Options Trader: 2019

4/25/2019

3/13/2019

道理基本上很簡單就是多賺錢多存錢不要亂花錢你自然就會變有錢

一般來說所謂的有錢一種是看淨資產另一種是看可用來做投資的淨資產 (自住的房子的價值要先扣掉)

一般小額花費的標準是萬分之一的消費額度(每日) 不太需要考慮... 萬分之 365 約等於 3.65%... 所以以正常的投資報酬率就能夠支付

所以有一百萬美金的可投資資產就大約是一百元美金約台幣三千元以這種花錢速度應該一輩子也花不完

另外以投資的角度如果能及早投資在適當的標的以美國標普500 長期投報率約 6.6%(扣掉通膨) 而言你從25歲工作40年 65歲退休預期壽命為85歲

那你從工作開始每月存台幣一萬元你退休的時候平均每月可以有

$1.066^{40} + 1.066^{20} = 16.48$ 萬元可以花

如果你從一開始只存20年到45歲後面都不存每月也有

$1.066^{40} = 12.89$ 萬元可以花

你存不了一萬每月存個五千退休也是有 6~8萬... 所以真的不難

如果你的父母有先見之明從生下你就每月幫你存台幣一萬元存20年... 每月就有

$1.066^{65} = 63.71$ 萬元... 存二千就夠了每月也有12萬

懂得投資理財比甚麼都重要

2/27/2019

Leveraged Portfolio Simulation

Data: $SPY from 1-19-2007
Adjusted by daily closing prices
Starting capital is $10,000.
Neglecting dividends and the borrowing cost.
The blue line is the baseline.

1/22/2019

Ultra fund DIY - Constant Leverage Ratio

If we want to create a leveraged portfolio tracking an index, we need to know how to maintain a constant leverage ratio. The concept is pretty simple.

Say if we want to maintain a leverage ratio,

$L = 2$ . If the index

$I$ moves

$\delta$ percent. Our portfolio

$\pi$ will move

$2\delta$ percent.

Assuming the borrowing cost is zero. Our initial capital is

$C$ .

So at the beginning, our asset is

$2C$ and our liability is

$C$ , the net is

$2C-C=C$ .

When the index moves

$\delta$ percent, then

Asset:

$2C*(1+\delta)$

Liability:

$C$

Net:

$C*(1+2\delta)$

Leverage Ratio:

$(2+2\delta)/(1+2\delta) \neq 2$

The leverage ratio is changed due to the index has moved

$\delta$ percent. So we have to adjust our shares to re-balance the leverage ratio to 2.

If our original shares is

$S$ , the new share price is

$2C*(1+\delta)/S$ .

Our new net value of the portfolio is

$C*(1+2\delta)$ , the new shares

$T$ is

$T = 2C*(1+2\delta) / (2C*(1+\delta)/S) = (1+2\delta)/(1+\delta)*S = (1+\delta/(1+\delta))*S$

So the percentage of the adjustment is

$\delta/(1+\delta)$ , when the index moves

$\delta$ percent.

If the leverage ratio is

$L$ , the adjustment is

$\dfrac{\delta}{(1+\delta)}(L-1)$ .

Let's do some simple calculation for

$L=2$

If the index moves up or down 1~5%, the adjustment is listed in the following table.


L=2 1% 2% 3% 4% 5%
down -1.01% -2.04% -3.09% -4.17% -5.26%
up 0.99% 1.96% 2.91% 3.85% 4.76%

From the formula

$\frac{\delta}{(1+\delta)}(L-1)$ , we can also see that when

$L>1$ , it's similar to a trend following strategy. Because when the index goes up, we will increase our shares. When the index goes down, we will decrease our shares.

Options Trader