Английский язык. Практический курс для решения бизнес-задач
Шрифт:
Для оценки Аэрофлота мы используем анализ, основанный на прогнозируемом оценочном коэффициенте. Ранее мы использовали коэффициент EV/EBITDA на 2005 г., равный 4,0. Однако за последние месяцы акции зарубежных аналогов Аэрофлота сильно выросли в цене, и в результате средний показатель для компаний развивающихся рынков (GEM) увеличился с 5,5 до 6,1. Хотя мы по-прежнему считаем, что Аэрофлот должен торговаться с дисконтом к своим аналогам на GEM из-за низкой ликвидности и операционных рисков, мы переходим к использованию коэффициента, равного 4,5, что примерно соответствует изменению в оценочных коэффициентах компаний GEM. Для расчета ставки дисконтирования мы берем стоимость
Стоимость капитала представляет собой сумму доходности еврооблигаций с погашением в 2005 г., равной 2,84%, и премии за риск, равной 5%. В результате мы получаем справедливую стоимость акций компании через 12 месяцев в размере $0,85, что выше нашей прежней ожидаемой через год цены, равной $0,60, и означает прогнозируемый избыточный доход 3,5%. Как следствие, мы сохраняем рейтинг «держать» для Аэрофлота.
Источник: Brunswick UBS, Дмитрий Виноградов,
CFA, 22 января 2004 г., www.aeroflot.ru
Lesson 35
Successful Investment Strategy: Theory and Practice
Read and translate the texts and learn terms from the Essential Vocabulary.
Modern Portfolio Theory: An Overview
If you were to craft the perfect investment, you would want high returns coupled with little risk. The reality, of course, is that this kind of investment is next to impossible to find. Not surprisingly, people spend a lot of time developing methods and strategies that come close to the «perfect investment». But none is as popular, or as compelling, as modern portfolio theory (MPT).
The Theory
MPT was developed by Harry Markowitz and published in the 1952 Journal of Finance. MPT says that it is not enough to look at the expected risk and return of one particular stock. By investing in more than one stock, an investor can reap the benefits of diversification – chief among them, a reduction in the riskiness of the portfolio.
For most investors, the risk they take when they buy a stock is that the return will be lower than expected. In other words, it is the deviation from the average return. Each stock has its own standard deviation from the mean, which MPT calls «risk».
The risk in a portfolio of diverse individual stocks will be less than the risk inherent in holding any single one of the individual stocks (provided the risks of the various stocks are not directly related). Consider a portfolio that holds two risky stocks: one that pays off when it rains and another that pays off when it doesn’t rain. A portfolio that contains both assets will always pay off, regardless of whether it rains or shines. Adding one risky asset to another can reduce the overall risk of an all-weather portfolio.
Markowitz showed that investment is not just about picking stocks, but about picking winners, i.e. choosing the right combination of stocks among which to distribute one’s nest eggs.
Two Kinds of Risk
MPT states that the risk for individual stock returns has two components:
Systematic Risk – These are market risks that cannot be diversified away. Interest rates, recessions and wars are examples of systematic risks.
Unsystematic Risk – Also known as
For a well-diversified portfolio, the risk of each stock contributes little to portfolio risk. Instead, it is the difference – or covariance – between individual stocks’ levels of risk that determines overall portfolio risk. As a result, investors benefit from holding diversified portfolios instead of individual stocks.
The Efficient Frontier
Now that we understand the benefits of diversification, the question of how to identify the best level of diversification arises. Enters the efficient frontier.
For every level of return, there is one portfolio that offers the lowest possible risk, and for every level of risk, there is a portfolio that offers the highest return. These combinations can be plotted on a graph, and the resulting line is the efficient frontier. Figure 2 shows the efficient frontier for two stocks – a high risk/high return technology stock (Google) and a low risk/low return consumer products stock (Coca Cola).
Any portfolio that lies on the upper part of the curve is efficient: it gives the maximum expected return for a given level of risk. A rational investor will hold a portfolio that lies somewhere on the efficient frontier. The maximum level of risk that the investor will take on determines the position of the portfolio on the line.
Figure 1
MPT takes this idea even further. It suggests that combining a stock portfolio that sits on the efficient frontier with a risk-free asset, the purchase of which is funded by borrowing, can actually increase returns beyond the efficient frontier. Thus, if you were to borrow to acquire a risk-free stock, then the remaining stock portfolio could have a riskier profile and, therefore, a higher return than you might otherwise choose.
Figure 2
What MPT Means for You
MPT has had a marked impact on how investors perceive risk, return and portfolio management. The theory demonstrates that portfolio diversification can reduce investment risk. Modern money managers routinely follow its precepts.
However, MPT has some shortcomings in the real world. It often requires investors to rethink notions of risk. Sometimes it demands that the investor take on a perceived risky investment (futures, for example) in order to reduce overall risk. That can be a tough sell to an investor not familiar with the benefits of sophisticated portfolio management techniques. Furthermore, MPT assumes that it is possible to select stocks whose individual performance is independent of other investments in the portfolio. But market historians have shown that there are no such instruments; in times of market stress, seemingly independent investments do, in fact, act as though they are related.