一级培训项目基础

TopicWeightingsinCFALevel2-SessionStudySessionEthics&ProfessionalStudySession2-QuantitativeTopicWeightingsinCFALevel2-SessionStudySessionEthics&ProfessionalStudySession2-QuantitativeStudySession4-StudySession7-FinancialReportingandStudySessionCorporate7StudySessionPortfolio7StudySession13-EquityStudySession15-FixedStudySession5StudySessionAlternative4FrameworkofPortfolioFrameworkofPortfolioSS12—PortfolioR41PortfolioManagement:AnR42RiskManagement:AnR43PortfolioRiskandReturn:PartR44PortfolioRiskandReturn:PartR45BasicofPortfolioPlanningand3-R43PortfolioRiskandReturn:PartAverageArithmeticR43PortfolioRiskandReturn:PartAverageArithmeticmeanreturn:unbiasedestimatorofthetrueGeometricmeanreturn:compoundannualMoney-weightedrateofreturn:OtherreturnGrossreturn:totalreturnbeforemanagementandadministrationPretaxnominalAfter-taxnominalRealLeveragedreturn:thegainorlossasapercentageofaninvestor’scashinvestment.(realestate)4-R43PortfolioRiskandReturn:PartR43PortfolioRiskandReturn:PartAssetclasseswiththegreatestaveragereturnsalsohavethehigheststandarddeviationsofreturns.Liquidityshouldbeconsideredwheninvest,especiallyinmarketsandforsecuritiesthattrade5-R43PortfolioRiskandReturn:PartAnindividualExpectednR43PortfolioRiskandReturn:PartAnindividualExpectednnVarianceofVar=E(R)]2iinSD=StandardDeviationof[RE(R)]2ii6-R43PortfolioRiskandReturn:R43PortfolioRiskandReturn:Part7-R43PortfolioRiskandReturn:PartTheportfoliostandarddeviationTheriskofaportfolioofriskyassetsdependsontheassetweightsandR43PortfolioRiskandReturn:PartTheportfoliostandarddeviationTheriskofaportfolioofriskyassetsdependsontheassetweightsandthestandarddeviationsoftheassetsreturns,andcruciallyonthecorrelation(covariance)oftheassetreturns.Thelowerthecorrelationbetweenthereturnsofthestocksintheportfolio,allelseequal,thegreaterthediversificationbenefits.Two-assetσp=w1σ1+w2σ2=w1σ1+w2σ222222 8-R43PortfolioRiskandReturn:PartRiskR43PortfolioRiskandReturn:PartRiskandreturnfordifferentvaluesof9-R43PortfolioRiskandReturn:PartR43PortfolioRiskandReturn:PartGlobalVarianceEfficient(AllEfficientInefficientIndividual10-R43PortfolioRiskandR43PortfolioRiskandReturn:PartMinimumvariancePortfoliothathavetheloweststandarddeviationofallportfolioswithagivenexpectedreturnareknownasminimum-varianceportfolios.Togethertheymakeuptheminimum-variancefrontierPortfoliosthathaveminimumvarianceforeachgivenlevelofexpectedreturnGlobalminimum-varianceportfolio:Theportfolioontheefficientfrontierthathastheleastrisk.EfficientThoseportfoliosthathavethegreatestexpectedreturnforeachlevelofriskmakeuptheefficientfrontier.AllriskyassetsareEfficientportfolio:well-diversifiedorfully-11-R43PortfolioRiskandReturn:PartR43PortfolioRiskandReturn:PartRiskReferstothefactthatindividualspreferlessrisktomoreRisk-aversePreferlowertohigherriskforagivenlevelofexpectedWillonlyacceptariskierinvestmentiftheyarecompensatedintheformofgreaterexpectedreturn12-R43PortfolioRiskandReturn:PartTheoptimalportfolioforanAtthepointofR43PortfolioRiskandReturn:PartTheoptimalportfolioforanAtthepointofwhereaninvestor’s(highest)risk-returnindifferencecurveistangenttotheefficientfrontier.YIGlobal2VarianceEfficient(AllEfficientInefficientOptimalThehighestindifferencecurvethatistangenttotheefficient Differentinvestorsmayhavedifferentoptimal 