2017cfa一级基础组合

TopicWeightings

FALevelI

SessionNO. Content Weightings

StudySession1 Ethics&ProfessionalStandards 15

StudySession2-3 tative ysis 12

StudySession4-5 Economics 10

StudySession6-9 FinancialReportingand ysis 20

StudySession12

PortfolioManagementandWealth

nning

7

StudySession10-11 CorporateFinance 7

StudySession13-14 EquityInvestment 10

StudySession15-16 Fixed e 10

StudySession17 Derivatives 5

StudySession18 AlternativeInvestments 4

FrameworkPortfolioManagement

PortfolioManagement

R40PortfolioManagement:AnOverview

R41RiskManagement:AnIntroduction

R42PortfolioRiskandReturn:PartI

R43PortfolioRiskandReturn:PartII

R44BasicofPortfolionningandConstruction

Reading

42

PortfolioRiskandReturn:PartI

HPR

Averagereturn

Arithmeticmeanreturn:unbiasedestimatorofthetruemean

Geometricmeanreturn:compoundannualrate

Money-weightedrateofreturn:IRR

Otherreturnmeasures

Grossreturn:totalreturnbeforemanagementandadministrationfees

Pretaxnominalreturn

After-taxnominalreturn

Realreturn

Leveragedreturn:thegainorlossasapercentageofaninvestor’scashinvestment.(realestate)

Assetclasseswiththegreatestaveragereturnsalsohavethehigheststandarddeviationsofreturns.

Liquidityshouldbeconsideredwheninvest,especiallyinemergingmarketsandforsecuritiesthattradeinfrequently.

Anindividualinvestment: n

ExpectedReturn E(R)PiRi

i1

n

P1R1P2R2LPnRn

VarianceofReturn Var=2[RiE(R)]2Pi

i1

[RE(R)]P

i1

StandardDeviationofReturn SD=

Covariance

Correlation

Theportfoliostandarddeviationformula

Theriskofaportfolioofriskyassetsdependsontheassetweightsandthestandarddeviationsoftheassetsreturns,andcruciallyonthecorrelation(covariance)oftheassetreturns.

Thelowerthecorrelationbetweenthereturnsofthestocksintheportfolio,allelseequal,thegreaterthediversificationbenefits.

Two-assetportfolio:

σp2=w12σ12+w22σ22+2w1w2COV1,2

=w12σ12+w22σ22+2w1w2σ1σ2ρ1,2

Riskandreturnfordifferentvaluesofcorrelation

E(R)

ρ=-1

ρ=-0.5 ρ=0 ρ=+0.5

ρ=+1

E(R) GlobalMinimumVariancePortfolio

EfficientFrontier

(AllEfficientportfolio)

InefficientPortfolios

IndividualSecurity

Minimumvariancefrontier

Portfoliothathavetheloweststandarddeviationofallportfolioswithagivenexpectedreturnareknownasminimum-varianceportfolios.Togethertheymakeuptheminimum-variancefrontier

Portfoliosthathaveminimumvarianceforeachgivenlevelofexpectedreturn

Globalminimum-varianceportfolio:Theportfolioontheefficientfrontierthathastheleastrisk.

Efficientfrontier

Thoseportfoliosthathavethegreatestexpectedreturnforeachlevelofriskmakeuptheefficientfrontier.

Allriskyassetsarecontained

Efficientportfolio:well-diversifiedorfully-diversified

Riskseeking

Referstothefactthatinvestorissaidtoberisklovingorriskseeking.

Riskseekinginvestors:

Preferhigherrisktolowerriskforagivenlevelofexpectedreturns

Willacceptles pectedreturnbecauseoftheextrautilityfromtherisk

Thegamblehasanuncertain e,butwiththesameexpectedvalueastheguaranteed e.Thus,aninvestorchoosingthegamblemeansthattheinvestorget tra"utility"fromtheuncertaintyassociatedwiththegamble.

RiskNeutral

Aninvestorisindifferentaboutthegambleortheguaranteed e

Riskneutralityinvestorcaresonlyaboutreturnandnotaboutrisk,sohigherreturninvestmentsaremoredesirableeveniftheycomewithhigherrisk.

