第1周—16周轻松搞定CFALEVEL1

1、16周轻松搞定CFA LEVEL 1-第1周保罗时报系列专题2010年2月15日星期一16周轻松搞定CFA LEVEL 1-第1周新的一年开始了，今年你的新年愿望是什么？ 一次通过 CF级考试?保罗时 报特于农历新年推出CFALEVEL1考试准备计划，希望有志于立足金融业的您 可以按照保罗时报科学、合理的备考方案，顺利通过 6月份的考试，实现新 年愿望。保罗时报与您共饮庆功酒！2月15日周一Reading 1: Code of Ethics and Standards of Professional Conduct道德与职业行为准则Reading 2: Guidance for Standar

2、ds I - VII 职业行为准则 I -VII 指导仔细阅读这两个小节，特别是书中的例子。2月16日周二一一2月17日周三Reading 3: CFA Institute Soft Dollar Standards CFA协会软美元准则Reading 4: CFA Institute Research Objectivity Standards CFA协会研究客观性准则仔细阅读这两个小节，特别是书中的例子，并做完session后的习题。做完后将 做错的题再回到书中原文对照，务必将各种准则理解。2月18日周四 2月19日周五Reading 5: The Time Value of Money资

3、金的时间价值Reading 6: Discounted Cash Flow Applications现金流量折现应用做完章节后的习题，熟练PV,IR,FV的各种算法。2月20曰周六一一2月21日周日Reading 7: Statistical Concepts and Market Returns统计概念和市场收益Reading 8: Probability Concepts概率概念Reading 9: Common Probability Distributions 概率分布Reading 10: Sampling and Estimation抽样与推断此部分概率内容不难，大多都为大学本科课

4、程内的内容，大家只需将notes看一 遍，将章节后习题做一遍即可。16周轻松搞定 CFA LEVEL 1-第1天不知道各位昨天有没有根据保罗时报的要求学习Reading 1。现在保罗时报就来帮您按照CFALEVEL1教材梳理一下Reading 1的重要知识点。按教材 要求，CFA LEVEL 1考生对Reading 1要掌握：a. describe the structure of the CFA Institute Professional ConductProgram and the process for the enforcement of the Code and Standards

5、;b. state the six components of the Code of Ethics and the seven Standards of Professional Conduct;c. explain the ethical responsibilities required by the Codeand Standards, including the multiple sub-sections of each Standard.具体分解一下。上述 a点关于Professional Conduct Program 的回答为：All members and candidate

6、s must apply with the Code and Standards. TheCFA Institute Board of Governors oversees the Professional ConductProgram through a Disciplinary Review Committee.Professional Conduct staff conduct professional conduct inquiries. The following can bring about an investigation: 1. self-disclosure on annu

7、al conduct statements2. written complaints3. media reports of wrongdoing4. exam proctors can submit a violation reportRules of Procedure are based on two primary principals:1. Fair process to the member and candidate2. Confidentiality of proceedingsA CFA Institute Designated Officer reviews the mate

8、rial obtained by Professional Conduct staff in the investigation and may1. conclude there is no disciplinary sanction2. issue a cautionary letter3. continue proceeding to discipline the memberor candidate. The member or candidate may accept or reject the proposed sanction. If he rejectsit, the case

9、is referred to a panel of CFA Institute members. Violators may be suspended from the CFA program.b 点所指的Code of Ethics6 个组成部分为：Members and Candidates must:1. Act with integrity, competence, diligence, respect, and in an ethical manner with the public, clients, prospective clients, employers, employee

10、s, colleagues in the investment profession, and other participants in the global capital markets.2. Place the integrity of the investment profession and the interests of clients above their own personal interests.3. Use reasonable care and exercise independent professional judgement when conducting

11、investment analysis, making investment recommendations, taking investment actions, and engaging in other professional activities.4. Practice and encourage others to practice in a professional and ethical manner that will reflect credit on themselves and the profession.5. Promote the integrity of, an

12、d uphold the rules governing, capital markets.6. Maintain and improve their professional competence and strive to maintain and improve the competence of their investment professionals.考题有可能问：“Which of the following is not stated in the Code ofEthics? ”给出的选项中会有 3 个来自于以上6 个组成部分，而有1 个却不是。b 点所指的Standard

13、s of Professional Conduct 有 7 类：1. Professionalism2. Integrity of Capital Markets3. Duties to Clients and Prospective Clients4. Duties to Employers5. Investment Analysis, Recommendations, and Action6. Conflicts of Interest7. Responsibilities as a CFA Institute Member or CFA Candidate根据c点要求，考生还必须牢记 S

