"一定要來喔！" Joy 姐如此說，手上還抱著從我這兒借去的參考書，我心想不妨去聽聽那場座談會。週末下午一個人獨自開車到了一家創投公司，大廳裡擺設著座談會前 "Networking" 時間中常見的各種水果點心，大家熱絡地寒喧、互相交流，由於這次座談會是由美林和 Oppenheimer Funds 合辦，裡面有許多他們派來的專業人員，當然這種對外開放的場合是免不了有許多手上有閒錢的紳士貴婦來參加 。 記得前些時候也參加過由 ”華源” 主辦的座談會，華源是大陸版的玉山協會，但玉山協會主要是以半導體和電子硬體產業為主，而華源則是包羅萬象，印象中百度的李彥宏、阿里巴巴的馬雲和聯想的楊元慶都來過，華源座談會的聽眾多半是年輕的工程師或學生，而他們的問題也多半集中在商業計劃書與如何獲得創投和天使投資者的資金，不過這些事業有成的人有時似乎是無心插柳柳成蔭，像上次座談會的主角 --- Ctrip (Expedia.com 和 Holiday Inn 的混合版與中國版) 它的執行長曾是軟體商甲骨文的主管，在一次出差中，在旅館裡寫書時突然有了結合 online business travel site 和 budget hotel 的構想，進而創立了 CTrip，這家公司已於前幾年在紐約證交所上市，又為海外華人的成功故事再添一筆。
座談會一開始，很意外的發現我的朋友 Joy 姐居然是座談會的主講人之一， Joy 姐大學主修政治，研究所主修統計和公共政策 (是要去預測選舉的輸贏嗎？ 呵呵… ) 這個曾被我取笑為 "公關小姐" 的資歷，在她的不懈努力下，居然被美林聘為分析師 (專精於金融和保險業)，而由於金融風暴，美林才剛裁了百分之二十的分析師職位，我想是她付出的努力夠多吧！記得她跟我說過剛上任的時候，有時每天工作十八個小時，累了就在地板上打地舖，手上還緊握著 Black Berry，深怕老闆隨時會找她，去年考過了 CFA level 1 考試，不過她可是全靠網路上免費 (但過時) 的教材，而另一朋友Johnson那時在工程師的職位上開小差，為了省時買了最好 (也最貴) 的輔助教材，還偶爾不專心翻翻灌籃高手漫畫和上 YouTube 看余莓莓和陳輝文吵架。看著Joy 姐在台上侃侃而談，根據研究股市會在次貸風暴的谷底的四到五個月前觸底，接著有條不紊的解釋為何這次次貸會那麼嚴重 ( 雖然房貸只佔 GDP 的百分之五，但許多人因房價上揚的預期心理而用 "refinance" 的方法來從事消費，在房價下跌時，如滾雪球般一發不可收拾 ) 。Joy 姐顯然已經找到了人生的新方向， 而Johnson又何嘗不是朝她的老路去努力，穿著黑西裝白襯衫拿到一份 Business Analyst 的工作，而新公司則是利用數學統計模型來給金融機構把把脈，順便再預測一下產品的投資報酬率。
眼見座談會就要在一片風調雨順的氣氛中收場時，菜籃族發動了猛烈攻擊....
