Επενδυτική Στρατηγική Μέθοδοι & προτάσεις Ομιλητές :...

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Επενδυτική Στρατηγική Μέθοδοι & προτάσεις Ομιλητές: Καραμανώφ Α.Μιχαήλ Χρηματιστηριακός Εκπρόσωπος & Διευθύνων Σύμβουλος Καραμανώφ ΑΧΕΠΕΥ Ιωαννίδης Α.Χρήστος
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Επενδυτική Στρατηγική Μέθοδοι & προτάσεις Ομιλητές : Καραμανώφ Α.Μιχαήλ Χρηματιστηριακός Εκπρόσωπος & Διευθύνων Σύμβουλος Καραμανώφ ΑΧΕΠΕΥ Ιωαννίδης Α.Χρήστος. Περιεχόμενα. Some Theory. Τρόποι Επιλογής & Σφάλματα από την Πλειονότητα των Επενδυτών. Ανάλυση & Επιλογή Μετοχών. - PowerPoint PPT Presentation

Transcript of Επενδυτική Στρατηγική Μέθοδοι & προτάσεις Ομιλητές :...

  • & : . & .

  • Some Theory & &

  • Some Theory

  • Active vs. Passive managementActive management means allocation of resources based on an active strategy. Usually active management is performed against a benchmark, requiring intended over-/ underweights of positions. Passive management means following an index, benchmark or another portfolio using quantitative techniques, such as principal component analysis to replicate an index. The discussion of active vs passive management is linked to the efficient market discussion: Can information add value (performance)?.

  • From Where does Superior Performance Come?From Where does Superior Performance Come? Superior performance arises from active investment decisions which differentiate the portfolio from a passive benchmark These decisions include: Market Timing: Altering market risk exposure through time to make advantage of market fluctuations; Sectoral emphasis: Weighting the portfolio towards (or away from) company attributes, such as size, leverage, book/price, and yield, and towards (or away from) industries; Stock selection: Marking bets in the portfolio based on information idiosyncractic to individual securities; Trading: large funds can earn incremental reward by accommodating hurried buyers and sellers.

  • 1) Top Down (for Internationally diversified portfolios) 2) Bottom up (focuses solely on the unique attractions of individual stocks) Asset allocation: determining geographical areas & asset classesB) Sector selection: sector selection decisions in favoured equity Mkts are usually made with reference to weighing each sectorC) Stock selection: A combination of fundamental and technical analysis in order to arrive at the final decisionAlthough the health and prospects for the world economy &Mkts are taken into account, these are secondary to factors such as a companys takeover or the launch of an innovative product

  • Investment Management Styles Growth InvestingAggressive investment styleThematic InvestingValue Investing Buy stocks in distressed conditions in the hope their price will return to the mean Fashion Led InvestingContrarian Investing

  • Value vs Growth Investing

    Approach TakenValueGrowthPreferred Mkt Conditions

    P/E RatioDividend YieldOperational GearingFinancial Gearing P/B ValueCautious Bear Mkt set to recover

    LowHigh

    High LowLowAdventurous bull Mkt gathering momentum

    HighLow

    LowHighHigh

  • Cash Defensive equities (food retailers, pharmaceuticals, tobacco, utilities Recession Bear MarketStart Of Bull MarketGrowth Accelerates as interest rates fallEnd of Bull MarketGrowth decelerates as interest rates rise to suppress inflationProperty Basic Industry equities (chemical, paper, steel)BondInterest Rate sensitive equities (bank, house building)Exchange rate sensitive, equities (exporters, multinationals)Commodities and basic resourcesCyclical consumer equities (airlines, autos, general retailers, leisure)General industrial and capital spending Equities (electrical engineering, contractor, TMT)Investment Clock

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  • 01/01/10-31/12/10. %31/12/2009 98,697,000196.42333,296,000 60,009,00045.10741,355,000 158,706,000123.27271,082,000.73,602,000307.68918,053,465.21,988,00011.37219,742,902 95,590,000152.90837,796,367 63,116,00089.61733,286,000455,00099.561228,0004,506,000-37.8917,255,000 38,914,00083.81721,170,000 01/01/10-31/12/10. %01/01/09-31/12/0958,164,2615.57155,094,754 29,345,07116.14325,266,428 -12,416,39288.571-6,584,453 -11,148,18469.311-6,584,453 ....-11,148,18469.311-6,584,453EBITDA1,108,67039.793793,078 01/01/06-31/12/0601/01/05-31/12/05 ..22,191,434-13,101,683 ..-46,107,495-1,801,816 .21,197,28419,278,374 / ..-2,718,7774,374,875

  • 2000, 2002, , , 2001 233%, 25. 96. ( ), , management , ,

  • 01/01/10-31/12/10. %31/12/2009 40,579,000-12.05246,140,000 92,900,000-12.858106,607,000 133,479,000-12.614152,747,000.113,814,000-8.183123,958,000.7,075,00012.6236,282,000 120,889,000-7.180130,240,000 11,975,000-44.70121,655,00012,064,000-22.24315,515,0002,614,000-59.3916,437,000 55,467,000-6.86059,552,000 01/01/10-31/12/10. %01/01/09-31/12/0949,149,000-6.15252,371,000 13,930,0007.94312,905,000 -1,089,000-132.3533,366,000 -8,642,000-629.8591,631,000 ....-8,439,000-602.6211,679,000EBITDA7,967,000-41.16413,541,000 01/01/06-31/12/0601/01/05-31/12/05 ..7,244,0005,634,000 ..-6,863,000-12,637,000 .-4,375,0002,752,000 / ..-3,994,000-4,251,000

  • / , 10.095 68% 2005 2002 2006 ( ), , . , , .

