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Ekonomіchny analіz - Bolyuh MA, Burchevsky VZ

9.4. Analіz riziku that efektivnostі upravlіnnya portfolio fіnansovih іnvestitsіy

In zagalnomu rozumіnnі rizikom nazivayut neviznachenіst schodo nastannya tієї chi іnshoї podії in maybutnomu. Rizik vimіryuєtsya ymovіrnіstyu of scho ochіkuvana Podiya not vіdbudetsya i tse prizvede to nebazhanih naslіdkіv. In pіdpriєmnitskіy dіyalnostі rizik pov'yazuєtsya nasampered s fіnansovimi vtratami, scho will melt in neminuchimi razі realіzatsії Pevnyi rizikіv.

Usі Vidi rizikіv, vlastivі tim chi іnshim tsіnnim Paper the - vіdsotkovy, credit, dіlovy, іnflyatsіyny, dostrokovogo maturity lіkvіdnostі in sukupnostі formuyut zagalny rizik danogo іnstrumentu, yaky yogo s porіvnyuєtsya dohіdnіstyu. Rizik polyagaє in fact scho schodo ochіkuvannya vlasnika rіvnya dohіdnostі tsіnnih paperіv mozhut not spravditis i yakus Chastain dohodіv bude vtracheno. When tsomu otsіnyuєtsya ochіkuvany dohіd and sukupny rizik rozglyadaєtsya yak neviznachenіst mozhlivostі otrimannya schodo tsogo income tobto yak rіven mіnlivostі (varіabelnostі) income. Otzhe, dohіdnіst portfolio, on yak yogo spodіvaєtsya vlasnik, Je vipadkovoyu quantities that i yogo kіlkіsna otsіnka not Mauger Buti uniquely. In tsіlomu vimіryuvannya riziku fіnansovih іnvestitsіy Je bagatoaspektnoyu Problems yak s Look analіzu technique, so i h pozitsіy efektivnosti upravlіnnya іnvestitsіynim portfolio.

On praktitsі for viznachennya mіri riziku vikoristovuyutsya rіznomanіtnі pokazniki, SSMSC, mainly reprezentovanі randomness values ​​such yak dispersіya, Standard vіdhilennya, koefіtsієnti korelyatsії i kovarіatsії. Tsі characteristics tsіnnogo Paper the pokazuyut in yakіy mіrі that s yakoyu ymovіrnіstyu yogo factuality dohіdnіst Mauger vіdrіznyatisya od ochіkuvanoї. The value riziku viznachaєtsya on bazі analіzu real danih about dohіdnіst tsіnnih paperіv for poperednі perіodi for Relief metodіv randomness. Briefly oharakterizuєmo osnovnі statistichnі pokazniki rizikovostі.

Naychastіshe in protsesі analіzu riziku tsіnnogo Paper the vikoristovuyut koefіtsієnt b (beta). For okremogo tsіnnogo Paper the b rozrahovuyut yak vіdnoshennya kovarіatsії dohіdnostі Paper the market analysis that in tsіlomu to dispersії dohіdnostі market analysis:

(9.16)

de b - beta tsіnnih paperіv; - Kovarіatsіya tsіni tsіnnogo Paper the market analysis that P R; - Dispersіya market analysis.

Kovarіatsіya zmіnnih P i R obchislyuєtsya of the formula:

(9.17)

de - Vіdpovіdno serednі values ​​row.

Koefіtsієnt korelyatsії pokazuє schіlnіst zalezhnostі mіzh EYAD rows dinamіki i rozrahovuєtsya of the formula:

(9.18)

de s P, s R - standartnі vіdhilennya dohіdnostі tsіnnogo Paper the market analysis that dohіdnostі vіdpovіdno.

STANDARD vіdhilennya pokazuє, naskіlki wide Je RPPOs mіzh values ​​that serednіm sposterezhennya particular importance to a number, i obchislyuєtsya of the formula:

(9.19)

de P i - value of income for tsіnnim Paper the i-th in sposterezhennі; - Serednє number values; n - Quantity sposterezhen. STANDARD vіdhilennya dohіdnostі Rinku obchislyuєtsya analogіchno. The square of the standard vіdhilennya nazivaєtsya dispersієyu.

