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Asset Allocation Strategies資產配置有計策
Investor Education Day
31 January 2015
Why Asset Allocation為何要做資產配置?
• Change in life stage or financial situation
• Change in market condition
• Risk and Reward management
Asset Allocation資產配置
WHY
• Change in life stage or financial situation
• Change in market condition
• Risk and Reward management
WHAT
• Asset Class
• Region
• Sector
• Currency
Different asset classes perform well at different times資產類別的表現因時而異
Periodic table of investment returns (2000-2013)2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
EM Equities Commodities EM Equities Commodities EM Equities Real Estate EM Equities Real Estate Commodities Cash EM Equities CommoditiesCorporate
BondsReal Estate
51.6% 32.4% 16.1% 23.2% 70.9% 26.3% 55.5% 37.9% 50.2% 4.7% 66.6% 21.3% 9.0% 28.0%
Japanese Equities
Corporate Bonds
Asia Pacific Equities
Government Bonds
Japanese Equities
European Equities
Japanese Equities
European Equities
EM EquitiesGovernment
BondsAsia Pacific
EquitiesReal Estate US Equities
European Equities
45.4% 10.8% 14.3% 21.7% 68.9% 20.5% 42.6% 31.1% 21.6% -3.0% 64.7% 16.9% 6.1% 18.7%
Commodities Real Estate Real EstateCorporate
BondsAsia Pacific
EquitiesCommodities
Asia Pacific Equities
Asia Pacific Equities
Government Bonds
Corporate Bonds
Real EstateAsia Pacific
EquitiesGovernment
BondsJapanese Equities
36.7% 9.8% 10.2% 11.9% 58.4% 18.4% 35.3% 28.8% 18.7% -6.4% 62.2% 16.3% 5.2% 18.6%
Asia Pacific Equities
CashCorporate
BondsHigh Yield
BondsReal Estate
Asia Pacific Equities
Real Estate EM EquitiesAsia Pacific
EquitiesHigh Yield
BondsEuropean Equities
EM EquitiesHigh Yield
BondsUS Equities
36.1% 4.7% 8.0% 5.2% 46.8% 15.2% 33.1% 22.8% 12.7% -17.7% 52.1% 15.7% 4.5% 15.7%
European Equities
Government Bonds
Cash CashEuropean Equities
EM EquitiesEuropean Equities
US Equities CashJapanese Equities
High Yield Bonds
High Yield Bonds
CashHigh Yield
Bonds
18.8% -0.2% 3.6% 2.9% 41.0% 14.1% 21.9% 15.0% 4.4% -32.2% 52.0% 13.4% 1.6% 14.1%
US EquitiesHigh Yield
BondsHigh Yield
BondsReal Estate Commodities
Government Bonds
US EquitiesHigh Yield
BondsCorporate
BondsUS Equities US Equities
European Equities
Japanese Equities
Asia Pacific Equities
17.7% -0.2% 3.3% -5.3% 32.4% 9.9% 15.5% 12.0% 3.4% -34.4% 45.4% 12.0% 0.8% 9.2%
CashEuropean Equities
Government Bonds
Asia Pacific Equities
US EquitiesHigh Yield
BondsCommodities
Government Bonds
European Equities
Asia Pacific Equities
Japanese Equities
US Equities Real EstateCorporate
Bonds
3.4% -19.5% 2.3% -12.5% 28.7% 7.0% 14.8% 8.7% -2.1% -39.1% 30.7% 11.5% 0.5% 8.5%
Real Estate US Equities US Equities EM EquitiesHigh Yield
BondsCorporate
BondsHigh Yield
BondsCorporate
BondsHigh Yield
BondsEM Equities Commodities
Corporate Bonds
Asia Pacific Equities
Cash
1.7% -22.5% -6.1% -15.8% 18.7% 4.7% 7.6% 7.6% -2.1% -42.4% 28.4% 7.8% -8.7% 0.8%
Corporate Bonds
Japanese Equities
European Equities
European Equities
Government Bonds
US Equities Cash Cash US EquitiesEuropean Equities
Corporate Bonds
Government Bonds
Commodities EM Equities
-0.3% -33.3% -9.8% -17.4% 10.0% 3.4% 2.3% 3.3% -6.0% -46.7% 23.4% 7.8% -9.1% 0.6%
Government Bonds
Asia Pacific Equities
Japanese Equities
US EquitiesCorporate
BondsCash
Corporate Bonds
Japanese Equities
Japanese Equities
Real EstateGovernment
BondsCash EM Equities
Government Bonds
-1.3% -33.6% -22.0% -17.9% 6.2% 2.1% 0.2% 0.8% -11.4% -49.9% 7.1% 1.0% -10.6% -0.9%
High Yield Bonds
EM Equities CommoditiesJapanese Equities
CashJapanese Equities
Government Bonds
Commodities Real Estate Commodities CashJapanese Equities
European Equities
Commodities
-2.2% -35.9% -22.1% -21.7% 2.2% -1.4% -5.6% -13.4% -16.8% -59.4% 1.2% -3.9% -14.0% -10.9%
Source: DataStream, 31.12.2013
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This means investors should diversify their portfolios投資者應該分散投資組合
Different asset classes offer different risk and return characteristics.