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  • . . qualitative & quantitative section. Qualitative Section: .. , management, . .

  • Quantitative Section: (fair value) , (DCF, DDM, Peers group analysis, P/E Ratio analysis .) , .

    To DCF model

  • DCF MODELA key valuation tool at analysts' disposal is discounted cash flow (DCF) analysis. Analysts use DCF to determine a company's fair value according to its estimated future cash flows. Forecasted free cash flows (EBIT adjusted tax + depreciation change in working capital capital expenditure) are discounted to a present value using the company's weighted average costs of capital (WACC) ( ) .

  • WACCA calculation of a firm's cost of capital in which each category of capital is proportionately weighted. All capital sources -common stock, preferred stock, bonds and any other long-term debt -are included in a WACC calculation.

    WACC is calculated by multiplying the cost of each capital component by its proportional weight and then summing: WACC = E / V *Re + D / V * Rd *(1-Tc)

    Where:Re = cost of equity Rd = cost of debt E = market value of the firm's equity D =market value of the firm's debt V = E + D E/V = percentage of financing that is equity D/V = percentage of financing that is debt Tc =corporate tax rate

  • Cost of Equity - Capital Asset Pricing Model - CAPMA model that describes the relationship between risk and expected returnandthat is used in the pricing of risky securities.The general idea behind CAPM is that investors need to be compensated in two ways: time value of moneyand risk. The time value of money is represented by the risk-free (rf) ratein the formula and compensates the investors for placing money in any investment over a period of time. The other half of the formula represents risk and calculates the amount of compensation the investor needs for taking onadditional risk. This is calculated by taking a risk measure (beta)that compares the returns of the asset to the market over a period of time and to the market premium (Rm-rf). Ra = Rf +Ba*(Rm-Rf)

  • DCF Risk Free Rate Risk Free Rate (yield to maturity) . (10 ). . Rf

  • Beta Beta (Rj) (Rm) .Rj = a + b X Rm . eta Beta .

  • Levered Beta Levered Beta , . Levered = BUnlevered + BUnlevered* (1-t)* (Debt / Equity) Levered Beta

  • Risk Premium , , 10 , . Risk Premium = Market Return RF : H ERP 1960 2010, 4%.

  • (g) : (Reinvestment Rate) (ROC)g (EBIT) = Reinvestment Rate X ROCRR = (Net Capital Expenditure +WC) / EBITx (1-t)ROC = EBIT x (1-t) / (BV Debt + BV Equity)

  • DCF EXAMPLEWe make several assumptions to derive the groups WACC.

    WACC CALCULATIONRate Long Term Risk Free Rate 4.40%10 yr.GreekTreasury Bond Ungeared Beta1.05Levered Beta------Net Debt / EquityRatio = -0.1 Equity Risk Premium 5.00%Greek ERPEstimateDebt/Debt+Equity1.95%Cost of Debt0.00%Average Growth to perpetuity2.30%Long Term Global Rate ofInflation (2%) + companyprospects growth premium(0.30%)Source: Company's Data and Karamanof Securities estimates

  • DCF EXAMPLE 2

    DCF MODELin EUR ,000 2007E2008E2009E2010E2011EPerpetuityEBIT64,57570,42178,87289,125100,712103,028Less: Adjusted Tax14,77716,09217,99420,30122,90823,181Adjusted Operating Profit (NOPLAT)49,79854,32960,87868,82577,80479,847Plus Depreciation4,7255,1035,7156,4587,2987,465Operating Cash Flow54,52359,43266,59475,28385,10287,312Less: Change in Working Capital-2,2456,25512,16617,78720,39622,666Less: Capex5,0005,0005,5005,5005,5005700Free Cash Flow51,76848,17748,92851,99659,20658,946Discount Factor0.9130.8330.7600.6940.6330.633Present Value of Cash Flows47,25140,13637,20536,08837,507Accumulated Present Value47,25187,387124,592160,680198,186Residual Value 811,928Present Value of Residual Value514,348VALUATIONPresent Value of FCF (07-10)198,186 Price at 12/03/0712.12PV of Residual Value514,348 Price Target13.77Enterprise Value712,535 Expected Return13.60%% Residual Value of Total72.19% Expected DY 3.30%Less Net Debt-2,751 TER16.90%Value of Firm715,286Outstanding Number of Shares51,951Value of Share13.77

  • Advantages The alternatives to DCF are relative valuation measures, which use multiples to compare stocks within a sector. While relative valuation metrics such as price-earnings (P/E), EV/EBITDA and price-to-sales ratios are fairly simple to calculate, they aren't very useful if an entire sector or market is over or undervalued. Unlike standard valuation tools such as the P/E ratio, DCF relies on free cash flows. For the most part, free cash flow is a trustworthy measure that cuts through much of the arbitrariness and "guesstimates" involved in reported earnings. DCF Analysis: Pros & Cons Of DCF:

  • Disadvantages The biggest disadvantage of DCF model is its high sensitivity to assumptions about the perpetuity growth rates and discount rates. If for example and instead of 2.3% growth rate we assume a 1% growth rate we end up with a fair value of 11.5 instead of 13.7 euro.

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