Top Banner
866
Welcome message from author
This document is posted to help you gain knowledge. Please leave a comment to let me know what you think about it! Share it to your friends and learn new things together.
Transcript

336 65.261 59

. . , . . , . . .

59

/ . . ; [. . . , . , . ]. . : , 2010. 864 . ( ).ISBN 978-5-699-25891-8 , , , , . , , . , , .

336 65.261

, , , .

ISBN 978-5-699-25891-8

2002 by Frank J. Fabozzi. All rights reserved. This translation published under license. .., .., .., , 2009 , 2010

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10

1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. 15. 16. 17. 18. 19.

. . . . . . . . . . . . . . . 11 . . . . . . . . . . . . . . . . . . . . . . . . . . . 25 . . . . . . . . . . . . . . . . . . . . . . . 43 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125 . . . . . . . . . . . . . . . . . . . . . 147 . . . . . . . . . . . . . . . . . . . 185 , . . . . . . . . . . . . . . . 203 . . . . . . . . . . . . . . . . . 215 . . . . . . . . . . . . . . . . . . . . . 229 . . . . . . . . . . . . . . . . . . . . . . . . 251 . . . . . . . . . . . . . . . . . . . . . . . . 283 . . . . . . . . . . . . . . . . . . . . . . 297 . . . . . . . . . . . . . . . . . . 333 MBS ABS . . . . . . . . . . . . . . . . . . . 369 , . . . . . . . . . . . . . . . . . . . . . . . . . . 401 , . . . . . 425 , . . . . . . . . . . . . . . . . . . . . . . . . . . . 451 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4735

20. 21. 22. 23. 24. 25. 26. 27. 28. 29. 30. 31. 32.

(CDO) . . . . . . . . . . . . 489 . . . . . . . . . . . . . . . . . . . . . . . . 511 . . . . . . . . . . . . . . . . . . . 541 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 565 . . . . . . . . . . . . . . . . . . 583 - . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 617 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 681 . . . . . . . . . . . . . . . . . . . . . . . 707 . . . . . . . . . . . . . . . . . . . . . . . . . . . 733 . . . . . . . . . . . . . . . . . . . 763 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 783 . . . . . . . . . . . . . . . . . . . . . . . . . . 793 . . . . . . . . . . . . . . . . . . . . . . . . . . 811

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 831

, , . . . 1 . , , , , (). 2 . . , , , , , , , . 3 . , , , , , , , ( ). , , 4 5. 4 , , , (, ), , , , , (., , , . , , , 5. 620 , ( ), , , , , . , , (, ,7

), , (, , ; , ; , ; , ; , ; ) . 21 , . , , , , , , . , , . 22, . 23. , . (GIC), GIC . 24 , . ( , -) (, GIC). , . - - . 25 26 . 25 -, (, - / , - , - - -), , - (due diligence). 26 (, -), ( ), ( ) . 27. , , , ( , ), /, .8

, , 2831. / , , , , . , . 28 . 29 , . , . , , 30. , . 31. , , 32. . / ( ), (, ). , - . , . . (Frank J. Fabozzi)

. (William J. Adams) . (Mark J. P. Anson) . (John B. Brynjolfsson) . (John R. Caswell) (Moorad Choudhry) . (Bruce M.Collins) . (Joseph F. DeMichele) (John Dunlevy) . (Frank J. Fabozzi) (Bruce Feibel) . (Michael J. Fleming) . (Gary L. Gastineau) . (Laurie S. Goodman) . (Duane C. Hewlett) - (Susan Hudson-Wilson) . (Robert R. Johnson) Massachusetts Financial Services CalPERS PIMCO Real Return Bond Fund Galliard Capital Management City University Business School QuantCast Delaware Investments Beacon Hill Asset Management Eagle Investment Systems Federal Reserve Bank of New York ETF Advisors, LLC UBS Warburg Delaware Investments Property & Portfolio Research, LLC Association for Investment Management and Research . (Frank J. Jones) The Guardian Life Insurance Company of America . (George P. Kegler) Cassian Market Consultants - (Maria Mednikov Loucks) UBS Asset Management . (Steven V. Mann) . (John N. McElravey) Banc One Capital Markets, Inc. (Steven Miller) Standard & Poor's . (John A. Penicook, Jr.) UBS Asset Management . (Pamela P. Peterson) (Uwe Schillhorn) UBS Asset Management . (Karl P. Tourville) Galliard Capital Management (David Yuen) Franklin Templeton Investments . (Thomas A. Zimmerman) UBS Warburg

1

. (Frank J. Fabozzi), , CFA -

, , . . , , , . . . . . . , , ; . : , Fleet Bank (/ ) (/) ; , ; , Ford Motor Company; , ; , ; , Microsoft Corporation; , Toyota Motor Corporation. , Fleet Bank, , . . , . , , () , . , Ford Motor, . Ford Motor , . . . Microsoft , . . Toyota Motor Corporation.

12

1.

. , . , , , , Ford Motor, . , , . . . . , , . , .. . , . , , , .

, . , , , , . . , . .

, . . 13

. , , . , . . .

, . , , . . , . 100 100% . , , $1000, $900, , 90. $5000 $5500, , 110. . 2.

, , , , / . , , . , 7% $1000 $70 (7% $1000). . . , , . , , . .

. , , . 14

1.

, , . , . , , 70, 30. (100) (70). , . , (. 6). , , , . , .

. , (floaters), , , - . : . , ( ), ( ). . 0,0001, 0,01%. , 100 1%. , , (LIBOR) ( 6) 150 . : LIBOR 1 + 150 . , LIBOR 5,5%, 7% (5% 200 ). 15

. . , , , 4. (. 8). , . . , , . . ( cap , ). , , . ( floor , ). , . , .

/ . / . / . . . . , , , . . , / . , . .

, , - 16

1.

. . , . , , , . , (). , , () . , , . . . , , . , , . , , , . . , . . , . , , . , , . , .

, , , . , . . , , . 17

, / . , . . , . ( ) . . , , , . , . .

. . , , , , (.. ). . . : 1) ; 2) ; 3) . , . , , . 18

1.

, . , . , , . , . . 4. , 1) 2) .

, ( ). , . , , , .

. -, . , , . . -, . , . , , (.., ) ( ) . , , . -, . : . , , , ; , . . 19

, . , .

. , , . . , ; . : , , ; . . . : . 4.

, . , ( ), . , , .

, . , . 20

1.

. , $100 000 . . , $5000 , , $100 000 $110 000. , $5000 $10 000, $15 000. , , 15% $100 000. , , $97 000. $2000 ($5000 $3000), 2%. , . , $100 000 . $200 000, $100 000 , $100 000 . $100 000 7%. : $200 000 $10 000 $220 000 $20 000 $7 000 (7% $100 000) $23 000 ($10 000 + $20 000 $7000) 23% ($23 000/$100 000)

, 15% ( ) 23% ( $100 000). . $100 000 7% 15%. 8% . , , $200 000 7%, . : $300 000 $15 000 $330 000 $30 000 $14 000 (7% $200 000) $31 000 ($15 000 + $30 000 $14 000) 31% ($31 000/$100 000)

$200 000, , $100 000. 21

, , . , . , $100 000, . : $200 000 $10 000 $194 000 $6 000 $7 000 (7% $100 000) $3000 ($10 000 $6000 $7000) 3% ($3000/$100 000)

-3%. , , (2%). , 2% $100 000, 7% . 5% $100 000 , . , , .

? . , . , , . . 4. . . () (. 6). , , ( ), , . , , (. 14).

22

1.

. . , , . , . , , 28. , , (.. ). , , , c1.

/ . . ; . , . . 29. , , ( ) ( ) . , . , . 1

1994 . - : , . . 6 : , , . .

23

, , . 28. . , , , , , . , , , . , , 29.

2

. (Frank J. Fabozzi), , CFA -

, : , , , .

, . . , . : ; ( , ); ( , ); ( ); ; , . . , . , , .

, . . , . . , . 26

2.

, , . , , . . , . : , ; , ; , .

: ; ; ; ; ; . (. 6). . , : ; ; ; ; ( ) . . , . , 100 , $10. $1 (100 $10 ). - market cap cap. , , , ? . 4. 27

: ; ; ; (.. ); ; , . , . . : ; ; ; . , . : -; ; ; . 25, 26 32. ? (Mark Kritzman) 1:... , . , , , .

. , ( ). , , . . . 2.1 , .1

. (Mark Kritzman) // . 1999. . 79.