Riskaversion

Referstothefactthatindividualspreferlessrisktomorerisk.

Risk-averseinvestors:

Preferlowertohigherriskforagivenlevelofexpectedreturns

Willonlyacceptariskierinvestmentiftheyarecompensatedintheformofgreaterexpectedreturn

E(R)

Higher

Utility

Lower

Risk

Theoptimalportfolioforaninvestor

Atthepointofwhereaninvestor’s(highest)risk-returnindifferencecurveistangenttotheefficientfrontier.

E(R)

GlobalMinimumVariancePortfolio

X

Y

I2

I1

I2

I1

EfficientFrontier(AllEfficientportfolio)

InefficientPortfolios

IndividualSecurity

Optimalportfolio

Thehighestindifferencecurvethatistangenttotheefficientfrontier

Differentinvestorsmayhavedifferentoptimalportfolios

Reading

43

PortfolioRiskandReturn:PartII

Two-fundseparationtheorem:

Combiningariskyportfoliowitharisk- asset

Allinvestors’optimumportfolioswillbemadeupofsomecombinationofanoptimalportfolioofriskyassetsandtherisk- asset.

CAL

Thelinerepresentingthesepossiblecombinationsofrisk- assetsandtheoptimalriskyassetportfolio.

Ris

As

withWAntheRis

Risk-Asset

PortfolioInvestediAsset

E(RP)WAE(RA)WBE(RB)

P

P WAA

E(R)

CAL

A

Indifference

Curve

CALB

B

CALC

C

RiskyPortfoliosandTheirAssociatedCapitalAllocationLinesforDifferentinvestors

Ifeachinvestorhasdifferentexpectationsabouttheexpectedreturnsof,standarddeviationsof,orcorrelationsbetweenriskyassetreturns,eachinvestorwillhaveadifferentoptimalriskyassetportfolioandadifferentCAL

TheMarketPortfolio

IsthetangentpointwheretheCMLtouchestheMarkowitzefficientfrontier.

Consistsofeveryriskyassets

Theweightsoneachassetareequaltothepercentageofthemarketvalueoftheassettothemarketvalueoftheentiremarketportfolio.

Capitalmarketline

Wheninvestorsshareidenticalexpectationsaboutthemeanreturns,varianceofreturns,andcorrelationsofriskyassets,theCALforallinvestorsisthesameandisknownasthecapitalmarketline(CML):

E(RP

)RF

E(RM)RF

P

M

Themarketportfolio

ExnationoftheCML

InvestmentusingCMLfollowapassiveinvestmentstrategy(i.e.,investinanindexofriskyassetsthatservesasa forthemarketportfolioandallocateaportionoftheirinvestableassetstoarisk- asset.)

Differenc weentheCMLandtheCAL

Unsystematicrisk(orunique,diversifiable,firm-specificrisk):

Theriskthatdisappearsintheportfolioconstructionprocess

Systematicrisk(ormarketrisk):

Theriskthatisleftcannotbediversifiedaway.

Totalrisk=systematicrisk+unsystematicrisk

Riskvs.NumberofportfolioAssets

σ

Totalrisk

Unsystematicrisk

MarketRisk

Systematicrisk

Numberofsecuritiesintheportfolio

SystematicRiskisRelev Portfolios

Oneimportantconclusionofcapitalmarkettheory:

Equilibriumsecurityreturnsdependonastock’soraportfolio’s

systematicrisk,notitstotalriskasmeasuredbystandarddeviation.

Oneoftheassumptionsofthemodel:

Diversificationis ,becauseinvestorswillnotbecompensatedforbearingriskthatcanbeeliminatedatnocost.

Beta:thesensitivityofanasset’sreturntothereturnonthemarketindexinthemarketmodel.Astandardizedmeasureofsystematicrisk.