Yak bachimo for rozrahunku koefіtsієnta b neobhіdno mother danі about dinamіku rinkovoї dohіdnostі tsіnnogo Papero. Yak rule, such pokaznikom uvazhayut stock іndeks, yaky koristuєtsya naybіlshoyu populyarnіstyu danomu on market analysis. On mіzhnarodnih Rink naychastіshe vikoristovuyut іndeks Standard & Poor's, on pobudovany osnovі dinamіki tsіn on aktsії p'yatisot naybіlshih kompanіy (S & P 500 index), at the market Yaponії - іndeks Nikkey.

Rіshennya about dotsіlnіst іnvestuvannya koshtіv in fіnansovі assets pіdpriєmstvo Got priymati on osnovі rezultatіv analіzu spіvvіdnoshennya dohіdnostі that riziku in rezultatі yakogo viznachaєtsya, chi dostatnya ochіkuvana dohіdnіst tsіnnogo Papero for kompensatsії pov'yazanogo s riziku him. Ale naychastіshe іnvestor pratsyuє s not one, but s kіlkoma іnvestitsіynimi tsіnnimi Papero, SSMSC in sukupnostі formuyut portfolio. Vlastivostі portfolio vіdrіznyayutsya od vlastivostey okremih tsіnnih paperіv, zokrema schodo viznachennya rіvnya riziku. Teorіyu Vibor efektivnosti portfolio fіnansovih іnvestitsіy, yak Vpershe rozrobiv G. Markovіts in 1950 Rokach, Zgoda suttєvo vdoskonalili R. Trainor, J.. Lіntner, W. Sharpe that INSHI.

Dohіdnіst portfolio Je additive function the size i dorіvnyuє sumі dohodіv scho їh generuyut okremі tsіnnі Papero. Serednya rate dohіdnostі portfolio (dp) viznachaєtsya yak serednozvazhena magnitude dohіdnostі fіnansovih іnstrumentіv scho yogo incoming to the warehouse:

(9.20)

de di - i-th mean dohіdnіst tsіnnih paperіv (i = ); Wi - obsyag tsіnnih paperіv i-th species in portfelі; n - Quantity vidіv tsіnnih paperіv in portfelі.

On vіdmіnu dohіdnostі rizik od portfolio not obov'yazkovo vimіryuєtsya serednozvazhenoyu the size sukupnostі rizikіv okremih portfolio іnvestitsіy, oskіlki rіznі Vidi tsіnnih paperіv in rіznomu reaguyut on zmіnu kon'yunkturi market analysis. Standartnі vіdhilennya dohіdnostі tsіnnih paperіv in bagatoh vipadkah mozhut vzaєmno pogashatisya result chogo staє znizhennya zagalnogo riziku portfolio zberezhennya yogo dohіdnostі. Otzhe, rizik digit portfolio mіroyu zalezhatime od kіlkostі vidіv tsіnnih paperіv, SSMSC formuyut portfolio that od of naskіlki i Where Money Does napryamku zmіnyuєtsya їhnya dohіdnіst for zmіni kon'yunkturi market analysis.

In protsesі analіzu portfolio instituted viokremlyuvati Dvi skladovі sukupnogo riziku: she systematically unsystematic riziki. Systematically rizik Je Chastain zagalnogo riziku system deposits will od Economy in tsіlomu i zumovlyuєtsya makroekonomіchnimi chinnikami such yak dinamіka іnvestitsіy, obsyagi zovnіshnoї torgіvlі, zmіni podatkovoї polіtiki, camp platіzhnogo balance and to have vіn nayavny dіyalnostі vsіh sub'єktіv gospodarskogo processes. Systematically rizik nazivayut nediversifіkovanim, abo rinkovim, oskіlki yogo not mozhna zmenshiti diversifіkatsієyu (on until rіznih portfolio characteristics tsіnnih paperіv). Otzhe, diversifіkovany portfolio harakterizuєtsya tіlki systematically rizikom, yaky vimіryuyut for Relief koefіtsієnta beta (b).