In a portfolio, contributions will come from different assets over the market cycle.
The aim is to deliver a less volatile yet still attractive return in the long term.
Growth assets:Equities, real estate and commodities.
Defensive assets: Government and investment grade corporate bonds and cash.
5
US S&P 500 Index
HK Hang Seng Index
5-Year Comparison
US S&P 500 Index
Bloomberg US Corporate Bond Index
5-Year Comparison
How the Chinese look at risk中國人眼中的危機 –危中有機
The symbol for risk is made up of these two elements
OpportunityDanger
RISK: In investing, danger and opportunity are
two sides of the same coin
6
Actually, nothing is risk-free任何投資皆涉及風險
Inflation erodes the real value of money over time – to receive a real return you have to take on some risk.
For illustration only.
7
Absolute risk is the potential for loss of capital
Relative risk is the potential for your chosen investments to underperform their reference index or peer groups
The level of return investors target depends on… the level of risk they are prepared to take投資回報目標取決於風險承擔能力
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Why construct a portfolio?為何要建立資產組合?
A mixed portfolio of assets provides diversification that helps to smooth out the
volatility of returns and provides a more balanced overall return when we account for
risk
The aim is to deliver a less volatile yet still attractive return in the long term, with
contributions coming from different asset classes at different times over the course of
the investment cycle
Portfolio
Cash
Bonds
Equity
Property
Commodities
9
Considering your time horizon注意自己的投資年期
Your goals & time horizon shape your risk tolerance and strategy投資策略及風險承受能力取決於投資目標及年期
You should consider how long you plan to invest in the market.
This has a major impact on asset allocation.
What risks are you prepared to take in terms of asset price volatility to meet your long-term goals?
If you have a longer time horizon, you can usually afford to take more risk
A 30-year old may weight the majority of his portfolio to equities
1
0
Constructing your investment portfolio建構個人投資組合
1. Define your return objectives and time horizon.
2. Determine your tolerance to risk.
3. Find the optimal portfolio for the return you seek.
4. Select products carefully, considering track record, style and
strategy.
1
1
Retirement in 10 years timeChildren’s university education in 15 years
Knowledge and experienceAbility vs willingness to take RiskConservative vs aggressive
% in stock / bond / cashGrowth, balanced, and income oriented
Direct investment or fundsPassive vs active
Modern Portfolio Theory (MPT) 現代資產組合理論Aims to maximise return for a given level of risk 爭取最大回報
A group of assets in a portfolio can provide a more attractive combination of risk and
return than individual assets, which have high specific risks.
