2012 特许金融分析师 三级2012_LIII_final_index 考试大纲.pdf

i-1 index a abb, v4: 291, 295 abs. see asset-backed securities (abs) absolute priority rule (apr) chapter 7 bankruptcy, v4: 337n116 for reorganization plans, v5: 110111 absolute return. see total return absolute risk. see risk; total risk absolute risk allocation, portfolio total risk, v6: 233 absolute-return vehicles, v5: 68 accf. see american council for capital formation (accf) account information, loyalty, prudence, and care, v1: 67 account reviews amc, v1: 285 compliance procedures, v1: 24 establishing systematic, v1: 75 fair dealing, v1: 75 accountability, benchmark validity property, v6: 138 accounting for defined benefit pension plan risk, v2: 512515 gips standards, v6: 280281 for value mismatch and risk, v2: 512515 accounting manipulations, in corporate governance, v4: 295296 accounting risk defined, v5: 226 derivative contracts, v5: 226227 managing, v5: 227 as nonfinancial risk, v5: 218 accounting standards international, v3: 383 as investment barrier, v4: 388389 accreting swaps, v5: 156 accrual accounting, gips standards, v6: 280, 281 accrual equivalent returns calculation of, v2: 251 tax rates, v2: 251253 accrual equivalent tax rates, calculation of, v2: 252 accrual taxes, on interest and dividends, v2: 239241 accrued benefits, in pensions, v2: 489 accumulated benefit obligations (abos), pension plans, v2: 399 accumulation phase of life, investors, v2: 166 accumulation stage, explained, v2: 350 acquiring entities, neutral gains in corporate takeovers, v4: 333334 acquisitions. see mergers and acquisitions; mergers and acquisitions (m msci all country world (acwi) index ex-u.s. ad valorem fees, equity portfolio managers, v4: 263, 269270 additional compensation arrangements (spc iv.b) application of the standard, v1: 100101 case study, v1: 232234 code of ethics application, v1: 216217 compliance procedures, v1: 99100 explained, v1: 1617, 99101, 216217 guidance, v1: 99 text of standard, v1: 1617, 99 administrative fees, gips standards for reporting, v6: 320 adrs. see american depositary receipts (adrs); american depository receipts (adrs) adventurer bb real estate investments/markets; specific types of investments in asset allocation, v3: 241242, 249250, 299n62 bias in global performance appraisal, v6: 234 characteristics of, v5: 7, v6: 36 classification of, v5: 8 common features of, v5: 7 core-satellite investing, v5: 13 emerging markets, v3: 377 grouping of, v5: 79 introduction, v5: 67 low-return environment, v5: 9 manager selection, v5: 1012 performance appraisal biases, v6: 235n12 perspective on, v5: 1214 primary investors, v5: 910 selection criteria, v5: 1112 smoothed data cases, v3: 1517 strategy matrix, v5: 314 summary, v5: 113114 taxation issues, v5: 11 alternative investments management association, guidelines for evaluating hedge fund managers, v5: 8283 altmannyu salomon center defaulted public bond and bank loan index, as distressed securities benchmark, v5: 103 a.m. best, v2: 440 a, v4: 293 ambiguity of benchmark lack of, benchmark validity property, v6: 138 micro attribution analysis, v6: 165n27 amc. see asset manager code of professional conduct (amc) american council for capital formation (accf), investment account survey, v2: 253 american depository receipts (adrs) capital market liberalization, v4: 392 diversification benefits from emerging equity markets, v4: 401 emerging markets, issuing, v4: 417 firm-level price effects of, v4: 396 as firm-specific investment liberalization, v4: 406 in market integration measurements, v4: 388, 390 stock trading, v4: 397398 transaction costs, v3: 374 american express, v2: 398, v4: 317 american stock exchange (amex) qubes, v5: 397n3 reits trading, v5: 16 stock ownership patterns, v4: 322 american swaptions. see also swaptions defined, v5: 512 swap termination with, v5: 518 american-style options, hedging, v2: 343 ameriks, john, v2: 124, 357, 367 amex. see american stock exchange (amex) amortizing swaps, v5: 156 analyst bias, types of, v3: 1920 analyst traps, types of, v3: 2223 analytical method. see also value at risk (var) monte carlo simulation vs., v5: 243244 role of, v5: 233238, 240 anchoring and adjustment bias. see cognitive errors anchoring trap, v3: 22 angel investors, v5: 32. see also investors anginer, deniz, v2: 149 animal spirits, as cause of currency crises, v4: 410 annual report on exchange arrangements and exchange restrictions (areaer) capital account restriction