Covi,mkti 2

(i

)

i,mkt

mkt mkt

Assetcharacteristicline(regressionofassetexcessreturns marketassetreturns)

AssetExcessReturn(Ri-Rf)

AssetCharacteristicLine

BSlopeCovim

i

MarketExcessReturn(Rm-Rf)

Returngeneratingmodels:multifactormodels

Macroeconomicfactors:GDPgrowth,inflation,orconsumerconfidence

Fundamentalfactors:earnings,earningsgrowth,firmsize,andresearchexpenditures

Statisticalfactors

E(Ri)RF

Marketmodel

i,1E(Factor1)i,2E(Factor2)...i,kE(Factork)

Asinglefactormodel

Theonlyfactoristheexpectedexcessreturnonthemarketportfolio(marketindex)

E(Ri)Rf i(E(RM)Rf)

AssumptionsoftheCAPM

Investorsarerisk-averse,utility- izing,rationalindividuals.

Marketsarefrictionless, ludingnotransactioncostsandnotaxes.

Investorsnforthesamesingleholdingperiod.

Investorshavehomogeneou pectationsorbeliefs.

Allinvestmentsareinfini ydivisible.

Invstorsarepricetakers.

CapitalAssetPricingModel

)

Securitymarketline(SML)

)

Marketportfolio

RFR

mkt

Systematicrisk

TheEquationofSML: E(Ri)=Rf+βi[E(RM)-Rf]

Howtojudgeifastockisproperlyvalued

E(R)

Appropria yvalued

undervalued,buy

SML

Overvalued,Sell

Beta,SystematicRisk

DifferencesbetweentheSMLandtheCML

SML

CML

Measureofrisk

Usessystematicrisk(non-diversifiablerisk)

Usesstandarddeviation(totalrisk)

Application

Toolusedtodetermheappropriateexpected(benark)returnsforsecurities

Toolusedtodetermheappropriateassetallocation(percentagesallocatedtotherisk-assetandtothemarketportfolio)fortheinvestor

Definition

Graphofthecapitalassetpricingmodel

Graphoftheefficientfrontier

Slope

Marketriskpremium

MarketportfolioSharperatio

Evaluaterelativeportfolioperformance(risk-adjustedreturns)

Sharperatio=RPRf

P

P2

M

P1

P1 P2

M

TheSharperatioforanyportfolioalongtheCMListhesame.

TheM-squared(M2)measureproducesthesameportfoliorankingsastheSharperatiobutisstatedinpercentageterms.

M(R

M2(R R)

P f

E(R)

R)

M(R R)

M f

Notes:

TheM-squared(M2)measureproducesthesameportfoliorankingsastheSharpratiobutisstatedinpercentageterms.

M2andSRfornotwell-diversified

P

P

P p f

M2

RM M

R

P

P

Rf

P M

Treynormeasure&Jensen’salpha(systematicrisk)

f

Treynormeasure=RPR

P

(RR)(R R)

P P f P M f

E(R)

Slope=treynormeasureforPortfolioP

RP

RM

P

SML

Jensen’salpha

Rf

P

1

Comparisonoffourmeasures

Jensen’salpha和M-squared是可以根据大小来判断投资业绩

wearenotonlyabletodetermherankofaportfoliobutalsowhich,ifany,ofourportfoliosbeatthemarketonarisk-adjustedbasis

Sharperatio和Treynormeasure需要再和其他的组合的指标进行比较

torankportfolios,theSharperatioorTreynorratioofoneportfoliomustbecomparedwiththeSharperatioorTreynorratioofanotherportfolio

Fornon-diversifiedportfolio，SharperatioandM-squaredare

appropriate

Forfullydiversifiedportfolio，JensenAlphaandTreynorareappropriate

Reading

40

PortfolioManagement:AnOverview

Portfolio

Definition:evaluateindividualinvestmentsbytheircontributiontothe

riskandreturnofaninvestor’sportfolio.

Diversificationallowsaninvestortoreduceportfolioriskwithout

necessarilyreducingtheportfolio’ pectedreturn.

Duringperiodsoffinancialcrisis,correlationstendto rease,whichreducesthebenefitsofdiversification.

Thetypesofinvestmentmanagement s

Individualinvestors

DCpensionn:theindividualmakestheinvestmentdecisionsandtakesontheinvestmentrisk.

DBpension n:befundedby contributionsandhaveanobligationtoprovidespecificbenefitstoretirees.

Endowment:afundthatisdedicatedtoprovidingfinancialsupportonanongoingbasisforaspecificpurpose.

