三级CFA考试SS11,SS12复习笔记.pdf

金程教育2011年6月CFA三级基础班讲义金程教育2011年6月CFA三级基础班讲义 SS11 Equity Portfolio Management 讲师 洪波 CFA 日期 2011年3月 地点 上海 北京 深圳 讲师 洪波 CFA 日期 2011年3月 地点 上海 北京 深圳 上海金程国际金融专修学院上海金程国际金融专修学院上海金程国际金融专修学院上海金程国际金融专修学院 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2 2 9494 Topic in CFA Level III PERFORMANCE EVALUATION AND ATTRIBUTIONSS 17 PRIVATE WEALTH MANAGEMENTSS 4 PORTFOLIO MANAGEMENT FOR INSTITUTIONAL INVESTORSSS 5 CAPITAL MARKET EXPECTATIONS IN PORTFOLIO MANAGEMENTSS 6 ECONOMIC CONCEPTS FOR ASSET VALUATION IN PORTFOLIO MANAGEMENT SS 7 GLOBAL INVESTMENT PERFORMANCE STANDARDS EXECUTION OF PORTFOLIO DECISIONS MONITORING AND REBALANCING RISK MANAGEMENT APPLICATIONS OF DERIVATIVES RISK MANAGEMENT ALTERNATIVE INVESTMENTS FOR PORTFOLIO MANAGEMENT EQUITY PORTFOLIO MANAGEMENT PORTFOLIO MANAGEMENT OF GLOBAL BONDS AND FIXED INCOME DERIVATIVES MANAGEMENT OF PASSIVE AND ACTIVE FIXED INCOME PORTFOLIOS ASSET ALLOCATION BEHAVIORAL FINANCE ETHICS b discuss the rationales for passive active and semiactive enhanced index equity investment approaches and distinguish among those approaches with respect to expected active return and tracking risk c recommend an equity investment approach when given an investor s investment policy statement and beliefs concerning market efficiency d distinguish among the predominant weighting schemes used in the construction of major equity share indices and evaluate the biases of each e compare and contrast alternative methods for establishing passive exposure to an equity market including indexed separate or pooled accounts index mutual funds exchange traded funds equity index futures and equity total return swaps f compare and contrast full replication stratified sampling and optimization as approaches to constructing an indexed portfolio and recommend an approach when given a description of the investment vehicle and the index to be tracked g explain and justify the use of equity investment style classifications and discuss the difficulties in applying style definitions consistently h explain the rationales and primary concerns of value investors and growth investors and discuss the key risks of each investment style 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 6 6 9494 LOS i compare and contrast techniques for identifying investment styles and characterize the style of an investor when given a description of the investor s security selection method details on the investor s security holdings or the results of a returns based style analysis j compare and contrast the methodologies used to construct equity style indices k interpret the results of an equity style box analysis and discuss the consequences of style drift l explain the use of stock screens based on socially responsible investing criteria and discuss their potential effect on a portfolio s style characteristics m compare and contrast long short versus long only investment strategies including their risks and potential alphas and explain why greater pricing inefficiency may exist on the short side of the market n explain how a market neutral portfolio can be equitized to gain equity market exposure and compare and contrast equitized market neutral portfolios with short extension portfolios o compare and contrast the sell disciplines of active investors p contrast derivatives based versus stock based enhanced indexing strategies and justify enhanced indexing on the basis of risk control and the information ratio q discuss and justify in a risk return framework the optimal portfolio allocations to a group of investment managers 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 7 7 9494 LOS r explain the core satellite approach to portfolio construction and discuss the advantages and disadvantages of adding a completeness fund to control overall risk exposures s distinguish among the components of total active return true active return and misfit active return and their associated risk measures and explain their relevance for evaluating a portfolio of managers t explain alpha and beta separation as an approach to active management and demonstrate the use of portable alpha u review the process of identifying selecting and contracting with equity managers including the development of a universe of suitable candidates based on both qualitative and quantitative factors the composition of equity manager questionnaires and the analysis of fee structures v contrast the top down and bottom up approaches to equity research 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 8 8 9494 The role of the equity portfolio Equities are a substantial portion of the investment universe and US equity typically constitutes about half of the world equities In the US institutional investors hold about 60 of their portfolio in equities In Europe the percentage is closer to 20 In US and other countries it indicates that equities have been a good inflation hedge There are some important qualifiers however First because corporate income and capital gains tax rates are not indexed to inflation inflation can reduce the stock investor s return unless this effect was priced into the stock when the investor bought it Second the ability of an individual stock to hedge inflation will depend on its industry and competitive position The greater the competition the less likely the firm will be able to pass inflation on to its consumers and its stock will be a less effective hedge Examined the historical record in 17 countries from 1900 2005 equities have had consistently positive real returns Equities have also had higher real returns than bonds in all 17 countries LOS 32 a 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 9 9 9494 Approaches to equity investment There are 3 types of approaches to manage equity