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Sunfortzone

歡迎來到Sunfortzone，我們的目標是幫助價值投資者更了解他們投資的企業，以及成為一個更好的人。 若您想要在價值投資的路上成長，請訂閱我們的Youtube頻道，就可以獲得更多有價值的內容。 華爾街靠頻繁交易賺錢，而我們作為價值投資者是靠長期持有賺錢。

Sunfortzone的財務金融小教室

Q1 假設目前有兩個獨立經濟因子F1和F2。無風險利率為5%。投資組合A和B均為完全風險分散，且其預期報酬如下表所示: 投資組合 F1的Beta F1的Beta 投資組合預期報酬 A 1.2 0.6 25% B 1 3 40% (a) 請問這兩個經濟因子的預期風險溢酬? (b) 有另外一個投資組合C。它在F1的beta是1.5，在F2的beta是0.8。投資組合C的預期報酬是多少? 背景 套利定價理論 套利定價理論是一個資產定價的一般理論，也就是說，一個金融資產的預期報酬可以表示為多個風險因子的線性組合。每個風險因子對預期報酬的敏感度可以表示為特定因子的beta係數。 套利定價理論主張一個金融資產的預期報酬和風險因子的敏感度可以由以下公式表示: 其中 E(R) =… Read More »Sunfortzone的財務金融小教室

愛灑人間 靜思語/短詩 散播歡樂 散播愛

  • Others

心存善念 人心向善 即能風調雨順 平安吉祥   愛灑人間 人世間愛的力量最大， 唯有愛💖， 才能消珥仇恨、 撫平傷痕   祈願 淨化人心的工作， 是先點亮自己的心燈， 再做一個提燈照路的人， 將光明 照耀每一處黑暗角落   祈禱 我的心 在靜思中感恩 我的心念 充滿虔誠 大家一起來祈禱 從不同角落地點… Read More »愛灑人間 靜思語/短詩 散播歡樂 散播愛

Taiwan Guide for Night Owls

  • Travel

Ready to explore Taiwan? If you’re a night owl, this article is very suitable for you since I’m a night owl as well, principally because of my beloved one. I’m a local Taiwanese who’ve lived in Taiwan for more than 26 years. Usually, I’m active at night all the way until even 5 am in the morning. I went out with my girlfriend or friends for fun, drinks, walking around etc mostly in Taipei. That’s why I want to share this article for you. This article focuses on Taipei, which is the capital of Taiwan, and for night owls, is structured as follows: night market, bars, nightclubs, temples, parks, landscapes, restaurants, motels, and hot springs.

Dissecting Decaying Time Value of Options with respect to Market States of the Underlying Assets

This thesis proposes a different methodology to measure the speed with which an option’s time value approaches zero as the time to maturity T vanishes other than the Greek letter theta: the slope of a fourth-order polynomial fitted line implied from a term decay plot which plots the log of option price against the log of time to maturity. I hypothesize that when the market state of the underlying asset of options is bullish, the time value of put options decreases faster whereas when the market state of the underlying asset of options is bearish, the time value of call options decreases faster. Three methodologies are used to proxy for the market states of the underlying asset of options including past returns of the underlying asset price, Bry Boschan dating algorithm to classify the market into bull or bear, and Bollinger Bands to classify the market into bull, bear, or mean-reversion. We find international evidence that the hypothesis holds for the index options across countries including Taiwan, Hong Kong, South Korea, Japan, and Malaysia. The empirical results have huge implication for options trading and hedging in that they can construct better trading or hedging strategies by taking advantage of these findings.

What I Learned from Investing

Since 2012, I started my passion for investing and began trading for stocks, options, CFDs (forex) and automatic trading. I implemented some strategies like value investing, Turtle Trader, options (spread, sell side) and automatic trading via MQL4. Here I wanna share what I learned from the journey of investing.