2016第7讲 投资银行的自营业务.ppt

第七讲 投资银行的自营业务;☆Proprietary Trading;2.主动管理策略（active bond management strategy） 1) bond portfolio rebalancing activities (by Homer and Liebowitz) ?the substitution swap ? the intermarket spread swap ? the rate anticipation swap ? the pure yield pickup swap (净收益改善调换) ;2）Horizon Analysis 骑乘收益率曲线策略（riding the yield curve）;;;指数型股票基金的构建;;Mutual Fund Performance Evaluation; 隐含波动率与期权头寸选取 ;附1：巴菲特的投资哲学 ——The philosophy of value-based investing;5.On diversification. Buffett disagreed with conventional wisdom that investors should hold a broad portfolio of stocks in order to shed company-specific risk. ;6. Investing behavior should be driven by information, analysis, and self-discipline, not by emotion or “hunch”(直觉). “We simply attempt to be fearful when others are greedy and to be greedy only when others are fearful.”; 7. Alignment of agents and owners. “I will keep well over 99% of my net worth in Berkshire. My wife and I have never sold a share nor do we intend to.” Explaining his significant ownership in Berkshire Hathaway, Buffett said, “I am a better businessman because I am an investor. And I am a better investor because I am a businessman.” ; For four of Berkshire ’ six directors, over 50% of their family net worth was represented by shares in Berkshire Hathaway. ;附2. 比尔·米勒与价值基金; 在美国，在一年中战胜标普500指数的共同基金管理人被认为是成功的，如果他们连续两年做到这一点，人们会开始关注他们，当他们能使这一壮举持续五年更长的时间，他们会得到那些只有卓越出众的投资专家才能得到的赞誉。; 比尔·米勒三世（Bill Miller III）管理的股票型共同基金——莱格曼森价值基金（Legg Mason Value Trust）的业绩连续14年好于标普500指数的表现，平均年总收益为14.6%，超出SP500 指数3.67个百分点。; 对比尔·米勒的评价： Bill miller’s success is so far off the charts that you have to ask whether it is a superman. Quite simply, fund managers are not supposed to be this good. Is it mortal genius, or is it celestial luck?; 米勒20世纪50年代在北佛罗里达长大，他的父亲是一名货车调度站的管理员，支付了每周开销之后，他的父亲没剩下多少钱，但他留出一些钱来购买股票，并且向他儿子灌输投资的重要性这一观念。 米勒9岁就开始尝试做些投资，16岁时购买了第一只股票RCA。; 米勒接触到传奇性人物本杰明·格雷罕姆和沃伦