portfolios Passive management Dominant approach is indexing It acts as the core holding in an investor s overall equity allocation Active management By identifying the stocks will perform comparatively well vs the benchmark and Avoiding the stocks will underperform the benchmark Semi active management enhanced index Seeks to outperform the benchmark Worries more about the tracking risk than an active manager Tend to build a portfolio whose performance will have very limited volatility around the benchmark s returns LOS 32 b 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1010 9494 Approaches to equity investment LOS 32 b The comparison of active return and tracking risk among 3 approaches Information ratio expected active return tracking risk IR passive active semiactive Passive ManagementSemiactive ManagementActive Management LowExpected Active ReturnHigh LowTracking RiskHigh 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1111 9494 Approaches to equity investment 3 types of approaches vs beliefs concerning market efficiency 3 types of approaches vs IPS factors Between Extract information not embedded in stock prices In doing that with limited tracking risks Inefficient market Research will lead to outperform the market net of all costs Market is efficient Research will not provide sufficient return to cover cost Semi activeActivePassive LOS 32 c More probably efficient passive Large cap Although more mispricing high transaction cost for activeSmall cap Lack of information passive okInternational market Low turnover fewer capital gains recognizedTax others Approach Factors 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1212 9494 equity index This chapter discuss Equity indices Weighting approaches Composition and characteristics Vehicles Indexed portfolio Equity index futures and Equity total return swaps 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1313 9494 Equity index weighting schemes Weighting schemes for stock indices There are 3 weighting choices Price weighted Value weighted and Equal weighted Price weighted Each stock in the index is weighted according to its absolute share price The divisor of a price weighted index is adjusted for stock splits and changes in the composition of the index The performance of index represents the performance of a portfolio that simply bought and held one share of each index component It is biased towards the highest priced share LOS 32 d 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1414 9494 Equity index weighting schemes Value weighted Each stock is weighted according to its market cap The performance of a portfolio that owns all the outstanding shares of each index component Float weighted Involves adjustment of market cap weights for each issue s floating supply of shares the shares outstanding that are actually available to investors Gold benchmark It is biased towards the shares with the largest market capitalizations large and mature companies or overvalued companies A value weighted index may be Concentrated on relatively few issues and Less diversified LOS 32 d 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1515 9494 Equity index weighting schemes Equal weighted Each stock in the index is weighted equally The performance of a portfolio in which the same amount of money is invested in the shares of each index component Must be rebalanced periodically which results in higher transaction costs It is biased towards small companies LOS 32 d 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1616 9494 Passive equity investing Passive investment vehicles The major passive investment vehicles are Index portfolio Conventional index mutual funds ETF Separate accounts or pooled accounts Long position in cash long position in future contracts Long position in cash long position in a swap on the index LOS 32 d 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1717 9494 Passive equity investing ETF an supplementary introduction general ETF通常由基金管理公司管理 基金资产为一篮子股票组合 组合中的股票 种类与某一特定指数 如上证 组合中的股票 种类与某一特定指数 如上证50指数 包含的成份股票相同 股票数量比例 与该指数的成份股构成比例一致 指数 包含的成份股票相同 股票数量比例 与该指数的成份股构成比例一致 例如 上证50指数包含中国联通 浦发银 行等50只股票 上证50指数ETF的投资组合也应该包含中国联通 浦发银行 等50只股票 且投资比例同指数样本中各只股票的权重对应一致 其中中国 联通占上证50指数的比重约为8 5 中国石化占上证50指数的比重约为4 7 等等 投资人只需花费100元购买1手上证50指数ETF 便如同同时投资了50 只股票 其中约投资中国联通8 5元 中国石化4 7元等等 以此类推 因此 买入上证买入上证50指数指数ETF等于买入了一个报酬率涵盖等于买入了一个报酬率涵盖50只股票而风险分散的投资 组合 只股票而风险分散的投资 组合 由于ETF的股票比例构成完全复制对应的指数 因此产品设计人将将ETF的单位 净值定为其标的指数的某一百分比 的单位 净值定为其标的指数的某一百分比 这样投资者通过观察指数的变化就能直 观了解投资ETF的损益 例如 上证50ETF的基金份额净值设计为上证50指数的千分之一 因此当上 证指数为1000点时 对于上证50ETF的基金净值为1元 当上证50指数为1500 点时 则对于基金净值为1 5元 也就是说上证50指数每上涨或下跌10点 对 于基金净值的变动为0 01元 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1818 9494 Passive equity investing ETF an supplementary introduction subscription the manager may have to hold excess cash to provide liquidity for all the pooled funds LOS 32 e Passive equity investing 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2121 9494 Approaches to construct an index portfolio There are 3 approaches to construct 1 Full replication 2 Stratified sampling and 3 Optimization 1 Full replication the stocks in the index are purchased It is more appropriate for smaller indices when the index stocks are liquid and when the manager has more funds to invest The advantage low tracking risk and the portfolio only needs to be rebalanced when the index stocks change or pay dividends If the replication is based on value weighted index it will be self rebalanced LOS 32 f Construction of index portfolio 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2222 9494 2 Stratified sampling the manager chooses stocks to match the index using two or more dimensions i e industry size PE etc The greater the number of dimensions and the finer the divisions the more closely