14、tandards of Professional Conduct7 大类下 的梭有小分类。请各位CFA LEVEL 1备考者们做好相应准备16周轻松搞定CFA LEVEL 1-第2天进入正题前，保罗时报先上两图，让各位考生看一下CFA美国考场的情况。16周轻松搞定CFA-级第二天复习的是职业行为准则I -VII指导。在这里保 罗时报要提醒大家，作为CFAT生，知道相关法律是责任，“我不知道”并不 能成为辩护。另外要注意，当CFA准则与当地法律不一致时，应当遵守更为严格 的一条法律。这一概念经常被考，考生须牢记。下面我们再来看两道2004年关于fair dealing的考试真题。1. Whena

15、n AIMRmemberhas a limited number of shares of an initial public offering to distribute, the member would be least likely to violate theAIMR Standards of Professional Conduct by:a. allocating the shares pro rata to all subscribers for whom the issueis appropriate.b. first filling the orders of indivi

16、dual clients, then filing the orders of institutional clients.c. first filling the orders of clients who have generated the most commissions during the past year.d. first filling the orders of those who have been clients of the investment professional for the longest period of time.正确答案为 Ao B、G D全部违

17、反了 Fair Dealing Standard, Standard III B.2. Dave Bauman, CFA, is a portfoliomanager who wants to buy Arrow Company common stock for his clients accounts and his personal account.According to the Guidance, Bauman: personal account.a. must buy the stock for his clientsaccounts before buying for hisb.

18、must wait 30 days after buying the stock for clients before buying for his personal account.c. may buy for his personal account at any time as long as he discloses the trades to his employer and clients.d. may buy for his personal account at any time as long as the execution price is not more favora

19、ble than the execution price realized by clients. 正确答案为A。16周轻松搞定 CFA LEVEL 1-第3天学习CFA一级已经进入了第3天，大家有没有跟着保罗时报进行备考呢？第 3 天我们学的是 Introduction to Global Investment Performance Standards 简称GIPSoa. Explain why the GIPS standards were created, what parties the GIPS standards apply to and who is served by the

20、 standards.Individuals and institutions are constantly scrutinizing past investment performance in search of the best performing manager to achieve their investment object. GIPS were created to ensure fair representation and full disclosure of performance information. GIPS set a global standard for

21、calculation and reporting performance recognized and accepted worldwide.GIPS apply to investment management firms.GIPS serve clients and prospective clients (investors), including consultants that may assist investors in selecting management firms.GIPS do not apply to consultants and software compan

22、ies who produce the measurement software, i.e. the performance measurement tools.Plan sponsors, consultants and software companies, unless they actually manageassets, cannot makeperformance claims. They can endorse or require GIPS. Software companies can “ calculate performance in a manner acceptabl

23、e by the Standards. ”b. Explain the construction and purpose of composites in performance reporting.A composite is an aggregation of discretionary portfolios into a single group that represents a particular investment objective or strategy. A composite must include all actual fee-paying, discretiona

24、ry portfolios managed in accordance with the same objective or strategy. A composite is asset weighted.For example, if a GIPS-compliant firm presents its track record for a Global Equity Composite, the Composite must include all portfolios that are managed, or have historically been managed, in the

25、firm s GlobalEquity strategy. The firm maynot subjectively select which Global Equity portfolios will be included in or excluded from the calculation and presentation of the Global Equity Composite. The determination of which portfolios to include in the Composite should be done according to pre-est

26、ablished criteria (i.e., on an ex-ante basis), not after the fact. This prevents a firm from including only their best performing portfolios in the Composite.Purpose of Composites: Creating meaningful, asset-weighted campsites iscritical to the fair presentation, consistency, and comparability ofres

27、ults over time and among Firms.c. Explain the requirements for verification of compliance with GIPS standards.A firm is responsible for its claim of GIPS compliance, that is, a firm “self - regulates “ its claim of GIPS compliance; verification is not required.However, if done, verification of that

28、claim must be done by an independent third party. A firm cannot perform its own verification.Verification provides assurance and credibility that the firm claiming GIPS compliance has adhered to GIPS firm wide. Also, a firm undergoing verification has an added benefit to improve its internal GIPS po

29、licies and procedures because of a review by an independent third party.Verification is done on the entire firm, not on specific composites.Verification tests:1. That the firm has complied with all the composite construction requirements of GIPS on a firm wide basis; and2. That the firm s processes

