July 2012

July 30, 2012

Investor Sentiment and Stock Return Anomalies 股票市场和投资者心态实验

Investor sentiment refers to the propensity of individuals to trade on “noise” and emotions rather than fundamentals. As a contrarian stock market indicator, investor sentiment affects stock prices. Indicators that measure investor sentiment includes: Investor Intelligence Sentiment Index, American Association of Individual Investors (AAII) Sentiment Indicator, Nova/Ursa Ratio, the Short Interest/Total Market Float, and the… Continue reading

Behavioral Finance, Hedge Funds

Investor Sentiment, Stock Markets

July 25, 2012

Emotional Investing & Financial Emotional Intelligence 情绪投资和金融情商

Conventional theories are grounded in the assumption that investors make rational decisions. Behavioral finance and emotional investing counter such notion by suggesting that emotions and gut reactions influence investment decisions and we tend to be overconfident in our knowledge, which can be extremely detrimental to our portfolio and long-term investment goals. Psychology studies reveal that… Continue reading

Behavioral Finance

Emotial Investing, Financial Emotional Intelligence

July 21, 2012

Portfolio Optimization, Risk Aversion, Constraints 组合投资最优化限制条件

Portfolio Optimization Since an investor can trade risk for return along the efficient frontier, the motivation of optimizing a portfolio originates from the idea that a greater expected return for the same level of risk can be achieved if one can rearrange the portfolio. Equity portfolios should always be constructed in a manner that risk,… Continue reading

Financial Modeling, Portfolio Management, Risk Management

Portfolio Optimization, Risk Aversion

July 17, 2012

Risk Allocation, Asset Allocation, Tracking Error Allocation 风险预算资产配置跟踪误差配置

Risk allocation emerged in the late 1900s, in response to concerns about the level of risk being accepted in a portfolio. The process involves setting up a plan for how much an investor plans on taking with the long-term investments. It is based on one’s estimation of multiple parameters over different time frames with different… Continue reading

Asset Allocation, Portfolio Management, Risk Management

Asset Allocation, Risk Allocation, Tracking Error

July 13, 2012

LIBOR-Fixing Scandal, Implications, and The Timeline 伦敦银行同业拆息及丑闻大事年表

Essentials of LIBOR The London Interbank Offered Rate (LIBOR), is the average interest rate at which banks make short-term loans to one another. It is a borrowing rate set daily by a panel of banks, which currently comprises 18 banks. The rate is calculated for ten currencies and for 15 maturities from overnight to one… Continue reading

Alternative Investments, Fixed Income

LIBOR, LIBOR-Fixing Scandal

July 10, 2012

Valuation Multiples, BtM, Tobin’s q, and EM 估价倍数,托宾的Q比率,企业倍数

Empirical studies indicate that value stocks have beaten the market over the long run, which are characterized by low multiples: price-to-earnings (P/E), price-to-book (P/B), enterprise value (EV), earnings before interest, taxes, depreciation, and amortization (EBITDA) or the enterprise multiple (EM), applied to the trading value of a stock. Different multiples are merely different ways to… Continue reading

Financial Modeling, Portfolio Management, Value Equity

book value, enterprise multiple, enterprise value, Tobin’s q ratio, valuation

July 9, 2012

High Yield Fixed Income Searches 高收益债券

The 9 July 2012 issue of Pension & Investments mentioned that “institutional investors’ overhaul of their fixed-income portfolios amid ever-lower interest rates and quantitative easing has fueled an exodus out of core fixed income into areas of specialization — particularly emerging markets, high yield and private debt.” In a much larger and more diverse market,… Continue reading

Fixed Income, High Yield Bonds

July 3, 2012

Negative Real Interest Rates & Endowment Investing 负利率对捐赠基金开销政策的影响

In the U.S., the real (i.e. inflation-adjusted) rate of return on almost all federal government bonds is negative; such downward trend in government yields is not a recent phenomenon. In fact, negative real interest rates existed in the 1930s, 1940s, 1970s, early 2000s, and today. Over the last 15 years, the U.S. 5-year real interest… Continue reading

Asset Allocation, Portfolio Management

Endowment, Negative Real Interest Rates, Spending Policy

July 2, 2012

The Three-Cycle Model and Asian Family Businesses 家族企业三周模型

Family businesses are an important pillar of Asian economies, accounting for one third of total regional market capitalization. An emerging market study by Credit Suisse in later 2011 indicates that the Asian family businesses are concentrated in traditional sectors, and the market cap of family businesses there has increased over the past decade (currently comprises… Continue reading

Emerging Markets

Asian Family Business, The Three Cycle Model

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