CB GDPaCh1 2016 .pdf



Nom original: CB_GDPaCh1_2016.pdfTitre: Investments - IntroductionAuteur: Ric

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Gestion de
portefeuille avancée
7e édition

Christophe Boucher

christophe.boucher@u-paris10.fr

Preamble

2

A Little Quizz – IQ Test for
Managing Money
• A bat and a ball cost $1.10 in total. The bat costs
$1.00 more than the ball. How much does the ball
cost? 5 cents and not 10 cents
• If it takes 5 machines 5 minutes to make 5
widgets, how long would it take 100 machines to
make 100 widgets? 5 minutes and not 100 minutes
• In a lake, there is a patch of lilypads. Everyday,
the patch doubles in size. If it takes 48 days for the
patch to cover the entire lake, how long would it
take for the patch to cover half of the lake?
47 days and not 24
+ writing !!! + etc.
3

A Typical Day before 3rd October
2016

Source: Bureau of Labor Statistics
4

A Typical Day after 3rd October
2016

Portfolio
Management +
market + newsflow

Source: Bureau of Labor Statistics
5

Shareholder Sentiment Rises and Falls
with Stock Market Performance

Source: Investment Company Fact Bbook (2010).
6

Front – Middle – Back

Gestion de portefeuille avancée –
Christophe BOUCHER

Front – Middle – Back

Gestion de portefeuille avancée –
Christophe BOUCHER

Front – Middle – Back

Gestion de portefeuille avancée –
Christophe BOUCHER

Front – Middle – Back

Gestion de portefeuille avancée –
Christophe BOUCHER

Front – Middle – Back

Gestion de portefeuille avancée –
Christophe BOUCHER

Front – Middle – Back

Gestion de portefeuille avancée –
Christophe BOUCHER

Front – Middle – Back

Gestion de portefeuille avancée –
Christophe BOUCHER

Front – Middle – Back

Gestion de portefeuille avancée –
Christophe BOUCHER

Front – Middle – Back

Gestion de portefeuille avancée –
Christophe BOUCHER

Front – Middle – Back

Gestion de portefeuille avancée –
Christophe BOUCHER

Front – Middle – Back

Gestion de portefeuille avancée –
Christophe BOUCHER

Front – Middle – Back

Gestion de portefeuille avancée –
Christophe BOUCHER

Other

Gestion de portefeuille avancée –
Christophe BOUCHER

Other

Gestion de portefeuille avancée –
Christophe BOUCHER

Other

Gestion de portefeuille avancée –
Christophe BOUCHER

Other

Gestion de portefeuille avancée –
Christophe BOUCHER

Other

Gestion de portefeuille avancée –
Christophe BOUCHER

Other

Gestion de portefeuille avancée –
Christophe BOUCHER

Jobs

Gestion de portefeuille avancée –
Christophe BOUCHER

Jobs

Gestion de portefeuille avancée –
Christophe BOUCHER

Jobs

Gestion de portefeuille avancée –
Christophe BOUCHER

Jobs

Gestion de portefeuille avancée –
Christophe BOUCHER

Jobs

Gestion de portefeuille avancée –
Christophe BOUCHER

How the Financial World Sees Itself?

Source: Investment Company Fact Bbook (2010).
30

Part 1. General Introduction
1.1 Basic Concepts

1.2 Financial Securities
1.3 Securities Markets

1.4 Mutual Funds and Other Investment Companies

Gestion de portefeuille avancée –
Christophe BOUCHER

31

1.1 Basic Concepts

Gestion de portefeuille avancée –
Christophe BOUCHER

32

Real Assets vs
Financial Assets
• Essential nature of investment
– Reduced current consumption
– In return for future benefits

• Real Assets
– Assets used to produce goods and
services
– Land, Buildings, Equipment

• Financial Assets
– Claims on real assets
Gestion de portefeuille avancée –
Christophe BOUCHER

33

Balance Sheet – U.S.
Households, 2007

Source: BKM (2009)