Unsystematic rizik pov'yazano s neviznachenіstyu dіyalnostі particular emіtenta tsіnnih paperіv. Іnvestor Got zmogu uniknuti danogo riziku, sformuvavshi efektivnosti portfolio tobto Taqiy nabіr tsіnnih paperіv, yaky umozhlivlyuє vzaєmne kompensuvannya Oscillations dohіdnostі rіznih іnstrumentіv, if nedostatnya dohіdnіst one tsіnnogo Paper the kompensuєtsya pіdvischenoyu dohіdnіstyu іnshogo. For znizhennya unsystematic riziku i zastosovuєtsya diversifіkatsії method. Rizik nediversifіkovanogo portfolio vimіryuєtsya STANDARD vіdhilennyam.

Koefіtsієnt beta for the portfolio tsіlomu (b p) rozrahovuєtsya yak serednozvazhene value of the quantity of beta (b i) quiet vidіv tsіnnih paperіv scho incoming to yogo warehouse, s urahuvannyam їh pitomoї crowbars in strukturі portfolio. Slіd nagolositi to ensure scho Leather view tsіnnih paperіv Got Vlasnyi koefіtsієnt b i, yaky Je іndeksom dohіdnostі danogo tsіnnogo Paper the schodo serednoї dohіdnostі on the stock market analysis. Otzhe, Yakscho to warehouse pіdpriєmstva portfolio included rіznі Vidi tsіnnih paperіv then koefіtsієnt beta viznachaєtsya okremo to skin them for s (9.16), pіslya chogo b p obchislyuyut of the formula:

(9.21)

de b i - i-th koefіtsієnt beta mean tsіnnih paperіv scho incoming to the warehouse of the portfolio; g i - i-th Pete Wagga mind tsіnnih paperіv in portfelі; n - Quantity vidіv tsіnnih paperіv in portfelі pіdpriєmstva.

Koefіtsієnt b p pokazuє, naskіlki zmіnitsya dohіdnіst portfolio zmіni ochіkuvanoї dohіdnostі rinkovogo portfolio by 1%. For rinkovogo portfolio b r are taken per unit. For portfolio h b p <1 zmіni kon'yunkturi Rinku less then poznachatimutsya on yogo dohіdnostі, natomіst dohіdnіst portfolio h b p> 1 zmіnitsya bіlshe, nіzh dohіdnіst usogo market analysis. Napriklad, Yakscho b p = 1.3, then for pіdvischennya dohіdnostі market analysis by 2% dohіdnіst zroste portfolio by 2.6%. For znizhennya dohіdnostі rinkovogo portfolio by 2% of the portfolio pokazniki dohіdnostі zmenshatsya takozh 2.6%, scho svіdchit about vischy rіven riziku portfolio proti serednorinkovogo riziku. During the beta value portfelі dіlyat on agresivnі (b p> 1) that zahisnі (b p <1). Yakscho b p = 1, then rizik s portfolio zbіgaєtsya rizikom system. Meaning beta Mauger Buti not tіlki dodatnim and second vіd'єmnim. Oznachaє Tse, scho dohіdnіst Rinku i portfolio tsіnnih paperіv, preformed іnvestorom, zmіnyuyutsya in protilezhnih directly.

In protsesі upravlіnnya portfolio before іnvestorom postіyno postaє zavdannya analіzu spіvvіdnoshennya riziku that dohіdnostі portfolio. Ninі naybіlsh uzhivanoyu Je technique analіzu tsієї zalezhnostі on osnovі modelі otsіnki vartostі kapіtalnih aktivіv (CAPM). Vіdpovіdno to the main provisions of modelі CAPM dohіdnіst portfolio tsіnnih paperіv (dp) rozglyadaєtsya yak funktsіya troh zmіnnih: systematic riziku portfolio (b p), ochіkuvanoї dohіdnostі portfolio (dm) is the rate of return for bezrizikovimi tsіnnimi Paper the (d o). Zalezhnіst mіzh ochіkuvanoyu dohіdnіstyu that rizikom virazhaєtsya formula:

dp = d o + b p • (dm - d o). (9.22)

For ekonomіchnim zmіstom perevischennya dohіdnostі portfolio over bezrizikovoyu rates Je premієyu scho yogo її otrimuє vlasnik for rizik, yaky vіn uzyav on itself, pridbavshi pevnі tsіnnі Papero in protsesі formuvannya portfolio.

