InvestmentsPrinciples of Portfolio and Equity Analysis
CFA Institute Investment Series, Band 37 1. Aufl.
A comprehensive guide to investment analysis and portfolio management by an expert team from the CFA Institute In a world of specialization, no other profession likely requires such broad, yet in-depth knowledge than that of financial analyst. Financial analysts must not only possess a broad understanding of the financial markets-including structure, organization, efficiency, portfolio management, risk and return, and planning and construction-but they must also have a strong sense of how to evaluate industries and companies prior to engaging in an analysis of a specific stock. Investments: Principles of Portfolio and Equity Analysis provides the broad-based knowledge professionals and students of the markets need to manage money and maximize return. The book Details market structure and functions, market anomalies, secondary market basics, and regulation Describes investment assets and asset classes, types of positions and orders, as well as forecasting methodologies Discusses return and risk characteristics, portfolio diversification and management, the basics of both technical analysis and major technical indicators, and much more A companion Workbook, which includes learning outcomes, summary overviews, and problems and solutions sections is available and sold separately Investments provides readers unparalleled access to the best in professional quality information on investment analysis and portfolio management.
Foreword xiii Acknowledgments xv Introduction xvii CHAPTER 1 Market Organization and Structure 1 Learning Outcomes 1 1. Introduction 1 2. The Functions of the Financial System 2 3. Assets and Contracts 10 4. Financial Intermediaries 24 5. Positions 35 6. Orders 41 7. Primary Security Markets 47 8. Secondary Security Market and Contract Market Structures 51 9. Well-Functioning Financial Systems 56 10. Market Regulation 58 11. Summary 61 CHAPTER 2 Security Market Indices 73 Learning Outcomes 73 1. Introduction 73 2. Index Definition and Calculations of Value and Returns 75 3. Index Construction and Management 78 4. Uses of Market Indices 90 5. Equity Indices 91 6. Fixed-Income Indices 94 7. Indices for Alternative Investments 96 8. Summary 101 CHAPTER 3 Market Efficiency 109 Learning Outcomes 109 1. Introduction 109 2. The Concept of Market Efficiency 111 3. Forms of Market Efficiency 118 4. Market Pricing Anomalies 124 5. Behavioral Finance 131 6. Summary 134 CHAPTER 4 Portfolio Management: An Overview 139 Learning Outcomes 139 1. Introduction 139 2. A Portfolio Perspective on Investing 140 3. Investment Clients 149 4. Steps in the Portfolio Management Process 156 5. Pooled Investments 160 6. Summary 172 CHAPTER 5 Portfolio Risk and Return: Part I 175 Learning Outcomes 175 1. Introduction 175 2. Investment Characteristics of Assets 176 3. Risk Aversion and Portfolio Selection 200 4. Portfolio Risk 209 5. Efficient Frontier and Investor’s Optimal Portfolio 222 6. Summary 234 CHAPTER 6 Portfolio Risk and Return: Part II 243 Learning Outcomes 243 1. Introduction 243 2. Capital Market Theory 244 3. Pricing of Risk and Computation of Expected Return 256 4. The Capital Asset Pricing Model 267 5. Beyond the Capital Asset Pricing Model 284 6. Summary 287 CHAPTER 7 Basics of Portfolio Planning and Construction 295 Learning Outcomes 295 1. Introduction 295 2. Portfolio Planning 296 3. Portfolio Construction 312 4. Summary 326 CHAPTER 8 Overview of Equity Securities 331 Learning Outcomes 331 1. Introduction 331 2. Equity Securities in Global Financial Markets 332 3. Types and Characteristics of Equity Securities 338 4. Private versus Public Equity Securities 345 5. Investing in Nondomestic Equity Securities 347 6. Risk and Return Characteristics of Equity Securities 353 7. Equity Securities and Company Value 356 8. Summary 362 CHAPTER 9 Introduction to Industry and Company Analysis 369 Learning Outcomes 369 1. Introduction 370 2. Uses of Industry Analysis 370 3. Approaches to Identifying Similar Companies 371 4. Industry Classification Systems 374 5. Describing and Analyzing an Industry 385 6. Company Analysis 412 7. Summary 417 CHAPTER 10 Equity Valuation: Concepts and Basic Tools 425 Learning Outcomes 425 1. Introduction 426 2. Estimated Value and Market Price 426 3. Major Categories of Equity Valuation Models 428 4. Present Value Models: The Dividend Discount Model 430 5. Multiplier Models 445 6. Asset-Based Valuation 457 7. Summary 461 CHAPTER 11 Equity Market Valuation 469 Learning Outcomes 469 1. Introduction 469 2. Estimating a Justified P/E Ratio 470 3. Top-Down and Bottom-Up Forecasting 484 4. Relative Value Models 491 5. Summary 506 CHAPTER 12 Technical Analysis 515 Learning Outcomes 515 1. Introduction 515 2. Technical Analysis: Definition and Scope 516 3. Technical Analysis Tools 520 4. Elliott Wave Theory 563 5. Intermarket Analysis 566 6. Summary 568 Problems 570 Glossary 575 References 589 About the Authors 595 About the CFA Program 601 Index 603