"我在 2002 年時找了一位 Smith Barney Solomon 的理財顧問，結果那年讓我賠了百分之四十，從此以後我便一人縱橫股海，殺進殺出，像我八個月前買了檔指數型基金，前幾天看不順眼便賣了" 一位男士激動的說。
而此時Joy 姐輕聲對我解釋著：2002 年時，科技股泡沫化帶動大盤跳水，除了賭看跌的避險基金外，誰的帳戶長進了呢？而且指數型的基金應至少持有五年，若要頻繁交易，應去買 ETF。
接著又有一位女士發問："你們的投顧有準確預測次貸風暴嗎？" "你們有對客戶做出好的建議嗎？"
在台上的另一位美林的主講人回答道： "我們在去年十月時曾對客戶..." " 等一下 ，去年十月時次貸風暴不是已經發生了嗎？你們反應那麼慢，難道這就是為什麼美林有 82 億美元的 Write Down 的原因嗎？" 另一位女士打岔道。 我看了Joy 姐一眼，暗忖她也許和我一樣，都在想 "天將降大任於斯人也，必先苦其心志...." 那句名言。
感覺自己像個 Geek，參加各式各樣的座談會是我的癖好，也喜歡參加各種
新書發表會，這是拓展視野並且向各行各業的人學習的一種方式，許多事情是書本上和生活經驗裡所沒有的，諸如座談會裡的一位基金經理人提到歷史上著名的股災，並且列舉當時世界上發生的一些大事，指示大家思考其間的關聯性。我突然想起曾在 YouTube 上看過一段 Jim Rogers 的談話，他說自己喜歡研讀歷史的原因之一，是從歷史事件裡得到的結論，往往能幫助他做出更好的投資決定，至於 Joy 姐，大概是因表現沉穩而成為會後菜籃族追捧的對象，明星架勢十足，連我從旁走過，都被吆喝去替她倒杯咖啡呢 :)
"How many of you think timing the market is more important than asset allocation in the success of portfolio management?", professor asked. quite a few people raised their hands, notably most of them having engineering and science background. "Actually, asset allocation is the paramount of successful investment over the long term."
The focus of portfolio management is on the aggregate portfolio rather than individual component. The goal of portfolio management is to construct a collection of assets whose overall risk and return are appropriate for the investors. The significance of any single asset lies in its impact on the portfolio's total risk and return.
3 steps of portfolio management process are: ( key definitions and terms are drawn from readings of CFA curriculum and finance text books)
Planning：
1. Identify and state the investor's objective and constraints.
2. Formulate an investment statement policy that will direct all investment decisions.
3.Forecast the risk and return characteristics of all available asset classes to determine capital
capital market expectations.
4. Combine the investment policy statement and capital market expectations to create a strategic
asset allocation.
Execution：
The manager determines the actual composition of the portfolio and selects the specific assets consistent with the investment strategy ( portfolio selection / composition ). Often, quantitative portfolio optimization tools are used to maximize the return of the acceptable level of risk in asset selected. The manager maybe authorized to deviate from the strategic asset allocation in order to exploit a perceived insight about the market. ( like oil future contracts, future contracts of precious metals) Once the opportunity is successful ( or failure), the portfolio is returned to the strategic asset allocation. These temporary deviations are called tactical asset allocations.
Once the individual assets are selected, the trading desk executes the portfolio decisions ( portfolio implementation). Portfolio implementation should control transaction costs to ensure the cost of the trades does not exceed the benefits. Transaction costs include not only explicit costs such as commissions or any tax effects but also implicit costs such as bid-ask spreads ( the range between the price trader is willing to sell and the price trader is willing to buy) and opportunity costs for trades that are missed because of changes in security prices subsequent to initial trade order.
Feedback：
To obtain information for the feedback process, the manager must subject the portfolio to performance evaluation by calculating its actual rates of return ( performance measurement) and determining the sources that drove the portfolio's return. ( performance attributions) It can be done via a multiple variables regression model which return is a dependent variable with relevant factors ( such as GDP growth, interest rate...etc) as independent variables. Also, statistical analysis can be used to determine the portion of return is due to market condition and the portion of the return is due to manager's asset picking skills. Performance appraisal determines the manager's success or failure relative to the client's goals.
Monitoring and rebalancing requires continual review of the investor's objectives and constraints, the investment policy statement, and capital market expectations to determine if any have changed to a degree sufficient to warrant rebalancing the portfolio. For example, assuming an index fund is consisting of 10 different assets and one of them is suddenly removed from the exchange. It will be portfolio manager's job to sell all the shares of that asset and rebalance the portfolio accordingly ( since index fund is benchmarked against particular index, an asset deleted from that index should be removed from the index fund as well).
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