25-1
第 25章国际投资
International Investing
25-2
国际投资
International Investing
25.1 国际投资
25.2 世界股票市场
25.3 国际分散化
25.4 汇率风险
25.5 消极与积极的国际投资
25.6 因素模型与国际投资
25.7 世界资本市场的均衡
25-3
国际投资背景
Background
全球市场 Global Market
– 美国市场大约占全部市场的 50%
US Market is approx,50% of all markets
– 改善了的市场准入体系和技术
Improved access & technology
– 新投资工具 New Instruments
调查的重要性
Emphasis for our investigation
– 风险评估 Risk Assessment
– 多样化 Diversification
25-4
问题
Issues
什么是投资外国证券的风险？
What are the risks involved in investment
in foreign securities?
如何测量国际投资的基准收益？
How do you measure benchmark returns
on foreign investments?
对分散投资外国证券有否好处？
Are there benefits to diversification in
foreign securities?
25-5
国际投资风险：汇率
Risks in International Investing,Foreign Exchange
汇率风险 Exchange Rate Risk
本国货币对外币相对价值的变化会涉及投资收益的变动
Variation in return related to changes in the relative
value of the domestic and foreign currency
总的收益 = 投资收益加上汇率变动的收益
Total Return = Investment return plus return on foreign
exchange
对国际投资完全套期是不可能的
Not possible to completely hedge a foreign investment
25-6
国际投资收益
Returns with FX
在美国，投资的收益函数是两因数函数
Return in US is a function of two factors
1,外国市场的收益 Return in the foreign market
2,汇率收益 Return on the foreign exchange
25-7
国际投资收益
Returns with FX
(1 + rUS) = (1 + rFM) (1 + rFX)
rUS = 国际投资的美元收益 return on the
foreign investment in US Dollars
rFM = 外国市场的本币收益 return on the
foreign market in local currency
rFX = 汇率收益 return on the foreign
exchange
25-8
收益举例：美元对英磅贬值
Return Example,Dollar Depreciates Relative to the Pound
初始投资 Initial Investment,$100,000
初始汇率 2美元对 1英磅
Initial Exchange,$2.00/ Pound Sterling
最后汇率 2。 1美元对 1英磅
Final Exchange:$2.10/ Pound Sterling
英国证券的收益率,10%
Return in British Security,10%
收益（按美元计） Return in US Dollars
(1 + rUS) = (1.10) (1.05) = (1.155)
rUS = 15.5%
25-9
收益举例：美元对英磅升值
Return Example,Dollar Appreciates Relative to the Pound
初始投资 Initial Investment,$100,000
初始汇率 2美元对 1英磅
Initial Exchange,$2/ Pound Sterling
最后汇率 1。 85美元对 1英磅
Final Exchange,$1.85/ Pound Sterling
英国证券的收益率：
Return in British Security,10%
收益（按美元计） Return in US Dollars
(1 + rUS) = (1.10) (.9250) = (1.0175)
rUS = 1.75%
25-10
国际投资的其它风险
Other Risks in International Investing
国家原由 Country - Specific
风险类别 Composition
– 政治 Political
– 金融 Financial
– 经济 Economic
综合率 Composite Ratings
25-11
国际投资选择
Int’l Investment Choices
直接投资股票 Direct Stock Purchases
共同基金 Mutual Funds
– 开放式 Open End
– 封闭式 Closed End
– 网络式 WEBS
25-12
多样化投资的益处
Diversification Benefits
事实表明国际多样化投资是有益的
Evidence shows international
diversification is beneficial
有可能延伸本国投资领域
Possible to expand the efficient frontier
above domestic only frontier
有可能减少本国系统风险水平
Possible to reduce the systematic risk
level below the domestic only level
25-13
国际多样化投资的有效领域
Efficient Frontier with International Diversification
收益 Return
风险 Risk
* *
*
**
* *
* 本国 Dom
国际 Int’l
25-14
国际多样化的系统风险
Systematic Risk Level with International Diversification
风险 Risk%
股票数 Securities
国际 Int’l
本国 Dom
25-15
积极的国际投资业绩评估因素
Factors in Assessing Active International
Investment Performance
货币选择 Currency Selection
国家选择 Country Selection
股票选择 Stock Selection
现金 /债券选择 Cash / Bond Selection
25-16
小结美国股权只占世界股权资产组合的一小部分，
国际资本市场为资产组合的分散化与强化风险 -
收益特性提供了重要的机会。 U.S,equities are
only a small fraction of the world equity
portfolio,International capital markets offer
important opportunities for portfolio
diversification with enhanced risk–return
characteristics.
