FINANCIAL MARKETS AND

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20 Οκτ 2013 (πριν από 3 χρόνια και 9 μήνες)

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FINANCIAL MARKETS AND
CAPITAL INSTUTIONS

PHD FINANCE

HÜSEYİN ÇETİN

OKAN UNIVERSITY


PORTFOLIO MANAGEMENT
DEFINITION


The art and science of making decisions about


investment
mix and policy, matching investments to



objectives
, asset allocation for individuals
and





institutions
, and balancing risk against performance
.





Portfolio
management is

about
strengths,

weaknesses
,



opportunities
and threats in the choice of

debt
vs. equity,



domestic
vs. international, growth
vs.safety
, and many other



tradeoffs
encountered in the
attempt
to maximize return at a



given appetite
for
risk


(
Investpodia
)




ACTIVE AND PASSIVE PORTFOLIO
MANAGEMENT


T
here
are two forms of portfolio management:



passive
and active. Passive management simply



tracks
a market index, commonly referred to as



indexing
or index investing. Active management



involves
a single manager, co
-
managers, or a



team
of managers who attempt to beat the market



return
by actively managing a fund's portfolio through



investment
decisions based on research and decisions


on
individual
holdings
.



ADL MATRIX

Groupama

Emeklilik A.Ş. E.Y. Fonları


Büyüme amaçlı olan bu fon, portföyünün en az %80'ini İMKB'de
işlem gören hisse senetlerine yatırarak sermaye kazancı elde etmeyi
amaçlar.
Portfoyün

geri kalan kısmı ise ters repo veya devlet tahvili
içermektedir.


Strateji:

Fon portföyüne likiditesi fazla , büyüme potansiyeli yüksek,
sektöründe geleceği olan şirketlerin hisse senetlerine yatırım
yapılarak sermaye kazancı elde edilmesi amaçlanmaktadır.


Fon portföyünün büyük bir kısmı hisse senetlerinden oluştuğu için
makro ekonomik risk, sektör riski, firma riski ve likidite riski
taşımaktadır. Fon yönetiminde risklerden korunmak amacı ile
çeşitlendirme yapılmakta, riskler dağıtılarak asgariye indirilmektedir.


Yatırımcı Profili:

Hisse senedi riski almak isteyen ve yüksek getiri
hedefleyen, agresif risk profiline sahip yatırımcılara uygun olan
emeklilik yatırım fonudur.


Ziraat Yatırım Menkul Değerler A.Ş.
Yatırım Fonları


Yüksek oranda hisse senedi
taşıyan,risk

ve
getiri düzeyi yüksek bir fondur. Hisse senetleri
ağırlıklı olarak IMKB 30 ve kısmen de IMKB
100 den seçilmektedir. Ziraat Yatırım Menkul
Değerler A.Ş
nin

kurucusu olduğu yatırım
fonları içinde risk düzeyi en yüksek olan
yatırım fonudur. Önerilen yatırım süresi
minimum 9 aydır.


Yatırımcının başlangıç yatırımının belirli bir
bölümünün, tamamının ya da başlangıç
yatırımının üzerinde belirli bir getirinin
izahnamede

belirlenen esaslar çerçevesinde
belirli vade ya da vadelerde yatırımcıya geri
ödenmesinin, uygun bir yatırım stratejisine
dayanılarak en iyi gayret esası çerçevesinde
amaçlandığı ve şemsiye fon şeklinde kurulan
fonlar “KORUMA AMAÇLI FON” olarak
adlandırılır.


Anapara Koruma Amaçlı Yatırım Fonları
yatırımcılara, anaparalarının koruma altında
olduğu bir ortamda, farklı yatırım
enstrümanlarına yatırım yaparak getiriye ortak
olma şansı tanır. Anapara koruma amaçlı yatırım
fonları, genellikle 6 ay veya daha uzun vadelidir.
Satış işlemleri belirli dönemlerde halka arz
yöntemiyle yapılır. Halka arz döneminden sonra
fona yeni giriş yapılamazken, fondan çıkışlar belirli
koşullar altında genellikle mümkündür.

EFFICIENT FRONTIER

SHARPE RATIO


A
ratio

developed

by

Nobel
laurate

William
F.Sharpe

to

measure

risk
adjusted

performance
.
The

Sharpe

ratio

is
calculated

by

subtracting

risk
free

rate
such

as
that

of
the

10
year

U.S.
Treasury

bond

from

the

rate of
return

for

a
portfolio

and

dividing

the

result

by

the

standart
deviation

of
portfolio

returns
.


