复习笔记cfa l二分类前三种是传统return

AlternativeRA25AlternativeInvestmentPortfolio共同点：lowliquiditydiversification,duediligencecosts,difficultperformanceIssuesforprivatewealths：taxes,suitability,communication,decisionrisk,concentrated（一）Realdirect：residences,commercialrealestate,agricultureindirect：持有房地产公司，REITs,CREF(私募REITs),Infrastructureadvantagei.deductibletax;ii.Abilitytousemoreleverage;iii.Moredirectcontrolthanstocks;iv.Diversification(地理上);v.lowervolatilitythanstocks.disadvantage:i.alargepartoftheinvestor’sportfolio;ii.Highinformationcost;iii.成Highcommissionsiv.highoperatingandmaintenancecosts;v.Specialgeographicalrisk;vi.politicalrisk,suchastaxeschange.（二）非公开Private(1)earlystage:seed,startup,firstBuyout:middle-capbuyoutfunds,mega-capbuyoutDividendrecapitalization：成熟公司，暂时，PE投一笔钱，占（一般控股，公司过dividendPEPE所占股权比例不变。fees：Managementfee+Incentivefee:hurdlerateclaw-back（其他项目亏损要取把已经拿到缺点：illiquid,long-term,higherriskhigherRR,limited7-10diversificationportfolio（三directcommodity和特点：lowcorrelationwithstocksandbonds,businesssensitivity,positivecorrelationwithnon-假设有全额，但用做投资，因此有collalreturnreturn=spotreturn+collalreturn+rollreturn lreturn：持有现金获得的收益rollreturntermstructure:要做长期投资，但使用流动性较强的短期合约，roll贴水（backwardation：rollyield是正的，即转仓时越来越贵升水（contango）:rollyield（四）HedgeEquitymarketneutral：long–short★Convertiblearbitrage：convertiblebonds,warrantsorconvertiblepreferredstock：一般普通股被高估，可转换股被低估。可以。eDistressed★Mergerarbitrageordealarbitragetarget涨，acquirer(并购方)Hedgedequityglobalmacroemerging场整体。但investor（出资人）因为FOF的diversificaton反而可能失去自己portfolio的diversification。②多次，extralayeroffees。③moreliquidity。④cashdrag（keeextracash（体现其他的对称基金。⑧sufferfromstyledrift。⑨morehighcorrelationwithequityrelativevaluestrategies★event-drivenmergerorequityglobalassetshort经验表明，sharp不适合Hedgefund，因为sharpratioassumenormaldistribution,hedgedisynegativeskewnessandpositivekurtosistimedependence(higherforlongerperiods)littlepowerforhedge（五）ManagedFutures：只做的基focusonmacro，hedgefundfocusonindividual类型：systematictradingstrategies,discretionarytrading衍生品是“zero-sum”gamesnotavailabletoallinvestors，原因二市场中有人对冲风险；portfolio里的角色：diversification，原因：abilitytoshort（六）distressed公开流通：Hedgefundstructure，主要方法，流动性非公开上市：PEfundstructuredistressed①publiclytradeddebtand②orphanequity③bankdebtandtradeclaims④“lendoflastresortnotes①below-investment-gradeIPS②oldequityclaimsmaybewipedoutina③dependonspecialistskillsanddeep④illiquid,negativeskewnessandpositive①long-only：high-yieldinvesting,orphanequity②distresseddebtarbitrage：longbond,short如果公司转好，bond涨的多，equitybond优先偿还；如果公司继续差，bond跌的少，equityequity③Privateequity：vulturefunds,④variationofactive①Eventrisk;②liquidityrisk;③Marketrisk；④Jfactorrisk（Judgefactorrisk：法律三、业绩基准Ben realestate：volatilitydownsidecommodityindex的两种权重方式：根据全球产值，根据重要Hedgefundben ark的问题（1）popularitybias：好的ben ark吸引很多人买，导致好的fund权重大，导致upwardbias（2）survivorshipbias，upwardbias（3）stalepricebias：隔一段时间才更新一次，导致volatilitydownwardbias（4）backfillbiasorinclusionbias：hedgefund是自愿报告，所以表现好的倾向于报告，upwardbias。