28

2. 2.1

19

19 Standard & Poors (S&P) 500 Frank Russell 1000 Value, S&P/Barra 500 Value

Frank Russell 1000 Growth, S&P/Barra 500 Growth Frank Russell Mid Cap Frank Russell 2000 Frank Russell 2000 Value Frank Russell 2000 Growth Morgan Stanley Capital International (MSCI) EAFE, Salomon Smith Barney International, MSCI All Country World (ACWI)

MSCI Emerging Markets

, . , , . , , S&P 500 ( 500 ), , . . . ? 29

, , , . 21. , , . , . , , .

, . . , , . . , , . . () . . . : , , . . , . , . , . , . , . , , . , , . , . , ? , . , , , . , , . -, 30

2.

? 40% , 50% 10% - ? -, , ? , - , , , . , , . , . -, ? -, ? , . (Harry . Markowitz)1, , . , ( ) . (, .) , , , , , . , () . , . , () , , . , , ( ) . . , , , . . : . (William Sharpe) 1

.. (Harry M. Markowitz) (Portfolio Selection)//Journal of Finance 1952. . 7791.

31

1 . , , . , . , . , , . , , . , , , , .0 Standard deviation of portfolio return

Unsystematic or diversifiable risk

Total risk Systematic or market-related risk

Number of holdings. 2.1.

. 2.1 , . , ( ). (, ). , (.. ). . , , , 20 , , 2 . 40 .1

2

.. (William F. Sharpe). // . 1963. . 277299. . (Wayne H. Wagner) (Sheila Lau). . // . 1971. . 50.

32

2.

. . - , . - , . , - 1,5, , 1% 1,5%. - 1. - 1 , ; - 1 , . - , , Bloomberg, -. , R-. 0 1. , 0,8, , 80% . , . (. . 2.1).

, , , - , . , , 5%, 3%, 5%. 2%. , . . , , , . , , , .

, , , . , , . ( ) . 33

, , . : Moodys Investors Service, Inc., Standard & Poors Corporation Fitch (. 11).

, , , . , $40$40,50 , , . , , .. , . ( ) ( ). , . , . , . . .

, . . , , , . , . , , .

, , , . ( ), / . . , , . 34

2.

, , , , . (.. ) (.. ). , ( ) , . : ; ; . , : , ; , ; , . , . , . , , . . . 100 . , 8, , 100 8%. 50 4%. , . , $90 000, 8, 100 8%, $7200 (8% $90 000). 50 $3600. . , , 6, $1 , , 100 6%, $60 000. 25 1,5%, $15 000. 35

? . , . : = 2

, 50 . , 100 . . 1. , , , , , . . , , , . , , , , , . 4, 6! , , , , - . 2. (, 50 ), . , . 3. . , . , . , 2-, 10- 20- , , 2-, 10-, 20- . . / . , . , . -, , , . -, , , .. , 36

2.

. -, , . , . , , . . . , , , . , , . .

, . . , . , . , , . . , , . , - . , , . , , , . , ( ) , . ? . , , , , . . 37

. , .

, . . , . , .

, , , , . . , . . , S&P 500. , 500 , ( ) . Microsoft Johnson & Johnson. 28 2002 . Microsoft $315 924 , Johnson & Johnson $186 798 . 500 $10 079 . , S&P 500, : Microsoft = $315, 924 = 3,13% $10, 079, 000 $186, 798 Johnson & Johnson = = 1,85% $10, 079, 000

, 28 2002 . $10 . , Microsoft Johnson & Johnson , $315 000 $185 000 . , , . -, , , , . -, , , , 38

2.

. , $10 000 , . -, . , , . . , , - . . (, ). . , , . 4. , , . .

, ( ) , . , . , . , , . - . . , , , S&P 500, . , , , , . , , , , , . , , , (.. ) . . 39

. , . , . . 4. , : ; ; . , ( ) . , . , , ( ), ( ) ( ). , , . , . . , . (IRR) . IRR , , . , IRR. . . . . . , , . , , . . IRR , . 40

2.

. -, , . , . . -, , . , , , . -, , , , . , 20%, , 20%. , , , . (CAPM) , . . CAPM , , , . . - , , . CAPM : - ( ). , CAPM : = - ( ). CAPM 1960- .1 CAPM . , , . , , , , . . . -.

1

CAPM 1964 . . (William F. Sharpe). Capital Asset Prices//Journal of Finance. 1964. . 425442.

41

. - , . .

. , ( 3). , . , . , , . . . , . . : . . . , . , .

3

(Bruce Feibel), Eagle Investment Systems

, , , , . , , . , , . $100 , , $130. ? $30. $100, 0,3 100%, , , .. 30%. , , . , , , . 30% , , 1/3 $100. , . , . :

; ; ; , ; ; . . . , , , . , , , , , , , . , , , .

44

3.

, ? , , ! , . . , , , - . . , , . , , 8%, , , . , . , . , $100 $10, , , $1 $1,1 . . , . . , . , . MVE = MVB (1 + ), MVE ; MVB .

, $100 40%, $140 : $100 (1,40) = $140. , / . 0,4 / ($40). . $30 $100 . , 30% : Gain or Loss Return in percent = 100 Investment made 45

, , . $130. 100%, , : 30% (0,3 100% = 30%). , , . , , , . . , : Current value Gain or Loss 100 = 1 100 Investment made Investment made , : MVE MVB MVE MVB MVE 1 100 100 100 MVB MVB MVB MVB : . , . . . . , . . , $100 , $110, $120, . 3.1. 3.1A 1 2 3 4 5 6=B4-B3 =((C4/B3)*100) Month End 31-Dec-2000 31-Jan-2000 28-Feb-2000 100 110 120 10 10 10.00 9.09

BMarket Value

CDollar Return

DPercent Return

: , $10, (10/100 = 10,00%), (10/110 = 9,09%). , 46

3.

$100, $10, . , . , , . . . , , , . . , : , ; , . , .

, . , . , , , , , . , , . . , , , . , . , . , . . , , , , . , , , - , , . 47

, . , . . , , . , , , . , , , . , , , . . , , . , . , , . , : = Ending Market Value + Ending Accrued Income = 1 100 Beginning Market Value + Beginning Accrued Income , . ( , ). . , , , . , . . . 31 2000 . A 100 $1 = $100 MVB. 31 2001 . A $110 (10/100 = 10%) . 28 2001 . A $115 (5/110 = 4,55%) . 48

3.

1 2001 . 50 A $1,15 $57,50. $7,50 ($57,50 $50 = $7,50). 10 B $5,75 . 31 2001 . A $50 (50 $1). B $50 (10 $5). $100 - (15/115 = 13,04%). . 3.2 , $7,50 . 3.2A 1 2 3 4 5 6 7 8Date 31-Dec-2000 31-Jan-2001 28-Feb-2001 01-Mar-2001 31-Mar-2001

BMV Stock A 100.00 110.00 115.00 57.50 50.00

CMV Stock B 0.00 0.00 0.00 57.50 50.00

DTotal MV 100.00 110.00 115.00 115.00 100.00

EGain/Loss 10.00 5.00 15.00 =D6-D5

F% Return 10.00 4.55 13.04 =((E6/D5)*100)

A B, . (-$15,00), , . , . . . . 3.3 , , . 3.3A 1 2 3 4 5 6 7 8Date 31-Dec-2000 31-Jan-2001 28-Feb-2001 01-Mar-2001 31-Mar-2001

BMV Stock A 100.00 110.00 115.00 57.50 50.00

CMV Stock B 0.00 0.00 0.00 57.50 57.90

DTotal MV 100.00 110.00 115.00 115.00 107.90

EGain/Loss 10.00 5.00 7.10 =D6-D5

F% Return 10.00 4.55 6.17 =((E6/D5)*100)

, 49

. , . , , , . , , .

(ROI) , . . ; , . . . , . . . . 3.1 , .Investor Contributions Portfolio Cash Security 1 Security 2 Withdrawals

...Security N Fees Manager

. 3.1.

. . . , 50

3.

. , , , . . , . , . , / , . , , MVB ( ) $100 MVE ( ) $130. $10 ? $100, $130. , : / = + . $20 ($130 $100 $10 + $0). $20 / $100 $10. ( ), . , . . (ROI). ROI , : (EMV + NOF) (BMV + NIF) ROI in percent = 100 BMV + NIF NIF , NOF .