measurements, v4: 407 financial/capital market openness, v4: 391 annual returns fiscal year choice, v6: 314n35 presenting, v6: 314n35 annual review, in asset allocation, v3: 226 annualized returns, portfolio performance measurement, v6: 135 annuities, longevity risk and payout, v2: 387390 anomalies. see behavioral finance anson, mark, v2: 342, 342n8 antidirector rights index, shareholder protection, international comparisons, v4: 339340 antitakeover laws explained, v4: 328, 328n91 wage rate increases, v4: 291n4 antitrust statutes, lenient enforcement and corporate takeovers, v4: 333 ao approach. see asset-only (ao) approach aol time warner, v4: 294 apple computers, venture capital success of, v5: 40 applicable law global application of the code and standards, v1: 2223 information on, providing, v1: 25 investment products, v1: 19, 2324 relationship between code and standards, v1: 19, 2021 appraisal, performance, v6: 123. see also performance appraisal appraisal data. see smoothed data appraiser, real estate valuation, gips standards for, v6: 323 appreciation of commodities, v5: 180181 currency risk, v5: 303 of options, v5: 305 appreciation returns, gips standards for real estate, v6: 323 appropriateness, benchmark validity property, v6: 138, 144 apr. see absolute priority rule (apr) apria healthcare, v4: 293n13 arbitrage. see also merger arbitrage arbitrage-free pricing, v5: 248 box spread exploitation, v5: 430 cash-and-carry commodities, v5: 181182 formula for, v5: 185 in reverse, v5: 177179, 182 by commodity trading advisors (ctas), v5: 96 contract risk issues, v5: 225 convertible, v5: 62, 63, 70, 71 creating equity out of cash, v5: 355 defined, v5: 61 derivatives, v5: 292. see also derivatives distressed securities, v5: 106 electricity pricing, v5: 175176 event driven, v5: 63 factor correlations, v5: 71 fixed-income, v5: 62, 70, 71, 72 hedging strategy comparison of, v5: 71, 72 interest rate parity, v5: 301 international diversification, v3: 377 long-term capital management (ltcm) crisis, v5: 257 nonstorability effects, v5: 175 opportunities for, v5: 76, 334, 334n1, 431 performance evaluation, v5: 70, 72 pricing commodity forwards, v5: 174, 176180 i-2 index 000200010270652582_pan_index.qxp 5/27/11 5:47 pm page 2 profit making, v5: 488, 500 regulatory risk issues, v5: 225 relative value, v5: 63 storage effects, v5: 192 strategy matrix, v5: 314 taxation issues, v5: 226 types of, v5: 6263 using structured notes, v5: 490 arbitrage-free market, v5: 334n1 arbitrageurs, as trader type, v6: 35 arch models or methodology. see autoregressive conditional heteroskedasticity (arch) time series models; generalized autoregressive conditional heteroskedastic (garch) methodology areaer. see annual report on exchange arrangements and exchange restrictions (areaer) argent capital management (case study), v1: 225227 argentina bond market in 19th century, v4: 418 bonds issued in, v3: 242 economic history of, v3: 200, 201202 economic indicators for, v3: 86 equity market liberalization and political risk, v4: 400401 exchange rate mechanism, v3: 78 extreme return movements, v4: 413 financial crisis in, v3: 80 investment accounts, v2: 253 market capitalization around liberalizations, v4: 391 market integration in, v3: 46 state-owned economic enterprises, v4: 423 taxes on interest income, v2: 234 arithmetic mean compounding effects, v3: 232233 equity risk premium calculation of, v3: 26n21 historical data, v3: 41, 42 geometric mean vs., v3: 2526 sample estimators, v3: 25 “the arithmetic of active management” (sharpe), v4: 203 arthur andersen (accounting firm), v4: 295 ascend communications, v4: 301n39 ascendancy, for bric economies, v3: 205206 asean. see association of south east asian nations (asean) asia. see also europe, australasia, and far east (eafe); europe, australasia, and far east (eafe) index; specific countries credit market swap spreads, v4: 77 currency pegging in, v3: 77 currency risk in, v3: 382 debt market and credit-defense trades, v4: 72 deflation in, v3: 60 economic growth in, v3: 73, 80, 206 emerging market debt, v4: 139 financial crisis, v3: 60, 76, 77, 88, v5: 13n12 infrastructure investment, v5: 15 management entrenchment strategies, v4: 292 mexican currency crisis, v4: 412 savings and investment in, v3: 204 state-owned economic enterprises, v4: 423 stock ownership patterns, v4: 321 tfp growth in, v3: 193 asian contagion (19971998) bankruptcy, v4: 416 buy-and-hold investment strategies, v4: 