金囿学堂cfa一级组合管理精讲

CFA▁

ঃ

ͣ

ॳ੣ͤPortfolio

ManagementTopic

Weightings

in

CFA

Level

IStudy

SessionsCon

entWeightingsStudy

Session

1Ethics

&

Professi

nal

Standards15Study

Session

2

3Q

antitative

ysis12Study

Session

4

5Ec

nomics10Study

Session

6

9Financial

Reporting

and

ysis20Study

Session

10

11Co

porate

Finance7Study

Ses

ion

12Portfolio

Management7Study

Se

sion13

14Equity

Investment10Study

Session

15

16Fixed

e10Study

Session

17Derivatives5Study

Session

18Alternative

Investments4

ࣹ

CONTENTSStudy

Session

12

Portfolio

ManagementReading

39:

Portfolio

Management:

An

OverviewReading

40:

Risk

Management:

An

IntroductionReading

41:

Portfolio

Risk

and

Return:

Part

IReading

42:

Portfolio

Risk

and

Return:

Part

IIReading

43:

Basics

of

Portfolio

Planning

and

Construction金囿学堂丨CFA一级组合管理第1

页ঐ

՟

ॡ

੣

੣

੣

Portfolio

Theory௛

ॠ

௛

௛

Markowitz௛

௛

ু

௛

ખ

Modern

PortfolioTheory∙

֮

қ

ސ

ӣ

ߤ

ސ

௛௛

௛

ু

௛

߄

ݼ

ଆ

उ௛

ח

ڊ

ޯ

William

Sharpe௛

ߎ

ࣲ

֫

١

ખ

Capital

Market

Theory௛

ߎ

௛

ф

џ

௛

ֺ

Capital

Asset

Pricing

Model؅

Э

ݱ

ࡄז

Ю

௛

މ

௛NO!Խа௛ԣNѫ

O!Kaplan’s

Notes௛ⴐઔУ

YES!؆

Ю

ু

پ

௛ׂু

ર ৰ

௛

ত

ઔӏ

ӵ

ર ৰ

ொু

ু

Юͧ

Խ

௛

а

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ե

ொু

&

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M

o

c

k

ொু

ڢ

ࣹ

CONTENTS39.

Portfolio

Management:An

Overview金囿学堂丨CFA一级组合管理第2页，共

21页Portfolio

diversification

works

best

when

financial

markets

areoperating

normally.The

PortfolioDiversification

ratio

=Diversification

allowsan

investor

to

reduce

portfoliorisk

withoutnecessarily

reducing

the

portfolio's

expected

return.std.

dev.

ofequal-weightedportfolio’s

returns

average

std.

dev.

of

returns

onportfolio

assetsInvestorsIndividual

investorsDefined

contribution

pensionInstitutional

investorsDefinedbenefit

pensionEndowment

and

foundationBankInsurance

companiesInvestment

companiesSovereign

wealthfundsInvestors金囿学堂丨CFA一级组合管理第3

页InvestorRisk

ToleranceInvestmentHorizonLiquidity

Needse

NeedsIndividualsDepends

onindividualDepends

onindividualDepends

onindividualDepends

onindividualBanksLowShortHighPay

interestEndowmentsHighLongLowSpending

levelInsuranceLowLong-lifeShort-P&CHighLowDefined

benefitpensionsHighLongLowDepends

on

ageMutual

fundsDepends

on

fundDepends

on

fundHighDepends

on

fundPortfolio

Management

ProcessPlanning

step:

ysis

of

the

investor's

risktolerance,

return

objectives,

time

horizon,

tax

exposure,liquidity

needs,

legal

needs,

unique

circumstances;IPS:

details

the

investor's

investment

objectives

and

constraints;

specifyan

objectiveben

ark;

updated

at

least

every

few

years

and

anytime

the

investor's

objectives

orconstraints

change

significantly.Execution

step:asset

allocation;

security

ysis;

portfolio

constructionFeedback

step:monitor

and

rebalance

the

portfolio;measure

portfolio

performance.Investment

productsMutual

fundsopen-end

fundvs

close-end

fundsmoney,

bond,

stockExchange-traded

fundsSepara y

managedaccountHedge

fundsBuyout

fundsVenture

capital

ࣹ

CONTENTS40.