ROI . 3.4. 3.4A 1 2 3 4MVB 100.00

BIn Flows 10.00 0.00

COut Flows

DMVE 130.00 18.18

EReturn on Investment %

=(((D2+C2)(A2+B2))/(A2+B2))*100

51

EMV, ROI, (EMV + NOF). . . . . , . . (BMV + NIF) ROI. BMV, , . 18,18% , BMV = $100, EMV = $130, NIF = $10? : . , , NIF ( ) ( ) . , . , . , . - , - . , , $10 , $100 $110 . $20 . 18,18%. ROI , . , , ROI , . ROI , . ROI , , , 10 . , , , . , .

, . , , , . , : 52

3.

FV = PV (l +R)N , FV ; PV ; R ; N .

R. R, . , MVE , MVB 1 : = = (1 + ). . . . , MVB = $1000 5% , $1200: = [1 + ( /100) ] = = l000 [l + (5% / 100) 4] = 1200. , . $200. $1000 20% . . , . , $100, 7% 10 , $196,72 (. 3.5). 3.5A B 1 Date BMV 0 2 1 100.00 3 2 107.00 4 3 114.49 5 4 122.50 6 5 131.08 7 6 140.26 8 7 150.07 9 10 8 160.58 11 9 171.82 12 10 183.85 13 14 CInterest Rate 0.07 0.07 0.07 0.07 0.07 0.07 0.07 0.07 0.07 0.07

DEMV 100.00 107.00 114.49 122.50 131.08 140.26 150.07 160.58 171.82 183.85 196.72 =B12*(1+C12)

EPrincipal 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 7.00 14.00 21.00 28.00 35.00 42.00 49.00 56.00 63.00 70.00

FInterest 0.00 0.49 1.50 3.08 5.26 8.07 11.58 15.82 20.85 26.72

GInterest on Interest

H% of Value

0% 1% 2% 4% 5% 7% 9% 11% 14% =G12/D12

=C12*$B$3*A12

=D12-(E12+F12)

53

, . , , , . , . , . , , . 10- 7% 14% . 30- 7% 60% . , . , . . , . . , , , , . . , . . 3.6, , . 3.6A 1 2 3 4 5 6Frequency Yearly Monthly Daily

BMVB 1000.00 1000.00 1000.00

CPeriods 1.00 12.00 365.25

DReturn 0.07 0.07 0.07

EMVE 1070.00 1072.29 1072.50

=FV(D4/C4,C4,0,B4*-1)

, .. . : r m MVE = MVB 1 + period m m periods

r ; m . 54

3.

, $100 3% 6 (.. MVB = 100, MVE = 103) $106,09: (0.03 2) 106.09 = 100 1 + 2 21(year )

, , , , : , MVB $100, $10, MVE $130? , , $20 ($130 $100 $10) . . 18,18% 20%. $10 , $100 $10: 130 100 10 130 110 20 100 100 100 = 18,18% 100 + 10 110 110 , $100 20%: 130 100 10 130 110 20 100 100 100 = 20% 100 + 10 100 100 , . , . . , , . , . . , , . , . 55

: . , (MWR) , , .

, . , . , . , . , , (, 21), (NAV) $10,00 $12,00, (. 3.7): 3.7 NAV

5/31 6/10 6/20 6/30

10,00 12,00 10,00 11,00

, , 10% (11/10). . 3.8 : 3.8A 1 2 3 4 5 6 7Period 1 2 3 4 5 6

BReturn from 5/31 6/10 5/31 6/20 5/31 6/30 6/10 6/20 6/10 6/30 6/20 6/30

CCalculated As ((12/10)1) 100 ((10/10)1) 100 ((11/10)1) 100 ((10/12)1) 100 ((11/12)1) 100 ((11/10)1) 100

DReturn 0.20 0.00 0.10 0.17 0.09 0.10

E

F

% Return 20.00 Published Return 0.00 10.00 16.67 9.09 10.00

56

3.

, , 5/31 6/10, 20% . , 6/10 6/20, 16,67%. 36,67% , . , , . ; . . , , . , , , , . , . , . 10%, . , ; , 10% . , .

. , $100. $10. , 1 . . , 10%. 1 . . 3.9 , l 9,05%. . 3.10 , 2 10,00% . 3.9A 1 2 3 4 5 6Segment Cash Equity Total 10 100 110

BMVB

CPercent Return 0.01 0.10 9.05 =((D4/B4)-1)*100) 10.05 90.00 100.05

DMVE

57

3.10A 1 2 3 4 5 6Segment Cash Equity Total

BMVB 0.00 110.00 110.00

CPercent Return 0.01 0.10 10.00 =((D4/B4)-1)*100)

DMVE 0.00 99.00 99

, 1 2 95 [9,05% (10%)] .

, . : , , , , . : ; . , . , . . , , , . , . , (MWR). MWR , . , , . MWR (TWR), . , MWR , , TWR. MWR , . 58

3.

. (. 3.11): 3.11

MWR , . . - MWR, , . . , . , , . . 3.12 MWR : , . 0,92 ( 92% ) 0,83 ( 83% ). 3.12A 1 2 3 4 5 6Date 31-Dec-2000 31-Jan-2001 28-Feb-2001

B

C

DPeriod Weight 1.00 0.92 0.83 =C4/12

Time into Total Period Months Invested 0 12 1 11 2 10 =12B4

(IRR), $100 , $140. $10 . MWR ? MWR : 100 (1 + MWR) + l0 (1 + MWR)0,92 + 10 (1 + MVR)0,83 = 140. 59

, , , IRR. IRR : MVE = MVB (1 + IRR) + CF1 (1 + IRR)1 ... CFN (1 + IRR)N CF ; N , CF .

IRR , . , , IRR . , . IRR , : , . , . . . 3.13 IRR Excel. 3.13A 1 2 3 4 5 6 7 8 9Date Dec-31-2000 Jan-31-2001 Feb-28-2001 Dec-31-2001

BMonths Invested 12 11 10

C

D

EFuture Value of Flow 117.05 11.55 11.40 140.00

F=D2*((1+E8)^C2 =D3*((1+E8)^C3 =D4*((1+E8)^C4 =SUM(E2:E4) =D5E5 =E8*100

Period Weight Value 1.00 100 0.92 10 0.83 10 140

IRR calculated using solver

Difference: 0.00 IRR: 0.1705 Percent Return: 17.05

D5 E5. IRR E8. IRR 17,05%, , , : 100 (1 + 0,1705) + 10 (1 + 0,1705)0,92 + 10 (1 + 0,1705)0,83 = 140. , IRR : , . 17,05% . IRR . , . , 10- 31- 0,7097 [(31 10) / 31)]. (, 10- . , , .) 60

3.

IRR IRR . . 3.14 IRR , MVB = 1000 31 2000 ., MVE = 1200 31 2001 . $400 10 2001 . $100 20 2001 . 3.14A 1 2 3 4 5 6 7 8 9 B C D EFuture Value of Flow 919.85 376.97 96.82 1200.00

F=D2*((1+E8)^C2 =D3*((1+E8)^C3 =D4*((1+E8)^C4 =SUM(E2:E4) =D5E5 =E8*100

Date Dayss Invested 31-Dec-2000 31 10-Jan-2001 22 20-Jan-2001 12 31-Jan-2001

Period Weight Value 1.00 1000 0.71 400 0.39 100 1200

Difference: 0.00 IRR: 0.08 Percent Return: 8.02

() , IRR. IRR 8,02%

, IRR IRR MWR, , . . , IRR , , IRR , . . IRR. , , MWR , , TWR.

MWR. , ROI, , , , : Modified Dietz Return = MVE MVB CF 100 MVB + {[(CD Ci ) / CD] CFi }

CF ; CD ; Ci ; CFi Ci. 61

(Peter Dietz), Frank Russell. , , , . , , : + + (/ ) MVB MVE CF 100; 120; 10 20- 30- .

, 0,33 ( , 20- ): 30 20 = 0,33 30 , : 0,33 x $10 = $3,33. : 9, 68% = 120 100 10 100 100 + 3,33

IRR, , . MWR . , , .

: . / . , . , , , 62

3.

. , . , , .

(TWR) , . TWR . , , TWR . . , TWR . 1. . 2. , . 3. . 4. . 5. 3 4 . 6. , , . 7. (1 + ). . , . , . = = [(1 + R1) (1 + R2) ... (1 + RN) 1] 100, RN .

