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投資理財的步驟與 案例討論. 報告人 : 蔡 瑜 馨. 九十七年十月二十九日. 投資理財的步驟. 一、 Determine return and risk objectives and constraints 二、 Define appropriate investment strategy 三、 Formulate market expectation 四、 Process asset allocation 五、 Execute portfolio decision

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slide1

投資理財的步驟與

案例討論

報告人:蔡 瑜 馨

九十七年十月二十九日

slide2
投資理財的步驟

一、Determine return and risk objectives and constraints

二、Define appropriate investment strategy

三、Formulate market expectation

四、Process asset allocation

五、Execute portfolio decision

六、Evaluate performance and make modifications adjustments

determine return and risk objectives and constraints
一、Determine return and risk objectives and constraints

☆如何決定報酬率

Required return and desired return

報酬率的計算

報酬率的陷阱

高報酬高風險

☆如何了解自己的投資限制TTLLU

required return and desired return
Required return and desired return

十年後想出國讀書 :

明年後想去歐洲旅行:

slide5
報酬率的計算

☆HPY 持有期間報酬率

☆EAY 年化報酬率

考慮複利效果

(1+HPY)^365/t -1

不考慮複利效果

HPY*360/t

☆EAR 連續複利報酬率

(1+periodic interest rate)^compounding times -1

slide6
報酬率的陷阱

☆HPY→EAY

GIPS規定一年以下的報酬率不允許年化

☆現金流量足以扭屈報酬率

slide7
高報酬高風險

☆如何衡量自己所能承受的風險 -

Ability & Willingness

Sources of wealth

Measures of wealth

Stage of life

☆決定風險目標 - σ 、β 、ρ

slide8
σ愈高 波動度愈大

標準差的定義- 1.65 σ、1.96 σ、2.58 σ

如何計算投資組合(σp)的標準差-

Wa Wb σa σb

何種組合會使σp最小?最大?

slide10
β 係數 愈高 愈相關

ρ 係數 愈高 愈相關

sharpe ratio
Sharpe ratio 愈高 愈好

Rp - RF

σ portfolio

increases proportionally with time-

can be manipulated by altering the length of the measurement period

not take ρ into account-

implicit assumption-normal distribution

slide12
Sortino ration 愈高 愈好

Rp – MAR (minimum acceptable return)

σ downside

ttllu
如何了解自己的投資限制TTLLU

Time horizon

Tax :在台灣,資本利得免稅

個人所得稅稅率6%~40%

6% 370,000元以下

13% 990,000元以下

21% 1,980,000元以下

30% 3,720,000元以下

Liquidity: transaction costs…

Legal and regulatory

Unique circumstance

formulate market expectation
三、Formulate market expectation

☆Cyclical indicators

Leading: stock price(平均有4個月的領先)

Coincident:

Lagging:

☆Inflation & interest rate

Negative relationship with bond price

Uncertain relationship with stock price

☆Business cycle

slide17
☆Business cycle

Initial recovery:

bond price ↓ stock price↑rapidly

Early expansion:

bond price↓ stock price↑ interest rate↑

Late expansion:

bond price↓ stock price↑

interest rate↑但 risk ↑

Slowdown:

bond price↑ stock price↓ inventory level↓

Recession:

short interest rate↓ bond price↑ stock price↑(anticipating the end of the recession)

business cycle 15
☆Business cycle-全循環期至少15個月

Peak

Late expansion

Early expansion

Slowdown

Recession

Initial recovery

Trough

Y軸為一組代表性的經濟指標,綜合性考量生產、消費、所得、就業、貿易、交易等層面。

process asset allocation
四、Process asset allocation

94% of variability of total portfolio return and more than 100% of the long term portfolio performance is explained by strategic asset allocation.

slide20
案例計算

十年後想出國讀書,需要2,000,000,

如果現在存600,000,報酬率至少應為?

FV = 2,000,000 PV = 600,000

投資期間為10年N=10

600,000*(1+R)^10 = 2,000,000

R = 12.79%

evaluate performance and make modifications adjustments
六、Evaluate performance and make modifications adjustments

☆ Evaluate performance: return and risk objectives

☆ Modify the required return and risk tolerance and constraints

☆ Fire the portfolio manager

slide25
4433法則

☆ 由台大財金系教授邱顯比所提出,是一種根據報酬率來篩選基金的方法,以長、中、短期績效挑選出報酬率穩定的基金。

☆ 篩選步驟如下:第一步4-以一年期報酬率排名在同類型的前四分之一。第二步4-

從第一步中所挑選出來的,再以兩年、三年、五年及自今年以來 報酬率排名在同類型的前四分之一。 第三步33-

從第二步中再挑選基金三個月、六個月期績效排名在 同類型的前三分之一。

slide26
補充

☆ 何謂結構債?

☆ 金融風暴是?