1
2
10 Year Risk/Return by Asset Classes
The Investment & Credit Cycle投資與信貸周期
Growth & Inflation Cycle增長與通脹周期
Business Cycle and Asset Class Performance經濟周期與資產類別表現
Relative Value - Stock vs Bond相對價值 –股票與債券
Relative Value - Developed vs Emerging相對價值 –成熟與新興市場
Relative Value - Developed vs Emerging Equity Markets
相對價值 –成熟與新興股票市場
Relative Value - Developed vs Emerging Equity Markets
相對價值 –成熟與新興股票市場
Relative Value - Regional Stock Market Performance相對價值 –地區股票市場表現
Relative Value - Stock P/E相對價值 –股票市盈率
Relative Value - Bond相對價值 –債券
Development of RMB Products人民幣投資產品的發展
• 人民幣掛鈎存款
• 其他人民幣結構性投資產品,例如與人民幣計價紙黃金計劃掛鈎
• 人民幣計價基金
Knowing how our brains are wired can make us better investors
了解自己的思路從而制定更佳的投資策略
Investors are prone to a range of psychological biases.
These help to create inefficiencies in financial markets.
They also help to explain irrational booms and busts like the dot.com bubble.
We make ‘cognitive’ errors on a
routine basis by using rules of
thumb and over-simplifications.
2
4
A quick guide to behavioural finance行為金融學
Traditional economic models developed in the 1950s assumed markets were efficient and investors were rational.
Growing doubts about ‘efficiency’ after stock market crashes accelerated interest in behavioural finance, which had its origins in psychology experiments in the 1970s.
‘New’ economicsLed by Daniel Kahneman, Amos Tversky and Richard Thaler
Showed:Investors are not rational.
Development of Behavioural Finance
Informed by Behavioural Finance, Psychology, Sociology and Neuroscience
1950 1970 Now
Efficient Markets HypothesisModern Portfolio Theory
Developed by Eugene Fama andHarry Markowitz
Assumed: Markets are efficient &investors are rational.
19801960 1990 2000 2010 Future
2
5
Thinking fast and slow快思‧慢想
Fast: System 1 Slow: System 2
Quick, automatic,
intuitive and emotional.
Default option for
information processing.
Examples:
Detecting hostility in
someone’s voice.
Judging which object is
more distant.
Slow, conscious, more
deductive and logical.
‘Lazy’ – effort required
means we often defer
to System 1.
Examples:
Parking in a narrow
space.
Filling out a tax form.
Slow
Rational
Logical
Deductive
Structured
Quick
Intuitive
Practical
Automatic
Emotional
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Self deception自欺欺人
Confirmation bias
Hindsight bias
Narrative fallacy
Overconfidence
Cognitive dissonance
Information overload
Illusion of control/illusion of knowledge
Hyperbolic discounting
Types of biases不同種類的偏見
Social社會意識偏頗
Herding
Priming
Imitation
Simplification簡單化
Framing and nudging
Representativeness
Gambler’s fallacy
Anchoring
Loss aversion
Familiarity and mere exposure effect
Recency
Halo effect
27
Hindsight bias – an example of self-deception後視偏差
Past events seem more predictable than they actually were
Investors see the future as predictable because past events appear to have followed a linear pattern.
In reality, the world is much more complex than that and simplifying narratives are only created after the fact.
Investors can protect against hindsight bias by:
Conducting forward-looking research
Taking a contrarian view
Regularly reviewing portfolios
Anchoring– an example of simplification bias錨定效應
Investors have a tendency to irrationally anchor onto nominal numbers.
Common anchors include share prices, growth rates and stock market levels.
Dividends make better anchors than
share prices
Beware holding onto losing stocks due
to being anchored on the price you
bought at
Tips
Loss aversion shapes our perception of risk損失厭惡 –製造風險意識
Which would you choose?
Lose $900 for sure or take a 90% chance to lose $1000?
Win $900 for sure or take a 90% chance at $1000?
We have a subconscious, irrational fear of losing.
We are more likely to avoid risk at the detriment of achieving real returns.
Evidence suggests we are twice as pained by a loss as we are pleased by the same amount of gain.
Herding – an example of social biasWe prefer the safety of the crowd…
羊群效應
Herding can artificially push up the value of sectors and stocks and cause bubbles
‘Chasing the market’ is a poor strategy
Take an unconstrained approach
Consider investment styles that target value stocks
Be a contrarian
Tips:
Don’t be a sheep
Q & A