TWR , . (1 + ) , . , $100 $105 , 5%, 1,05. 63

TWR. TWR , (. 3.15): 3.15

5/31 6/9 6/19 6/30

1000 1100 1200 1200

(. 3.16): 3.16

6/10 6/20

200 100

TWR , . . , , (. 3.17): 3.17

5/31 5/31 6/9 6/10 6/19 6/20 6/30 1200 1200 64 100 1100 200

1000 1100 1200 1200

3.

. 1) 5/31 6/9; 2) 6/10 6/19; 3) 6/20 6/30. , = (1 + ).

. . , . , . , , , . , : Subperiod Return (start of day flow assumption) = MVE = MVB + Net Cash Inflows , , , . / . . 3.18 : 10,00, 7,69 9,09%: 3.18A B C D E BMV CF EMV 1 Subperiod Return From 5/31 6/10 1000 0 1100 1 2 6/10 6/20 1100 200 1200 2 3 6/20 6/30 1200 100 1200 3 4 5 =((E4/(C4+D4))1)*100 6 F G

Percent Return Growth Rate 10.00 1.10 7.69 0.92 9.09 1.09 =1+(F4/100)

: [(1,1000) (0,9231) (1,0909) 1] 100 = 10,77%. 65

. . 3.2 , TWR .1400 1300 +200 Fund Value 1200 1100 1000 900 800 31-May 10-Jun 20-Jun 28-Jun 12-Jun 22-Jun 26-Jun 14-Jun 16-Jun 24-Jun 30-Jun 18-Jun 4-Jun 2-Jun 6-Jun 8-Jun 10% 100 8% 9%

. 3.2.

TWR , . . , ( , 26) , . TWR .

. TWR . , . , , . , . TWR , . TWR MWR , TWR. MWR TWR TWR , , . , , TWR MWR . , 66

3.

MWR TWR . , . . TWR , MWR . . 3.19 , . 3.19

,

,

, , MVB, CF MVE IRR

$1,

. , . . . 67

, TWR . , , , , . (1 + ) : = [( 1) ( 2) ... 1] 100. 9, 6, 2, 8 4% . 3.20: 3.20A 1 2 3 4 5 6 7 8 9Year 1 2 3 4 5

BReturn 0.09 0.06 0.02 0.08 0.04

CSingle Period 1.09 1.06 0.98 1.08 0.96

D

E

Growth Rates Compounded Cumulative % 1.09 1.16 1.13 =PRODUCT(C3:C7) 1.22 1.17 17.40 =(D71)*100

, 17,40%. , . , . (1 + ). , , . , $100, 1,2568, $125,68: $100 (1,2568) = $125,68. : End Period Growth Rate) Return = 1 100 Begin Period Growth Rate 68

3.

, . , , . , .

. . , , , . , . . . , 1250 (250 5 ) . , , .

. . : . : Arithmetic Mean Return = Sum (Periodic Returns) Count of Returns

(.. , , ). . , . , 69

. , (. 3.21): 3.21

1 2

10% 20%

15% [(20 + 10)/2]. 32%. [(1,10) (1,20) 1] 100 = 32,00%. , , . [(1,15) (1,15) 1] 100 = 32,25%. . .

, , . 20% 2 10% 1, . , . n- , n . : Geometric Mean Return = =[ (1 + Comulative Return) 1] 100N

(, , .) 70

3.

. 3.22 , , 32%, 14,89%: 3.22A 1 2 3 4 5 6 7 8 9Year 1 2

BReturn 0.10 0.20

CSingle Period 1.10 1.20

D

E

Growth Rates Compounded Cumulative % 1.10 1.32 32.00

=PRODUCT(C3:C4) Arithmetic yearly average: 15.00 Geometric yearly average: 14.89 =((D4^(1/2))1)*100

Excel n- , (1/N). ( 2 1,32 1) 100 (1,1489 1) 100 = 14,89% , : = {[1 + ( /100)]N 1} 100. 14,89%, 32% . {[1 + (14,89 / 100)]2 1} 100 [(1,1489)2 1] 100 (1,32 1) 100 32% {[(1,1489) (1,1489)] 1} 100 = 32%. C . 3.23 : , : 3.23A 1 2 3 4 5 6 7 8Year 1 2 3

BActual Return 0.15 0.07 0.05

C

D

E

Geometric yearly average: 0.0534 =((1+(B6/100))^(1/3))1 0.0534 =C2 0.0534 =C2 16.90 =((1+C2)*(1+C3)*(1+C4)1)*100

Year 13 in % 16.90

=((1+B2)*(1+B3)*(1+B4)1)*100

71

, , . , , . , . . , , , : {[1 + Period rate)# of periods ] 1} 100 . , , . , , 20%. 792%. , , , , .

, , . , n, n- . {[#of years (1 + Period rate)] 1} 100 , 19,1% , 6% : {[ 3 (1,19102)] 1} 100 = 6, 00 72

3.

, , n- . n- . 1 100. , . 365,25, . Number of Days Annualized Return = Linked Growth Rates 1 100 365, 25 , 14%, 16 , 10,37%.

IRR, , . , , . . 3.24 IRR 10,00%: 3.24A Year 1 0 2 1 3 2 4 3 5 4 6 5 7 8 9 10 Total Days: 11 12 13 14 BDays 0 365 730 1095 1460 1825

CFlow 400 100 100 (50) (50)

DValue 0

EWeight 5.00 4.00 3.00 2.00 1.00

FFV 400 110 110 (55) (55) 550 (0) 0.02 1.93 1.01926 5.00 10.00

G=FV(F9,E2,0,C2,0) =FV(F9,$E$2,0,C3,0) =FV(F9,$E$2,0,C4,0) =FV(F9,$E$2,0,C5,0) =FV(F9,$E$2,0,C6,0)

550 Difference: *Annual Return: Annual % Return: Growth Rate: Years: Compound Return:

=F7D7 =F10*100 =1+F10 =((B70)/365.25) =((F12^F13)1)*100

1825

IRR 1,93%. , , .. 73

. . . , . . , , . , .

4

. , , , -

. , ,

. , , , -

, , , (.. ) .

. . , , . . . , . , , , . : , . 12.

, . . . , , . , . (OTC over-the-counter), - . . , . , OTC- -. 76

4.

( ECN). : (1) - (NYSE), (Big Board), (2) (AMEX ASE), (Curb) . , . , ( ), , - ( ) . , . OTC- NASDAQ (National Association of Securities Dealers Automated Quotation System ), NASD (National Association of Securities Dealers ), . NASD (SRO) , (SEC). NASDAQ . 1998 . NASDAQ AMEX NASDAQ-AMEX Market Group, Inc. NYSE , 3000 . AMEX 750 . NASDAQ , , NYSE. 1934 . . , ( ). , . , , NASDAQ, , ( NASDAQ National Market ( NASDAQ) NASDAQ Small Capitalization Market ( NASDAQ )). , : 1) ( ); 2) NASDAQ ( NASDAQ); 3) NASDAQ ( NASDAQ). . 77

, , : , ; , ; , ; , , -. .

, (SEC). . . , , ( ). . , , . , . . . , . : 1) , ( ) , ; 2) , , . . , , , , . , . . 78

4.

NYSE . - , .

NYSE NYSE , , , . - . , .. . . 17 NYSE. , , , , . SuperDOT (Super Designated Order Turnaround ). SuperDOT , NYSE. NYSE SuperDOT. , , , . NYSE - . , . NYSE -. 500 ( stockbrokers wirehouses). - . , . . , - . , . , . , . , -, NYSE 79

. (), (). , . . , ( -). , , . - , SuperDOT, , . , . . -. -, , , , ( ). , , . , -. . . . . , . NYSE . NYSE . , . NYSE : ; ; , , ; - , , ; , -; , , , . . 80

4.

, NYSE, . 1) , , , , , . 2) , , , , . 3) , . 4) , /, . , , . , , - ( , ) ( ). , . , , , . , , .. , . . . , , . , , . , . , . , . . , . . , (.. ). , , . 81

, , , , . , , , ( ).

. , . NASDAQ, , . , . : NASI (NASDAQ), -NASDAQ.

NASDAQ 1971 ., NASDAQ , 100%- NASD. NASD ( ) (SRO), SEC. NASD, , . NASDAQ , , -. NASDAQ , NASDAQ. , NASDAQ . NASDAQ 4700 $3,5 . 535 , -, NASDAQ. NASDAQ - : 1) NASDAQ (NNM) 2) NASDAQ . ( NASDAQ NASDAQ). NASDAQ . 2000 . 3800 NASDAQ NNM 900 . , ( , ) . NASDAQ, .. 82

4.

