摩根大通-行为金融学.pptx

Behavioral Finance at JP MorganDone By: Amanda Seah Donne Quek Sowmya Gopi Royston TanLet’s play a game!Guess 2/3 of the average of the class’ numbers!AgendaBehavioral FinancePhilosophy: Irrational investor behavior leads to market anomalies that can be exploited with a disciplined trading approach. Behavioral investing is based on research into human behavior in financial markets.Behavioral Finance2003: JP Morgan launches behavioral finance in the U.S.1992: JP Morgan’s first behavioral finance mutual fund in LondonLate 2006: AUM in behavioral funds over $20 billion in the U.S. Over $76 billion worldwide.Late 1990s: Offers wider range of mutual funds in U.K. and Europe1980s: Anomalies in stock prices and new behavioral finance theoryApproaches to InvestingApproaches to Investing (cont’d)Research Model PlatformBottom-up approach, based on analysts’ forecastsDividend Discount ModelRankings form basis for portfolioApproaches to Investing (cont’d)Manager Driven PlatformCombines skills of analysts with experienced portfolio managersFundamental analysisApproaches to Investing (cont’d)Behavioral PlatformSeeks to add value byIdentifying anomalies in pricingConsistencyDiversificationStrategies in Behavioral FinanceMomentumValueEarnings SurpriseMergerApparent High RiskBehavioral Platform (cont’d)Investment processA multi-factor model is used to create portfolios based on factors such as price momentum, earnings momentum, value and growthApplied to a range of stock typesBehavioral Platform (cont’d)Stocks are screened for growth and value characteristicsPerformance of Intrepid FundsDifference between Intrepid Funds and Lipper Benchmarks by Style (Jun 2006)Performance of Intrepid AmericaPerformance of Intrepid GrowthPerformance of Intrepid ValuePerformance of Intrepid Mid-CapBenefits of Behavioral FinanceRepeatable, disciplined processIncreased return potentialAdded layers of diversificationComplements traditional fundsOur PreferenceBehavioral BiasesOverconfidence E.G. Fadi