2. Estimating a Justified P/E Ratio -- 2.1. Neoclassical Approach to Growth Accounting -- 2.2. The China Economic Experience -- 2.3. Quantifying China's Future Economic Growth -- 2.4. Equity Market Valuation -- 3. Top-Down and Bottom-Up Forecasting -- 3.1. Portfolio Suitability of Each Forecasting Type -- 3.2. Using Both Forecasting Types -- 3.3. Top-Down and Bottom-Up Forecasting of Market Earnings per Share -- 4. Relative Value Models -- 4.1. Earnings-Based Models -- 4.2. Asset-Based Models -- 5. Summary -- Problems -- Chapter 12: Technical Analysis -- Learning Outcomes -- 1. Introduction -- 2. Technical Analysis: Definition and Scope -- 2.1. Principles and Assumptions -- 2.2. Technical and Fundamental Analysis -- 3. Technical Analysis Tools -- 3.1. Charts -- 3.2. Trend.
3.3. Chart Patterns.
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Intro -- Investments: Principles of Portfolio and Equity Analysis -- Contents -- Foreword -- Acknowledgments -- Introduction -- Chapter 1: Market Organization and Structure -- Learning Outcomes -- 1. Introduction -- 2. The Functions of the Financial System -- 2.1. Helping People Achieve Their Purposes in Using the Financial System -- 2.2. Determining Rates of Return -- 2.3. Capital Allocation Efficiency -- 3. Assets and Contracts -- 3.1. Classifications of Assets and Markets -- 3.2. Securities -- 3.3. Currencies -- 3.4. Contracts -- 3.5. Commodities -- 3.6. Real Assets -- 4. Financial Intermediaries -- 4.1. Brokers, Exchanges, and Alternative Trading Systems -- 4.2. Dealers -- 4.3. Securitizers -- 4.4. Depository Institutions and Other Financial Corporations -- 4.5. Insurance Companies -- 4.6. Arbitrageurs -- 4.7. Settlement and Custodial Services -- 4.8. Summary -- 5. Positions -- 5.1. Short Positions -- 5.2. Levered Positions -- 6. Orders -- 6.1. Execution Instructions -- 6.2. Validity Instructions -- 6.3. Clearing Instructions -- 7. Primary Security Markets -- 7.1. Public Offerings -- 7.2. Private Placements and Other Primary Market Transactions -- 7.3. Importance of Secondary Markets to Primary Markets -- 8. Secondary Security Market and Contract Market Structures -- 8.1. Trading Sessions -- 8.2. Execution Mechanisms -- 8.3. Market Information Systems -- 9. Well-Functioning Financial Systems -- 10. Market Regulation -- 11. Summary -- Problems -- Chapter 2: Security Market Indices -- Learning Outcomes -- 1. Introduction -- 2. Index Definition and Calculations of Value and Returns -- 2.1. Calculation of Single-Period Returns -- 2.2. Calculation of Index Values over Multiple Time Periods -- 3. Index Construction and Management -- 3.1. Target Market and Security Selection -- 3.2. Index Weighting.