, , , , . . , NASDAQ, , . , NNM. NNM-. NNM , . NYSE NASDAQ (NNM). , NYSE , NASDAQ . . , NYSE, NASDAQ, Microsoft Intel 2000 . NASDAQ NYSE. 1970 . NYSE NASDAQ Aeroflex, Inc. - NASDAQ NNM ( ), . 9.30 16.00 , : - NASD - , - , . (backing away) 1.

NASDAQ , ( 8000) NASDAQ. . , , . , . : , NASDAQ. -NASDAQ OTC Bulletin Board (OTCBB), Bulletin Board ( ). OTCBB NASDAQ NASD. OTCBB ,

1

, - NASDAQ NNM (1) 1000 ( ), (2) , (3) (SOES), (4) (5) ; , NASDAQ, , , NASDAQ. - NASD NASDAQ 90 .

83

5500 . , NYSE, Amex NASDAQ. -NASDAQ Pink Sheets ( ), . NASDAQ 1971 . . , . . , . Schedule D NASD. penny stocks ( ). : . , . NASD, , NASD ACT ( NASDAQ). OTCBB , , . OTCBB 4000 .

, , . . NASDAQ, -, . . , , NASD. NASD, - , NASDAQ. NASD 1971 . NASDAQ, , , , CQS (Consolidated Quotations Service ) CTS , .

, , . , . . , , - , . ( ATS), , NASD . 84

4.

ATS , NASDAQ . ATS , , , . ATS: .

(Electronic communications networks (ECN)) - , NASDAQ. , , - NASDAQ. , ECN , ECN . ECN , , , . ECN ( ) , , , , , ECN, ECN. ECN NASDAQ, ECN . ECN , . ECN NASDAQ, NASDAQ. ECN 30% NASDAQ. Instinet (Institutional Networks Corporation) ECN 1969 . . 1987 . Instinet Reuters Holdings. Instinet -, NASD NASDAQ, . Instinet , , .. . - Instinet. Instinet NASDAQ ECN 1980- ., - . 1969 . ECN: Island, Archipelago, REDI Book, Bloomberg Tradebook, BRASS Utility, Strike, Attain, NexTrade Market XT. Archipelago Island SEC , . - (.. ), 85

, . , . . , ( ). , , , . : ITG Posit, (AZX) Optimark. Instinet , ECN, . Instinet , , . , SEC. , , Instinet. Instinet. Posit ITG , . , . Posit ITG . , (AZX) , 1992 . , , . , , , . 9.30, 10.30, 12.30, 14.30 16.30 . EST1.

, . ( ), .

, , . , 1

, , . AZX www.azx.com.

86

4.

. , . : / , . , , , , ; . , . : . , . , ( , ), . . , . , , . , . , . , , . , , . , , , . , : , . -, , , , . - , , , .. . - , , , .. . - , . 87

, . - () () . () () . , , , , . 4.1: 4.1 ,

-

-

for a buy ( )

for a buy mar

for a sell - ;

for a sell -

- . , . , - , . - - , , -, . -, -, - . 88

4.

-. . , , - . - . . - , , - , . - , , - , . -, ( ), - ( ). . , . , . (fill or kill ) . , : , , . , , , . . 100 . . , 75 Digital Equipment Corporation (DEC) . 350 DEC 50 . ( ) NYSE 10 000 - $200 000. , , . NYSE Super-Dot. Post Execution Reporting system 2000 . . NASDAQ Small Order Execution system 1000 .

, . - . 89

, , . , . - , Wilson Steel $20 , . - - , 100 Wilson Steel. - : (1) 100 Wilson Steel - (2) 100 . , - $20 , - . - 100 . ( ) $2000. - , 100 . , - , , 100 . , Wilson Steel $15 . - 100 Wilson Steel. ( ) $1500. - , - . , - 100 100 . , - . . $2000, $1500. , $500. . . -, . -, Wilson Steel - , - - . Wilson Steel , - . , $27 , - $700, , (, , ). -. : (1) ( ) (2) ( ), , . , - Wilson Steel $20, $201/8 $20, . $197/8, $197/8 $20, . , : $197/8, $20 $20. - $20. 90

4.

. , , - $10 000, Wilson Steel, $20 . $10 000 - 500 . , $10 000, - 500 . , $20 000 , 1000 . 1000 $10 000 , - . , , , . , , . , , $10 000, - 1000 500. , , , , . , . Wilson Steel $29 , - $9 1000 , .. $9000 . - $10 000 500 , $4500. , Wilson Steel, , $13 . , 500 , $7 1000 , 500. . ( ). .

. 1934 . . ( ) , . . 1934 . (Fed) . 50%, 40%. Fed . ( ) (1) (2) . ( , ), . 91

, . , . . , 100 $60 $6000 50% , 25%. $6000 , ( ) $3000 $3000 ( ). 25% . , ? $40. $4000 ($40 100 ). $3000 $1000 ($4000 $3000), 25% ($1000/$4000). $40, , 25%. 25% 4/3 ( ). ( ). . ( ) 100 $60 $6000. 50%, $3000 ( $6000 ). $9000, , . 100 . , , 30% ( )? $69,23 $6923. $6923 $2077 ($9000 $6923), 30% ($2,077/ $6,923). 30%, , , 10/13 (10/13 $9000 = $6923). , :

, % , % ( ) ( ) 92

50 25 4/3

50 30 10/13

4.

, . . , . : . , , . , , , . , .

. . , 1. , . ( , ) (, ). 1975 . . , , . 1975 . 1996 ., 4,5 . Plexus Group 1997 . 4,5 I 1999 . , , . ( 10 000 ) 4,8 . , 10 000 2,8 2. Plexus Group , (.. ) . , 1

2

: . . . . A Methodology for Measuring Transactions Costs // Financial Analysts Journal. 1991. . 2736. Plexus Group,. Withering Commissions, Winning Brokers: Who Will Survive? , 1999 .

93

. , . , . (, ) ( ). , , . .

/, , (, ) . - . / , , , . , . , /. /, , . (.. ) . , / B ( , , ) . / B , A. , , C. , , / , . / , ( ) . , , /. , / ( ). , , . SEC , 94

4.

. , , . SEC , 1995 ., , .

- , , . , , - . NASDAQ, -. 2 . , , . , , . , - , , , , , . , . , . , -, , . / . - 1. : / , , , ? 2000 ., , ( /) . , , , .

1

Norris Floyd. Wall St. Said to Gain Most in Policy Shift // New York Times, 20 , 2000 . C1, C6.

95

, .

. , , , - , . , . , , . , .

, , , . , , (.. ), - , .

. . . , , . , 30 . , , . . -, , . -, . 96

4.

, , . , . . , . , 4.1. .

Trading Costs

Opportunity Gain/Loss (Uncompleted Trades)

Execution Gain/Loss (Completed Trades)

Timing Gain/Loss

Impact Loss

Commision Loss

. 4.1.

: Alpha Capture, Plexus Group, Second Quarter, 1999.

. . , , . . 97

. 1. , , , c ( ). 2. . 3. , , . 4. , . 5. , , , , , . , , , 1.

, , . , . -, : , . , : , . 1975 ., , . . , /, . ( ). 1

Keim D. B. Madhavan . The Cost of Institutional Equity Trades // Financial Analysts Journal. 1998. . 5059.

98

4.

, NYSE ( SuperDot). OTC, - NASDAQ. , , . /, , OTC. /, OTC / /. .

, , . , . , . , , . , , , . , , , , . , . 1975 . , . 1990 . , , , .. wirehouses . , , . 1975 . , , . . WEB- . . , . 99

: . , , , . . , , . - . , , . , . , . .

. , . , : (1) (2) . , , . ; . 15 000 IBM. 200 ( ). , . . , (1) (2) . 100

4.

NYSE 10 000 $200 000. NYSE, . , , . . , , NASDAQ. , . , , . , . , (, 40 000 IBM, 25 000), - . - , . . -, . -, -. . 127 NYSE : - , , , , . , , , . , , .

/ . , . NYSE , 15 $1 . . : ; , , ( ); . , - 101

, ( ) . . 1990- . ( ) . , , , . , . . -, , . -, , , , . , (, , ). , , : . . , , ( ), . , . . , , , , . : . , . . , . (.. ) , . , .. , . , , . ? - . . 102

4.

