2012 CFA level2 考试内容总结 PPT.pdf

1 Ethical and Professional Standards Study Session 1 2 Weighting 10 2 Overview of Level II Ethics Code of Ethics Standards of Professional Conduct CFA Institute Research Objectivity Standards Study Session 1 Ethics Cases Glenarm Company Preston Partners Super Selection Other topics Fair dealing gain dominant position in an asset to manipulate price of the asset or a related derivative Do not distribute false misleading information Leading Global Wealth Management Practice 3 7 Standards of Professional Conduct Standard III Duties to Clients III A Loyalty Prudence and Care Act with reasonable care and exercise prudent judgment Act for benefit of clients and place their interests before employer s or own interests Determine and comply with any applicable fiduciary duty III B Fair Dealing Deal fairly objectively with all clients when Providing investment analysis Making investment recommendations Taking investment action Engaging in other professional activities Guidance Take investment actions in client s best interests Exercise prudence care skill and diligence Follow applicable fiduciary duty Manage pools of client assets according to terms of governing documents Make investment decisions in context of total portfolio Vote proxies responsibly and disclose proxy voting policies to clients Soft dollars must benefit client Guidance Different levels of service okay as long as disclosed and does not disadvantage any clients Investment recommendations all clients must have fair chance to act on every recommendation Investment actions treat all clients fairly consider investment objectives circumstances 8 Standards of Professional Conduct Standard III Duties to Clients III C Suitability Know client s risk and return objectives and financial constraints Update information regularly Make investment recommendations or take investment actions that are consistent with the stated objectives and constraints Look at suitability in a portfolio context III D Performance Presentation When communicating investment performance information ensure that information is fair accurate and complete Guidance When in advisory relationship gather client information at the outset and prepare IPS Update IPS at least annually Consider whether leverage derivatives is suitable for client If managing a fund to an index or other mandate invest according to mandate Guidance Do not misstate performance or mislead clients about investment performance Do not state or imply ability to achieve returns similar to those achieved in the past Leading Global Wealth Management Practice 4 9 Standards of Professional Conduct Standard III Duties to Clients III E Preservation of Confidentiality Keep current and prospective client information confidential unless Illegal activities are suspected Disclosure is required by law Client or prospect allows disclosure of the information Guidance In some cases it may be required by law to report activities to relevant authorities This Standard extends to former clients Exception May provide confidential information to CFA Institute for an investigation under Professional Conduct Program 10 Standards of Professional Conduct Standard IV Duties to Employers IV A Loyalty Must act for the benefit of their employer Guidance Loyalty Independent practice If planning to engage in independent practice notify employer of services provided expected duration and compensation Do not proceed without consent from employer Loyalty Leaving an employer If seeking new employment act in best interest of employer until resignation is effective Do not take records or files without permission Simple knowledge of names of former clients is OK No prohibition on use of experience or knowledge gained at former employer Loyalty Whistleblowing Permitted only if it protects client or integrity of capital markets Not permitted for personal gain Leading Global Wealth Management Practice 5 11 Standards of Professional Conduct Standard IV Duties to Employers IV C Responsibilities of Supervisors Must make reasonable efforts to detect and prevent violations IV B Additional Compensation Arrangements Do not accept gifts benefits compensation consideration that competes with or creates a conflict of interest with employer s interest unless written consent is obtain from all parties involved Guidance Compensation and benefits covers direct compensation by the client and other benefits received from third parties For written consent from all parties involved email is acceptable Guidance Supervisors must take steps to prevent employees from violating laws rules regulations or the Code and Standards Supervisors must make reasonable efforts to detect violations 12 Standards of Professional Conduct Standard V Investment Analysis Recommendations and Actions V A Diligence and Reasonable Basis Exercise diligence independence and thoroughness Have a reasonable and adequate basis supported by appropriate research for any investment analysis recommendation or action V B Communication with Clients and Prospective Clients Disclose the basic format and general principles of investment processes and promptly disclose any changes that might affect those processes materially Identify important factors and include them in communications with clients prospective clients Distinguish between fact and opinion in the presentation of investment analysis and recommendations Guidance Make reasonable efforts to cover all relevant issues when arriving at an investment recommendation Determine soundness when using secondary or third party research Group research and decision making As long as there is reasonable basis for opinion member does not necessarily have to agree with the opinion Guidance Distinguish between facts and opinions Include basic characteristics of the security Inform clients of any change in investment processes Suitability of investment portfolio context All communication covered not just reports Leading Global Wealth Management