加入房地产，sharpratiodiversificationsharpratio更好加入PE，长期看超过，短期看不一定比好Commodity作为单独投资，return少，standarddeviation大，sharpratio小，没有价值。Commodity，sharpratio得到提升。Hedgefund：长期好，短期meanreturn和sharpratio比好，差于债券RiskRA26RiskRA是企业的风险管理，RA27-29是如何使用衍生品对冲投资风险。一、Risktypes+IdentifyRisk注意：1.（一）FinancialRisk（主要考点Marketrisk★：最大的风险。由于利率、汇率、股价、大宗商品等价格发生变化带来的风CreditriskLiquidityrisk注意：1.marketrisk；2.OTC，bond（公司债）creditrisk。3.手上资产value>0的信用风险？？？。4.房地产、Hedgefund、艺术品、OTCliquidityrisk。（二）NonFinancialoperationalrisksettlementrisk★：OTC产品、ForeignExchangesettlementmodelrisk;4.sovereignrisk;5.regulatoryrisk;6.tax,accountingandlegal/contract（三）other1.ESG(Environmental,social,ernance)risk;2.performancenettingrisk;3.settlementnettingMeasuring（一）marketstandarddeviation:price,surplusfirst/second-orderRisk)（1）（2）（3）（4）切分位点。1.37%/1.37VARatthe5%probability1001.37万的概率5%95%1.37以内。再如：考试会让解释：The1-day,1%VARofaportfoliois$2.6million:Thismeantthatthereisa1%chancetheportfoliowilllosemorethan$2.6millioninoneday.ORthereisa99%chancetheportfoliowillloselessthan$2.6millioninoneday.n（1）percentage（3）timeperiod（4）同样的分布，1%VAR5%的大（x轴负值，左边比右边绝对值大（5）0，题目可能不给出；长期一般（6）standarddeviationvariance（7）VARn

(假设波动之间没有关系)n=12n=52，日=252分析法（yticalMethod）优缺点，考试中可能描述一个场景，要求写出优缺点。优点：①easytocalculateandeasilytounderstood；②allowsmodelingthecorrelationsofrisks；③canberepliedtoshorterorlongertimeperiods.缺点①assumesnormaldistribution;②manyassetsexhibitleptokurtosis;③difficulttoestimatestandarddeviationinverylargeHistoricalVARMethod:根据历史数据的分布计算。优点：①easytocalculateandeasilytounderstood；②doesnotassumeareturndistribution；③canbeappliedtodifferenttimeperiodsaccordingtoindustrycustom.缺点：①assumethepatternofhistoricalreturnswillrepeatinthefuture.MonteCarloVARMethod：计算方法和yticalMethod一样（路径多了就是正态分布。优点：①incorporateanyassumptionsregardingreturnpatterns,correlations,andotherfactorsthe ystbelievesarerelevant.缺点：theoutputisonlyasgoodastheinputassumptions. etheindustrystandard；②不同风险整合成一个aggregatesallriskintoonesingle,easytounderstandnumber；③用作资本分配canbeusedincapital缺点：①Somemetheds（MonteCarlo）aredifficultandexpensive；②differentcomputationmethodscangeneratedifferentestimatesofVAR；③Itcangenerateafalsesenseofsecurity；④★★★Itisone-sided,focusingonthelefttailinthereturndistribution,andignoresanyupsidepotential.Scenarioysis★：缺点inabilitytoaccuraymeasureby-productsofmajorfactormovements（factorbu-products）①stylizedscenarios：定义9种情况，theystchangeoneormoreriskfactorstomeasuretheeffectontheportfolio;②actualextremeevents：the ystmeasurestheimpactofmajorpasteventsontheportfolio③hypotheticalevents：neverhappenbutmightmodels（08①factorpushysis：将情况不断变②umlossoptimization：求极③worst-casescenario：情④缺点：i.incorrectinputsandassumptions;ii.userbias;iii.somefactorshavedifferingorevenoppositeeffectsonvalues（二）bond两个维度：probabilityofevent(ProbabilityofDefaultamountofloss(LossGiven考试重点：OTC产品forward,option,andswaps，所的衍生品creditvalue0creditriskoption都是long方creditrisk，金额是optionpremium。Europeanoptioncreditrisk只creditrisk。currentcreditrisk（jumptodefaultrisk）Potentialcreditriskswapcreditriskcurrencyswap，中间和到期之间最大三、管理风险ManageRiskManageMarket（1）RiskbudgetManageCreditRisk：limitingexposure,markingtomarket,collal,paymentnetting,closeoutnetting(某一方bankruptcy时)minimumcreditstandardsSPVenhancedderivatives四、衡量风险调整后的表现：MeasuringRisk-adjusted

