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九十七年十月二十九日

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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九十七年十月二十九日

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  1. 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

  2. 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

  3. 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

  4. Required return and desired return 十年後想出國讀書 : 明年後想去歐洲旅行:

  5. 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

  6. 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

  7. 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

  8. 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?

  9. β 係數 愈高 愈相關 ρ 係數 愈高 愈相關

  10. 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

  11. Sortino ration 愈高 愈好 Rp – MAR (minimum acceptable return) σ downside

  12. 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

  13. 二、Define appropriate investment strategy Aggressive- Passive-

  14. 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

  15. ☆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)

  16. ☆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。

  17. 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.

  18. 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%

  19. 案例計算- strategic asset allocation

  20. 五、Execute portfolio decision

  21. 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

  22. 台灣普遍金融商品報酬率

  23. 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。

  24. 補充 ☆ 何謂結構債? ☆ 金融風暴是?

  25. 敬請指教

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