Practice 6 13 Standards of Professional Conduct Standard V Investment Analysis Recommendations and Actions V C Record Retention Develop and maintain appropriate records to support their investment analysis recommendations actions and other investment related communications Guidance Maintain records to support research and the rationale for conclusions and actions Records are firm s property and cannot be taken when member leaves without firm s consent If no regulatory requirement CFA Institute recommends retention period of 7 years 14 Standards of Professional Conduct Standard VI Conflicts of Interest VI A Disclosure of Conflicts Must make full and fair disclosure to clients prospects or employer of all matters that could reasonably be expected to impair their independence and objectivity or interfere with respective duties Guidance Disclose to clients All matters that could impair objectivity allow clients to judge motives biases For example between member or firm and issuer investment banking relations broker dealer market making activities significant stock ownership board service Disclose to employers Conflicts of interest ownership of stock analyzed recommended board participation financial and other pressures that may influence decisions Also covers conflicts that could be damaging to employer s business Leading Global Wealth Management Practice 7 15 Standards of Professional Conduct Standard VI Conflicts of Interest VI C Referral Fees Must disclose to employer clients and prospective clients VI B Priority of Transactions Investment transactions for clients and employers must have priority over investment transactions in which a Member or Candidate is the beneficial owner Guidance Beneficial owner has direct indirect personal interest in the securities Client employer transactions take priority over personal transactions including beneficial ownership Family member accounts that are client accounts must be treated as other client accounts Guidance Disclosure allows clients and employers to evaluate full cost of service and any potential biases Disclosure is to be made prior to entering into any formal agreement for services Disclose the nature of the consideration 16 Standards of Professional Conduct Standard VII Responsibilities as a CFA Institute Member or CFA Candidate VII A Conduct as Members and Candidates in the CFA Program Must not engage in any conduct that compromises the reputation or integrity of CFA Institute or the CFA designation or the integrity validity or security of the CFA examinations Guidance Conduct includes Cheating on the exam Disregarding rules and policies or security measures related to exam administration Giving confidential information to candidates or public Improper use of CFA designation to further personal and professional objectives Misrepresenting the CFA Institute Professional Development Program or the Professional Conduct Statement Leading Global Wealth Management Practice 8 17 Standards of Professional Conduct Standard VII Responsibilities as a CFA Institute Member or CFA Candidate VII B Reference to CFA Institute the CFA Designation and the CFA Program Must not misrepresent or exaggerate the meaning or implications of membership in CFA Institute holding the CFA designation or candidacy in the CFA program Guidance CFA Institute membership Complete PCS annually Pay membership dues annually Using the CFA designation Don t misrepresent or exaggerate the meaning of holding the CFA designation Reference to the CFA program May reference participation but no partial designation OK to say passed all levels on first attempt but do not imply superior ability Improper use of the CFA marks The Chartered Financial Analyst and CFA marks must always be used either after a charterholder s name or as adjectives not as nouns Failure to comply with results in an inactive member status 18 Definitions I General III Selection of brokers Soft Dollar Standards II Relationship with clients VI Disclosure IV Evaluation of research CFA Institute Soft Dollar Standards VII Record keeping Appendix Permissible research guidance V Client directed brokerage General Principles Leading Global Wealth Management Practice 9 19 Relationship with clients Disclose involvement in soft dollar OK to use brokerage from agency trades to obtain research client should receive some benefit OK to use client brokerage obtained from principal trades to benefit other client accounts as long as disclosed Selection of brokers Consider trade execution capabilities CFA Institute Soft Dollar Standards General Soft dollar practices must benefit client whose interests always come first Allocation of client brokerage must not be based on amount of client referrals investment manager receives from broker Two fundamental principles Client property Duty to minimize transaction costs obtain best execution uses a sinking fund factor to calculate the cap rate as a WACC figure depends on comparable property data Built up Method Useful when comparables not available Property Analysis and Appraisal 11 0 0 0 NOINOI MV rgR Where R market capitalization rate 0 NOI R ME MV 0 R BOI mtg weight mtg cost equity weight equity cost 0 R BU pure rate liquidity premium recapture premium risk premium Limitations of Direct Income Capitalisation Selecting the correct cap rate may be difficult due to lack of available market data or low quality data Approach is limited to income generating properties not owner occupied properties with non monetary benefits Properties that provide little or no income or benefits cannot use this method 174 Value Creation Reengineer firm Obtain lower cost financing Goal alignment Exit Routes IPO Secondary Market MBO Liquidation VC v Buyout Characteristics Cash flow Product Asset base Management team entrepreneurial record Leverage Risk assessment Exit strategy Operations Capital required in growth phase Returns Activity in public capital markets Future funding Carried interest Private Equity Risks Liquidity