เปิดประตูสู่การลงทุนแบบ Factor Investing สำหรับนักลงทุนไทย

4. Factor Investing

5. FACTOR ?
METHOD &
DESIGN
FACTOR
INVESTING

10. Portfolio

11. Portfolio

12. Portfolio

13. Portfolio

14. Portfolio
Performance

15. RETURN
RISK

16. Macro
Risks Factors Alpha
Drivers of Risk and Return

17. Macro
Risks Factors Alpha
Drivers of Risk and Return

18. Macro
Risks Factors Alpha
Drivers of Risk and Return

19. Macro
Risks Factors Alpha
Drivers of Risk and Return

20. Behaviors & BiasesRisk Premium

21. William F. Sharpe

22. Origins of Factors

23. Origins of Factors

24. Origins of Factors

25. Fama & French

26. Origins of Factors

27. Origins of Factors

28. Origins of Factors

29. Factors
RETURN
RISK

30. Factor Investing

31. Return Risk Diversification

32. Periods

35. β
Market Cap Value Beta Dividend

36. Methods

37. Market Cap
Small
Big

38. Rotation
Year 1 Year 3Year 2

39. Design

41. Factor
Investing
2005-2015
Factor
Investing
Periods

42. Factor
Investing
2005-2015
Fees

43. Factor
Investing
2005-2015
Fees

44. Factor
Investing
2005-2015

45. Factor
Investing
2005-2015
Rollover
Periods

46. Factor
Investing
2005-2015
End of Q4

47. Factor
Investing
2005-2015
End of Q4
Position
Size

48. Factor
Investing
2005-2015
End of Q4
20

49. Factor
Investing
2005-2015
End of Q4
20
Liquidity

50. Factor
Investing
2005-2015
End of Q4
20

51. Factor
Investing
2005-2015
End of Q4
20
Weight

52. Factor
Investing
2005-2015
End of Q4
20
Equal

53. RESULTS

54. Equity Curve & Drawdown
End
Start
Max. Draw Down

55. -58.02%-45.23% -40.90% -45.34% -6.84%
(Max Drawdown %)
SET LOW BETA HIGH DIV.SMALL CAP VALUE
120%1885% 700% 630% 205%
(Net Profit %)

56. SMALL
CAP
VALUE SET
LOW
BETA
HIGH
DIV

58. 60%
40%
50%
30%
10% 10%

59. 60%
40%
50%
30%
10% 10%
25%
10%

60. 60%
40%
50%
30%
10% 10%
25%
10%
Sharpe = 2

61. SHARPE
HIGH DIV 1.19
SMALL CAP 1.10
VALUE 0.85
LOW BETA 0.82
SET 0.26

66. PERIODS
Y
H
Q
M
1.1
1.3
1.4
1.5
SIZES
10
20
50
100
1.39
1.42
1.24
1.17

67. Factors
Performance