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Portfolio Management

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Portfolio Management

Portfolio Management

Published in: Economy & Finance, Business
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  • 1.        Gangming  Liang    StockTrak  Presentation  Portfolio  Management
  • 2. 1)  Goal:  To  buy  a  $1M  house  in  the  Bay  Area  within  5  years;            Expected  Annual  Return  of  14.87%    2)  Risk  preference:  Moderate  to  High  3)  Trading  Strategy:            Rebalancing  (buy  low  sell  high)            Unperfect  Correlation              IPS
  • 3. Asset  AllocationTime horizon:Up to 5 yearsGoal:$ 500 000 profitRisk Tolerance:HighExpected return:14.87%Standard Deviation:11.99%
  • 4. CorrelationCorrelaon  Matrix  Internaonal  Stock   US  Large  Cap   Small  Cap   Short  Term  Bonds  iShares  MSCI  EAFE  Index  (EFA)  S&P500   Russel  2000  Vanguard  Short-­‐Term  Bond  ETF  (BSV)  Internaonal  Stock  iShares  MSCI  EAFE  Index  (EFA)  1.00   0.92   0.81   0.09  US  Large  Cap   S&P500   0.92   1.00   0.93   -­‐0.02  Small  Cap   Russel  2000   0.81   0.93   1.00   -­‐0.16  Short  Term  Bonds  Vanguard  Short-­‐Term  Bond  ETF  (BSV)  0.09   -­‐0.02   -­‐0.16   1.00  There is a high correlation among International, US Large Cap and Small Cap stocks,2009-2013
  • 5. Asset  allocation  Asset  Class   Index   Ave.Return   St.Dev   Weight  Weighted  Return  Monthly  return  Internaonal    iShares  MSCI  EAFE  Index  (EFA)  1.34%   5.76%   10.0%   0.13%   Average  return   1.24%  Large  Cap   S&P500   1.62%   4.27%   52.6%   0.85%   St.Dev   3.46%  Small  Cap   Russel  2000   1.79%   5.84%   12.4%   0.22%  Short  term  Bonds  Vanguard  Short-­‐Term  Bond  ETF  (BSV)  0.23%   0.44%   15.0%   0.03%  Total   100%   1.24%   Annualized  Return  Average  return   14.87%  min   0.23%   0.44%  St.Dev   11.99%  max   1.79%   5.84%  average   1.24%   4.08%  
  • 6. 1)  Stocks:  P/E  <  20  &  PEG  >  1                                          Market  Up:  Beta  >  1                Market  Down:  Beta  <  1  2)  Funds:  Top  10%  Rank  &  5  Morning  Stars                                        Diversified  Emerging,  Small  Cap,  Large  Cap  3)  Bonds:  High  Yield  &  Short-­‐  Term  4)  Options:  Protective  Put,  Out-­‐  of-­‐  Money Selection  Requirements
  • 7. Bonds
  • 8. Mutual  Funds
  • 9. Mutual  Funds  (asset  allocation)
  • 10. *  IBM    *  Beta                                                                                                          *  Alpha  *  Sharpe  ratio  *  Treynor  ratio  RatiospfpσRRratioSharpe−=pfpβRRratioTreynor−=Beta   0.7030  Alpha   0.0006  Sharpe Ratio   -0.0848  Treynor Ratio   -0.0226  
  • 11.  
  • 12. Protect  Put:
  • 13. *  Protect  the  losses  for  Decreasing  Prices  *  Narrow  Range  of  Bollinger  Bands:  Long  Options  *  Out-­‐  of-­‐  Money:  K>S Protective  PutLong  IBM+  Long  Put=  Long  Call  
  • 14. Technical  &  Behavior  AnalysisCurrent  Market:  Sell  Option  Almost  Reach  Top  of  Cycle  Lacking  Volume  In  Upward  Channel  Government  Debts  and  Deficit  Real  Estate  &  Low  Interest  %  Federal  Reserve    
  • 15. 1)  Selection:    Beta  v.s.  Market  Movement                                                    Allocation  v.s.  Risks                                                    History  v.s.  BlackSwan  Event  2)  Trading:        Costs  Control                                                    Timing                                                    Option  Demand                                       Learning  Process

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