Risk

Management:

An

Introduction金囿学堂丨CFA一级组合管理第4页，共

21页Risk

ManagementObjectives

of

riskmanagement:anizationIdentify

the

risk

tolerance

of

theIdentify

and

measure

risks

facedModify

and

monitor

risksRisk

management

does

not

seek

to

avoid

or

minimize

risk,

but

to

identifywhich

risks

an anization

is

best

able

to

take

on.Risk

Management

FrameworkRisk

Management

FrameworkEstablish

processes

and

policies

for

risk

ernanceDetermine anization's

risk

toleranceIdentify

and

measure

existingrisksManage

and

mitigate

risks

to

achieve

the

optimal

bundle

of

risksMonitor

risk

exposures

over

timeCommunicate

acrossPerform

strategic

riskanizationysis金囿学堂丨CFA一级组合管理第5

页Risk

ernanceRisk ernance

is

thefoundation

for

risk

management.Risk ernance

refers

to

senior

management's

determination

of

the

risk

toleranceofthe

anization,

the

elements

of

its

optimal

risk

exposure

strategy,

and

theframework

for

oversight

of

the

risk

management

function.Risk

tolerance

depends

on

business

expertise,

ability

to

respond

to

negative

outsideevents,

regulatory

environment,

financial

strengthand

ability

to

withstand

losses.Employing

a

risk

management

committee,

along

with

a

chief

risk

officer

(CRO),are

hallmarks

of

a

strong

risk ernance

framework.Risk

management

committee

providestop

decision

makers

with

a

forum

forregularly

considering

riskmanagement

issues.Risk

BudgetingAllocate

the anization's

desired

amount

of

overall

risk

exposure

amongassets

or

investments,

based

on:anization's

goals

and

risk

toleranceRisk

characteristics

of

assets

or

investmentsRisk

budget

may

be

a

single

metric

such

as

VaR,

portfolio

beta,

or

portfolioduration

or

returns

variance.Identity

specific

risk

factors,

and

match

the

overall

risk

tolerance

of

theanization.Financial

Sources

of

RiskCredit

risk:

Counterparties

might

not

fulfill

obligationsLiquidity

risk:

May

receive

less

than

fair

value

when

selling

an

assetMarket

risk:

Uncertainty

about

assetprices

and

interest

rates金囿学堂丨CFA一级组合管理第6页，共

21页Non-Financial

Sources

of

RiskOperational

risk:

Human

error,

faulty

processesSolvency

risk:

Running

out

of

cashRegulatory

risk:

Regulations

impose

costs

or

restrict

activitiesPolitical/ ernment/tax

risk:

ernment

actions

other

than

regulationsLegal

risk:

Exposure

to

lawsuitses

(forexample

byNon-Financial

Sources

ofRiskModel

risk:

Incorre set

valuationsTail

risk:

Underestimating

probability

of

extremeincorrectly

assuminga

normaldistribution)Accounting

risk:

Policies

and

estimates

may

be

judged

to

be

incorrectIndividuals:

health

risk,

mortality

or

longevity

risk,

and

property

and

casualtyriskRiskExposure8OYQ

SKGY[XKY

OTIR[JKesStandard

deviation:

dispersion

ofBeta:

market

risk

of

equity

securitiesDuration:

price

sensitivity

of

debt

to

changes

in

interest

ratesDerivatives

Risk

MeasuresDelta,

Gamma,

Vega,

Rho,

Theta金囿学堂丨CFA一级组合管理第7

页Tail

Risk

ExposureMeasuresof

tail

risk:Value-at-Risk

(VaR):