. , . . , . . . , . : , , , . , . . , . ( ), ( ) . , . . , (.. ), , . - . , . , , , , .

, . , . , - (DJIA) 11 000, 500 , 10 500 . , . , . 1987 . . . 103

80B, Circuit Breakers ()15 1998 . NYSE , DJIA. 10, 20 30% DJIA 50 . 1 , 1 , 1 1 .

80A, Trading Collar ( ) , , , 500 S&P () () 500 S&P. 16 1999 . NYSE SEC 80A, . , 50 DJIA. 2% DJIA 10 . . DJIA 210 ( ) S&P 500 . , DJIA 100 . DJIA 210 ( ) S&P 500 . , DJIA 100 . DJIA .

: , ?. , ( ) . , , , , . 104

4.

DJIA. , , Standard & Poors 500 (S&P 500), - (NYSE Composite), NASDAQ Value Line (VLCA). , Wilshire Russell, . . , . . : , , ; , , ; . , . DJIA NYSE Composite, , NYSE. NASDAQ . S&P 500, , NYSE, . , . DJIA 30 NYSE , NYSE . NASDAQ , S&P 500 8000 . , , , . : (1) , , ; (2) ; (3) . (, DJIA) VLCA, . DJIA , VLCA . : (1) , ; (2) ; (3) , , , -. - , , NYSE. NASDAQ , NASDAQ , NASDAQ . : Dow Jones, Standard & Poors 500 105

Value Line. DJIA 30 , NYSE. Dow Jones & Company, Wall Street Journal. S&P 500 , . Standard & Poor's Corporation, . , , . VLCA, Value Line Inc , , NYSE, AMEX . Wilshire, Wilshire Associates (Santa Monica, California), Russell, Frank Russell Company (Tacoma, Washington), . . Wilshire 5000 6700 5000 . Wilshire 4500 Wilshire 5000, , S&P 500. , Wilshire 4500 , Wilshire 5000. Russell 3000 3000 . Russell 1000 , , , Russel 2000. . . . , , 1, .

, , . , , (1) (2) . . . 106

4.

: (1) , (2) (3) 1. , , , . , . , (, , , , ). , , , - . , . , , , . . , (), . - , . . , , ( , ), . , , . , , . , . , .. , . : (1) (2) ( , , ). , , . , 1

F. Fama E.F. Efficient Capital Markets: A Review of Theory and Empirical Work//Journal of Finance. 1970. . 383417.

107

. , , , . , , . , , .

: . , : (1) , , (2) (3) . , , - . . , , . , , , , . , . , , . , ? . . , . , , , , , . ? , ? , . , , , , . , , . , , . ? , 108

4.

. , . , , , $T, $A, , , $A/$T. , , . 1990- . , . , , .

, , , . : . . . . , , ; , , , .

, : (1) ( ), (2) (3) 1. , , , . , , , ( ), .

- -, , - -. - . 1

Skelton J.L. Investment Opportunities with Indexing, in Katrina F. Sherrerd (ed.), Equity Markets and Valuation Methods (Charlottesville, VA: The Institute of Chartered Financial Analysts, 1988).

109

, , (.. ). : , , , , , , , , , . , , , , , , , .. , -, , , . , . -, , , . , -, . , . , , . - - , . , .

- - , : . . . , , . , ( ) . . , (, , 2). . , 110

4.

: ( ) ( )1. , , . / , . , . . , , .

, , . .

, , , , . , . , ( ). . , , , . , , . , . (charts) / , , , ( ). (charts) / ,1

, Security Analysis ( ). . 1934 . . , Security Analysis ( ), 5- . (New York: McGraw-Hill, 1988).

111

, , ( ). . . Wall Street Journal . 1. . -, , , , . . . , . , () . , . . . , . . . , , . , , . , , -. , . , , , . . , . : , , , . , , . , , . . , (, 200 ). . : 1

, Wall Street Journal 1889 . 1902 .

112

4.

, ; , . . , , 200 , 200 . , . /. , . . . . . . , , ; , , . . . . : , . , - , . , , , . , , , . . , , , . . . , , , . , , , , . , , () , , . 113

. , , , . , , , . . , , , , , . . , . , . , , , , , . . Sergio Focardi Caroline Jonas 1996 . , , 1. . , 2. , . . . : ? , ? , , ( ), , . , . , (1) (2) , 1

2

Focardi S. and Jonas C. Modeling the Market: New Theories and Techniques (New Hope, PA: Frank J. Fabozzi Associates). P. 14. DeBondt W/ and Thaler R. Does the Market Overreact?//Journal of finance (July 1985)/ P. 793805.

114

4.

. , , . . , , .

, , , .. , . , , , . , , . , , . Chugh Meador , 1. 1980- . Stern Stewart (EVA). . , , , V . V , , , , 2. . , . , . , , , . . ,

1

2

Chugh Lal and Meador Joseph. The Stock Valuation Process: The Analysts View//Financial Analysts Journal. 1984. . 4148. EVA .: Grant James L. Foundations of Economic Value Added (New Hope, PA: Frank J. Fabozzi As sociates, 1997).

115

; , . . , , , , . , . /. 1949 . , , . 1. , 1973 ., : 1. 20 . 2. $100 $50 . 3. . 4. 1,5 . 5. 15 . P/E (/) . P/E, , , . , P/E , , , . , P/E, , . - - . , , - - . . -, , , . -

1

: . . 4- ., (New York: Harper & Row, 1973). 14.

116

4.

, . : (1) , (2) (3) . , . , , , . - , . , , , . - , , , , , . . , , . , . , . , . - , , , . , . , . , , - . - - . , , , . - . , . ( , .) 117

; . , - $10 1. , ( ) $10 , . , 50% . , $20 : $10 $10 . , . , , . 10% . . , , . $10 , $1 . $9 . , $9 . : $1 , $9 $9 .

, , , , . , , . , /, . , . , . /. . , , , . , , , . , 1

: Jacobs Bruce I. and Levy Kenneth N. The long and short on longshort//Journal of Investing/ 1997. . 7888.

118

4.

. , , , . . , , ( ) ( , ). , . , . /. , . / , , , /, . , . , , / . , /, . , . . , , , , , . , , , . . . , , , , . , , . , , , . . SEC , , 119

, . SEC 10- . SEC , SEC (SEC Insider Transaction Report). , . , , . , , - . , , SEC, . , , , . , , /. , . , . , , , , , - , /. 1.

. , . , , . , 2. , , , . 1970- . , ( ) . . , , 1

2

. Jacobs Bruce I. and Levy Kenneth N. Investment Analysis: Profiting from a Complex Equity Market. Fabozzi (ed.). Active Equity Portfolio Management (New Hope, PA: Frank J. Fabozzi Associates, 1998). Farrell James L., Jr. Homogenous Stock Groupings: Implications for Portfolio Management// Financial Analysts Journal. 1975. P. 5062.

120

4.

, . (large cap) (small cap). ( : .) , , . . .

. . . : (1) , (2) , (3) (4) . / ? (P/B). . , P/B , . , , . , / P/B . , . , P/B . , P/B , . , , , P/B , . , P/B . . : (P/E), 1. P/E , /. P/E P/E, P/E . , . 1

Jon A. Christopherson and C. Nola Williams, Equity Style: What It Is and Why It Matters, Chapter 1 in T. Daniel Coggin, Frank J. Fabozzi, and Robert D. Arnott (eds.), The Handbook of Equity Style Management: Second Edition (New Hope, PA: Frank). Fabozzi Associates, 1997).

121

, , . , . , . , . . . . , . . . , . . , , , - . , . (GARP). , , .

, , , , . . , , . . . , , . P/B, . : 1: . 2: . 3: P/B . 4: P/B . 122

4.

5: , P/B. 6: , P/B , , 2. 7: , 6, . 8: . , , . -, . -, . , P/B . P/B , . , . . , . . -, . / , (.. ), (.. ), , . , Frank Russel . ( 1000 1000, 2000 2000) . P/B . , . , . : , . , . . 123

, . . . , , . , . . . .

5

. , , ,

. , , , -

, . , , . , Microsoft Corporation. , , - Microsoft, Microsoft . , , . .

. , . , , . , , , , . ( , ), , . . (, , , , ). . . . ( ). ( ). ( ). ( ). ( ). . , . , ? , ? . . 126

5.

, , , - , . , . . . 5.1

1933 .