MICHAEL G. MCMILLAN, CFA is Director, Ethics and Professional Standards in the Education Division of CFA Institute. Dr. McMillan joined CFA Institute in 2008 after more than a decade as a professor of accounting and finance at Johns Hopkins University's Carey Business School and The George Washington University's School of Business. He has a doctorate in accounting and finance from The George Washington University, an MBA from Stanford University, and a BA from the University of Pennsylvania. Dr. McMillan is a member of the CFA Society of Washington, DC and the East African Society of Investment Professionals. JERALD E. PINTO, CFA is Director, Curriculum Projects, in the Education Division of CFA Institute. Before coming to CFA Institute in 2002, he consulted to corporations, foundations, and partnerships in investment planning, portfolio analysis, and quantitative analysis. He has also worked in the investment and banking industries in New York City and taught finance at New York University's Stern School of Business. He holds an MBA from Baruch College, a PhD in finance from the Stern School, and earned his CFA charter in 1992. WENDY L. PIRIE, CFA is Director, Curriculum Projects, in the Education Division of CFA Institute. Prior to joining CFA Institute in 2008, she taught finance, accounting, statistics, taxation, business law, and marketing for over twenty years at both large and small, public and private universities, religious colleges, and military academies. Her work has been published in Journal of Financial Research and Journal of Economics and Finance. She holds a PhD from Queen's University in Kingston, Ontario and MBAs fromthe Universities of Toronto and Calgary. GERHARD VAN DE VENTER, CFA is Deputy Head of the School of Finance and Economics at University of Technology, Sydney. He was previously director, Curriculum Projects, in the Education Division of CFA Institute. He began his career in South Africa as a financial analyst and later as a dealer at the Bond Exchange, where he traded fixed income securities. He holds a PhD in finance from the University of Technology, Sydney. He is a member of CFA Institute and the New York Society of Security Analysts.
Investment success requires both breadth and depth of knowledge of markets, industries, companies, and securities. Investment profes-sionals must possess a broad understanding of the financial markets to be able to judge opportunities and risks. They must also have the ability to evaluate in detail industries and individual companies to make sound judgments about individual holdings. As part of the CFA Institute Investment Series, Investments: Principles of Portfolio and Equity Analysis has been specifically designed to provide you with the knowledge you need to effectively and efficiently manage portfolios in today's volatile markets and uncertain global economy. With Investments: Principles of Portfolio and Equity Analysis, a distinguished team of senior investment professionals and leading business school authorities provides you with complete coverage of the most important issues in this field. Written with both the established and aspiring financial analyst in mind, this book will help you understand the mechanics of professional money management, including: Portfolio management Portfolio planning and construction Portfolio risk and return Equity security analysis and valuation Along the way, you will also become familiar with market organization and structure, security market indices, market efficiency, the types of equity securities, industry and company analysis, technical analysis, and a range of equity valuation techniques. And to enhance your understanding of the tools and techniques presented here, don't forget to pick up the Investments Workbook: Principles of Portfolio and Equity Analysis. This companion guide contains carefully constructed problems with detailed solutions as well as concise learning outcome statements and summary chapter overviews. Straightforward and accessible, Investments: Principles of Portfolio and Equity Analysis provides you with in-depth insights and expert advice on investment analysis and portfolio management, and the practical guide does so with a continuity of coverage that is critical to the learning process.
"This most thorough, carefully researched, and splendidly organized book constitutes the most relevant and up-to-date work on portfolio and equity analysis available. It provides masterly coverage of all aspects of portfolio analysis, including index construction, ETFs, modern portfolio theory, behavioral finance, technical analysis, and much more. It is a must-read for practitioners, for those preparing to enter the field of portfolio management, and will also be a standard in the university classroom." —PHILIP FANARA Jr., CFA, Morgan Stanley Foundation Professor of Finance, Department of Finance, International Business, and Insurance, School of Business, Howard University "Investments: Principles of Portfolio and Equity Analysis provides a timely and comprehensive guide to equity analysis and an invaluable guide for portfolio management. Anyone with more than a passing interest in portfolio and equity analysis will benefit from the study of this book." —LAVONE F. WHITMER, CFA, Vice President and Investment Manager, Indiana Trust & Investment Management "The reader will learn how rigorous investment theory can be put efficiently in practice." —JACQUES R. GAGNE, CFA, CIPM, Asset and Risk Manager "A great refresher of fundamental investment concepts that also covers advanced topics, the latest thinking, and best global practices in financial analysis and portfolio management. Having collected the wisdom of multiple authors from across the globe really sets this book apart." —VICTORIA RATI, CFA, Investment Research Analyst
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