CFA一级强化班-权益-另类-衍生-标准版

CFA一级培训项目

⑥TopicWeightingsinCFALevelI

SessionNO.ContentWeightings!

StudySession1EthicalandProfessionalStandards15-20

StudySession2-3QuantitativeMethods8-12

StudySession4-5Economics8-12

StudySession6-9FinancialReportingandAnalysis13-17

StudySession10-11CorporateFinance8-12

StudySession12-13EquityInvestments10-12

StudySession14-15FixedIncome10-12

StudySession16Derivatives5-8

StudySession17AlternativeInvestments5-8

StudySession18-19PortfolioManagement5-8

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@FrameworkSS12EquityInvestment(1)

•R36MarketOrganizationand

Structure

EquityInvestments

、、•R37SecurityMarketIndexes

I

•R38MarketEfficiency

SS13EquityInvestment(2)

•R39OverviewofEquity

Securities

•R40IntroductiontoIndustry

andCompanyAnalysis

•R41EquityValuation:

ConceptsandBasicTools

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、1.MainFunctionsoftheFinancialMarket

Framework2-IntermediariesofFinancialMarket

3.Wellfunctionedfinancialmarket

4.Classificationofassets

5.Classificationofmarkets

Primaryvs.Secondarymarkets

Moneyvs.Capitalmarkets

Traditionalvs.Alternativemarkets

6.Positionsinanasset

7.Instructionsoftransactionprocesses

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♦Intermediariesoffinancialmarket

FinancialintermediariesTheservicesthattheyprovide

Brokers,dealers,and

Helpwiththetradeofsecurities.

exchanges

Managetheprocessofbuyingassets,placingthemina

Securitizerspool,thensellingsecuritiesthatrepresentownershipofthe

pool.Thisprocessiscalledsecuritization.

Absorbdepositsbypayinginterestoncustomerdeposits.

DepositoryinstitutionsProvidetransactionservicesononehand,andthenmake

loanswiththedepositsontheotherhand.

Createinsurancecontracts(policies)thatprovidea

paymentintheeventthatsomelossoccurs;

InsurancecompaniesThebuyersbenefitbecausetheycaneasilyobtaintherisk

transfers;

Moralhazard;adverseselection;fraud.

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♦Intermediariesoffinancialmarket

FinancialintermediariesTheservicesthattheyprovide

Seektogaincertainreturnwithoutbearinganyrisk;

ArbitrageursBuyandsellidenticaloressentiallysimilarinstrumentsat

differentpricesindifferentmarkets.

Clearinghouses:arrangeforfinalsettlementoftradesto

limitthecounterpartyrisk;

Clearinghousesand

Custodians:holdsecuritiesonbehalfoftheirclientsto

custodians

preventthelossofsecuritiesthroughfraud,oversight,or

naturaldisaster.

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♦WellFunctionedFinancialMarket

,Awellfunctionedfinancialmarket:

•Allowstraderstosolvefinancingandriskmanagementproblems.

>Characteristicsofawellfunctionedfinancialmarket

•Completemarkets:saversreceiveareturn,borrowerscanobtain

capital,hedgerscanmanagerisks,andtraderscanacquireneeded

assets.

•Operationalefficiency:amarkethasrelativelylowtransactioncosts.

•Informationalefficiency:amarketinwhichassetpricesreflectnew

informationquicklyandrationally.

•Allocationalefficiency:amarketpromotestheallocationofresources

totheirhighestvalueuses.

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♦Classificationofmarkets

Classificationofmarkets

/Primarymarket:theplaceforfirmstopubliclyrise

PrimaryVScapital.IPO(initialpublicofferings),Seasoned

Secondarymarketsofferings(secondaryissues)

/Secondarymarket

/Moneymarkets:themarketforshort-termdebt

instruments(one-yearmaturityorless).

MoneyVSCapital

/Capitalmarkets:financialmarketsthattrade

markets

securitiesoflongerduration,suchasbondsand

equities.

/Traditionalinvestmentmarkets:marketsfor

TraditionalVStraditionalinvestments,includeallpubliclytraded

Alternativemarketsdebtsandequities.