; , -, , (SEC) SEC ,

1934 . 1940 . 1940 . 1964 .

SEC

, , , : 1) , , , (SEC); 2) , . , . 127

, , , . . 5.1. , , , SEC. SEC , , 1934 ., . , . . . , , , , SEC . , . . 5.2, . 5.2 ,

( 14A)*

, . 14A; , SEC , ; 90 128

, ; ; ; , , , , , ,

8-K

10-K

5. . 5.2

10-Q

; 45 , ; 1933 . , ; 1933 . , , , 5% ; 10 , , , 5%

, ,

-

(, S-l, S-2, F-l) 13D

, ,

, -, , ,

14D-1

, -, , ,

* : , . , DEF (, DEF 14A).

129

10-K 10-Q 10-K , 13 1934 . 10-K , , , , (management discussion and analysis MDA). 90 . 10-K . I. , , . II. , , . III. , . IV. . V. . MDA . 303 S-K SEC. .

, , , , ,

, MDA , , . MDA , , , , , (, ) . MDA , . 130

5.

10-Q 45 . 10-K, . , 10-Q 10-K, . , . : . (, ) -. . (, ), , . . (.. ). ( , ). . (, ). ( ). . . , . . , , (, ). , (, , ) . . 1990 . Occidental Petroleum $195 000 , 1.1

, Armand Hammer. (Earl C. (iottschalk Jr. Proxy Statements Offer Juicy Tip-offs at Some Firms//Wall Street journal (April 17, 1991). . c1, cl7.

131

1990 - W. R. Grace , National Medical Care, 1. , , Einstein Noah Bagel Boston Chicken Boston Chicken. - , Boston Chicken. , Boston Chicken , Boston Chicken Einstein Noah Bagel2.

8-K 8-K , , . 8-K , - . : ; ; ; ; - , .

, 8-K 3 1996 . Discovery Zone , . 3 1996 . Discovery Zone, Inc. () , Price Waterhouse LLP (PW), , PW 1996 . Registrant . 8- , . 8-K , , , .

SEC, , , . , 1 2

14 W. R. Grace 10 1995 . 14 Einstein Noah Bagel Company 1 1997 .

132

5.

. .

, , , , , 1. , , , 2. : , . , . , , . , , , , , 3. , . SEC. , , . ( , ), , , . 15 1997 ., , , 4. 5- 10- , .1

2

3

4

1 (: ). 1 . 94-6 ( , 1994 .), , 15 . 131 (: , 1997.)

133

, , . (, Walt Disney 1997 . 8 44 .) (, Berkshire Hathaway) (, Gulf Canada Resources Ltd )1. . . - , , Newswire (www.prnewswire.com), Business Wire (www.businesswire.com), First Call (www.firstcall.com) Dow Jones (bis.dowjones.com). -. - , , .

, , - , 10-K c (MDA) . , MDA . SEC , MDA , . ( , ) SEC , , . - , , , MDA , . Thornton O'Glove, (Quality of Earnings Report), 2. O'Glove 3. 15 , . 1980- . Convergent Technologies (CVGT). . 1983 . $0,40 1

2

3

Moos Jeanne. Annual Reports to Remember//http://www.cnnfn.com/hotstories/ 24 , 1997. OGlove Thornton L. (with Robert Sobel). Quality of Earnings (New York, NY: The Free Press, 1987). . 44. OGlove. Quality of Earnings. . 4649.

134

5.

$0,42 1982 . 1983 . , 1983 Convergent Technologies. , . , , NGEN , , , . : . WorkSlate ( , ) : , American Express, . , $96,4 $163,5 , $11,9 $14,9 , CVGT $0,40 $0,42 1982 . . , : , , 1983 . , . , MDA 10-K 1983 . , - . . MDA : , . MDA , . 10-K : , . : . . . , PepsiCo 10-K 1997 . , 10-K. , . PepsiCo, , : , 30%, 62%. . 30%- . MDA 10-K , : 30%- 13%- : 135

, $ 1997 1996 1995 , % 1997 1996

*

$2662 $2952

$2040 $2616

$2606 $2672

30 13

(22) (2)

* ( 2).

1997 . $622 . $336 , $392 ( 14%) $56 ( 32%). . 1997 . 1996 .. (PepsiCo Inc. 1997 10-K, . 13.)

10,0 12,7% ( ), , , 10-K, , 1997 . , 1995 ., 13,7%1. . MDA , .

, , . . : ; , ; .

, , , . 1

1997 . , 1994 ., 13,9% , 1993 ., 13,6%. , 1996 . , 1997 . , , 1996 .

136

5.

Harnischfeger Industries Inc., . 5.3. 1991 . 1991 . , 1995 . ? , . 1991 . 1995 . 1991 ., 1995 . , 1. , Harnischfeger 1991 ., 1991 . , , 1991 . . 5.3 Harnischfeger Industries, Inc, 1991, . . 1991 . 1991 1995 .

, .

1 584 114 120 920 64 610 1 506 882 2,08 19,82 11 600

1 863 703 194 682 79 966 2 135 627 1,90 11,98 17 100

: Harnischfeger Industries, Inc. 1991 ., . 3435, Harnischfeger Industries, Inc. 1995 , . 4647.

, , . . -, . , . , 1

, , , . , , , , .

137

. , , . , . . , . , , . , , 1. (IASC) . , .

, , . , . (, , , ), , . . , . , . , , , SEC .

. (IR), , , .

1

Byrnes Nanette. Needed: Accounting the World Can Trust//Business Week ( 12, 1998). C. 46.

138

5.

IR. . , , . . , , , , , , , 1. : , - ( ). , IR , .. , . , IR . , . , . , : ; ; ; ; ; .

, , , , , . , . , . . , . , . , , .

1

The Telecommunications Industry (Charlottesville, VA: Association for Investment Management and Research, 1994). . 108110.

139

, , .

(Electronic Data Gathering and Retrieval EDGAR) , (www.sec.gov). EDGAR - SEC 1994 . , , 10-K 10-Q, EDGAR, (, 10-K ) . EDGAR 24 , . EDGAR SEC EDGAR , 1.

, . , , . ? ? ? , . , . Stat-USA () . Stat-USA , . , , , 2.

1

2

EDGAR On-line (www.edgar-online.com) EDGAR Compustat (www.compustat.com). Web- (www.doc.gov), Stat-USA (eee.sstat-USA.gov) (www.census.gov).

140

5.

(North American Industry Classification System NAICS)1. NAICS , (Standard Industrial Classification SIC) 1997 .2. NAICS 6- 350 . . . 5.4. NAICS , . SIC , NAICS , , . 5.4 NAICS

11 21 22 23 3133 42 4445 4849 51 52 53 54 55 56 61 62 71 72 81 92

, , , , , , , ( )

: http://www.census.gov/epcd/www/naics.html1

2

, , , , (INEGI). SIC - , 1930- .

141

. , . , , , . ? , . , . , . 5.5. 5.5 Web-

www.bog.frb.fed.us www.bea.doc.gov www.stat-usa.gov www.census.gov www.doc.gov

Federal Reserve Bulletin National Product Accounts Business Inventories Gross Product by Industry National Trade Data Bank CenStats Survey of Current Business

, - , . . .

, - . - , . 142

5.

. 5.6. , . ( ), ( ) . 5.6

Disclosure www.disclosure.com Dun & Bradstreet www.dnb.com Fitch IBCA www.fitchibca.com

Global Access

50 000 140 10 000 CD-ROM , , 650 - , , SEC , 18 000 11 000 Web- Standard & Poor , 10-K 10-Q

Principal International Businesses BankScope CreditDisk Fitch IBCA Research International Bank Rating Review

Moodys Investor Services www.moodys.com

Company Data Direct Company Data with EDGAR

Standard and Poors, McGraw-Hill, Inc. www.standardpoor.com

Compustat

Market Insight

EDGAR Compustat

143

. 5.6

Value Line, Inc. www.valueline.com

DataFile

5000 1955 . Value Line , , , , , 6000

Estimates & Projections File Zacks Investment Research www.zacks.com Zacks Historical Data

Zacks Research System (ZRA)

. NAICS SIC , , . , , . , . , . RJR Nabisco, , , 49 51% - 1. , RJR Nabisco NAICS. . , . , , . , . , , . , :1

RJR Nabisco Holdings, 10-K, 15 .