13-R44PortfolioRiskR44PortfolioRiskandReturn:PartTwo-fundseparationCombiningariskyportfoliowitharisk-freeAllinvestors’optimumportfolioswillbemadeupofsomecombinationofanoptimalportfolioofriskyassetsandtherisk-freeThelinerepresentingthesepossiblecombinationsofrisk-freeassetsandtheoptimalriskyassetportfolio.14-R44PortfolioRiskandReturn:PartE(RPE(RARisy)PortfoliowthWAInintheRiskyAssetR44PortfolioRiskandReturn:PartE(RPE(RARisy)PortfoliowthWAInintheRiskyAssetWA0E(RP)WAE(RA)WBE(RBWW2WW P WW P 15-R44PortfolioRiskandReturn:PartRiskyPortfoliosandTheirAssociatedR44PortfolioRiskandReturn:PartRiskyPortfoliosandTheirAssociatedCapitalAllocationLinesforDifferentinvestorsABCIfeachinvestorhasdifferentexpectationsabouttheexpectedreturnsof,standarddeviationsof,orcorrelationsbetweenriskyassetreturns,eachinvestorwillhaveadifferentoptimalriskyassetportfolioandadifferentCAL16-R44PortfolioRiskR44PortfolioRiskandReturn:PartTheMarketIsthetangentpointwheretheCMLtouchestheMarkowitzefficientConsistsofeveryriskyTheweightsoneachassetareequaltothepercentageofthemarketvalueoftheassettothemarketvalueoftheentiremarketportfolio.17-R44PortfolioRiskandReturn:PartCapitalmarketWheninvestorsshareidenticalexpectationsaboutthemeanreturns,varianceofreturns,andcorrelationsofriskyassets,theCALforallinvestorsR44PortfolioRiskandReturn:PartCapitalmarketWheninvestorsshareidenticalexpectationsaboutthemeanreturns,varianceofreturns,andcorrelationsofriskyassets,theCALforallinvestorsisthesameandisknownasthecapitalmarketline(CML):E(RM)E(R)PFPMThemarketExplanationoftheInvestmentusingCMLfollowapassiveinvestmentstrategy(i.e.,investinanindexofriskyassetsthatservesasaproxyforthemarketportfolioandallocateaportionoftheirinvestableassetstoarisk-freeasset.)DifferencebetweentheCMLandthe18-R44PortfolioRiskandReturn:R44PortfolioRiskandReturn:PartUnsystematicrisk(orunique,diversifiable,firm-specificTheriskthatdisappearsintheportfolioconstructionSystematicrisk(ormarketTheriskthatisleftcannotbediversifiedTotalrisk=systematicrisk+unsystematic19-R44PortfolioRiskandReturn:PartRiskR44PortfolioRiskandReturn:PartRiskvs.NumberofportfolioσMarketNumberofsecuritiesinthe20-UnsystematicSystematicR44PortfolioRiskandR44PortfolioRiskandReturn:PartSystematicRiskisRelevantinOneimportantconclusionofcapitalmarketEquilibriumsecurityreturnsdependonastock’soraportfolio’ssystematicrisk,notitstotalriskasmeasuredbystandardOneoftheassumptionsofthemodelDiversificationisfree,becauseinvestorswillnotbecompensatedforbearingriskthatcanbeeliminatedatnocost.21-R44PortfolioRiskandReturn:PartBeta:thesensitivityofanasset’sreturntothereturnontheR44PortfolioRiskandReturn:PartBeta:thesensitivityofanasset’sreturntothereturnonthemarketindexinthemarketmodel.Covi)i2Assetcharacteristicline(regressionofassetexcessreturnsagainstmarketassetreturns)AssetExcess(Ri-BSlopei2mMarketExcessReturn(Rm-22-R44PortfolioRiskR44PortfolioRiskandReturn:PartReturngeneratingmodels:multifactorMacroeconomicfactors:GDPgrowth,inflation,orconsumerFundamentalfactors:earnings,earningsgrowth,firmsize,andresearchexpendituresStatisticalE(Ri)RFi,1E(Factor1)i,2E(Factor2)...i,kMarketAsinglefactorTheonlyfactoristheexpectedexcessreturnonthemarketportfolio(marketindex)E(Ri) i(E(RM)Rf23-R44PortfolioRiskR44PortfolioRiskandReturn:PartAssumptionsoftheInvestorsarerisk-averse,utility-maximizing,rationalMarketsarefrictionless