25-17
小结以外汇投资会产生一个额外的不确定的汇率风险，大部分汇率风险可以通过运用外汇期货或外汇远期对冲掉，但是，一个完全的套期保值是难以做到的，因为外币的收益率难以确定。 Exchange rate risk imparts
an extra source of uncertainty to investments
denominated in foreign currencies,Much of that risk
can be hedged in foreign exchange futures or for-
ward markets,but a perfect hedge is not feasible
unless the foreign currency rate of return is known.
25-18
小结有些世界市场指数可以成为消极国际投资的基础，积极的国际投资可以划分为货币选择、国家选择、股票选择与现金 /债券选择。
Several world market indexes can form a
basis for passive international investing,
Active international management can be
partitioned into currency selection,country
selection,stock selection,and cash/bond
selection.
25-19
小结国际投资中运用因素模型将包括世界因素与国内因素，虽然一些证据表明国内因素是影响股票收益率的主要因素，但是,1987年 10月的股市崩盘证明了存在着国际因素的重要影响。
A factor model applied to international
investing would include a world factor as well
as the usual domestic factors,Although some
evidence suggests domestic factors dominate
stock returns,effects of the October 1987
crash demonstrate existence of an important
international factor.
第 25章国际投资
International Investing
25-2
国际投资
International Investing
25.1 国际投资
25.2 世界股票市场
25.3 国际分散化
25.4 汇率风险
25.5 消极与积极的国际投资
25.6 因素模型与国际投资
25.7 世界资本市场的均衡
25-3
国际投资背景
Background
全球市场 Global Market
– 美国市场大约占全部市场的 50%
US Market is approx,50% of all markets
– 改善了的市场准入体系和技术
Improved access & technology
– 新投资工具 New Instruments
调查的重要性
Emphasis for our investigation
– 风险评估 Risk Assessment
– 多样化 Diversification
25-4
问题
Issues
什么是投资外国证券的风险？
What are the risks involved in investment
in foreign securities?
如何测量国际投资的基准收益？
How do you measure benchmark returns
on foreign investments?
对分散投资外国证券有否好处？
Are there benefits to diversification in
foreign securities?