7576 capital flow volatility, v4: 398 channels of contagion, v4: 412 corporate ownership structure, effect of, v4: 416 credit market bullet structures, v4: 81 emerging market debt, v4: 139 equity market returns during, v4: 412 equity return volatilities, v4: 414 explained, v4: 410 models based on, v4: 411 sector rotation, global credit market, v4: 85 volatility of consumption growth, v4: 409 asian flu. see asian contagion (1997-1998) asian tigers emerging market benchmarks, v4: 378 member countries, v4: 378n10 asiapacific region. see also specific countries economic indicators for, v3: 8586 stock market growth in, v3: 348349 ask price defined, v6: 10 quote-driven markets, v6: 10 ask size defined, v6: 10 quote-driven markets, v6: 1011 asset allocation. see also asset classes; strategic asset allocation; tactical asset allocation (taa) after-tax, v2: 255256 approaches to. see asset/liability management (alm) approach; asset-only (ao) approach by banks, v5: 509 behavioral influences on, v3: 237240 bond futures, v5: 365368, 369371 changing, v5: 506, 507510 closely held companies, v5: 12 with commodities, v5: 47 concepts, v2: 192200 cross-sectional return variation, v3: 227 currency exposure risk, v5: 319 disciplined savings, v2: 390391 evaluation equation for, v3: 233234, 233n14 experienced-based, v3: 289291 expression of, in pretax terms, v2: 260n16 funds of funds (fofs), v5: 81 with futures adjusting, v5: 364371 overview, v5: 364 pre-investments, v5: 371374 global asset allocator hedge funds, v5: 63 global performance evaluation, v6: 212215 hedge fund indices, v5: 71, 73, 78 as a “horse race,” v3: 224225 human capital. see also human capital (hc) case studies, v2: 364371 life insurance and, v2: 371381 portfolio diversification, v2: 360361 importance of, v3: 226228 for individuals. see individual investors for institutions. see institutional investing and investors introduction, v3: 222 leibowitzbova approach vs., v5: 13n15 liability concerns, v3: 231 life insurance and decisions, v2: 372 low return environment, v5: 9 with managed futures, v5: 98n129, 99 managing, v5: 384385 in modern portfolio theory, v2: 352353 modified duration effects, v5: 365, 370 monte carlo simulation, v2: 201204, v3: 278280 overview, v5: 291292 payout annuities, v2: 390391 portfolio rebalancing, v6: 86, 9294 private equity investment example, v5: 4243 real estate investments example, v5: 2527 index interpretation, v5: 19 return distributions, v5: 25 role of, v5: 21 regret avoidance, v3: 238 relative-value methodologies, v4: 8486 reviewing, v3: 247249 risk and return objectives ao vs. alm approaches, v3: 228230 overview, v3: 228 in strategic asset allocation, v3: 230237 roys safety-first criterion in, v3: 235236 steps in, v3: 246249, 247n28 stock index futures, v5: 365366, 368371 summary, v2: 205206, v3: 324326 tactical. see tactical asset allocation (taa) asset and liability sensitivities, setting, v2: 494498 asset categories benchmarks, as concept, v6: 136 macro attribution analysis, v6: 154156 portfolio performance benchmarks, v6: 140 asset classes. see also asset allocation; specific assets correlations of, v3: 13 corridor setting, v6: 9293 currencies as, v5: 320 i-3 index 000200010270652582_pan_index.qxp 5/27/11 5:47 pm page 3 defined, v3: 240 futures in allocating to adjusting, v5: 364371 analyzing, v5: 365371 bond, v5: 365368 pre-investing, v5: 371374 stock, v5: 368371 stock vs. bond, v5: 364, 365366 swaps in adjusting, v5: 507510 gips composite definition, v6: 300 inflation/deflation effects, v3: 62, 63 in insurance company portfolios, v3: 312313 portfolio rebalancing, v6: 86 returns on cash and equivalents, v3: 9193 common shares, v3: 9599 currencies, v3: 102103 defaultable debt, v3: 94 default-free bonds, v3: 9394 emerging market bonds, v3: 9495 exchange rates, v3: 102, 103106 government intervention, v3: 106107 inflation-indexed bonds, v3: 95 introduction, v3: 9091 real estate, v3: 100102 selecting alternative assets in, v3: 245246 criteria for, v3: 240243 international assets in, v3: 243245 uk example, v3: 100102 asset covariance matrix, v3: 30 asset integration, in psychological profiling, v2: 168 asset location, in private wealth management, v2: 259262 asset manager code of professional conduct (amc) acknowlegement of claim of compliance, v1: 268 adoption of, v1: 9, 267 best execution, v1: 277 duties a. loyalty to clients, v1: 268, 271272 b. investment process and actions, v1: 268269, 272275, 283 c. trading, v1: 