30、and procedures calculate and present performance in compliance with GIPS.16周轻松搞定CFA LEVEL 1-第4天按照保罗时报的复习计划，今天应该是 CFA一级考试复习的第4天了，不知 各位考生朋友经过这几天的学习， 感觉如何？是不是有点难呢？没关系。 觉得有 困难绝对不只你一人，其他人都是。CFA考量的不只是才智，还有意志力。坚持到底，就是胜利！累了的话，不如看一下电视转播的冬奥会比赛，相信各国顶尖 运动员的矫健表现一定不会让你失望。相比他们花在训练上的时间，CFA一级备考似乎就是小菜一碟了吧。想要轻松一下的话，不如

31、看看保罗时报对于冬奥会的报道，从不同角度了解本届温哥华奥运会和奥运健儿们。16周轻松搞定CFA LEVEL 1-第5天保罗时报的16周轻松搞定CFALEVEL1计划第5天学习的是货币时间价 值。这里有些重要公式需要考生记住。保罗时报特选两条公式配合练习题供 各位小试牛刀：1. r = Real risk-free interest rate + Inflation premium + Default risk premium + Liquidity premium + Maturity premium这里的r即the interest rate on a debt security,以上公式表

32、达的是 r由无风险实际利率加上通货膨胀附加率、违约风险溢酬、流动性溢价和到期风险溢 位组成。下面我们来做一道相关例题：The table below gives current information on the interest rates for two two-year and two eight-year maturity investments.All investmentspromise only a single payment (payment at maturity).Assume thatpremiums relating to inflation, liquidity,

33、 and default risk are constant across all time horizons.InvestmentMaturity(in years)LiquidityDefault RiskInterest Rate(%)12HighLow2.022LowLow2.538HighLow4.048LowHigh6.5The default risk premium is closest to:1. 2.02. 2.53. 3.0答案为12. Effective annual rate =(1 + Periodic interest rate) m - 1止匕处 m表示 the

34、 number of compounding periods per year 。相关例题一道：A bank quotes a stated annual interest rate of 5.89% with quarterly compounding. The effective annual rate is closest to:1. 5.89%2. 5.93%3. 6.02%答案为316周CFAl级考点复习-第1周保罗时报系列专题2010年8月16日星期一16周CFA-级考点复习-第1周随着年底的CFA一级考试将至，相信各位准考生的心情是继期待又怕受伤害，准备考试的过程总是会有让人手足

35、无措的时候，书念得再熟也还是觉得有遗漏。CFA的教材内容繁重，书是一本比一本还厚，看了后面忘了前面怎么办？不用担心保罗时报早已准备好锦囊妙方，考生除了可以依照16周轻松搞定CFALevell系列专题备考并督促自己的学习之外，还可以跟随保罗时报 的脚步，以16周的进度在16周CFA一级考点复习中复习各章节的重点观念， 抛开繁重的书本重新整理思路，并磨练基本工，看看自己是否确实了解各章精华。在这一周里(8月16日22日)，根据16周轻松搞定 CFA Levell-第1周 的进度，考生应该已经快速阅读完 CFA Notes的Reading 1到Reading 10。对 于有金融背景的考生来说，这10

36、个章节应该算是复习与热身，而对较为缺乏金 融背景的考生来说则是基础课，一定要弄懂。全球投资业绩标准(Global Investment Performance Standards , GIPS)全球投资业绩标准是美国特许金融分析师协会(CFAft、会)于1999年所列出的 一系列投资业绩披露上的准则，旨在维持公平与投资业绩的全面披露。 其主要精 神在于建立一个在投资业绩报告上的统一格式与计算方法，不让投资公司在业绩 报告上任意筛选评估指标，扰乱客户视听。全球投资业绩标准的创立是源于 20世纪初期各国对金融业绩披露的要求与格式 不一，造成国际投资者很难对不同国家的金融公司业绩进行解读与比较。而美

37、国特许金融分析师协会则为了克服此问题而提出该项标准。截至2010年8月，全球投资业绩标准一共被32个国家所采用。内部收益率(Internal Rate Of Return, IRR )内部收益率指的是净现值(Net Present Value, NPV为零时的贴现率(Discount Rate)。内部收益率愈高，表示未来的收益愈大，因此，内部收益率可作为衡量 投资获利的标准。当其他条件相等时，企业通常会选择内部收益率最高的投资项 目。IRR = (FV/PV)1/N -1FV:未来价值PV:现值N:复利计算期举例来看，假设一投资项目的成本为10亿元，3年后可望带来15亿元的回报，则可计算出该投

38、资项目的内部收益率为：(15/10)1/3 1=14.47%资金加权收益率(Money-weighted Rate Of Return )资金加权收益率其实就是投资项目的内部收益率，即净现值为零或是流出(Outflows )现值等于流入(Inflows )现值时的收益率。其中，进行投资项目 的成本、再投资的股息或利息、以及现金流出都算是流出；而出售投资项目、股息或利息收入、以及现金流入都算是流入。在计算资金加权收益率时，任何的流 出与流入都需被折算成现值。假设小保在t=0时用30元买进1只每年发放2元股利的股票,一年后（t=1 ）股 价不变，并在两年后（t=2）以50元卖出，可得出该笔投资的资