/Alternativemarkets:marketforinvestmentsother

thantraditionalsecuritiesinvestments.

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♦Classificationofmarkets

>Howsecuritiesaresoldthroughprimarymarket

Securitytransactionmethods

/Underwrittenoffering(themostcommonway);

/Bestefforts;

Soldpublicly

/Indicationsofinterest.

/Bookbuilding.

Soldprivately/Privateplacement.

/Shelfregistration;

Othertransaction

/Dividendreinvestmentplan;

methods

/Rightsoffering.

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♦Classificationofmarkets

>Howsecuritiesaresoldthroughprimarymarket-soldpublicly

•Differencebetweenunderwrittenofferingandbestefforts.

UnderwrittenofferingBestefforts

GuaranteesthesaleoftheissueNotobligatedtobuytheunsoldportion

Investmentbankshavestrongincentives

tochoosealowpricethatbankscanInvestmentbankgenerallyaresupposed

allocatevaluablesharestobenefittheirtoselecttheofferingpricethatwillraise

clientsandtherebyindirectlybenefitthethemostmoney.

banks.

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♦Classificationofmarkets

HowsecuritiesaretradedinSecondaryMarkets

/Order-drivenmarketsarrangetradesusingrulestomatchbuy

orderstosellorders

•Pricepriority:thehighestpricedbuyordersandthelowest

Order-driven

pricedsellordersgofirst;

market

•Secondaryprecedencerule:usetimeprecedencetorank

ordersatthesameprice.Thefirstordertoarrivehas

precedenceoverotherorders.

/Adealermarket,aprice-drivenmarketoranover-the-counter

marketprovideliquidityforinvestorsbybuyingandselling

Quote-driventhesharesofstockforthemselves;

market/Numerousdealerscompeteagainsteachothertoprovidethe

highestbidprices(lowestaskingprice)wheninvestorsare

selling(buying).

/Brokersarrangetradesamongtheirclients.Tradingassetsare

Brokeredsomethinginfrequentlytradedandexpensivetocarryin

marketsinventory,includingverylargeblocksofstock,realestate

properties,fineartmasterpieces.

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♦Classificationofmarkets

>Secondarycapitalmarkets

•Howsecuritiesaretradedinsecondarymarkets

CallMarketsContinuousMarkets

AtspecifictimesAtanytimewhenmarketisopen

Allbidsandasksaregathered

andthenanegotiatedpriceisThepriceisdeterminedeitherby

producedtomakethedemandanauctionprocessorthrougha

quantityascloseaspossibletodealerbid-askprocess.

thesupplyquantity.

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♦Positionsinanasset

>Longposition

•Peoplehavelongpositionswhentheyov/nassetsorcontracts;

•Benefitformanincreaseintheprice.

>Shortposition

•Peoplehaveshortpositionswhentheyhavesoldassetsthattheydonot

own,orwhentheywriteandsellcontracts.

•Forashort-sale,theprocedureisasbelow

/Borrowsecuritiesfromsecuritylenderswhoarelongholders.Then

selltheborrowedsecuritiestoothertraders;

/Closetheirpositionsbyrepurchasingthesecuritiesandreturning

themtothesecuritylenders;

/Maintaintheproceedsofshort-salesascollateral.

•Benefitfromadecreaseintheprice.

•Thepotentialgainsonashortpositionarelimitedtonomorethan100

percentwhereasthepotentiallossesareunbounded.

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♦Positionsinanasset

>Leveragedpositions

•Definition:tradersbuysecuritiesbyborrowingsomeofthepurchase

price.

•Buyonmargin:traderscanbuysecuritiesbyborrowingsomeofthe

purchaseprice.Theyusuallyborrowthemoneyfromtheirbrokers.

/Theborrowedmoneyiscalledthemarginloan;

/Andtheyaresaidtobuyonmargin.

•Theinterestratethatthebuyerspayfortheirmarginloaniscalledthe

callmoneyrate.

•Leverageratio=l/margin

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♦Positionsinanasset

>Leveragedpositions

•Marginrequirement:therequiredequitypositioniscalledthemargin

requirement.

