Samenvatting gebaseerd op de colleges van Koen Inghelbrecht, essentials of investments handboek en bronnen van het internet om zo duidelijk mogelijk te zijn.
Beleggingsanalyse en
Portefeuillebeheer
Deel 1
ACADEMIEJAAR 2017-2018
PROF K. INGHELBRECHT
,Inhoudsopgave
1 Introduction: Some General Concepts and the Investment Process ................................................. 3
1.1 Inleiding ........................................................................................................................................... 3
1.2 Basisconcepten ................................................................................................................................ 5
1.2.1 Return en risk .......................................................................................................................... 5
1.2.2 Trade-off tussen risico en return ............................................................................................. 5
1.2.3 Efficiënte markten ................................................................................................................... 7
1.2.4 Prijsbepaling van activa ........................................................................................................... 7
1.2.5 Diversificatie ............................................................................................................................ 8
1.3 Soorten investeringen ..................................................................................................................... 8
1.4 Spelers in de financiële markt ......................................................................................................... 9
1.5 De rol van de financiële markt (primair vs secundair) ..................................................................... 9
1.5.1 Primaire markt ......................................................................................................................... 9
1.5.2 Secundaire markt................................................................................................................... 11
1.6 Investeringsproces......................................................................................................................... 14
1.6.1 Investeringsbeslissingen ........................................................................................................ 15
1.6.2 Investeringsmanagement ...................................................................................................... 15
1.6.3 Factoren die de investeringsbeslissing beïnvloeden ............................................................. 16
2 Direct en indirect investeren ......................................................................................................... 17
2.1 Direct investeren ........................................................................................................................... 17
2.1.1 Soorten assets (geldmarkt, obligaties, aandelen, derivaten) ................................................ 17
2.1.2 Aandelen- en obligatiemarkt indexen ................................................................................... 20
2.1.3 Derivaten ............................................................................................................................... 21
2.1.4 Indexen op aandelenmarkten en obligatiemarkten .............................................................. 22
2.2 Indirect investeren ......................................................................................................................... 26
2.2.1 Investeringsbedrijven ............................................................................................................ 27
2.2.2 Open-end fondsen versus closed-end fondsen ..................................................................... 28
2.2.3 Mutual funds ......................................................................................................................... 31
2.2.4 Hoe kiezen we een mutual fund ............................................................................................ 35
2.2.5 ETF’s (exchange-traded fund) ................................................................................................ 40
3 Return, Risico en portefeuilletheorie ............................................................................................. 42
3.1 Returns ........................................................................................................................................ 43
3.1.1 Holding period return ............................................................................................................ 43
3.1.2 Return over multiple periods and return/price indices ......................................................... 44
3.1.3 Summary statistics for returns ............................................................................................ 45
3.2 Expected Return ......................................................................................................................... 46
3.2.1 Scenario-analyse .................................................................................................................... 46
3.2.2 Historische benadering: arithmetic average return .............................................................. 46
3.3 (Expected) Risk .............................................................................................................................. 47
3.3.1 Risicobronnen ........................................................................................................................ 47
3.3.2 Hoe gaan we risico meten? ................................................................................................... 48
3.4 Required Rate of Return ................................................................................................................ 50
3.4.1 Nominal versus Real Interest Rates ....................................................................................... 50
3.4.2 Risk Premiums .................................................................................................................... 51
3.5 Portfolio Theory ............................................................................................................................. 54
3.5.1 Risk Premium and Risk aversion ............................................................................................ 54
3.5.2 Capital allocation ................................................................................................................... 55
3.5.3 Capital allocation line ............................................................................................................ 56
3.5.4 CAL in de praktijk ................................................................................................................ 59
3.5.5 Bespreking paper: Dimson, Marsh & Staunton (2003) .......................................................... 60
2
,1 Introduction: Some General Concepts and the Investment
Process
1.1 Inleiding
Voor erg kredietwaardige landen zijn de rentes op
overheidsobligaties negatief (anno 2016). Investeerders
gaan er dus mee akkoord om geld te verliezen om hun
geld veilig te parkeren. Waarom?
ð Veiligheid, investeerders willen zeker hun geld
terug en betalen hier graag een prijs voor.
ð Ze verwachten dat de intrest verder zal dalen
waardoor de huidige obligaties in prijs toenemen
(negatieve relatie tussen prijs obligatie en de
intrestvoet). Bij deflatie verandert dit.
ð Wisselkoersrisico: stel dat je instapt in een
obligatie van Japan. Als de JPY dan stijgt zal dit
een wisselkoersopbrengst genereren.
ð Institutionele investeerders: deze investeerders
moeten bepaalde hoeveelheden investeren in
overheidsobligaties en moeten dus ook leven
met negatieve rentes (bv. Pensioenfondsen).
Besluit: Apple is geen financiële instelling en zag dus niet zo veel af van de financiële crisis als Ageas.
Het betekent dus dat investeren in 1 bepaald aandeel het risico op een totaal verlies veel groter is.
3
, Door diversificatie worden risico’s op individuele crashes ingeperkt. Er is dus minder fluctuatie.
Dat geldt ook voor winsten. Door diversificatie kan je hetzelfde verwachte rendement behouden maar wel
aan een kleiner risico.
Op lange termijn hebben de aandelen beter gepresteerd dan obligaties (US-markt).
Ook logisch aangezien het risico op obligaties lager ligt.
Aandelen (hoog risico, kans op hogere return) fluctueren meer dan aandelenindexen (minder hoge returns
maar ook lager risico). Aandelenindexen fluctueren dan weer meer dan obligatie-indexen (nog lagere
return alsook lager risico).
4
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