269, 275277 d. risk management, compliance, and support, v1: 267268, 269270, 271, 277281 e. performance and valuation, v1: 270, 281282 f. disclosures, v1: 270271, 282285 general principles of conduct, v1: 268 ethics and ethical leadership, v1: 13, 266 explained, v1: 265267 recommendations and guidance compliance and support, v1: 277281 disclosures, v1: 282285 investment process and actions, v1: 272275 loyalty to clients, v1: 271272 performance and valuation, v1: 281282 risk management, v1: 277281 trading, v1: 275277 asset managers, developing capital market expectations, v3: 8 asset marketability risk, life insurance, v2: 442443 asset pricing, in psychological profiling, v2: 168 asset protection in trusts, v2: 309310 asset returns correlation analysis, v3: 376 currency returns correlation, v3: 292 data collection, v3: 10 defined, v3: 283 surplus variance, v3: 287n49 asset risk attributes, portfolio monitoring, v6: 80 asset segregation, in behavioral finance, v2: 169 asset swappers, credit market investments, v4: 81 asset swaps, v5: 149. see also swaps credit market investments, v4: 81 asset valuation, input data, gips standards, v6: 280 asset-backed securities (abs), in credit asset class, v4: 62 asset-based models, in equity market valuation, v3: 167169 asset/liability management (alm) explained, v2: 412 fixed-income portfolios, v4: 30, 115, 121 importance of, v2: 401402 life insurance company, v2: 439 asset/liability management (alm) approach. see also meanvariance surplus optimization ao approach vs., v3: 228230, 280281, 303 for banks, v3: 314 behavioral finance effects, v3: 237 characteristics, v3: 303 explained, v3: 228229 for insurance companies, v3: 311 liability concerns, v3: 231 monte carlo simulation, v3: 230n11, 287289 role of, v3: 280282 asset/liability risk management committee (alco), banks, v2: 458459 asset-only (ao) approach. see also blacklitterman (bl) model; meanvariance approach alm approach vs., v3: 228230, 303 in asset allocation reviews, v3: 247 explained, v3: 229 liability concerns, v3: 231 asset-only portfolios, pension plans, v2: 486 asset-pricing sources, portfolio valuation and gips standards, v6: 282 asset-pricing theory, predictions of, v3: 53 assets benchmark hedge ratio, v5: 315316. see also asset classes bequeathing, v2: 285 fixed-income portfolios, convexity, v4: 3738 price and market integration, v4: 388 valuating with tobins q, v3: 167169. see also asset classes assets under management (aum) buyout funds vs. venture capital funds, v5: 34 credit suisse/tremont hedge fund index, v5: 66 distressed securities market, v5: 103 fees for defined, v5: 64 distressed securities, v5: 102 hedge funds, v5: 67, 68 msci indices, v5: 66 fund size effects on, v5: 81 hedge funds, v5: 63, 73 managed futures, v5: 93 assets under management fees. see ad valorem fees association for investment management and research (aimr), v6: 269270 history of, v1: 200n4 association for investment management and research performance presentation standards (aimr-pps), v6: 269 association of charitable foundations, research on foundations, v2: 420n11 association of south east asian nations (asean), free trade effects, v3: 372 assumed investment return (air), v2: 390 assurity of completion, of market trades, v6: 9, 21 assurity of the contract, market transparency, v6: 21 asynchronism, v3: 18n9 at europe, australasia, and far east (eafe) index bonds issued in, v3: 242 capital gains taxes, v2: 243, 247n5 i-4 index 000200010270652582_pan_index.qxp 5/27/11 5:47 pm page 4 currency risk management, v5: 292, 310, 312313, 318 deemed disposition, v2: 307 economic indicators for, v3: 84, 85, 86 equity risk premium in, v3: 41, 42 eusd system, v2: 321 exit taxes, v2: 316 hedged investment positions, v4: 134 inflation-adjusted returns for, v3: 26 market integration in, v3: 46 pension plan assets in, v3: 302, 303304 pension plan regulation, v2: 408 property council of australia index, v5: 17 real estate investment, v5: 21, 25 real gdp growth rates in, v3: 34 reits, v5: 15 shareholder protection, v4: 341 taxable gifts, v2: 299 tax-advantaged savings accounts, v2: 253 taxation effects on international diversification, v3: 374 trading behavior, v2: 262n18 wealth-based taxes, v2: 245 austria capital gains taxes, v2: 234 economic indicators for, v3: 85 authorized investors, in emerging markets, v3: 384 automated auctions, order-driven markets, v6: 17 automated trading algorithmic, v6: 4146 classificatio