144

5. , %

A B C D

23 20 15 10

? , 17%? . ? A $10 , B, C, D $1 , 17% . - , . . , - , , . , . , ( ) . . 5.7. , . . , , Standard & Poor's Compustat Value Line, , . 5.7

/

, , ,

145

. 5.7

, , . . , . AP Business News (www.ap.org), Bridge (www.bridge.com) Business Wire (www.businesswire.com). , Wall Street Journal (www.wsj.com), Investors Business Daily (www. inves- tors.com) Financial Times (www.ft.com), , . , , , McGraw-Hill (USCEN), .

. (, 10-K, 10-Q). , . . , .

6

. (Frank J. Fabozzi), , CFA, -

. (Steven V. Mann), ,

(Moorad Choudhry),

, . , ( ), ( ), ( , ) ( ), , , , , , . , .

. . . ( ) . , . , . 4 , 13 (3 ) 26 (6 ), . . , . . . $1000. $10 000. . , , . , . , . . . , , . / 148

6.

. - . - 7. (when issued) WI. . , . . , . , , , .

, . / . , , , . : Yd = D 360 F t

Yd ( ); D , ; F ; t .

, 6.1 PX1 Governments Bloomberg. . . . /. ( ), / , . . 6.2 ( PX2). . 6.1, 91 $1000. , $995,854444. D : D = $1000 $995,854444 = $4,145556 149

6.1 Bloomberg PX1

: Bloomberg Financial Markets 6.2 Bloomberg PX2

: Bloomberg Financial Markets 150

6.

, Yd = $4,145556 360 = 1, 64% $1, 000 91

, , Yd (D) : D = Yd F (t/360). : = F D. 6.1 91- $1000 1,64%, D : D = 0,0164 $1000 91/360 = $4,14556. , = $1000 $4,145556 = $995,854444. . -, , . -, 360 , 365, , 365 . 360 . , . , .

( ) , , 360 . (.. ), . : = 151

360Yd 360 t (Yd )

, 6.1, 91- 11 2002 . 1,64%. : = 360(0, 0164) = 0, 01647 = 1, 647% 360 91(0, 0164)

, , . , -. : = T (Yd ) 360 t (Yd )

T (.. 365 366).

, 91- $1000, 1,64% , : = 365(0, 0164) = 0, 0167 = 1, 67% 360 91(0, 0164)

, Bloomberg 6.1.

: , . . - , 152

6.

(TVA), , , , , , , , , . , , TVA. , . , , . (GSE) , . , . , . GSE . GSE: , , , , . , , , . , . , TVA. 9. , , . , .

Fannie Mae ( ) Fannie Mae . , . 360 , 153

3 , 6 1 . Fannie Mae , . Fannie Mae. . : , . Fannie Mae (Benchmark Bills) 1999 . . , , , . , . , : 3 6 . 2000 . Fannie Mae 1 (360 ), . Fannie Mae . 6.3 Bloomberg 18 2001 . 3- 6- Fannie Mae. . Fannie Mae . ( ACCESS dealers) . . $50 000 $1000. , , , 35% . , , 35% . 8.30 9.30 . . , . , , . , (.. ). 6.4 Bloomberg , 19 2001 . 3- 6- . (.. ). $1000. , , /360.

154

6. 6.3 Bloomberg Fannie Mae

: Bloomberg Financial Markets 6.4 Bloomberg Fannie Mae

: Bloomberg Financial Markets 155

6.5 3 6 1

31,307 13,627 2,036 98,504

26,984 9,626 6,731 58,709

37,528 10,381 16,552 77,686

: Fannie Mae , Fannie Mae , . , Fannie Mae . , 3- 2- CUSIP-, . , Fannie Mae. 6.5 3-, 6- 1- 1 2000 . 20 2001 .

(Freddie Mac ) (Reference Bills). 365 , . . Freddie Mac , 24 ( ) - Freddie Mac. , -, $1000 c , $1000. , . Freddie Mac Fannie Mae. , , 156

6.

: (28 ), (56 ), (91 ), (182 ) (364 ). . 1- 2- , 3- . 6- 1- , 6-, 1- . , Freddie Mac . , , . , , , . $1 .

(FHLBank) . , , , . $100 000 $1000. 360 . FHLBank : 1) ; 2) 3) FHLBank .

(FFCS) , FFCS . 365 , 90 . $5000 $1000. . FFCS , . 6.6 Bloomberg DES , , . FFCS 1 2001 . 1 2001. , 30/360. 157

6.6 Bloomberg

: Bloomberg Financial Markets 1 2001 . 3,52%, . , , 30/360. 30/360 , 30 , 360 . 30/360 1 2001 . 1 2001 . 90 . $1 : $1 000 000 0,0352 (90/360) = $8800. 6.7 Bloomberg Yield Analysis (YA) . $1 000 000 21 2001 . (.. ) $1 006 150,03, PAYMENT INVOICE. , $1 008 800 , , $2 649,97. GROSS PROFIT . , , 6.7 DISCOUNT EQUIVALENT. , . 158

6.

, , . , $1 008 800, $1 006 150,03, ? , (D): D = Yd F (t/360), Yd ; F ; t 6.7 Bloomberg

: Bloomberg Financial Markets $1 008 800, $2 649,97, 41, /360. , : $2649,97 = Yd $1 008 800 (41/360). Yd : Yd = 0,02306504 = 2,306504%. 6.7 YIELD CALCULATIONS . 159

(Farmer Mac) 365 . Farmer Mac , . 6.8 Bloomberg Farmer Mac, 24 2000 . 24 2001 . Farmer Mac . ISSUE SIZE , $1000 $1000. 6.9 Bloomberg YA ( ) Farmer Mac. , 2,28516%, 99,784179 ( $100 ) 20 2001. CASHFLOW ANALYSIS , $1 24 2001 . $997 841,79. $2158,21 . 6.9 Bloomberg Farmer Mac

: Bloomberg Financial Markets

(Sallie Mae) , 91- , , , 3- LIBOR, 160

6.

. 6.10 Bloomberg DES Sallie Mae , 2 2001 . 23 2002 . 23 2001 . . 6.10 Bloomberg Sallie Mae

: Bloomberg Financial Markets

(TVA) , , . . -, TVA $100 000 $1000. -, , , .

, . . . , 161

. , . 2001 . $1,5 . 270 ; 45 . , . , 1933 . (SEC). 1933 . , 270 . SEC, 270 . 2 365 . , , ; .. . , , . , , 90 . , , 90 . . . . , , , . , . $100 000. $25 000. , , . , . , . , , , .

. , -. . , . 162

6.

, , Bloomberg, Reuters Telerate. , ; , , . , 5 $100 . . , . , , . .

, , . , . , , . SEC Fitch, Moody's Standard & Poor's. 6.11 . , ( ) . . , . 100%- , , , . 100% . , , - . 6.11 Fitch Moodys S&P

F1+/F1 F2 F3 F4 F5 163

PI P2 P3 NP NP

A1+/A1 A2 A3 B, C D

6.12 Bloomberg

: Bloomberg Financial Markets . A1+/P1/F1+. A1/P1, F1. , A1/P2 A2/P1. A2/P2/F2. , A3/P3/F3.

, . , . , , . GE Capital. 6.12 Bloomberg , 25 2001 . 45 . Bloomberg (YA) 6.13, 2,27%, . /360, , /365. , , 164

6.

, (D): D = Yd F (t/360) Yd ; F ; t .

: = F D. 25 2001 . GE Capital 45 . $100 2,27% D : D = 0,0227 $100 45/360 = $0,28375. 6.13 Bloomberg GE Capital

: Bloomberg Financial Markets : = $100 $0,28375 = $99,71625. , 6.13. 165

. . -, , , . -, , , . , . , , . , .

, , . ( ABC), , . ABC . , , ( ), , , , , , . Moody's, ABC 1. -, , - , ABC, , . , , , , . -, , .. , , . , , , ABC , .

(MTN) , , . 1

Adelson Mark H. Asset-Backed Commercial Paper: Understanding the Risks. Moodys Investor Services, 1993.

166

6.

: 9 , 18 , 18 .. . , , 415 ( ), . , , . , . . 15 . , , 9 30 . . 11. . . . , , . $100 $1 , . ( ), . -. 6.14 Bloomberg Money Market Amgen Inc. . , , $400 . , , , . PROGRAM INFORMATION, Bear Stearns (BEAR) Goldman Sachs (GS), . ; . . , . , . . , , . , , . . 167

6.14 Bloomberg Money Market Amgen

: Bloomberg Financial Markets . ,