Competition Agency Capital Regulatory Tax Valuation Diversification Market Structure and Terms Structure LP Terms Management fees Carried interest Ratchet Hurdle Rate Target fund size Vintage Valuation Due Diligence Costs TransactionPlacement fee Fund set upPerformance fee AdministrativeManagement fee Audit Leading Global Wealth Management Practice 87 175 Private Equity Control Mechanisms in PE Transactions Compensation S X ve Out of the moneyS X ve S X ve At the moneyS X 0 S X 0 Moneyness Strike exercise price X Underlying price S expiration European American Intrinsic value Time value Intrinsic value Call Max S X 0 Put Max X S 0 Time value Premium minus Intrinsic value 208 Caps floors collars Collar long collar long cap short floor zero cost if cap premium floor premium Cap series of interest rate caplets calls with identical strikes equally spaced expiries bought by borrower Floor series of interest rate floorlets puts with identical strikes equally spaced expiries bought by lender Leading Global Wealth Management Practice 104 209 Put call parity Synthetics c0 p0 S0 X 1 r T synthetic call long put long underlying short bond p0 c0 S0 X 1 r T synthetic put long call short underlying long bond S0 c0 p0 X 1 r T synthetic underlying long call short put long bond X 1 r T p0 c0 S0 synthetic bond long put short call long underlying Arbitrage If Put call parity doesn t hold then any of the equations below tells you how to get a profit e g if c0 p0 S0 X 1 r Tthen sell call and buy synthetic call buy put U L sell bond borrow for options on futures c0 X f0 T 1 r T p0 Cost of fiduciary call long call Zero Coupon Bond c0 X 1 r T must equal cost of protective put long put stock p0 S0 210 Option pricing models Discrete time underlying asset is assumed to move only at discrete points in time Continuous time underlying asset can move at any point in time e g Binomial e g Black Scholes Merton limit of discrete time model as period length 0 Leading Global Wealth Management Practice 105 211 Binomial option pricing Symbols S stock price at start of period S upper potential end of period stock price S u S lower potential end of period stock price S d if d is not given then assume d 1 u c call value at expiry if stock rises Max 0 S X c call value at expiry if stock falls Max 0 S X r risk free rate per period Hedge ratio delta a risk free portfolio requires n units of stock per call where n hedge ratio SS cc Option value for no arbitrage call price at start of a period where r1 c 1 c c du dr1 Valuing American options At each point substitute intrinsic value if larger than roll back value Given call value can estimate put from put call parity 212 2 period Binomial example 1 Stock price 100 Each period stock either rises 25 or falls 20 so u 1 25 d 0 8 European call option expires at end of two periods strike 97 5 Risk free rate 7 per period Stock 100 Call Stock 125 Stock 80 either or Stock 156 25 Call 58 75 Stock 100 Call 2 50 either or Stock 64 Call 0 either or A B C Leading Global Wealth Management Practice 106 213 2 period Binomial example 2 At all three points because r u and d are the same each period 6 0 8 025 1 8 007 01 du dr1 Point B i e at end of first period assuming stock price rose 33 88 1 07 2 5 6 0 175 58 0 6 r1 c 1 c cB Point C i e at end of first period assuming stock price fell 1 40 1 07 0 6 0 15 2 0 6 r1 c 1 c cC Point A now using cBas c and cC as c 19 52 1 07 1 40 6 0 188 33 60 r1 c 1 c c CB A 214 Valuing interest rate options Valuing an option on a bond work backwards to value the bond at each point in the tree value option on bond using conventional binomial approach Valuing a cap or a floor use rates in tree to evaluate payoff for each caplet floorlet use rates in tree to discount p weighted payoffs back to a PV interest rates in tree will be provided and assume p 0 5 Binomial Model 2 L 1U 1 eii Leading Global Wealth Management Practice 107 215 Black Scholes Merton model Assumptions of BSM Underlying asset price follows a geometric lognormal diffusion process Risk free rate and volatility of asset known and constant over option life No cash flows e g dividends on the underlying No transaction costs or taxes European style options N dXe N dSc 2 Tr 10 c T T 2 rln d 2c X S 1 0 T dd 12 As per binomial given call value can estimate put from put call parity 216 Extensions of BSM N dXe N deSc 2 Tr 1 T 0 c BSM Model with dividends T T 2 rln d 2c X eS 1 T 0 XN d T N dfec 210 Trc Black s model options on futures T T 2 ln d 2 X T f 1 0 Application to interest rate options replace f0 T with forward interest rate from the date of expiration of option to end of period of underlying interest rate in the option T dd 12 Leading Global Wealth Management Practice 108 217 The Greeks PositivePositiveVegaVolatility Interest rate Passage of time Underlying price Factor NegativePositiveRho NegativeNegativeTheta NegativePositiveDelta Relationship between change in factor and change in premium PutCall Factor sensitivity priceasset ueoption val expiry to time ueoption val rateinterest ueoption val y volatilitprice ueoption val priceasset Delta Gamma Estimating volatility Historical std devn of past log returns Implied by pricing model current premium 218 Delta hedging 0 2 4 6 8 10 12 14 16 12 14 16 18 20 22 24 26 28 30 32 34 36 0 0 1 0 2 0 3 0 4 0 5 0 6 0 7 0 8 0 9 1 Intrinsic valueTotal valuedelta right axis Delta is the slope of the premium versus asset price line Call deltas vary between 0 and 1 since the line moves from being flat to a 450slope Gamma is the slope of this line it measures how fast delta changes as the underlying price moves It is positive and greatest for ATM options A long position in a stock with a short position in call options so value of portfolio does not change with the value of the stock Number of calls required but beware of gamma delta call shares ofnumber Leading Global Wealth Management Practice 109 219 Swaps and swaptions Plain Vanilla Interest Rate Swap An agreement to exchange fixed rate pay