Foundation:afundestablishedforcharitablepurposestosupportspecifictypesofactivitiesortofundresearchrelatedtoaparticulardisease.

Bank

Insurance

Investmentcompanies

Mutualfunds

Sovereignwealthfunds:poolsofassetsownedbya ernment.

Characteristicsofdifferenttypesofinvestors

Investor

RiskTolerance

InvestmentHorizon

LiquidityNeeds

eNeeds

Individuals

Dependsonindividual

Dependsonindividual

Dependsonindividual

Dependsonindividual

DBpensions

High

Long

Low

Dependsonage

Banks

Low

Short

High

Payinterest

Endowments

High

Long

Low

Spendinglevel

Insurance

Low

Long—lifeShort—P&C

High

Low

Mutualfunds

Dependsonfund

Dependsonfund

High

Dependsonfund

nningstep:

ysisoftheinvestor’srisktolerance,returnobjectives,timehorizon,taxexposure,liquidityneeds, eneeds,uniquecircumstances;

IPS:detailstheinvestor’sinvestmentobjectivesandconstraints;specifyanobjectivebenark;updatedatleasteveryfewyearsandanytimetheinvestor’sobjectivesorconstraintschangesignificantly.

Executionstep:assetallocation;top-downysis&bottom-up

Feedbackstep:

monitorandrebalancetheportfolio;

Measureportfolioperformance.

Reading

41

RiskManagement:AnIntroduction

Risk

Exposuretouncertainty

Manydecisionmakersfocusonreturn,whichisnotsomethingthatiseasilycontrolled,asopposedtorisk,orexposuretorisk,whi ayactuallybemanagedorcontrolled

Riskexposure

Theextenttowhichanentity’svaluemaybeaffectedthroughsensitivitytounderlyingrisks.

Riskmanagement

Riskmanagementistheprocessbywhichanorganizationorindividualdefinesthelevelofrisktobetaken,measuresthelevelofriskbeingtaken,andadjuststhelattertowardtheformer;withthegoalofizingthe’sorportfolio’svalueortheindividual’soverallsatisfaction,or

utility.

Itiscomprisesallthedecisionsandactionsneededtobestachieveorganizationalor alobjectiveswhilebearingatolerablelevelofrisk.

Notaboutminimizingrisk.

Riskmanagementframework

Risk ernance

Riskidentificationandmeasurement

Riskinfrastructure

Definedpoliciesandprocesses

Riskmonitoring,mitigation,andmanagement

Communications

Strategic ysisorintegration

Risk ernanceisthetop-levelfoundationforriskmanagement, ludingriskoversightandsettingrisktolerancefortheorganization.

Riskidentificationandmeasurementisthetativeandqualitativeassessmentofallpotentialsourcesofriskandtheorganization’sriskexposures.

Riskinfrastructurecomprisestheresourcesandsystemsrequiredtotrackandassesstheorganization’sriskprofile.

Riskpoliciesandprocessesaremanagement’scomplementtorisk ernanceattheoperatinglevel.

Riskmitigationandmanagementistheactivemonitoringandadjustingofriskexposures,integratingalltheotherfactorsoftheriskmanagementframework.

Communication lud skreportingandactivefeedbackloopssothattheriskprocessimprovesdecisionmaking.

Strategicrisk ysisandintegrationinvolvesusingtheserisktoolstorigorouslysortoutthefactorsthatareandarenotaddingvalueaswellas

orporatingthis ysisintothemanagementdecisionprocess,withtheintentofimproving es.

Risk ernance

Risk ernanceisthefoundationforriskmanagement.

Risk ernancereferstoseniormanagement’sdeterminationoftherisktoleranceoftheorganization,theelementsofitsoptimalriskexposurestrategy,andtheframeworkforoversightoftheriskmanagementfunction.

Employingariskmanagementcommittee,alongwithachiefriskofficer(CRO),arehallmarksofastrongrisk ernanceframework.

Riskmanagementcommitteeprovidestopdecisionmakerswithaforumforregularlyconsideringriskmanagementissues.