Gestion de portefeuille avancée –
Christophe BOUCHER

34

A Taxonomy of Financial
Assets
• Debt
– Money market instruments
– Capital market instruments

• Common stock
• Preferred stock
• Derivative securities

Gestion de portefeuille avancée –
Christophe BOUCHER

35

Financial Markets
• Dissemination of Financial Information
• Timing of Consumption and Investment
• Allocation of Risk:
– Stock vs. Bond

• Separation of Ownership and
Management
– Agency Issues

Gestion de portefeuille avancée –
Christophe BOUCHER

36

Asset Allocation Process
• Top-down vs Bottom-up
• Choice of different markets vs individual
security selection
• 2 steps in the asset allocation process:
1) Strategic Allocation (Risk/Return)
2) Tactical Allocation (adjustments based on short-term
anticipations):
· Step 1: forecast asset returns by asset classes
· Step 2: build portfolios based on forecasts (i.e., turn signals into bets)
· Step 3: conduct out-of-sample performance tests

Gestion de portefeuille avancée –
Christophe BOUCHER

37

The Risk Return Trade-off
• Assets with higher expected returns have
greater risk
• What role does diversification play
– Systematic risk
– Unsystematic (Idiosyncratic) risk

• How should one measure risk
– Efficient Frontier
– Efficient Frontier with Risk-Free Asset
– Tobin’s Separation Theorem
Gestion de portefeuille avancée –
Christophe BOUCHER

38

Returns and risk

Source: RBC
Gestion de portefeuille avancée –
Christophe BOUCHER

39

Efficient Markets Theory
vs Behavioral Finance
• Should be neither underpriced nor
overpriced securities
• Security price should reflect all information
available to investors
• EMT  No free lunch
• BUT arbitrage is risky and limited

Gestion de portefeuille avancée –
Christophe BOUCHER

40

Active vs Passive
Management
Active Management
• Finding undervalued securities
• Timing the market (try!!)
Passive Management
• No attempt to find undervalued securities
• No attempt to time
• Holding an efficient portfolio
Gestion de portefeuille avancée –
Christophe BOUCHER

41

Active vs Passive
Management

Gestion de portefeuille avancée –
Christophe BOUCHER

42

Players
• Business Firms – net borrowers
• Households – net savers
• Governments – can be both borrowers and
savers
• Financial Intermediaries





Banks
Investment companies
Insurance companies
Brokers

• Investment Bankers
Gestion de portefeuille avancée –
Christophe BOUCHER

43

Key Trends: Globalization
• Managing foreign exchange
• Diversification to improve performance
• New instruments and vehicles
• Information and analysis improves

Gestion de portefeuille avancée –
Christophe BOUCHER

44

Key Trends: Fund Industry
Growth
• Mutual Funds
• Exchange-traded Funds
• Closed-end Funds

• Unit Investment Trust Sponsors

Gestion de portefeuille avancée –
Christophe BOUCHER

45

Fund Industry Growth

Source: Investment Company Institute (ICI).

Gestion de portefeuille avancée –
Christophe BOUCHER

46

Key Trends: Securitization
• Offers opportunities for investors and
originators
• Changes in financial institutions and
regulation
• Improvement in information capabilities
• Credit enhancement and its role

Gestion de portefeuille avancée –
Christophe BOUCHER

47

Securitization
Asset Backed Securities Outstanding

Source: BKM (2009)

Gestion de portefeuille avancée –
Christophe BOUCHER

48

Key Trends: Financial
Engineering
• Bundling and unbundling of securities
• Design structured security to satisfy
market demand

• Apply theoretical finance and computer
modeling skills to make pricing, hedging,
trading and portfolio management
decisions.

Gestion de portefeuille avancée –
Christophe BOUCHER

49

Financial Engineering
• Examples:
– Futures Option, Swaption, Spread Option
– Convertible bond, Callable bond, Index
bond, Floater
– CMO, IO, PO
– CDO, Credit swap, Credit linked bond
– ABS, Lease, Real option

Gestion de portefeuille avancée –
Christophe BOUCHER

50


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