Sharpe

indicated

that

there

can be
correlation

between

financial

asset

prices

and

market
index
. He
constructed

regression

model in
order

to

proof

his
theory
.


ri

=
ai

+
b(m)
+ i


ri

: Finansal varlık getirisi


ai

: Regresyon sabiti


bi

: Finansal varlık getirisinin piyasa getirisine olan
hassasiyeti (sistematik riskin ölçüsü


olan beta katsayısı)


r(m)
: Piyasa (endeks) getirisi


i : Hata terimi (finansal
varlığın
, piyasa getirisinden
bağımsız
, sistematik olmayan riski)

SHARPE RATIO RISK ADJUSTMENT


The Sharpe ratio tells us whether a portfolio's
returns are due to smart investment decisions
or a result of excess risk. This measurement is
very useful because although one portfolio or
fund can reap higher returns than its peers, it
is only a good investment if those higher
returns do not come with too much additional
risk. The greater a portfolio's Sharpe ratio, the
better its risk
-
adjusted performance has been.




SHARPE RATIO

FUND A AND FUND B


Since
Fund

A has
higher

volatility

compare

to

Fund

B,
Sharpe

Ratio

is
used

for

Fund

A
and

Return Analysis is done
for

Fund

B.

SYSTEMATIC RISK


Systematic

risk is
sort

of market risk.
By

diversifying

shares

the

risk can not be
plummeted

due

to

the

external

factors

such

as
political

movements,wars
,
international

trade

restriction
,
tax

rate
increases
,
inflation


UNSYSTEMATIC RISK


That

risk
derives

from

internal

problems

of
company
.
The

risk can be
minimized

by

the

usage

of
statistical

and

mathematical

methodologies
.
Unsystematic

risk can be
derived

from

the

clash

between

shareholders

and

board of
governors
,
contracts
,
auction

win

or

loss
.

BETA


In

CAPM,
asset

systematic

risk is
measured

by

Beta. Beta is
equal

to
:
covariance

between

market
portfolio

and

financial

asset

divided

by

market
portfolio

variance
.



Beta
equals

to

1=
middle

risk
group



Beta
smaller

then

1=
low

risk
group



Beta
bigger

then

1=
higher

risk
group

TREYNOR RATIO BETA RISK


ARBITRAGE PRICING MODEL


At APT model,
pricing

is done
by

market
participants
.
If

there

is a
deviance

from

equilibrium

price

there

will

be
arbitrage
.
Market
participants

get

the

asset

in
low

price

and

wait

the

asset

to

become

higher

then

sell

the

share

back
.
With

arbitraging

strategy

prices

of
asset

can
converge

to

equilibrium

point
.

FACTOR DEFINITION


Research

indicates

that

four

basic

factor

can
be
significant

to

describe

asset

pricing

-
Unexpected

change

in
inflation

-
Unexpected

change

in
industrial

production

-
Unexpected

change

in risk
premiums

-
Unexpected

change

in
short

term

and

long

term

interest

rates
.

REGRESSION IN ARBITRAGE PRICING


ONE FACTOR ARBITRAGE MODEL



Investors

short

sells

the

X
financial

asset
; at
the

same

amount

takes

buys

Y
financial

asset
.


At
the

first

phase

profit

depends

on
expected

Y
return

minus

expected

X
return
.


Those

buying

and

selling

transaction

decrease

Y
price
.
Until

profits

converges

to

zero
,
trade

continues
.


To

sum
,
financial

assets

which

are

at
the

same

risk
converges

to

same

expected

return
.

JENSEN PERFORMANCE
MEASUREMENT

JENSEN MEASUREMENT


Jensen

measurement

takes

Finansal
Asset

Market
Line

(FVPD)
into

account
.


PORTFOLIO MANAGER PERFORMANCE
JENSEN THRESHOLD


a
distance

is
Jensen

distance
.



if

a=0
portfolio

manager

does

not
have

extra

revenue

from

portfolio

so

extra

revenue

will

not be
taken
.



if

a>0 Portfolio
manager

performance

is
above

the

expectation
.
So

portfolio

manager

gains

extra

revenue
.


if

a<0 Portfolio
manager

has
poor

performance

in
portfolio

management

and

he can
get

warning

from

senior

management
.

EFFICIENCY FRONTIER

MARKOWITZ THEORY




Markowitz

argues

that

one

portfolio

return

and

risk can be
correlated

via

Mean
-
Variance

model.
Within

a
particular

return
,
via

MV
model, he
minimizes

the

variance

in
portfolio

and

found

the

optimum
portfolio

theory
.