/Initialmargin:aminimumamountofequityatthetimeofanew

marginpurchase;

/Maintenancemarginistheinvestor'srequiredequitypositionin

theaccount;

/Margincall:ifaninvestor'smarginaccountbalancefallsbelowthe

maintenancemargin,thebuyerwillreceiveamargincallandwill

berequiredtoeitherliquidatethepositionorbringtheaccount

backtoitsmaintenance(minimum)marginrequirement.

/Margincallpriceforaleverageposition.

，1・IM'

P=Po

LJ

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♦Instructionsoftransactionprocesses

Compareexecution,validity,and

Comparemarketorderswithlimitorders

clearinginstructions

/Themostcommonorders

•Marketorders;

•Limitorder.

Executioninstructions:that/Instructionsconcernthevolumeofthetrade

specifyhowtotrade•All-or-nothingorders.

/Instructionsconcernthevisibilityofthetrade

•Hiddenorders;

•Icebergorders.

/Dayorders;

/Good-till-cancelledorders(GTC);

Validityinstructions:/Immediateorcancelorders;

/Good-on-closeorders;

thatspecifywhentheordercanbe/Good-on-openorders;

filled/Stoporders(Emphasismomentumeffect)

•stop-sellorder;

•stop-buyorder.

Clearinginstructions:Usuallynotattachedtoanorder.

thatspecifyhowtosettlethetrade

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♦Instructionsoftransactionprocesses

,Thehighestbidinthemarketisthebestbid,andthelowestaskinthe

marketisthebestoffer

•Makethemarket:Abuy/sellorderplacedatthebestbid/offer;

•Takethemarket:Thosewhotradewiththepeoplewhoplacedorderat

postedpricesaresaidtotakethemarket;

•Behindthemarket:Abuyorderplacedbelowthebestbidorasellorder

placedabovethebestoffer;

•Farfromthemarket:Abehindthemarketorderwhosepriceisfarfrom

theirbestask/offer;

•Marketable/aggressivelypriced:Abuyorderwithalimitedpriceabove

thebestaskorasellorderwithalimitedpricebelowthebestbid.

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♦Instructionsoftransactionprocesses

OrderPrices

BidsOffers(Asks)

Theleastaggressivelypricedsellordersarefar

fromthemarket.

Ihescsellordersarcbehindthemarket.Wealsosay

thattheyarccmayfrontthemarket.

Thebestofferisatthemarket.

ThebestbidandThespacebetweenthecurrentbestbidandofferis

bestoftermakeinsidethemarket.Itanewlimitorderarriveshere,itmakes

themarket.anewmarket.

26Thebesthidisatthemarket.

25

24Thesebuyorderswebehindthemarket.Wcalsosaythatthey

23areawayfromthemarket.

22

21I'heleastaggressivelypricedbuyordersarefarfromthe

market

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SecurityMarketIndices

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1.DefinitionsaboutMarketIndexes

Framework2-Howanindexisconstructed

3.UsesofSecurity-MarketIndexes

A4.Weightingschemesforstockindexes

Price-WeightedIndex

Equal-WeightedIndex

MarketCapitalization-WeightedIndex

AFloat-AdjustedMarketCapitalization-

WeightedIndex

Fundamentalweighting

5.RebalancingandReconstitution

6.Otherinvestmentindexes

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♦Introductionofsecuritymarketindex

Asecuritymarketindex:isusedtorepresenttheperformanceofanasset

class,securitymarket,orsegmentofamarket.

Apriceindexreflectsonlythepricesoftheconstituent

securitieswithintheindex;

Priceindex

Apricereturnmeasuresonlypriceappreciationorpercentage

changeinprice.

Atotareturnindexreflectsnotonlythepricesofthe

constituentsecuritiesbutalsothereinvestmentofallincome

Returnindexreceivedsinceinception;

Totalreturnmeasurespriceappreciationplusinterest,dividends,

andotherdistributions.