3.3. Index Management: Rebalancing and Reconstitution -- 4. Uses of Market Indices -- 4.1. Gauges of Market Sentiment -- 4.2. Proxies for Measuring and Modeling Returns, Systematic Risk, and Risk-Adjusted Performance -- 4.3. Proxies for Asset Classes in Asset Allocation Models -- 4.4. Benchmarks for Actively Managed Portfolios -- 4.5. Model Portfolios for Investment Products -- 5. Equity Indices -- 5.1. Broad Market Indices -- 5.2. Multimarket Indices -- 5.3. Sector Indices -- 5.4. Style Indices -- 6. Fixed-Income Indices -- 6.1. Construction -- 6.2. Types of Fixed-Income Indices -- 7. Indices for Alternative Investments -- 7.1. Commodity Indices -- 7.2. Real Estate Investment Trust Indices -- 7.3. Hedge Fund Indices -- 8. Summary -- Problems -- Chapter 3: Market Efficiency -- Learning Outcomes -- 1. Introduction -- 2. The Concept of Market Efficiency -- 2.1. The Description of Efficient Markets -- 2.2. Market Value versus Intrinsic Value -- 2.3. Factors Contributing to and Impeding a Market's Efficiency -- 2.4. Transaction Costs and Information-Acquisition Costs -- 3. Forms of Market Efficiency -- 3.1. Weak Form -- 3.2. Semistrong Form -- 3.3. Strong Form -- 3.4. Implications of the Efficient Market Hypothesis -- 4. Market Pricing Anomalies -- 4.1. Time-Series Anomalies -- 4.2. Cross-Sectional Anomalies -- 4.3. Other Anomalies -- 4.4. Implications for Investment Strategies -- 5. Behavioral Finance -- 5.1. Loss Aversion -- 5.2. Overconfidence -- 5.3. Other Behavioral Biases -- 5.4. Information Cascades -- 5.5. Behavioral Finance and Efficient Markets -- 6. Summary -- Problems -- Chapter 4: Portfolio Management: An Overview -- Learning Outcomes -- 1. Introduction -- 2. A Portfolio Perspective on Investing -- 2.1. Portfolio Diversification: Avoiding Disaster -- 2.2. Portfolios: Reduce Risk.

2.3. Portfolios: Composition Matters for the Risk-Return Tradeoff -- 2.4. Portfolios: Not Necessarily Downside Protection -- 2.5. Portfolios: The Emergence of Modern Portfolio Theory -- 3. Investment Clients -- 3.1. Individual Investors -- 3.2. Institutional Investors -- 4. Steps in the Portfolio Management Process -- 4.1. Step One: The Planning Step -- 4.2. Step Two: The Execution Step -- 4.3. Step Three: The Feedback Step -- 5. Pooled Investments -- 5.1. Mutual Funds -- 5.2. Types of Mutual Funds -- 5.3. Other Investment Products -- 6. Summary -- Problems -- Chapter 5: Portfolio Risk and Return: Part I -- Learning Outcomes -- 1. Introduction -- 2. Investment Characteristics of Assets -- 2.1. Return -- 2.2. Other Major Return Measures and Their Applications -- 2.3. Variance and Covariance of Returns -- 2.4. Historical Return and Risk -- 2.5. Other Investment Characteristics -- 3. Risk Aversion and Portfolio Selection -- 3.1. The Concept of Risk Aversion -- 3.2. Utility Theory and Indifference Curves -- 3.3. Application of Utility Theory to Portfolio Selection -- 4. Portfolio Risk -- 4.1. Portfolio of Two Risky Assets -- 4.2. Portfolio of Many Risky Assets -- 4.3. The Power of Diversification -- 5. Efficient Frontier and Investor's Optimal Portfolio -- 5.1. Investment Opportunity Set -- 5.2. Minimum-Variance Portfolios -- 5.3. A Risk-Free Asset and Many Risky Assets -- 5.4. Optimal Investor Portfolio -- 6. Summary -- Problems -- Chapter 6: Portfolio Risk and Return: Part II -- Learning Outcomes -- 1. Introduction -- 2. Capital Market Theory -- 2.1. Portfolio of Risk-Free and Risky Assets -- 2.2. The Capital Market Line -- 3. Pricing of Risk and Computation of Expected Return -- 3.1. Systematic Risk and Nonsystematic Risk -- 3.2. Calculation and Interpretation of Beta -- 4. The Capital Asset Pricing Model -- 4.1. Assumptions of the CAPM.