Risktolerance

Attheernancelevel,thedutyisgenerallynottoselecttheseactivities—ajobthatusuallyfallstomanagement—buttoestablishtheorganization’sriskappetite.

Certainrisksorlevelsofrisksmaybedeemedacceptable,otherrisksdeemedunacceptable,andinthemiddlearerisksthatmaybepursuedinarisk-limitedfashion.

Saiddifferently,risktoleranceidentifiestheextenttowhichtheentityiswillingtoexperiencelossesoropportunitycostsandtofailinmeetingitsobjectives

Whenyzingrisktolerance,managementshouldexaminerisksthatmayexistwithintheorganizationaswellasthosethatmayarisefromoutside.(“inside”viewand“outside”view)

Therisktoleranceshouldbechosenandcommunicatedbeforeacrisis,andwillserveasthehigh-levelguidanceformanagementinitsstrategicselectionofrisks.

Ifahastheabilitytoadaptquicklytoadverseeventsmayallowforahigherrisktolerance.

Riskbudgetingistheprocessofallocatingfirmresourcestoassets(orinvestments)byconsideringtheirvariousriskcharacteristicsandhowtheycomb omeettheorganization’srisktolerance.

Theprocessofriskbudgeting sthefirmtoconsiderrisktradeoffs.

Thegoalistoallocatetheoverallamountofacceptablerisktothemixofassetsorinvestmentsthathavethegreatestexpectedreturnsovertime.(Thereturnperunitofriskisthehighest.)

Theriskbudgetmaybeasinglemetric,suchasportfoliobeta,valueatrisk(VaR),portfolioduration,orreturnsvariance.

Ariskbudgetmaybeconstructedbasedoncategoriesofinvestments,suchasdomesticequities,domesticdebtsecurities,internationalequities,andinternationaldebtsecurities.

Anotherwaytoallocateariskbudgetistoidentifyspecificriskfactors,suchasinterestraterisk,equitymarketrisk,andforeignexchangeraterisk.

Financialrisksrefertotherisksthatarisefromeventsoccurringinthefinancialmarkets.Examplesare:

Marketrisk

Arisesfrommovementsinstockprices,interestrates,exchangerates,andcommodityprices

Creditrisk

Theriskth ounterpartywillnotpayanamountowed

Liquidityrisk

Theriskthat,asaresultofdegradationinmarketconditionsorthelackofmarketparticipants,onewillbeunabletosellanassetwithoutloweringthepricetolessthanthefundamentalvalue

Liquidityriskcouldalsobecalledtransactioncostriskandismostassociatedwithawideningbid-askspread.

Non-financialrisksarisefromactionswithinanentityorfromexternalorigins,suchastheenvironment,thecommunity,regulators,politicians,rs,andcustomers.Examplesare:

Operationalrisk

Thisistheriskthathumanerrororfaultyorganizationalprocesseswillresultinlosses.

Solvencyrisk

Thisistheriskthattheorganizationwillbeunabletocontinuetooperatebecauseithasrunoutofcash.

Regulatoryrisk

Thisistheriskthattheregulatoryenvironmentwillchange,imposingcostsonthefirmorrestrictingitsactivities.

ernmentalorpoliticalrisk(ludingtaxrisk)

Thisistheriskthatpoliticalactionsoutsideaspecificregulatoryframework,suchasreasesintaxrates,willimposesignificantcostsonanorganization.

Legalrisk

Thisistheuncertaintyabouttheorganization’posuretofuturelegalaction.

Modelrisk

Thisistheriskthatassetvaluationsbasedontheorganization’s yticalmodelsare orrect.

Tailrisk

Thisistheriskthatextremeevents(thoseinthetailsofthedistributionofes)aremorelikelythantheorganization’s ysisindicates,

especiallyfrom orrectlyconcludingthatthedistributionof esisnormal.

Accountingrisk

Thisistheriskthattheorganization’saccountingpoliciesandestimatesarejudgedtobe orrect.

Individualsfacemanyofthesameorganizationalrisksoutlinedherebutalsofacehealthrisk,mortalityorlongevityrisk,andpropertyandcasualtyrisk.

In ctionbetweenrisks

Risksarenotnecessarilytbecausemanyrisksariseasaresultofotherrisks;riskin ctionscanbeextremelynon-linearandharmful.