39、金加权收益率为 0.35%,计算方式如下：流出现值=a入现值t=0,流出：$30t=1,流入：$2t=2,流入：$50+$22/（1+r）+2/（1+r）2+50/（1+r）2=30 r=35%时间加权收益率（Time-weighted Rate of Return ）时间加权收益率为每个投资期限收益率的几何平均计算而成的年化收益率，因此不受现金流出与流入的影响，并且较受业界青睐。要计算时间加权收益率必须先算出每一持有期收益率（Holding Period Return , HPR ,之后再相乘各持有期收益率得出该项投资的时间加权收益率，若期投资 年限超过一年，则需使用几何平均法算出年化收益率

40、。以同样的例子来看，假设小保在t=0时用30元买进1只每年发放2元股利的股 票，一年后（t=1 ）股价不变，并在两年后（t= 2）以50元卖出，可得出该笔投 资的资金加权收益率为0.35%,计算方式如下：持有期收益率=（期初市价-期末市价）/期初市价第一年的收益率：（30+2-30）/30=0.07第二年的收益率：（52-30）/30=0.73时间加权收益率：（1+0.07）x（1+0.73）-1=0.85年化收益率：（1+0.85）1/2-1=36%置信水平（Confidence Level ）在统计学上，置信水平是个较难懂的概念，很多人就算明白了它的用法但还是对 其概念一知半解。置信水平通

41、常被用在对总体参数（Population Parameter）的预测上。由于点估 计容易产生偏差，所以分析师常会用区间估计来估计一个参数。例如，与其说估计某总体平均值为10 （点估计），用区间估计的话就会说估计某总体的平均值 在9.5至10.5之间，相应的置信水平（Confidence Level ）为95%也就是说， 总体平均值在9.5至10.5之间的概率为95%在这个例子里，9.5和10.5之间 就是置信区间（Confidence Interval ） 了。对于一组相同的数据所估算出对总体参数的预测，不要以为置信水平越高，所对应的置信区间估计就越好。置信水平越高并不代表估计越精准，当计算出

42、的置信水平与置信区间都是来自同一组数据时，置信水平越高，置信区间的范围也越广，所以并不能带来更高的精准度。 换句话说，同一组数据所带来的估计质量是一样的，用者需根据用处和需要，从置信水平和置信区间之间寻找一个平衡点。相关阅读投资新鲜人的N 堂课 ( 三 ) 复利投资的奥妙保罗时报系列专题2010 年 6 月 27 日星期日爱因斯坦曾说过，复利(Compound Interest) 是“最伟大的数学发现”(Thegreatest mathematical discovery of all time)。复利的概念在我们的生活中其实随处可见，应用范围之广、影响程度之深，可能不是每个人都知道的，而也正

43、因为如此，并不是每个人都能有效地利用复利来帮助自己获利。在本篇投资新鲜人的 N堂课中，保罗时报将为各位读者解 开复利投资的奥妙，帮助投资人新鲜人正确地掌握复利投资。复利投资的神奇之处在于能将投资的效用施展得更加强大，藉由再投资既有的回报来获得更多的收益。要发挥复利的作用需有两个要素再投资与时间， 以下保罗时报将以数学实例来探讨复利对投资的影响。各位先别紧张，保罗时报不是要在这边教数学，也不是要考验读者的计算能力， 以下的计算实例只是为了要简单体现复利投资的概念，并以数字比较来展现复利投资可造成的差异。首先， 假设保罗在银行利率为5%时存了1 万元， 一年后他的本金加利息将为10500元($10

44、000 X 1.05 =$10500)。假设保罗决定不但要继续投资这 1万元而且还将500 元利息也一并存入，在利率仍为5%的情况下，再隔一年，保罗的资金增加为11025元($10500X1.05= $11025)。这个例子的重点在于保罗决定“再投资”第一年获得的 500 元利息($10000 X 0.05=$500)。因此第二年时，他的利息收入变成是525元(10500 X 0.05=$525),比第一年多了 25 元($525-$500=$25)。或许你会觉得 25元看起来没有什么，但想想你不需多做任何事情，这25 元就会自动滚入你的帐户，何乐而不为呢！而保罗若在第三年继续存入所有的本利即11025 元，下一年的储蓄将变为11576.25 元 ($11025X1.05=$11576.25) 。其中利息收入为($11025X0.005=$551.25) 比第一年多出51.25 元 ($551