,includingnotransactioncostsandnoInvestorsplanforthesamesingleholdingInvestorshavehomogeneousexpectationsorAllinvestmentsareinfinitelyInvstorsareprice24-R44PortfolioRiskandReturn:PartCapitalAssetPricingE(RiR44PortfolioRiskandReturn:PartCapitalAssetPricingE(RiSecuritymarketlineE(Rmkt2SystematicmktE(Ri+βi[E(RM)-RfTheEquationof25-R44PortfolioRiskandReturn:PartHowtojudgeifastockisR44PortfolioRiskandReturn:PartHowtojudgeifastockisproperlyundervalued,Overvalued,Beta,Systematic26-R44PortfolioRiskandReturn:PartDifferencesbetweentheSMLandR44PortfolioRiskandReturn:PartDifferencesbetweentheSMLandthe27-MeasureofUsessystematicrisk(non-diversifiablerisk)(totalrisk)Toolusedtodeterminetheappropriateexpected(benchmark)returnsforToolusedtodeterminetheappropriateassetallocation(percentagesallocatedtotherisk-freeassetandtothemarketportfolio)fortheinvestorGraphofthecapitalassetpricingmodelGraphoftheefficientMarketriskMarketportfolioSharpeR44PortfolioRiskandReturn:PartEvaluaterelativeportfolioperformance(risk-adjustedSharperatio=RP1CALR44PortfolioRiskandReturn:PartEvaluaterelativeportfolioperformance(risk-adjustedSharperatio=RP1CALslopeRPCMLslopePRPM PTheSharperatioforanyportfolioalongtheCMListhe28-R44PortfolioRiskandReturn:PartTheM-squared(M2)measureproducesthesameportfoliorankingsastheSharperatiobutisstatedinpercentageterms.)RRM)R44PortfolioRiskandReturn:PartTheM-squared(M2)measureproducesthesameportfoliorankingsastheSharperatiobutisstatedinpercentageterms.)RRM)PfMfPM(RRP fMRMMPRP29-measureproducesthesameportfoliorankingsastheSharpratiobutisstatedinpercentageM2andSRfornotR44PortfolioRiskandReturn:PartTreynormeasure&Jensen’salpha(systematicTreynorR44PortfolioRiskandReturn:PartTreynormeasure&Jensen’salpha(systematicTreynormeasure=(RR) RPPf fPRM130-Slope=treynormeasureforPortfolio MJensen’sR44PortfolioRiskR44PortfolioRiskandReturn:PartComparisonoffourwearenotonlyabletodeterminetherankofaportfoliobutalsowhich,ifany,ofourportfoliosbeatthemarketonarisk-adjustedSharperatio和Treynormeasure需要再和其他的组合的指标进行比torankportfolios,theSharperatioorTreynorratioofoneportfoliomustbecomparedwiththeSharperatioorTreynorratioofanotherportfolioFornon-diversifiedportfolio，SharperatioandM-squaredareForfullydiversifiedportfolio，JensenAlphaandTreynorare31-R41PortfolioManagement:AnR41PortfolioManagement:AnPortfolioDefinition:evaluateindividualinvestmentsbytheircontributiontheriskandreturnofaninvestor’sDiversificationallowsaninvestortoreduceportfoliorisknecessarilyreducingtheportfolio’sexpectedDuringperiodsoffinancialcrisis,correlationstendtoincrease,reducesthebenefitsof32-R41PortfolioManagement:AnThetypesR41PortfolioManagement:AnThetypesofinvestmentmanagementIndividualDCpensionplan:theindividualmakestheinvestmentdecisionsandtakesontheinvestmentrisk.DBpensionplan:befundedbycompanycontributionsandhaveanobligationtoprovidespecificbenefitstoretirees.Endowment:afundthatisdedicatedtoprovidingfinancialsupportonanongoingbasisforaspecificpurpose.Foundation:afundestablishedforcharitablepurposestosupportspecifictypesofactivitiesortofundresearchrelatedtoaparticulardisease.InsurancecompanyMutualfundsSovereignwealthfunds:poolsofassetsownedbya33-R41PortfolioManagement:AnCharacteristicsofdifferenttypesofRiskInvestmentLiquidityR41PortfolioManagement:AnCharacteristicsofdifferenttypesofRiskInvestmentLiquidityIncomeDependsonLong—lifeShort—DependsonDependsonPayinterestDBMutualDependsonDependson34-R41PortfolioManagement:AnR41PortfolioManagement:AnPlanningAnalysisoftheinvestor’srisktolerance,returnobjectives,timehorizon,taxexposure,liquidityneeds,incomeneeds,uniqueIPS:detailstheinvestor’sinvestmentobjectivesandconstraints;specifyanobjectivebenchmark;updatedatleasteveryfewyearsandanytimetheinvestor’sobjectivesorconstraintschangesignificantly.Executionstep:assetallocation;top-downanalysis&bottom-FeedbackmonitorandrebalancetheMeasureportfolio35-R42RiskManagement:AnR42RiskManagement:AnExposuretoManydecisionmakersfocusonreturn,whichisnotsomethingthatiseasilycontrolled,asopposedtorisk,orexposuretorisk,whichmayactuallybemanagedorRiskTheextenttowhichanentity’svaluemaybeaffectedthroughsensitivitytounderlyingrisks.RiskRiskmanagementistheprocessbywhichanorganizationorindividualdefinesthelevelofrisktobetaken,measuresthelevelofriskbeingtaken,andadjuststhelattertowardtheformer;withthegoalofmaximizingthecompany’sorportfolio’svalueortheindividual’soverallsatisfaction,orutility.Itiscomprisesallthedecisionsandactionsneededtobestachieveorganizationalorpersonalobjectiveswhilebearingatolerablelevelofrisk.Notaboutminimizing36-R42RiskManagement:R42RiskManagement:AnRiskmanagementRiskRiskidentificationandRiskDefinedpoliciesandRiskmonitoring,mitigation,andStrategicanalysisor37-R42RiskManagement:AnRiskgovernanceR42RiskManagement:AnRiskgovernanceisthetop-levelfoundationforriskmanagement,includingriskoversightandsettingrisktolerancefortheorganization.Riskidentificationandmeasurementisthequantitativeandqualitativeassessmentofallpotentialsourcesofriskandtheorganization’sriskexposures.Riskinfrastructurecomprisestheresourcesandsystemsrequiredtotrackandassesstheorganization’sriskprofile.Riskpoliciesandprocessesaremanagement’scomplementtoriskgovernanceattheoperatinglevel.Riskmitigationandmanagementistheactivemonitoringandadjustingofriskexposures,integratingalltheotherfactorsoftheriskmanagementframework.Communicationincludesriskreportingandactivefeedbackloopssothattheriskprocessimprovesdecisionmaking.Strategicriskanalysisandintegrationinvolvesusingtheserisktoolstorigorouslysortoutthefactorsthatareandarenotaddingvalueaswellasincorporatingthisanalysisintothemanagementdecisionprocess,withtheintentofimprovingoutcomes.38-R42RiskR42RiskManagement:An39-R42RiskManagement:R42RiskManagement:AnRiskRiskgovernanceisthefoundationforriskRiskgovernancereferstoseniormanagement’sdeterminationoftherisktoleranceoftheorganization,theelementsofitsoptimalriskexposurestrategy,andtheframeworkforoversightoftheriskmanagementfunction.Employingariskmanagementcommittee,alongwithachiefriskofficer(CRO),arehallmarksofastrongriskgovernanceframework.Riskmanagementcommitteeprovidestopdecisionmakerswithaforumforregularlyconsideringriskmanagementissues.40-R42RiskManagement:AnR42RiskManagement:AnRiskAtthegovernancelevel,thedutyisgenerallynottoselecttheseactivities—ajobthatusuallyfallstomanagement—buttoestablishtheorganization’sriskappetite.Certainrisksorlevelsofrisksmaybedeemedacceptable,otherrisksdeemedunacceptable,andinthemiddlearerisksthatmaybepursuedinarisk-limitedSaiddifferently,risktoleranceidentifiestheextenttowhichtheentityiswillingtoexperiencelossesoropportunitycostsandtofailinmeetingitsobjectivesWhenanalyzingrisktolerance,managementshouldexaminerisksthatmayexistwithintheorganizationaswellasthosethatmayarisefromoutside.