Riskdriversarethefundamentalglobalanddomesticmacroeconomicandindustryfactorsthatcreaterisk.

Metrics

Standarddeviationisameasureofthevolatilityofassetpricesandinterestrates.Standarddeviationmaynotbetheappropriatemeasureofriskfornon-normalprobabilitydistributions,especiallythosewithnegativeskeworpositiveexcesskurtosis(fattails).

Betameasuresthemarketriskofequitysecuritiesandportfoliosofequitysecurities.Thismeasureconsiderstheriskreductionbenefitsofdiversificationandisappropriateforsecuritiesheldinawell-diversifiedportfolio.

Durationismeasureofthepricesensitivityofdebtsecuritiestochangesininterestrates.

Derivativemeasures,suchasdelta,g ,vega,andrho.

Tailmeasuressuchasvalueatrisk(VaR),CVaRandexpectedlossgivendefault(LGD).

VaRistheminimumlossoveraperiodthatwilloccurwithaspecificprobability.

CVaRistheexpectedvalueofloss,giventhatthelos ceedsaminimumamount.(calculatedastheprobability-weightedaveragelossforalllosse pectedtoexceedaminimumamount)

Subjectiveandmarket-basedestimatesofrisk

TwomethodsofriskassessmentthatareusedtosupplementmeasuressuchasVaRandCVaRarestresstestingandscenario ysis.

Stresstestingexaminestheeffectsofaspecific(usuallyextreme)changeinakeyvariablesuchasaninterestrateorexchangerate.

Scenario ysisreferstoasimilarwhat-if ysisofexpectedlossbut orporateschangesinmultipleinputs.

Methodsofriskmodification:

Riskpreventionandavoidance

Notengageintheactivitywiththeuncertain e.

Riskacceptance:self-insuranceanddiversification

Self-insuranceisobtainedbysettingasidesufficientcapitaltocoverlosses.

Anotherformofacceptingrisk,but ngsointhemostefficientmannerpossible,isdiversification.

Risktransfer(insurance)

Risktransferistheprocessofpassingonarisktoanotherparty,often,butnotalways,intheformofaninsurance.

Riskshifting(derivatives)

Whereasrisktransferreferstoactionstakenthatpasstheriskontootherparties,riskshiftingreferstoactionsthatchangethedistributionofrisk es.Riskshiftinggenerallyinvolvesderivativesastheriskmodificationvehicle.

Thedeterminantsofwhi ethodisbestformodifyingriskarethebenefitsweighedthecosts.

Reading

44

BasicofPortfolio nningandConstruction

Theneedforastatement

Understandandarticulaterealisticinvestorgoals,needsandrisktolerance

Ensurethatgoalsarerealistic

Provideanobjectivemeasureofportfolioperformance

MajorcomponentsofIPS

Descriptionof

Statementofthepurpose

Statementofdutiesandresponsibilities

ProcedurestoupdateIPSandtorespondtovariouspossiblesituations

Investmentobjectives

Investmentconstraints

Investmentguidelines

Evaluationofperformance

Appendices:informationonassetallocation

Investmentobjectives:riskandreturn

Riskobjective

Theriskobjectivelimitshowhightheinvestorcansetthereturnobjective

Riskmeasurement:

Absolute:varianceorstandarddeviation

Relative:relateriskrelativetooneormoreben arksperceivedtorepresentappropriateriskstandards(trackingrisk),

Downsiderisk:VAR

Risktolerance:willingnessandability

Situation

Risktolerance

Willingness>Ability

Ability(Education)

Willingness<Ability

ReturnObjective=Willingness

Willingness(Reevaluation)

ReturnObjective=Ability

Ability(Education)

Returnobjectives:absoluteorrelativebasis

Returnmeasurement:totalreturn(balanc weencapitalgainsande),inflation-adjustedreturn(real)

Totalreturn:balanc weencapitalgainsand e

Statedreturndesirevs.Requiredreturn

Consistentwithriskobjective

Investmentconstraints

Liquidity—forcashspendingneeds(anticipatedorunexpected)

Timehorizon—thetim weenmakinganinve