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♦Methodsofindexconstruction

Weightingschemesforstockindexes

.......sumofstockprices

Price-weightedindex

numberofstocksinindexadjustedforsplits

Arithmeticmean:x,isthereturn口eachstock

...yXj

changeinaverageindexvalue=——

Equal-weightedindex

Geometricmean:x尸1+hpnn

changeinaverageindexvalue=^/x1x2**«xn-l

Marketcapitalization-currenttotalmarketvalueofindexstocksA....

yuhAaCoOcyear11IUCAvalue

weightedindexbaseyeartotalmarketvalueofindexstocks

Theweightoneachconstituentsecurityisdeterminedby

Afloat-adjustedmarket

adjustingitsmarketcapitalizationforthenumberofshares

capitalization-weighted

oftheconstituentsecuritythatareavailabletothe

index

investingpublic.

Weightingbyusingmeasuresofacompany'ssizethatare

Fundamentalweightingindependentofitssecuritypricetodeterminetheweight

oneachconstituentsecurity.(E.G.bookvalue,revenue,etc.)

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♦Characteristicsofequityindexes

Alternativeinvestment

EquityindexesFixedincomeindexes

indexes

•Broadmarketindex•Severalissueswiththe•Commodityindexes

•Multi-marketindexconstructionoffixed•Realestateindexes

•Multi-marketindexwithincomeindexes•Hedgefundindexes

fundamentalweightingJLargeuniverseof

•Sectorindexsecurities

•Styleindex/Dealermarketsand

infrequenttrading

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♦Rebalancingandreconstitution

,RebalancingandReconstitution

•Rebalancing

/Tomaintaintheweightofeachsecurityconsistentwiththeindex's

weightingmethod,theindexproviderrebalancestheindexby

adjustingtheweightsoftheconstituentsecuritiesonaregularly

scheduledbasis,usuallyquarterly.

•Reconstitution

/Reconstitutionistheprocessofchangingtheconstituentsecurities

inanindex;

/Constituentsecuritiesthatnolongermeetthecriteriaarereplaced

withsecuritiesthatdomeetthecriteria.

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MarketEfficiency

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1.WhatisEfficientCapitalMarket

Framework2.Factorsaffectthedegreeofmarket

efficiency

3.Threeformsofmarketefficiency

•Theweak-formEMH

•Thesenii-strongformEMH

•Thestrong-formEMH

4.Tests,ImplicationsandConclusionsof

EMH

5.MarketAnomalies

6.BehaviorFinance

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♦Threeformsofmarketefficiency

>Threeformsofmarketefficiency:

Weak-FormSemi-StrongStrong-Form

____________

MarketinfoPublicinfoAllinfoavailable

Price

Volume

TypesAssumptionImplication

Weak-formEMHMarketinfo.TechnicalanalysisX

Semistrong-formTechnicalanalysisX

Publicinfo.

EMHFundamentalanalysisX

TechnicalanalysisX

Strong-formEMHAllinfo.FundamentalanalysisX

NobodycanwinthemarketX

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♦Tests,implicationsandconclusionsofEMH

Calendaranomalies

Anomaliesintime-seriesdata

Momentumanomalies

Sizeeffect

Anomaliesincross-sectionaldata

Valueeffect

Closed-endinvestmentfunds

Earningsannouncements

OtheridentifiedanomaliesInitialpublicofferings

Economicfundamentals

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♦Behavioralfinance

Behavioralbiasesthathavebeenidentifiedinclude

Lossaversionreferstothetendencyofpeopletodislikelosses

Lossaversion

morethantheylikecomparablegains.

Overconfidencebiasexplainsthatinvestorsoranalystsare

Overconfidenceoverconfidentintheirearningforecastswhichresultinthe

overestimationofgrowth,goodnews.

Investorsassumegoodcompaniesorgoodmarketsaregood

Representativeness

investments.

Gambler'sfallacyRecentresultsaffectinvestorestimatesoffutureprobabilities.

Investorsclassifydifferentinvestmentsintoseparatemental

Mentalaccounting

accountsinsteadofviewingthemasatotalportfolio.

ConservatismInvestorsreactslowlytochanges.

Investorsarewillingtorealizegainsbutunwillingtorealize

Dispositioneffect

losses.

NarrowframingInvestorsvieweventsinisolation.

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OverviewofEquitySecurities

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1.ClassificationofPublicEquitySecurities

Framework2.PrivateEquitySecurities