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5年弱前 (2011/12/21)にアップロードin政治・経済

ETFs are the low-cost way to invest. But how do you know which ones to buy and in what proportion...

ETFs are the low-cost way to invest. But how do you know which ones to buy and in what proportions? Here’s a guide.

- Engineer Your

Portfolio with ETFs - By the end of November 2011, there

were more than 1,400 different

exchange traded funds (ETFs)

accounting for over

$1 trillion dollars invested. - You’ve heard a lot about ETFs. They’re an easy and

convenient way to “diversify your portfolio,” but how

about the real questions…

Which should I buy

and how much? - Harry Markowitz, PhD

Modern Portfolio Theory (1952)

Why not ask a Nobel

Nobel Prize (1990)

Prize winner?

David Swensen, PhD

… and the Chief

Yale Endowment CIO (1985-present)

Unconventional Success (2005)

Pioneering Portfolio Management (2009)

Investment Officer at

Yale University? - Harry Markowitz, PhD

Modern Portfolio Theory (1952)

Nobel Prize (1990)

I invented it.

Use Modern Portfolio Theory

David Swensen, PhD

Yale Endowment CIO (1985-present)

Unconventional Success (2005)

I wrote the

Pioneering Portfolio Management (2009)

book on it. - A Quick Lesson in Modern Portfolio Theory

Every investment has an expected return

and some level of risk.

eturn

ed R

ect

Exp

Risk - A Quick Lesson in Modern Portfolio Theory

Every investment has an expected return

and some level of risk.

eturn

Stocks

ed R

ect

Exp

Risk - A Quick Lesson in Modern Portfolio Theory

Every investment has an expected return

and some level of risk.

eturn

Stocks

ed R

ect

Exp

Bonds

Risk - A Quick Lesson in Modern Portfolio Theory

You can mix investments to get different

combinations of expected return vs. risk.

eturn

Stocks

ed R

A mix of Stocks

ect

& Bonds

Exp

Bonds

Risk - A Quick Lesson in Modern Portfolio Theory

There are an unlimited number of

investments and combinations.

eturn

ed R

ect

Exp

Risk - A Quick Lesson in Modern Portfolio Theory

There is a theoretical maximum expected

return for each level of risk.

eturn

ed R

ect

Exp

Risk - A Quick Lesson in Modern Portfolio Theory

The best combinations of investments form

a curve known as the Efficient Frontier.

eturn

ed R

ect

Exp

Risk - A Quick Lesson in Modern Portfolio Theory

The only way to get to the efficient frontier

is by mixing uncorrelated asset classes.

eturn

ed R

ect

Exp

Risk - Modern Portfolio Theory

If you synthesize the recommendations of experts and look at the

practices of the best institutions, you come up with 6 core asset

classes that are publicly accessible.

US Stocks

Natural Resources

Foreign Developed

Real Estate

Emerging Markets

Bonds

Why not more? More asset classes don’t

material y add more expected return with less risk

for the effort. Additional y, they may not be

uncorrelated or may have too much volatility. - Modern Portfolio Theory

eturn

ed R

ect

Exp

Risk

Using Mean-Variance Optimization with the 6 asset

classes al ows you to find the optimal portfolio for each

level of risk. - Modern Portfolio Theory

eturn

ed R

ect

Exp

Risk

Bonds

US Stock

Emerging Markets

Foreign Developed

Real Estate

Natural Resources

100%

90%

80%

70%

60%

Which gives us an asset al ocation for

50%

each point along the Efficient Frontier.

40%

30%

20%

10%

0% - Modern Portfolio Theory

eturn

ed R

?

ect

Exp

Risk

Bonds

US Stock

Emerging Markets

Foreign Developed

Real Estate

Natural Resources

100%

90%

80%

70%

Now, find the

60%

portfolio that has

50%

40%

the right amount of

30%

risk for you.

20%

10%

0%

0

1

2

3

4

5

6

7

8

9

10

Less

More

Overall Risk - To find your risk tolerance, you need to measure your

subjective wil ingness and your objective ability to take risk.

Using tools on the internet, map your risk tolerance to any

scale you choose. Also, lower your score if you find

yourself providing answers that conflict with each other.

Subjective Score

0

1

2

3

4

5

6

7

8

9

10

Less Risk

More Risk

Objective Score

0

1

2

3

4

5

6

7

8

9

10

Less Risk

More Risk - Subjective Risk Tolerance

Take a risk questionnaire to identify

your comfort with the risks of

investing.

Note: Most questionnaires wil likely end with a portfolio recommendation with a

different set of asset classes than we recommend. Your real goal is to figure out

where in the risk spectrum you fal so you can map it back to the Efficient Frontier.

Subjective Score

0

1

2

3

4

5

6

7

8

9

10

Less Risk

More Risk

Examples

https://personal.vanguard.com/us/funds/tools/recommendation

http://www.schwabmoneywise.com/public/moneywise/calculators_tools/questionnaire - Objective Risk Tolerance

Use a financial planning tool to

ensure you’l have more investment

income than spending needs when

you retire.

The lower your investment income relative to your spending needs, the less risk you

can take.

Objective Score

0

1

2

3

4

5

6

7

8

9

10

Less Risk

More Risk

Example

http://www.smartmoney.com/retirement/planner/ - Your Overall Risk Tolerance Score is the minimum of your

subjective and objective risk scores. Using this score to help

design your portfolio wil help you avoid risk that you are

unwil ing or unable to take.

Subjective Score

0

1

2

3

4

5

6

7

8

9

10

Less Risk

More Risk

Objective Score

0

1

2

3

4

5

6

7

8

9

10

Less Risk

More Risk

Overall Score

0

1

2

3

4

5

6

7

8

9

10

Less Risk

More Risk - Plot Your Risk Level

eturn

ed R

ect

Exp

Risk

You are here.

Bonds

US Stock

Emerging Markets

Foreign Developed

Real Estate

Natural Resources

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

0

1

2

3

4

5

6

7

8

9

10

Less

More

Overall Risk - Back to choosing ETFs…

We need to pick ETFs that represent each of the 6 core

asset classes and buy them in percentages dictated by your

risk tolerance.

Now which ETFs

should I buy? - Selecting ETFs

Filtering the universe of al ETFs only

to candidates that represent the core

asset classes gives you about 100 to

choose from.

The rest wil be ranked by

three important characteristics. - Selecting ETFs

Three Important Characteristics

Low Costs – favorable expenses

Minimal Tracking Error – matches

the underlying index closely

Market Liquidity – can be traded

quickly and easily

Many investors look at expenses

but neglect to look at tracking

error and liquidity. - That’s how we got to our current recommendations:

( which you can also find at www.wealthfront.com )

US Stocks – VTI

Foreign Stocks – VEA

Emerging Markets – VWO

Real Estate – VNQ

Natural Resources – DJP

Bonds – BND

Wealthfront regularly surveys the ETF landscape and ranks ETFs in each asset

class using the criteria described in the prior slide. Vanguard ETFs often come

out on top. Wealthfront receives no compensation for recommending Vanguard

products or any other ETFs. - Risk Level 5
- Harry Markowitz, PhD

Modern Portfolio Theory (1952)

Nobel Prize (1990)

David Swensen, PhD

Yale Endowment CIO (1985-present)

Now you

Unconventional Success (2005)

Pioneering Portfolio Management (2009)

have to

maintain it! - Rebalancing

The value of your investments wil natural y drift over time as the

market moves.

2012

eturn

ed R

2011

ect

Exp

Example

• Green increases in value.

• Yel ow decreases in value.

• Blue stays the same.

Risk - Rebalancing

The new mix of asset classes wil have a different risk and

expected return.

2012

eturn

ed R

2011

ect

Exp

Additional Risk

Risk - Rebalancing

Rebalance your portfolio to get back to your desired risk level with

the highest expected return.

eturn

ed R

ect

Exp

Rebalance

Risk - Rebalancing

Time-based or Threshold-based

You can rebalance based on a variety of

criteria. Some choose to rebalance after

a predefined duration.

We recommend rebalancing whenever

any asset class deviates from a portfolio’s

al ocation by more than a certain

percentage, depending on the type of

account.

For tax-deferred accounts: 4-6%

For taxable account: 6-10%

… but with the following caveats - Rebalancing Considerations

Keep in mind…

Tax implications

Impact of commissions

Changes in your risk profile

Most individual investors don’t

rebalance because they struggle

with these issues. - To Recap:

Construct the Efficient Frontier

Al ocate to the six core asset classes, select low-cost ETFs, and

al ocate optimal y

Place your portfolio on the Efficient Frontier

Understand your subjective wil ingness and objective ability to take

risk and find the portfolio that’s right for you

Keep your portfolio on the Efficient Frontier

Rebalance your portfolio weighing taxes, commissions and changes

in your risk profile - Disclosures

Nothing in this presentation should be construed as a solicitation or offer, or

recommendation, to buy or sel any security. Photographs do not depict actual

Wealthfront clients. Financial advisory services are only provided to investors who

become Wealthfront clients pursuant to a written agreement, which investors are

urged to read and careful y consider in determining whether such agreement is

suitable for their individual facts and circumstances.

Past performance is no guarantee of future results, and any hypothetical

returns, expected returns, or probability projections may not reflect actual

future performance. Investors should review Wealthfront’s website for additional

information about advisory services.