2012年CFA一级考试大纲（官方完整版）2012_LI_combined.pdf

ThereadingsinthisstudysessionpresentaframeworkforethicalconductintheinvestmentprofessionbyfocusingontheCFAInstituteCodeofEthicsandStandardsofProfessionalConductaswellastheGlobalInvestmentPerformanceStandards(GIPS).TheprinciplesandguidancepresentedintheCFAInstituteStandardsofPracticeHandbook(Handbook)formthebasisfortheCFAInstituteself-regulatoryprogramtomaintainthehighestprofessionalstandardsamonginvestmentpractitioners.“Guidance”intheHandbookaddressesthepracticalapplicationoftheCodeofEthicsandStandardsofProfessionalConduct.Theguidanceexpandsuponthepurposeandscopeofeachstandard,presentsrecommendedproceduresforcompliance,andprovidesexamplesofthestandardinpractice.TheGlobalInvestmentPerformanceStandards(GIPS)facilitateefficientcomparisonofinvestmentperformanceacrossinvestmentmanagersandcountrybordersbyprescribingmethodologyandstandardsthatareconsistentwithaclearandhonestpresentationofreturns.Havingaglobalstandardforreportinginvestmentperformanceminimizesthepotentialforambiguousormisleadingpresentations.READINGASSIGNMENTSReading1CodeofEthicsandStandardsofProfessionalConductStandardsofPracticeHandbook,TenthEditionReading2GuidanceforStandardsIVIIStandardsofPracticeHandbook,TenthEditionReading3IntroductiontotheGlobalInvestmentPerformanceStandards(GIPS)Reading4GlobalInvestmentPerformanceStandards(GIPS)STUDYSESSION1ETHICALANDPROFESSIONALSTANDARDS2012LevelICFAProgramCurriculumCFAInstitute.StudySession12012LevelICFAProgramCurriculumCFAInstitute.LEARNINGOUTCOMESReading1:CodeofEthicsandStandardsofProfessionalConductThecandidateshouldbeableto:a.describethestructureoftheCFAInstituteProfessionalConductProgramandtheprocessfortheenforcementoftheCodeandStandards；b.statethesixcomponentsoftheCodeofEthicsandthesevenStandardsofProfessionalConduct；c.explaintheethicalresponsibilitiesrequiredbytheCodeandStandards,includingthemultiplesub-sectionsofeachStandard.Reading2:GuidanceforStandardsIVIIThecandidateshouldbeableto:a.demonstrateandexplaintheapplicationoftheCodeofEthicsandStandardsofProfessionalConducttosituationsinvolvingissuesofprofessionalintegrity；b.distinguishbetweenconductthatconformstotheCodeandStandardsandconductthatviolatestheCodeandStandards；c.recommendpracticesandproceduresdesignedtopreventviolationsoftheCodeofEthicsandStandardsofProfessionalConduct.Reading3:IntroductiontotheGlobalInvestmentPerformanceStandards(GIPS)Thecandidateshouldbeableto:a.explainwhytheGIPSstandardswerecreated,whatpartiestheGIPSstandardsapplyto,andwhoisservedbythestandards；b.explaintheconstructionandpurposeofcompositesinperformancereporting；c.explaintherequirementsforverification.Reading4:GlobalInvestmentPerformanceStandards(GIPS)Thecandidateshouldbeableto:a.describethekeyfeaturesoftheGIPSstandardsandthefundamentalsofcompliance；b.describethescopeoftheGIPSstandardswithrespecttoaninvestmentfirmsdefinitionandhistoricalperformancerecord；c.explainhowtheGIPSstandardsareimplementedincountrieswithexistingstandardsforperformancereportinganddescribetheappropriateresponsewhentheGIPSstandardsandlocalregulationsconflict；d.describetheninemajorsectionsoftheGIPSstandards.Thisintroductorystudysessionpresentsthefundamentalsofsomequantitativetechniquesessentialinfinancialanalysis.ThesetechniquesareusedthroughouttheCFAProgramcurriculum.Thissessionintroducestwomaintoolsofquantitativeanalysis:thetimevalueofmoneyandprobabilityanddescriptivestatistics.Timevalueofmoneytechniquesareusedthroughoutfinancialanalysis.Timevalueofmoneycalculationsarethebasictoolsusedtosupportcorporatefinancedecisionsandtoestimatethefairvalueoffixedincome,equity,andothertypesofsecuritiesorinvestments.Similarly,statisticsandprobabilitytheoryareessentialtoolsfordescribingandestimatingrisk.READINGASSIGNMENTSReading5TheTimeValueofMoneyQuantitativeMethodsforInvestmentAnalysis,SecondEdition,byRichardA.DeFusco,CFA,DennisW.McLeavey,CFA,JeraldE.Pinto,CFA,andDavidE.Runkle,CFAReading6DiscountedCashFlowApplicationsQuantitativeMethodsforInvestmentAnalysis,SecondEdition,byRichardA.DeFusco,CFA,DennisW.McLeavey,CFA,JeraldE.Pinto,CFA,andDavidE.Runkle,CFAReading7StatisticalConceptsandMarketReturnsQuantitativeMethodsforInvestmentAnalysis,SecondEdition,byRichardA.DeFusco,CFA,DennisW.McLeavey,CFA,JeraldE.Pinto,CFA,andDavidE.Runkle,CFAReading8ProbabilityConceptsQuantitativeMethodsforInvestmentAnalysis,SecondEdition,byRichardA.DeFusco,CFA,DennisW.McLeavey,CFA,JeraldE.Pinto,CFA,andDavidE.Runkle,CFASTUDYSESSION2QUANTITATIVEMETHODS:BasicConcepts2012LevelICFAProgramCurriculumCFAInstitute.StudySession22012LevelICFAProgramCurriculumCFAInstitute.LEARNINGOUTCOMESReading5:TheTimeValueofMoneyThecandidateshouldbeableto:erpretinterestratesasrequiredratesofreturn,discountrates,oropportunitycosts；b.explainaninterestrateasthesumofarealrisk-freerate,expectedinflation,andpremiumsthatcompensateinvestorsfordistincttypesofrisk；c.calculateandinterprettheeffectiveannualrate,giventhestatedannualinterestrateandthefrequencyofcompounding；d.solvetimevalueofmoneyproblemsfordifferentfrequenciesofcompounding；e.calculateandinterpretthefuturevalue(FV)andpresentvalue(PV)ofasinglesumofmoney,anordinaryannuity,anannuitydue,aperpetuity(PVonly),andaseriesofunequalcashflows；f.demonstratetheuseofatimelineinmodelingandsolvingtimevalueofmoneyproblems.Reading6:DiscountedCashFlowApplicationsThecandidateshouldbeableto:a.calculateandinterpretthenetpresentvalue(NPV)andtheinternalrateofreturn(IRR)ofaninvestment；b.contrasttheNPVruletotheIRRrule,andidentifyproblemsassociatedwiththeIRRrule；c.calculateandinterpretaholdingperiodreturn(totalreturn)；d.calculate,interpret,anddistinguishbetweenthemoney-weightedandtime-weightedratesofreturnofaportfolio,andevaluatetheperformanceofportfoliosbasedonthesemeasures；e.calculateandinterpretthebankdiscountyield,holdingperiodyield,effectiveannualyield,andmoneymarketyieldforaU.S.Treasurybill；f.convertamongholdingperiodyields,moneymarketyields,effectiveannualyields,andbondequivalentyields.Reading7:StatisticalConceptsandMarketReturnsThecandidateshouldbeableto:a.distinguishbetweendescriptivestatisticsandinferentialstatistics,betweenapopulationandasample,andamongthetypesofmeasurementscales；b.defineaparameter,asamplestatistic,andafrequencydistribution；c.calculateandinterpretrelativefrequenciesandcumulativerelativefrequencies,givenafrequencydistribution；d.describethepropertiesofadatasetpresentedasahistogramorafrequencypolygon；e.calculateandinterpretmeasuresofcentraltendency,includingthepopulationmean,samplemean,arithmeticmean,weightedaverageormean(includingaportfolioreturnviewedasaweightedmean),geometricmean,harmonicmean,median,andmode；f.calculateandinterpretquartiles,quintiles,deciles,andpercentiles；StudySession2g.calculateandinterpret1)arangeandameanabsolutedeviationand2)thevarianceandstandarddeviationofapopulationandofasample；h.calculateandinterprettheproportionofobservationsfallingwithinaspecifiednumberofstandarddeviationsofthemeanusingChebyshevsinequality；i.calculateandinterpretthecoefficientofvariationandtheSharperatio；j.explainskewnessandthemeaningofapositivelyornegativelyskewedreturndistribution；k.describetherelativelocationsofthemean,median,andmodeforaunimodal,nonsymmetricaldistribution；l.explainmeasuresofsampleskewnessandkurtosis；m.explaintheuseofarithmeticandgeometricmeanswhenanalyzinginvestmentreturns.Reading8:ProbabilityConceptsThecandidateshouldbeableto:a.definearandomvariable,anoutcome,anevent,mutuallyexclusiveevents,andexhaustiveevents；b.explainthetwodefiningpropertiesofprobabilityanddistinguishamongempirical,subjective,andaprioriprobabilities；c.statetheprobabilityofaneventintermsofoddsforandagainsttheevent；d.distinguishbetweenunconditionalandconditionalprobabilities；e.explainthemultiplication,addition,andtotalprobabilityrules；f.calculateandinterpret1)thejointprobabilityoftwoevents,2)theprobabilitythatatleastoneoftwoeventswilloccur,giventheprobabilityofeachandthejointprobabilityofthetwoevents,and3)ajointprobabilityofanynumberofindependentevents；g.distinguishbetweendependentandindependentevents；h.calculateandinterpretanunconditionalprobabilityusingthetotalprobabilityrule；i.explaintheuseofconditionalexpectationininvestmentapplications；j.explaintheuseofatreediagramtorepresentaninvestmentproblem；k.calculateandinterpretcovarianceandcorrelation；l.calculateandinterprettheexpectedvalue,variance,andstandarddeviationofarandomvariableandofreturnsonaportfolio；m.calculateandinterpretcovariancegivenajointprobabilityfunction；n.calculateandinterpretanupdatedprobabilityusingBayesformula；o.identifythemostappropriatemethodtosolveaparticularcountingproblem,andsolvecountingproblemsusingthefactorial,combination,andpermutationnotations.2012LevelICFAProgramCurriculumCFAInstitute.Thisstudysessionintroducessomeofthediscreteandcontinuousprobabilitydistributionsmostcommonlyusedtodescribethebehaviorofrandomvariables.Probabilitytheoryandcalculationsarewidelyappliedinfinance,forexample,inthefieldofinvestmentandprojectvaluationandinfinancialriskmanagement.Furthermore,thissessionexplainshowtoestimatedifferentparameters(e.g.,meanandstandarddeviation)ofapopulationifonlyasample,ratherthanthewholepopulation,canbeobserved.Hypothesistestingisacloselyrelatedtopic.Thissessionpresentsthetechniquesthatcanbeappliedtoacceptorrejectanassumedhypothesis(nullhypothesis)aboutvariousparametersofapopulation.Thelastreadingintroducesthefundamentalsoftechnicalanalysisandillustrateshowitisusedtoanalyzesecuritiesandsecuritiesmarkets.READINGASSIGNMENTSReading9CommonProbabilityDistributionsQuantitativeMethodsforInvestmentAnalysis,SecondEdition,byRichardA.DeFusco,CFA,DennisW.McLeavey,CFA,JeraldE.Pinto,CFA,andDavidE.Runkle,CFAReading10SamplingandEstimationQuantitativeMethodsforInvestmentAnalysis,SecondEdition,byRichardA.DeFusco,CFA,DennisW.McLeavey,CFA,JeraldE.Pinto,CFA,andDavidE.Runkle,CFAReading11HypothesisTestingQuantitativeMethodsforInvestmentAnalysis,SecondEdition,byRichardA.DeFusco,CFA,DennisW.McLeavey,CFA,JeraldE.Pinto,CFA,andDavidE.Runkle,CFAReading12TechnicalAnalysisbyBarryM.Sine,CFAandRobertA.Strong,CFASTUDYSESSION3QUANTITATIVEMETHODS:Application2012LevelICFAProgramCurriculumCFAInstitute.StudySession32012LevelICFAProgramCurriculumCFAInstitute.LEARNINGOUTCOMESReading9:CommonProbabilityDistributionsThecandidateshouldbeableto:a.defineaprobabilitydistributionanddistinguishbetweendiscreteandcontinuousrandomvariablesandtheirprobabilityfunctions；b.describethesetofpossibleoutcomesofaspecifieddiscreterandomvariable；erpretacumulativedistributionfunction；d.calculateandinterpretprobabilitiesforarandomvariable,givenitscumulativedistributionfunction；e.defineadiscreteuniformrandomvariable,aBernoullirandomvariable,andabinomialrandomvariable；f.calculateandinterpretprobabilitiesgiventhediscreteuniformandthebinomialdistributionfunctions；g.constructabinomialtreetodescribestockpricemovement；h.calculateandinterprettrackingerror；i.definethecontinuousuniformdistributionandcalculateandinterpretprobabilities,givenacontinuousuniformdistribution；j.explainthekeypropertiesofthenormaldistribution；k.distinguishbetweenaunivariateandamultivariatedistribution,andexplaintheroleofcorrelationinthemultivariatenormaldistribution；l.determinetheprobabilitythatanormallydistributedrandomvariableliesinsideagiveninterval；m.definethestandardnormaldistribution,explainhowtostandardizearandomvariable,andcalculateandinterpretprobabilitiesusingthestandardnormaldistribution；n.defineshortfallrisk,calculatethesafety-firstratio,andselectanoptimalportfoliousingRoyssafety-firstcriterion；o.explaintherelationshipbetweennormalandlognormaldistributionsandwhythelognormaldistributionisusedtomodelassetprices；p.distinguishbetweendiscretelyandcontinuouslycompoundedratesofreturn,andcalculateandinterpretacontinuouslycompoundedrateofreturn,givenaspecificholdingperiodreturn；q.explainMonteCarlosimulationanddescribeitsmajorapplicationsandlimitations；pareMonteCarlosimulationandhistoricalsimulation.Reading10:SamplingandEstimationThecandidateshouldbeableto:a.definesimplerandomsamplingandasamplingdistribution；b.explainsamplingerror；c.distinguishbetweensimplerandomandstratifiedrandomsampling；d.distinguishbetweentime-seriesandcross-sectionaldata；e.explainthecentrallimittheoremanditsimportance；f.calculateandinterpretthestandarderrorofthesamplemean；StudySession3g.identifyanddescribedesirablepropertiesofanestimator；h.distinguishbetweenapointestimateandaconfidenceintervalestimateofapopulationparameter；i.describethepropertiesofStudentst-distributionandcalculateandinterpretitsdegreesoffreedom；j.calculateandinterpretaconfidenceintervalforapopulationmean,givenanormaldistributionwith1)aknownpopulationvariance,2)anunknownpopulationvariance,or3)anunknownvarianceandalargesamplesize；k.describetheissuesregardingselectionoftheappropriatesamplesize,data-miningbias,sampleselectionbias,survivorshipbias,look-aheadbias,andtime-periodbias.Reading11:HypothesisTestingThecandidateshouldbeableto:a.defineahypothesis,describethestepsofhypothesistesting,describeandinterpretthechoiceofthenullandalternativehypotheses,anddistinguishbetweenone-tailedandtwo-tailedtestsofhypotheses；b.explainateststatistic,TypeIandTypeIIerrors,asignificancelevel,andhowsignificancelevelsareusedinhypothesistesting；c.explainadecisionrule,thepowerofatest,andtherelationbetweenconfidenceintervalsandhypothesistests；d.distinguishbetweenastatisticalresultandaneconomicallymeaningfulresult；e.explainandinterpretthep-valueasitrelatestohypothesistesting；f.identifytheappropriateteststatisticandinterprettheresultsforahypothesistestconcerningthepopulationmeanofbothlargeandsmallsampleswhenthepopulationisnormallyorapproximatelydistributedandthevari