the portfolio will resemble the index Picks a few representative stocks within each matrix cell Stratified sampling is more appropriate when the number of stocks in the index is large or the stocks are illiquid Can be used to mimic the performance of concentrated position within an index without taking the actual concentrated positions LOS 32 f Construction of index portfolio 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2323 9494 3 Optimization It uses a factor model to match the factor exposures of the index It accounts for the covariances between the risk factors but the risk sensitivities may change through time It may also provide misleading results and lead to frequent rebalancing An optimization approach however leads to lower tracking risk than stratified sampling The drawbacks Models may be imperfect to specify the risk factors It seeks to exploit risk differences which may be just sampling errors As a result the predicted track risk will typically understate the actual tracking risk LOS 32 f Construction of index portfolio 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2424 9494 This chapter discuss Equity styles Value Growth Market oriented Techniques to identify the styles Return based analysis Holding based analysis Socially responsible investing Long short investing Sell disciplines trading Equity style 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2525 9494 Equity styles it can be classified as 1 value 2 growth 3 market oriented The differentiation between styles is not always clear however because the classification of value or growth can change depending on whether one is looking forward or backward LOS 32 g Equity style 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2626 9494 1 Value investment style Value investors focus on low price multiple stocks because they believe that earnings will revert upward or that these stocks are safer than expensive growth stocks A value investor must realize that there may be a good reason why the stock is priced so cheaply and have an understanding of how and when the stock might recover The main risk for value investors is that the perceived undervaluation will not be corrected within the investor s investment time horizon The sub styles are Low P E or P B Contrarian 反向投资 High yield LOS 32 h Equity style 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2727 9494 2 Growth investment style Growth investors focus on stocks with high expected earnings growth The risk for growth investors is that earnings growth does not materialize and the price multiple falls Sub styles are Consistent growth Earning momentum less sustainable 3 Market oriented investment style Market oriented investors have portfolios that resemble a broad market average over time and may switch between value and growth A market oriented investor must outperform a broad market index or investors will use lower cost indexing strategies Sub styles are Market oriented with a value bias Market oriented with a growth bias Growth at a reasonable price Style rotators Equity style LOS 32 h 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2828 9494 Styles from size dimension Small cap investors favor smaller firms because of their higher growth potential their smaller stock price base they have less coverage Mid cap investors believe that these stocks have less coverage than large cap stocks but are less risky than small cap stocks Large cap investors attempt to add value using analysis of larger less risky companies Equity style LOS 32 h 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2929 9494 Techniques for identifying investment styles Return based style analysis the security indices used should be mutually exclusive exhaustive and represent distinct uncorrelated sources of risk The coefficient of determination in returns based style analysis measures the style fit A series of regressions can be used to check the style consistency of a manager An error term in the regression represents selection return selection return is the excess surplus return earned by selecting superior investments and trading accordingly Its advantage is a low cost quick and consistent method of characterizing an entire portfolio Its disadvantages are that it may lead to misleading results if mis specified and it may detect style changes slowly Equity style LOS 32 i 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 3030 9494 Equity style Techniques for identifying investment styles Return based style analysis Example Where Rp return on portfolio SCG return on small cap growth index LCG return on large cap growth index SCV return on small cap value index LCV return on large cap value index Output b1 0 b2 0 b3 0 15 b4 0 85 LOS 32 i eLCVbSCVbLCGbSCGbbRp 43210 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 3131 9494 Equity style Techniques for identifying investment styles Holding based style analysis It evaluates portfolio characteristics using the following attributes The advantage is that it can characterize individual securities and will detect style changes more quickly than returns based style analysis Its disadvantage is that it subjectively classifies securities requires more data and is not consistent with how most managers invest LOS 32 i Similar to value Larger weight in IT health care sector Larger weight in finance and utilities sector industry sector weights GreaterEarnings variability Above average increasing earning growth Low dividend pay out ratio Lower than growth oriented Forecast EPS growth rate High price multiples Low dividend yield Growth oriented Close to market average Low price multiples High dividend yield valuation levels Market orientedValue orientedAttributes 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism