Chapter 12 Investment Analysis and Portfolio Management Frank K. Reilly & Keith C. Brown
Chapter 12 Macroeconomic and Market Analysis: The Global Asset Allocation Decision Questions to be answered: 1. What are the expected and the empirical relationships between economic activity and security markets? 2. What is the macroeconomic approach to estimating future market returns? 3. What are the major macroeconomic techniques used to project the securities market? 4. What is the leading economic indicator approach? What are its uses and shortcomings and can it be used to predict stock prices? 5. What are the expected and the empirical relationships between the growth of the money supply and stock prices? 2
Chapter 12 6. What is meant by excess liquidity and how is it measured? 7. What is the effect of monetary policy on stock prices in the United States and around the world? 8. What are the expected and the empirical relationships between inflation, interest rates, and bond prices? 9. What are the expected and empirical relationships between inflation and stock prices? 10. When analyzing world security markets, what is the relationship between inflation and interest rates in alternative countries? What is the effect of inflation and interest rates on exchange rates? 11. How do the basic valuation variables differ among countries? 12. How do stock price returns among countries correlate when considering domestic returns and returns in U.S. dollars? 13. What factors should be considered when analyzing the outlook for a foreign economy and its stock and bond market? 14. What is the asset allocation procedure for a global portfolio? 15. For a world asset allocation, what is meant by normal weighting, underweighting, and overweighting? 3
Economies and Markets Ada hubungan yg kuat antara perekonomian dan pasar saham Pasar sekuritas merefleksikan APA yg sdg berjalan (going on) dlm suatu perekonomian sebab nilai INVESTASI ditentukan oleh Arus kas ekspektasiannya Return yg disyaratkan (required rate of return) 4
Economic Activity and Security Markets Pasar saham sb suatu indikator yg plng menentukan (Leading) Harga saham merefleksikan ekspektasi laba, dividen, dan tingkat bunga Harga saham bereaksi pd serangkaian indikator yg menentukan (various leading indicator series) Harga saham menurun sblm perekonomian menurun 5
Cyclical Indicator Approach to Forecasting the Economy Pendekatan ini berargumen bhw perekonomian agregat berkembang dan menurun (expands and contracts) dlm periode yg terpisah (discernable) National Bureau of Economic Research (NBER) Kategori indikator bersiklus (Cyclical indicator) Indikator paling menentukan (leading) Indikator saling berpengaruh (coincident) Indikator berselang (lagging) Serangkaian gabungan dan rasio-rasio (Composite series and ratio of series) 6
Cyclical Indicator Categories Leading indicators kondisi ekonomi (economic series) yg biasanya mencapai puncak atau batas bawah (peaks or troughs) sblm puncak dan batas bawa dlm aktivitas perekonomian agregat Coincident indicators kondisi ekonomi yg memiliki puncak dan batas bawah yg sulit bersesuaian (roughly coincide) dg puncak dan batas bawah dlm siklus bisnis 7
Cyclical Indicator Categories Lagging indicators kondisi ekonomi (economic series) yg mengalami puncak dan pangkal bawah stlh perekonomian agregat Selected series kondisi ekonomi yg tdk jatuh ke dlm satu dr tiga kelompok utama tsb 8
Cyclical Indicator Approach to Forecasting the Economy Ukuran analitis kinerja Indeks transmisi (diffusion indexes) trend Tingkat perubahan Arah perubahan Komparasi dg siklus sebelumnya 9
Cyclical Indicator Approach to Forecasting the Economy Keterbatasan pendekatan indikator bersiklus (cyclical indicator) Variabilitas tinggi Sifat uang (currency of) data dan revisi Tak ada indikator (no series) yg merefleksikan sektor jasa Tak ada indikator yg mewakili perekonomian global Perkembangan politis dan internasional tdk dimasukkan sbg faktor ke dlm (factored into) suatu sistem statistikal 10
Cyclical Indicator Approach to Forecasting the Economy Leading indicators dan harga saham Seri indikator yg menentukan lainnya CIBCR: Indeks Long-leading Indeks leading employment Indeks Leading inflation Analisis indikator penentu altenatif tentang inflasi Seri indikator penentu internasional Survei sentimen dan ekspektasi 11
Monetary Variables, the Economy, and Stock Prices Penawaran uang dan perekonomian Penawaran uang dan harga saham Likuiditas ekses dan harga saham Perubahan persentasi dr tahun ke tahun dlm penawaran uang M2 disesuaikan unt tabungan jk pendek (small time deposits) dikurangi perubhn tahun ke tahun dlm GDP nominal 12
Money Supply and the Economy Penurunan dlm tingkat pertumbuhan penawaran uang telah memicu (preceded) kontraksi bisnis selama rata-rata 20 bln Peningkatan dlm tngkat pertumbuhan penawaran uang tlh memicu ekpansi ekonomi sekitar 8 bln 13
Money Supply and Stock Prices Likuiditas ekses dan harga saham Likuiditas ekses historis di US Likuiditas ekses historis di negara asing (non US) 14
Monetary Variables, the Economy, and Stock Prices Variabel ekonomik lain dan harga saham Petumbuhan dlm produksi industrial Perubahan dlm tambahan risiko (risk premium) Perputaran (twists) dlm kurve yield Ukuran inflasi kejutan (unanticipated inflation) Perubahan dlm inflasi ekspektasian slm periode inflasi yg berubah-ubah (volatile) 15
Inflation, Interest Rates, and Security Prices Inflasi dan tingkat bunga generally move together investors are not good at predicting inflation Tingkat Inflasi dan harg obligasi Hubungan negatif Lbh besar pengaruhnya pd obligasi jk lbh panjang Tingkat bunga dan harga saham Tdk mengarah dan tidak konsisten Efek berubah dr waktu ke waktu 16
Analysis of World Security Markets Goldman, Sachs & Co. World Investing Strategy Highlights Inflasi dan kurs pertukaran Korelasi di antara return Perubahan harga saham negara Individual Analisis negara Individual Alokasi aset dunia 17
The Internet Investments Online www.ms.com www.dri.mcgraw-hill.com/index.htm www.yardeni.com www.whitehouse.gov/fsbr/esbr.html www.bog.frb.fed.us www.phil.frb.org/econ/index.html www.worldbank.org www.bankamerica.com/econ_indicator/econ_indicator.html www.personalwealth.com www.spglobal.com/index.html 18
The Internet Investments Online www.treasury.boi.ie www.dkb.co.jp/english/index.html www.boj.or.jp/en/index.htm www.indobiz.com www.bankofengland.co.uk www.bundesbank.de/index_e.html www.banque-france.fr/gb/home.htm www.ecb.int 19
End of Chapter 12 The Analysis of Alternative Economies and Securities Markets: The Global Asset Allocation Decision 20
Future Topics Chapter 13 Stock Market Analysis Microanalysis of a country s stock market Application of the DDM and the FCFE models to the aggregate stock market How to arrive at an expected market value and an expected rate of return for the stock market? 21