(“inside”viewand“outside”view)Therisktoleranceshouldbechosenandcommunicatedbeforeacrisis,andwillserveasthehigh-levelguidanceformanagementinitsstrategicselectionofrisks.Ifacompanyhastheabilitytoadaptquicklytoadverseeventsmayallowforahigherrisktolerance.41-R42RiskManagement:AnR42RiskManagement:AnRiskbudgetingistheprocessofallocatingfirmresourcestoassets(orinvestments)byconsideringtheirvariousriskcharacteristicsandhowtheycombinetomeettheorganization’srisktolerance.TheprocessofriskbudgetingforcesthefirmtoconsiderriskThegoalistoallocatetheoverallamountofacceptablerisktothemixofassetsorinvestmentsthathavethegreatestexpectedreturnsovertime.(Thereturnperunitofriskisthehighest.)Theriskbudgetmaybeasinglemetric,suchasportfoliobeta,valueatrisk(VaR),portfolioduration,orreturnsvariance.Ariskbudgetmaybeconstructedbasedoncategoriesofinvestments,suchasdomesticequities,domesticdebtsecurities,internationalequities,andinternationaldebtsecurities.Anotherwaytoallocateariskbudgetistoidentifyspecificriskfactors,suchasinterestraterisk,equitymarketrisk,andforeignexchangeraterisk.42-R42RiskManagement:R42RiskManagement:AnFinancialrisksrefertotherisksthatarisefromeventsoccurringinthefinancialmarkets.Examplesare:MarketArisesfrommovementsinstockprices,interestrates,exchangerates,andcommoditypricesCreditTheriskthatacounterpartywillnotpayanamountLiquidityTheriskthat,asaresultofdegradationinmarketconditionsorthelackofmarketparticipants,onewillbeunabletosellanassetwithoutloweringthepricetolessthanthefundamentalvalueLiquidityriskcouldalsobecalledtransactioncostriskandismostassociatedwithawideningbid-askspread.43-R42RiskManagement:AnNon-financialrisksarisefromR42RiskManagement:AnNon-financialrisksarisefromactionswithinanentityorfromexternalorigins,suchastheenvironment,thecommunity,regulators,politicians,suppliers,andcustomers.ExamplesOperationalThisistheriskthathumanerrororfaultyorganizationalprocesseswillresultinSolvencyThisistheriskthattheorganizationwillbeunabletocontinuetooperatebecauseithasrunoutofcash.RegulatoryThisistheriskthattheregulatoryenvironmentwillchange,imposingcostsonthefirmorrestrictingitsactivities.Governmentalorpoliticalrisk(includingtaxThisistheriskthatpoliticalactionsoutsideaspecificregulatoryframework,suchasincreasesintaxrates,willimposesignificantcostsonanorganization.Legal Thisistheuncertaintyabouttheorganization’sexposuretofuturelegal 44-R42RiskManagement:R42RiskManagement:AnModelThisistheriskthatassetvaluationsbasedontheorganization’sanalyticalmodelsareincorrect.TailThisistheriskthatextremeevents(thoseinthetailsofthedistributionofoutcomes)aremorelikelythantheorganization’sanalysisindicates,especiallyfromincorrectlyconcludingthatthedistributionofoutcomesisnormal.AccountingThisistheriskthattheorganization’saccountingpoliciesandestimatesarejudgedtobeincorrect.Individualsfacemanyofthesameorganizationalrisksoutlinedherebutalsofacehealthrisk,mortalityorlongevityrisk,andpropertyandcasualtyrisk.InteractionbetweenRisksarenotnecessarilyindependentbecausemanyrisksariseasaresultofotherrisks;riskinteractionscanbeextremelynon-linearandharmful.45-R42RiskManagement:AnRiskdriversR42RiskManagement:AnRiskdriversarethefundamentalglobalanddomesticmacroeconomicandindustryfactorsthatcreaterisk.Standarddeviationisameasureofthevolatilityofassetpricesandinterestrates.Standarddeviationmaynotbetheappropriatemeasureofriskfornon-normalprobabilitydistributions,especiallythosewithnegativeskeworpositiveexcesskurtosis(fattails).Betameasuresthemarketriskofequitysecuritiesandportfoliosofequitysecurities.Thismeasureconsiderstheriskreductionbenefitsofdiversificationandisappropriateforsecuritiesheldinawell-diversifiedDurationismeasureofthepricesensitivityofdebtsecuritiestochangesininterestrates.Derivativemeasures,suchasdelta,gamma,vega,and46-R42RiskManagement:R42RiskManagement:AnTailmeasuressuchasvalueatrisk(VaR),CVaRandexpectedlossgivendefault(LGD).VaRistheminimumlossoveraperiodthatwilloccurwithaspecificCVaRistheexpectedvalueofloss,giventhatthelossexceedsaminimumamount.(calculatedastheprobability-weightedaveragelossforalllossesexpectedtoexceedaminimumamount)Subjectiveandmarket-basedestimatesofTwomethodsofriskassessmentthatareusedtosupplementmeasuressuchasVaRandCVaRarestresstestingandscenarioanalysis.Stresstestingexaminestheeffectsofaspecific(usuallyextreme)changeinakeyvariablesuchasaninterestrateorexchangerate.Scenarioanalysisreferstoasimilarwhat-ifanalysisofexpectedlossbutincorporateschangesinmultipleinputs.47-R42RiskManagement:AnR42RiskManagement:AnModifyingriskRiskmanagementdoesnotseektoeliminateallrisks.Thegoalistoretaintheoptimalmixofrisksfortheorganization.MethodsofriskRiskpreventionandNotengageintheactivitywiththeuncertainRiskacceptance:self-insuranceandSelf-insuranceisobtainedbysettingasidesufficientcapitaltocoverAnotherformofacceptingrisk,butdoingsointhemostefficientmannerpossible,isdiversification.RisktransferRisktransferistheprocessofpassingonarisktoanotherparty,often,butnotalways,intheformofaninsurancepolicy.RiskshiftingWhereasrisktransferreferstoactionstakenthatpasstheriskontootherparties,riskshiftingreferstoactionsthatchangethedistributionofriskoutcomes.Riskshiftinggenerallyinvolvesderivativesastheriskmodificationvehicle.Thedeterminantsofwhichmethodisbestformodifyingriskarethebenefitsweighedagainstthecosts.48-R45BasicofR45BasicofPortfolioPlanningandTheneedforapolicyUnderstandandarticulaterealisticinvestorgoals,needsandriskEnsurethatgoalsareProvideanobjectivemeasureofportfolioMajorcomponentsofDescriptionofStatementoftheStatementofdutiesandProcedurestoupdateIPSandtorespondtovariouspossibleInvestmentInvestmentInvestmentEvaluationofAppendices:informationonasset49-R45BasicofPortfolioPlanningandInvestmentobjectives:R45BasicofPortfolioPlanningandInvestmentobjectives:riskandRiskTheriskobjectivelimitshowhightheinvestorcansetthereturnRiskmeasurement:absolute(stddev.),relative(trackingrisk),downsiderisk(VAR)Risktolerance:willingnessand50-Riskwillingness>abilitywillingness<returnobjective=willingnessreturnobjective=abilityR45BasicofR45BasicofPortfolioPlanningandReturnReturnmeasurement:totalreturn,inflation-adjustedreturn,after-taxTotalreturnperspective:balancebetweencapitalgainsandStatedreturndesirevs.RequiredConsistentwithrisk51-R45BasicofPortfolioR45BasicofPortfolioPlanningandInvestmentLiquidity—forcashspendingneeds(anticipatedorTimehorizon—thetimebetweenmakinganinvestmentandneedingthefundsTaxconcerns—thetaxtreatmentsofvariousaccounts,andtheinvestor’smarginaltaxbracketLegalandregulatoryfactors—res