Minimum

loss

overriod

with

a

specific

probabilityOne-month

VaR

of

$1

million

with

5%

probability

means

loss

will

exceed$1

million

5%

of

the

timeConditional

VaR:

Expected

value

of

a

loss,

given

that

it

is

at

least

theminimum

amountRisk

assessment

methods:Stresstesting

estimates

the

effects

of

changes

in

a

single

variableScenario ysisestimates

the

effects

of

simultaneous

changes

in

multiplevariablesModifying

RiskExposureAccept

self-insurance

and

bear

a

risk

efficiently,

for

example

throughdiversificationanization

to

a

riskAvoid

by

not

engaging

in

activities

that

expose

thePrevent,

for

example

with

stronger

securityTransfer

to

another

party

(e.g.,

insurance)Shift

by

changing

the

distribution

of es,

typically

with

derivativesRisk

profile

matches

the anization's

risk

toleranceand

goals

in

terms

ofcosts

versus

benefits.

ࣹ

CONTENTS41.

Portfolio

Risk

and

Return:

Part

I金囿学堂丨CFA一级组合管理第8页，共

21页Arithmeticmean

return

=Money-weighted

rate

of

return:

IRR

on

a

portfoliobased

on

all

ofits

cash

inflows

andoutflows–

1Return

MeasuresHolding

Period

(Total)

ReturnEnd

of

period

valueBeginning-of-period

valueAverage

ReturnR1+

R2+

R3+

………….+

RnnGeometric

Mean

Return

=

n(

1

R

1

)(

1

R

2

)(

1

R

3

)

.

.

.

.

.

.

.

.

(

1

R

n

)

1OtherReturn

MeasuresGross

return:

Return

before

management

feesNet

return:

Returnafter

management

feesPretax

nominal

return:

Return

priorto

paying

taxesAfter-tax

nominal

return:

After

deducting

taxliabilityReal

return:

After

adjusting

for

inflationLeveraged

return:

Return

on

cash

investmentMajor

Asset

Classes金囿学堂丨CFA一级组合管理第9

页Asset

ClassAnnual

ReturnsStandard

DeviationSmall-cap11.7%33.0%Large-cap9.6%20.9%LT

Corporate

Bonds5.9%8.4%LT

Treasury

Bonds5.7%9.4%Treasury

Bills3.7%3.1%Inflation3.0%4.2%Asset

classes

with

the

greatest

average

returns

alsohave

the

highest

standarddeviations

of

returns.Liquidity

should

be

considered,

especially

in

emerging

markets

and

forsecuritiesthat

trade

infrequently.Portfolio

Standard

DeviationA

BABp

A

A

B

BVar(R )

=

σ

2

w

2

+σ

2

w

2

+

2wp

A

A

B

Bw

CovNote

:

CovAB

=ρABσAσBVar(R

)

=

σ2

w

2

+σ

2

w

2

+

2w w

ρ σ

σA

B

AB

A

BCorrelation

and

Risk

Reduction100%

Stock

AE(R)25%15%ρ=%

StockB15%20%10%5%σρ=

1ρ=

+0.3ρ

=

0.310%5%0%0%Minimum

Variance

Frontier

and

Efficient

FrontierMinimumVarianceFrontierGlobalMinimumVariancePortfolio金囿学堂丨CFA一级组合管理第10页，共

21页Minimum

Variance

Frontier

and

Efficient

FrontierMinimum

variance

frontierPortfolio

that

have

the

lowest

standard

deviation

of

all

portfolios

witha

given

expectedreturn

are

known

as

minimum-variance

portfolios.Portfolios

that

have

minimum

variance

for

each

givenlevel

of

expected

return.Global

minimum-variance

portfolioThe

portfolioon

the

efficient

frontier

that

has

the

least

risk.Efficient

frontierAll

risky

assets

are

containedEfficient

portfolio:

well-diversified

or

fully-diversifiedRisk

AversionRisk

aversion

means

investors

prefer

less

riskto

more

risk.When

two

investments

have

equal

expected

returns,

investors

prefer

the

one

with

lowerrisk.When

two

investments

have

equal

risk,

investors

prefer

the

one

with

higher

expectedreturn.Investors

do

not

minimize

risk.