On osnovі danoї modelі analіzuyut efektivnіst upravlіnnya portfolios tsіnnih paperіv. Koefіtsієnt efektivnostі rozrahovuєtsya yak vіdnoshennya rіznitsі mіzh dohіdnіstyu portfolio (the real abo ochіkuvanoyu) that bezrizikovoyu rate to pokaznika, yaky vіdobrazhaє rizik portfolio. In teorії upravlіnnya obґruntovano kіlka koefіtsієntіv efektivnostі, SSMSC shaping can Buti vikoristanі in protsesі analіzu that of acceptance upravlіnskih rіshen. In tsіlomu koefіtsієnti efektivnostі upravlіnnya portfolios tsіnnih paperіv toil odnakovu structure Ale rіznyatsya for ways vimіryuvannya rizikovostі portfolio.

In protsesі analіzu efektivnostі diversifіkovanogo portfolio often vikoristovuyut koefіtsієnt Traynor (k T):

k T = (9.23)

de dp - dohіdnіst portfolio іnvestora for perіod scho analіzuєtsya.

Koefіtsієnt Sharpe dotsіlno zastosovuvati for analіzu nediversifіkovanogo portfolio tsіnnih paperіv (k S):

k S = (9.24)

de s p - STANDARD vіdhilennya dohіdnostі іnvestora portfolio.

Methodology viznachennya koefіtsієntіv efektivnostі upravlіnnya portfolios tsіnnih paperіv that їh porіvnyalny analіz prodemonstruєmo butt.

Pіdpriєmstvo Got three varіanti formuvannya fіnansovih іnvestitsіy portfolio (P1, P2, P3), osnovnі characteristics yakih imposed in tablitsі 9.5. Neobhіdno proanalіzuvati portfelі s Look spіvvіdnoshennya "dohіdnіst - rizik" Vibrato is the optimum. Analіz efektivnostі portfelіv provedemo for Relief koefіtsієntіv Traynor that Sharpe.

Yakscho to pіdpriєmstvom postaє zavdannya Vibor optimal portfolio h pozitsії spіvvіdnoshennya "dohіdnіst - rizik", and the portfolio of proanalіzovano koefіtsієntom Traynor, then perevagu slіd vіddati another portfolio. Yakscho Well analіz zdіysneno koefіtsієntom for Sharpe, then s Look efektivnostі upravlіnnya other i tretіy portfelі viyavilisya odnakovimi i on odini-

table 9.5

Analіz koefіtsієntіv efektivnostі upravlіnnyaportfelyami tsіnnih paperіv

Qiu riziku pіdpriєmstvo matim 0.48 odinits vinagorodi. Zauvazhimo scho rizik rubs up against another portfolio Je vischim 4% todі yak dohіdnіst nizhcha tіlki 2% to pіdpriєmstvu, yak pragne zniziti rizik, Varto spiniti svіy vibіr on another portfelі. Tsі characteristics pokazuyut portfolio, yakіy mіrі that s yakoyu іmovіrnіstyu factuality dohіdnіst Mauger vіdrіznyatisya od ochіkuvanoї.

Meals for samoperevіrki

1. Describe osnovnі eg іnvestitsіynoї dіyalnostі pіdpriєmstva.

2. Yaky view іnvestitsіynoї dіyalnostі Je prіoritetnim for pіdpriєmstva i chomu?

3. Nazvіt perevagi that nedolіki method chistoї teperіshnoї vartostі.

4. chomu polyagaє zmіst method viznachennya vnutrіshnoї normalized pributku іnvestitsіynogo project?

5. Shcho harakterizuє perіod okupnostі іnvestitsіynogo project?

6. Yaka base model for vikoristovuєtsya viznachennya dohіdnostі oblіgatsіy?  

7. Nazvіt skladovі ochіkuvanoї normalized dohіdnostі tsіnnogo Papero.

8. On SSMSC osnovnі Vidi rizikіv narazhaєtsya іnvestor in protsesі pridbannya that zberіgannya tsіnnih paperіv?

9. Shcho pokazuє dyuratsіya tsіnnogo Papero?

10. Yaky koefіtsієnt vikoristovuєtsya for analіzu efektivnostі upravlіnnya diversifіkovanim portfolio tsіnnih paperіv?