4.2. The Security Market Line -- 4.3. Applications of the CAPM -- 5. Beyond the Capital Asset Pricing Model -- 5.1. The CAPM -- 5.2. Limitations of the CAPM -- 5.3. Extensions to the CAPM -- 5.4. The CAPM and Beyond -- 6. Summary -- Problems -- Chapter 7: Basics of Portfolio Planning and Construction -- Learning Outcomes -- 1. Introduction -- 2. Portfolio Planning -- 2.1. The Investment Policy Statement -- 2.2. Major Components of an IPS -- 2.3. Gathering Client Information -- 3. Portfolio Construction -- 3.1. Capital Market Expectations -- 3.2. The Strategic Asset Allocation -- 3.3. Steps toward an Actual Portfolio -- 3.4. Additional Portfolio Organizing Principles -- 4. Summary -- Problems -- Chapter 8: Overview of Equity Securities -- Learning Outcomes -- 1. Introduction -- 2. Equity Securities in Global Financial Markets -- 3. Types and Characteristics of Equity Securities -- 3.1. Common Shares -- 3.2. Preference Shares -- 4. Private versus Public Equity Securities -- 5. Investing in Nondomestic Equity Securities -- 5.1. Direct Investing -- 5.2. Depository Receipts -- 6. Risk and Return Characteristics of Equity Securities -- 6.1. Return Characteristics of Equity Securities -- 6.2. Risk of Equity Securities -- 7. Equity Securities and Company Value -- 7.1. Accounting Return on Equity -- 7.2. The Cost of Equity and Investors' Required Rates of Return -- 8. Summary -- Problems -- Chapter 9: Introduction to Industry and Company Analysis -- Learning Outcomes -- 1. Introduction -- 2. Uses of Industry Analysis -- 3. Approaches to Identifying Similar Companies -- 3.1. Products and/or Services Supplied -- 3.2. Business-Cycle Sensitivities -- 3.3. Statistical Similarities -- 4. Industry Classification Systems -- 4.1. Commercial Industry Classification Systems -- 4.2. Governmental Industry Classification Systems.

4.3. Strengths and Weaknesses of Current Systems -- 4.4. Constructing a Peer Group -- 5. Describing and Analyzing an Industry -- 5.1. Principles of Strategic Analysis -- 5.2. External Influences on Industry Growth, Profitability, and Risk -- 6. Company Analysis -- 6.1. Elements That Should Be Covered in a Company Analysis -- 6.2. Spreadsheet Modeling -- 7. Summary -- Problems -- Chapter 10: Equity Valuation: Concepts and Basic Tools -- Learning Outcomes -- 1. Introduction -- 2. Estimated Value and Market Price -- 3. Major Categories of Equity Valuation Models -- 4. Present Value Models: The Dividend Discount Model -- 4.1. Preferred Stock Valuation -- 4.2. The Gordon Growth Model -- 4.3. Multistage Dividend Discount Models -- 5. Multiplier Models -- 5.1. Relationships among Price Multiples, Present Value Models, and Fundamentals -- 5.2. The Method of Comparables -- 5.3. Illustration of a Valuation Based on Price Multiples -- 5.4. Enterprise Value -- 6. Asset-Based Valuation -- 7. Summary -- Problems -- Chapter 11: Equity Market Valuation -- Learning Outcomes -- 1. Introduction -- 2. Estimating a Justified P/E Ratio -- 2.1. Neoclassical Approach to Growth Accounting -- 2.2. The China Economic Experience -- 2.3. Quantifying China's Future Economic Growth -- 2.4. Equity Market Valuation -- 3. Top-Down and Bottom-Up Forecasting -- 3.1. Portfolio Suitability of Each Forecasting Type -- 3.2. Using Both Forecasting Types -- 3.3. Top-Down and Bottom-Up Forecasting of Market Earnings per Share -- 4. Relative Value Models -- 4.1. Earnings-Based Models -- 4.2. Asset-Based Models -- 5. Summary -- Problems -- Chapter 12: Technical Analysis -- Learning Outcomes -- 1. Introduction -- 2. Technical Analysis: Definition and Scope -- 2.1. Principles and Assumptions -- 2.2. Technical and Fundamental Analysis -- 3. Technical Analysis Tools -- 3.1. Charts -- 3.2. Trend.

3.3. Chart Patterns.

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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.

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