It's

a

trade-off!Optimal

portfolioOptimal

portfolioThe

highest

indifference

curvethatis

tangent

to

the

efficient

frontierDifferent

investors

may

have

different

optimal

portfolios金囿学堂丨 第

11

页

ࣹ

CONTENTS42.

Portfolio

Risk

and

Return:

Part

IIσ0RfRisky

asset

AEfficient

FrontierRisky

asset

BCALB

CALCRisky

asset

CCALAAdding

a

Risk-Free

AssetWhen

a

risk-free

asset

is

combined

with

a

risky

asset

or

portfolio,

the

risk/returnof

each

possible

combination

is

referred

to

as

the

Capital

Allocation

Line(CAL)E(RP)Optimal

riskyportfolioσBCCapital

Allocation

LineTwo-fund

separation

theorem:Combining

a

risky

portfolio

with

a

risk-free

assetOptimal

portfolioequals

CAL

and

Indifference

curveE(R)CALAACALBCALCIndifference

CurvesRisk-freeAsset金囿学堂丨CFA一级组合管理第12页，共

21页RiskyPortfoliosstd.

deviationCombining

Risk-free

and

Risky

AssetsPortfolio

expected

return

=Wrisky

Rp

+

WRf

RfPortfolio

std.dev.

=

Wrisky

σpE(R)RfRisky

Portfolio

PEqual

weights

in

Rf

and

Portfolio

PE(RP)σPσP/2Capital

Market

LineWhen

investors

share

identical

expectations

about

the

mean

returns,variance

of

returns,

and

correlations

of

risky

assets,

the

CAL

for

allinvestors

is

the

same

and

is

known

asthe

capitalmarket

line(CML):σ0E(RP)RfOptimal

riskyportfolioRisky

asset

AEfficient

FrontierRisky

asset

BCALB

CALCRisky

asset

CCALACapital

Market

LineDifference

between

the

CML

andthe

CALMarket

Portfolio:is

thetangent

point

where

theCML

touches

theMarkowitz

efficient

frontier.consists

of

every

risky

assets.the

weights

on

each

asset

are

equal

tothe

percentage

of

the

market

value

of

theasset

to

the

market

value

of

the

entire

market

portfolio.Investment

using

CML

follow

sive

investment

strategy

(i.e.,

invest

inan

index

of

risky

assets

that

serves

as

a

proxy

for

the

market

portfolio

andallocate

a

portion

of

their

investable

assets

to

a

risk-free

asset.)金囿学堂丨第13

页RFREfficient

frontier Std.

deviationCapital

Market

LineWith

homogeneous

expectations,

all

investors

have

the

same

optimal

riskyportfolioE(R)Capital

Market

LineAssumptions

of

Capital

MarketTheoryInvestors

use

mean-variance

frameworkUnlimited

lending

and

borrowing

at

RfHomogeneous

expectationsOne

period

time

horizonDivisible

assetsFrictionless

marketsNo

inflation

and

unchanging

interest

ratesCapital

markets

are

in

equilibrium,

investors

are

price

takersSystematic

and

Unsystematic

RiskUnsystematic

risk

(unique,

diversifiable,

firm-specific

risk)Can

be

reduced/eliminated

by

holding

well-diversified

portfoliosSystematic

risk

(market

risk)Caused

by

macro

factors:Interest

rates,

GDP

growth,

supply

shocksMeasured

by

covariance

of

returns

with

returns

on

the

market

portfolioTotal

Risk=

unsystematic

risk

+

systematic

risk金囿学堂丨CFA一级组合管理第14页，共

21页Unsystematic

RiskSystematic

RiskNumber

of

securities

in

the

portfolio≈

30MarketRiskDiversification

and

the

Reduction

of

Unsystematic

RiskUnsystematicrisksCAPM:

Only

systematic

(market)

risk

is

rewarded

with

higher

expected

returnsCalculating

BetaBeta:

thsensitivity

of

an

asset's

return

to

the

return

on

the

market

index

in

themarket

e

model.Ass

e

t

Exce

ss

Re

turn

(Ri

Rf

)i Ma

rke

t

Exce

ss

Re

turn

(R

m

Rf)

Ass

e

t

Cha

ra

cte

risticLineβ

iS

lop

emCovimσ2Returns

Generating

ModelsMulti-factor

ModelsE[Ri]

–Rf

=

βi,1

E[F1]

+

βi,2

E[F2]

+…....+βi,K

E[FK]Macroeconomic

factors

e.g.,

GDP

growth,

inflation,

consumer

confidenceFundamental

factors

e.g.,

earnings,

earnings

growth,

firm

size,research

expendituresStatistical

factors,

no

basis

in

finance

theoryThe

Market

ModelE[Ri]–

Rf

=

βi

(E[RM]

-Rf

)The

only

factor

is

the

expected

excess

return

on

the

marketportfolio

(market

index).金囿学堂丨第15

页Systematic

RiskMarket

PortfolioSecurity

Market

Line(SML)Rfβ

=

1βSecurity

Market

Line

(SML)E(R

i)E(R

mkt

)BetaE(Ri)

=

Rf

+βi

[E(Rmkt)

Rf]SMLHow

to

judge

if

a

stock

is

properly

valuedWhen

securities

are

priced

at

equilibrium

values,

they

plot

on

theSMLE(R)BACRfAssumptions

ofCAPMInvestorsare

risk-averse,

utility- izing,

rational

individuals.Markets

are

frictionless,

including

no

transaction

costs

and

no

taxes.Investors

plan

for

the

same

single

holding

period.Investors

have

homogeneous

expectations

or

beliefs.All

investmentsare

infini y

divisible.Investors

are

price

takers.金囿学堂丨CFA一级组合管理第16页，共

21页CML

has

only

efficient

portfoliosCML

based

on

total

riskAny

asset

or

portfolio

plots

on

theSML

in

equilibrium

SML

is

based

on

systematic

(β)riskE(R

M

)R

fCML

versus

SML(a)

Capital

Market

LineE(R)CMLEACBDE(R)E(R

M

)R

fβM

=

1ββ

=1(b)

Security

Market

LineSMLEABMC

DMσDifferences

between

the

SML

and

the

CMLCAPM

ApplicationsCalculating

risk

adjusted

return

measuresE(R)R

fP1P2R

P1R

P2R

M

Rp

2

Rfp2C

A

L

slopMP

1Rp

1

RfRM

RfCML

slope

σThe

M2

measure

for

P2

is

(RP2

Rf)

(σM/σP2)

(RM

Rf)金囿学堂丨第17

页CAPM

ApplicationsCalculating

risk

adjusted

return

measuresβ}Jensen’s

alphaE(R)R

fRpRMpβ

1pslope Treynor

measure

for

Portfolio

PSMLMJensen's

alpha

=

RP

[Rf

+

βP

(RM

Rf)]

ࣹ

CONTENTS43.

Basics

of

Portfolio

Planning

and

ConstructionInvestment

Policy

StatementIdentifies

client

objectives

and

constraintsClear

statement

of

client

risk

toleranceImposes

investmentdiscipline

on

both

client

and

managerIdentifies

risksIdentifies

a

ben ark

portfolioconsistent

with

client

preferences金囿学堂丨CFA一级组合管理第18页，共

21页Major

Components

of

an

IPSDescription

of

client

circumstancesPurpose

ofthe

IPSDuties

and

responsibilities

of

all

partiesProcedures

to

update

IPS,

resolve

problemsInvestment

objectives

and

constraintsInvestment