25-5
国际投资风险：汇率
Risks in International Investing,Foreign Exchange
汇率风险 Exchange Rate Risk
本国货币对外币相对价值的变化会涉及投资收益的变动
Variation in return related to changes in the relative
value of the domestic and foreign currency
总的收益 = 投资收益加上汇率变动的收益
Total Return = Investment return plus return on foreign
exchange
对国际投资完全套期是不可能的
Not possible to completely hedge a foreign investment
25-6
国际投资收益
Returns with FX
在美国，投资的收益函数是两因数函数
Return in US is a function of two factors
1,外国市场的收益 Return in the foreign market
2,汇率收益 Return on the foreign exchange
25-7
国际投资收益
Returns with FX
(1 + rUS) = (1 + rFM) (1 + rFX)
rUS = 国际投资的美元收益 return on the
foreign investment in US Dollars
rFM = 外国市场的本币收益 return on the
foreign market in local currency
rFX = 汇率收益 return on the foreign
exchange
25-8
收益举例：美元对英磅贬值
Return Example,Dollar Depreciates Relative to the Pound
初始投资 Initial Investment,$100,000
初始汇率 2美元对 1英磅
Initial Exchange,$2.00/ Pound Sterling
最后汇率 2。 1美元对 1英磅
Final Exchange:$2.10/ Pound Sterling
英国证券的收益率,10%
Return in British Security,10%
收益（按美元计） Return in US Dollars
(1 + rUS) = (1.10) (1.05) = (1.155)
rUS = 15.5%
25-9
收益举例：美元对英磅升值
Return Example,Dollar Appreciates Relative to the Pound
初始投资 Initial Investment,$100,000
初始汇率 2美元对 1英磅
Initial Exchange,$2/ Pound Sterling
最后汇率 1。 85美元对 1英磅
Final Exchange,$1.85/ Pound Sterling
英国证券的收益率：
Return in British Security,10%
收益（按美元计） Return in US Dollars
(1 + rUS) = (1.10) (.9250) = (1.0175)
rUS = 1.75%
25-10
国际投资的其它风险
Other Risks in International Investing
国家原由 Country - Specific
风险类别 Composition
– 政治 Political
– 金融 Financial
– 经济 Economic
综合率 Composite Ratings
25-11
国际投资选择
Int’l Investment Choices
直接投资股票 Direct Stock Purchases
共同基金 Mutual Funds
– 开放式 Open End
– 封闭式 Closed End
– 网络式 WEBS
25-12
多样化投资的益处
Diversification Benefits
事实表明国际多样化投资是有益的
Evidence shows international
diversification is beneficial
有可能延伸本国投资领域
Possible to expand the efficient frontier
above domestic only frontier
有可能减少本国系统风险水平
Possible to reduce the systematic risk
level below the domestic only level
25-13
国际多样化投资的有效领域
Efficient Frontier with International Diversification
收益 Return
风险 Risk
* *
*
**
* *
* 本国 Dom
国际 Int’l
25-14
国际多样化的系统风险
Systematic Risk Level with International Diversification
风险 Risk%
股票数 Securities
国际 Int’l
本国 Dom
25-15
积极的国际投资业绩评估因素
Factors in Assessing Active International
Investment Performance
货币选择 Currency Selection
国家选择 Country Selection
股票选择 Stock Selection
现金 /债券选择 Cash / Bond Selection
25-16
小结美国股权只占世界股权资产组合的一小部分，
国际资本市场为资产组合的分散化与强化风险 -
收益特性提供了重要的机会。 U.S,equities are
only a small fraction of the world equity
portfolio,International capital markets offer
important opportunities for portfolio
diversification with enhanced risk–return
characteristics.
25-17
小结以外汇投资会产生一个额外的不确定的汇率风险，大部分汇率风险可以通过运用外汇期货或外汇远期对冲掉，但是，一个完全的套期保值是难以做到的，因为外币的收益率难以确定。 Exchange rate risk imparts
an extra source of uncertainty to investments
denominated in foreign currencies,Much of that risk
can be hedged in foreign exchange futures or for-
ward markets,but a perfect hedge is not feasible
unless the foreign currency rate of return is known.
25-18
小结有些世界市场指数可以成为消极国际投资的基础，积极的国际投资可以划分为货币选择、国家选择、股票选择与现金 /债券选择。
Several world market indexes can form a
basis for passive international investing,
Active international management can be
partitioned into currency selection,country
selection,stock selection,and cash/bond
selection.
25-19
小结国际投资中运用因素模型将包括世界因素与国内因素，虽然一些证据表明国内因素是影响股票收益率的主要因素，但是,1987年 10月的股市崩盘证明了存在着国际因素的重要影响。
A factor model applied to international
investing would include a world factor as well
as the usual domestic factors,Although some
evidence suggests domestic factors dominate
stock returns,effects of the October 1987
crash demonstrate existence of an important
international factor.