RiskManagementApplicationsofforwardorfuturedurationbeta，forwardorfuturepriceportfolio，portfolioforwardorfutureRA27RiskManagementofForwardandFutures一、用远期或调整手中的（一）

betacontracts(TP PfHedgeisrarelybasisrisk：用合约hedge现货，两种不是一种主体原因①分子与分母不是基于同一主体。thenumeratoranddenominatorarenotbasedonthesameitem。②beta和久期不能反应市值变化。thebetasanddurationsusedinthehedgecalculationdonotreflecttheactualsubsequentmarketvaluechangesoftheportfolioorcontract.③thehedgeresultsaremeasuredpriortocontractexpirationand/orthehedgeisclosedpriortocontractexpiration.④四舍五入。thenumberofcontractsis⑤定价。thefutureandspotpricearenotfairly（二）SyntheticPositions：要用risk-rate计syntheticequity=longrisk-asset+stockindexsyntheticrisk-asset=longstock-stockindexfutures：手里有的合约和hedge所用标的一致。仍然使用调整beta的。如果题中描述是syntheticcash，期限更明确，用risk-rate。如果仅调整beta，没有考虑期限，没给risk-rate，不用考虑risk-rate。（三）equitytobondsbeta0durationbondstoequityduration0betabetaequitybeta0（四）preinvestingfutures模拟一段时间之后手中的头寸（一）transactionexposureeconomicexposure：汇率变动带来的变化对经济的影translationexposure：子公司财报处理时的风（二）hedginghedgehedge。precisevalueofequityposition①hedgingaminimumfuturevaluebelowwhichtheyfeeltheportfoliowillnot②hedgingtheestimated③hedgingtheinitial（三）futuresorforwards？bondandequity用interestpaymentsorreceiptRA28RiskManagementofOptionOption主要掌握三个内容：构建策略及背后的意图、max&min、如果画图，画草图即可；shortoption都是为了赚费，但有风险；longoption会带cost一、CoveredcallandProtective（一）Coveredcall，会涨到call的执行价格X。如果价格没有涨到X，赚取涨的价格和calloption的premium。如果价格下降，则判断错误会导致损失。profit=ST–S0+c–max(0,ST–ST>X时，profitST–S0+cSTXX+cST<X时，profitSTS0+（二）Protective基本思想：买，longput。已经买了，看好继续上涨，但害怕下跌。如果继续涨，则不执行Put，损失putpremium；如果下跌超过X，能够维持已经在X获得的。profitSTS0pmax(0,XST)ST>X时，profit=ST–S0-pST<X时，profitSTS0pXSTXS0-二、OptionSpread（一）BullBullSpreadusing（1）基本思想：牛市看涨，LonglowX的call，能赚钱但花了费，所以shorthigh的call，赚费（2）profitcLmax(0,STXLcHmax(0,STXH)ST<XL时，profitcL+cH<0XL<ST<XH时，profitcLST–XLcXH<ST时，profitcLST–XL+cHSTXHcLXLcH+XBullSpreadusing（1）基本思想：牛市看涨，赚费，shorthighXput赚费；但万一跌了会赔钱，所Longput，降低风险。（2）profit（二）BearBearSpreadusing（1）基本思想：熊市看跌，shortlowX的call，赚费，但害怕上涨，所以longhigh（2）profitBearSpreadusing（1）基本思想：熊市看跌，longhighXput赚钱，但花了费；所以要short一个low（2）profit=-pH+max(0,XH-ST)+pH-max(0,XL-（三）Butterfly都是卖middle，买一高一低两份。蝴蝶尖向上（maxprofit）是longButterflySpreadwith（1）基本思想：shortmiddleXcall，longcalllowXhigh（2）profit=2cM-2max(0,ST–XM)-cL+max(0,ST–XL)-cH+max(0,ST–ButterflySpreadwith基本思想：shortmiddleXput，longputlowXhighprofit=2pM-2max(0,XM-ST)-pL+max(0,XL-ST)-pH+max(0,XH-（四基本思想（1）longstraddle判断可能大涨或（betonvolatility，同时long一个call,一个put，执行价格都一样，无论涨跌都赚钱（2）shortstraddle判断一段时间内股价不变，赚费。但风险很大，如果股价有较大变动，亏损很大。profit=-c+max(0,ST–X)-p+max(0,X-（五）Collar（和Bullspread，但Collar持有，应用场景和目的不同基本思想：可以看做（1）coveredcalllongput（2）pro