Between

18
th

November

2005
and

28
March



2008, 28
shares

were

used

in
the

period

of 509



days
.



MVS Model
was

the

most

successful

model.
Because

with

less

risk
investors

can
reach

same

return

compare

to

MV
and

MVSE
models

who

are

higher

risks

but
having

same

return

with

MVS model.


MVS model
choosen


SHARES CORRELATION MATRIX



MONTE CARLO SIMULATION


MCS is a technique that converts uncertainties
in input variables of a model into probability
distributions. By combining the distributions
and randomly selecting values from them, it
recalculates the simulated model many times
and brings out the probability of the output.




NEURAL NETWORK ALGORITHM

VantagePoint

Intermarket

Analysis
Software



The first network forecasts tomorrow’s high to help set stops for
entry and exit points.


The second network forecasts tomorrow’s low to help set stops for
entry and exit points.


The third network forecasts a 5
-
day moving average of closes two
days into the future to indicate the expected short
-
term trend
direction within the next two days.


The fourth network forecasts a 10
-
day moving average of closes
four days into the future to indicate the expected medium
-
term
trend direction within the next four days.


The fifth network indicates whether the market is expected to
change trend direction within the next two days, by making a top or
a bottom.



The first four networks at the primary level of
the network hierarchy make independent
market forecasts of the high, low, short
-
term
trend and medium
-
term trend. These
predictions are then used as inputs into the
fifth network, along with other
intermarket

data inputs, at the secondary level of the
network hierarchy, to predict market turning
points.

VantagePoint

Intermarket

Analysis
Software


Neural networks provide the data from
intermarket

analysis that can be used to
produce predicted moving averages for a few
days ahead. The blue line is the predicted 10
-
day moving average, the black line the actual
10
-
day moving average. Note that the blue
line often turns ahead of the black line, giving
traders an early alert to get into or out of a
position before the crowd.


With

VantagePoint

Intermarket

Analysis Software,
for

example
,
the

raw

data
inputs

involved

in
forecasting

moving

averages

for

euro

FX
futures

include

the

daily

open
,
high
,
low
,
close
,
volume

and

open

interest

for

euro

FX
plus

the

daily

open
,
high
,
low
,
close
,
volume

and

open

interest

data
for

nine
related

markets
:



Australian

dollar
/U.S.
dollar

(AUD/USD)



Australian

dollar
/
Japanese

yen (AUD/JPY)


∙ British pound


∙ Euro/
Canadian

dollar

(EUR/CAD)


∙ Gold



Nasdaq

100 Index


∙ British pound/
Japanese

yen (GBP/JPY)


∙ British pound/U.S.
dollar

(GBP/USD)



Japanese

yen


TAIWAN STOCK EXCHANGE NEUREAL
NETWORK ANALYIS


The Pearson correlation tested the relationship
between stock returns and each of the nine financial
variables: market capitalization, dividend yield, P/S
ratios, P/B ratios, price
-
to
-
cash flow ratios, short
-
term
rate of return, long
-
term rate of return, turnover rate
and earning to price ratios. The dependent samples
(paired samples)
t
-
test investigated the differences
between predicted stock returns (created through the
neural networks by using financial ratios and
behavioral finance proxies) and actual stock returns,
and compared the mean of monthly predicted stock
returns with the mean of monthly actual returns within
different industries


The results showed that all nine factors except the
price
-
to
-
cash flow ratio related significantly with stock
returns and helped explain average stock returns in the
Taiwan stock market during the 10 year testing period
(1999

2008). Financial ratios (market capitalization,
dividend yield, P/S ratio, and P/B ratio) and behavioral
finance proxies (short
-
term rate of return, long
-
term
rate of return, turnover rate, and E/P ratio) proved to
be important determinants of stock returns. The paired
samples
t
-
test results indicated that the predicted
stock returns based on fundamental analysis
approximated actual returns in the traditional industry
.

REFERENCES


http://www.ziraatportfoy.com.tr/yatirimci
-
okulu/portfoy
-
ve
-
senaryo
-
analizi/portfoy
-
optimizasyonu.aspx


http://vp.tradertech.com/lbm_library/intermarket_ana
lysis/journal_trading.asp


http://www.investopedia.com/terms/p/portfoliomana
gement.asp


http://gradworks.umi.com/33/74/3374769.html



http://www.arastirmax.com/bilimsel



-
makale/
markowitz
-
portfolio
-
theory
-
mean
-
variance
-



skewness
-
entropy
-
portfolio
-
selection