V1_20110108上海复旦CFA一&cce

V1_20110108上海复旦CFA一&cce

Info iconThis preview shows pages 1–11. Sign up to view the full content.

View Full Document Right Arrow Icon
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Background image of page 2
Background image of page 3

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Background image of page 4
Background image of page 5

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Background image of page 6
Background image of page 7

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Background image of page 8
Background image of page 9

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Background image of page 10
Background image of page 11
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: GOLDEN FUTURE fiffififlfifli‘lfii‘éflllfifi é‘vfifi‘fi’zm 1 $6 )5] CFAfi- QEJEJLI: Elf—“Bi- 5L Portfolio Management fins: fifi'fiFRM Bun: 2010.01 sass: IJ-J‘é Baha‘i Difisll Di]??? Lfléfiflfi&fi%fi$fi fifi’fifi] (#D L fifififls ib'ftitfilffi.sllé&§€§~fiu%ii- fittrlfiifi'fis‘is‘éssenr. :_. insists/sis wisi‘éiflws‘asffi‘fikfifififl. remiss" l Lmfibxfiififi fifiefim%fifififlfltflmfiwmmt}“#fiiflflfi'fifi“§filififi"fifl i$§mfiifi&fififi%fifiifififi.fifiifim%ifififlfififififififififi& $4Lmfikfim%fiifiififififix.fifififi£fifififl$fi$flfi.Wfiéflm fitfififififi(magnum0#fi%fiflfififlTfl.@1rflgmm%ifi%fii n%&fi:£flkfi-&fl#fl%fiwaflflAywn—magmg_ 3.&mnm ififiafifififlxnflsiw.wensminfim.nnnnsawmfifi.nms ilJ'fi-Kfid'fi'sfi 1W .L-‘i'Hip Wflfi‘iifiififi: fi‘ifiht to: waw. gFoiil ine. corn. {Inf—'m/Kjgfl fiwfififimfixfifima飓mfi#a”(flfiETfl&fiaJ+ifl“fififlflfi fl” "finfi “*##3” WW”. (Tips: mnnmmfl£fimweexssafi afimfi). 1 fitflfi ssmssmsnossms.asksssossas.naxsssssrssso sirei)snsfiannntsefiesns.ssnsssosnss.moss as)»: 2) i¥ibfif~~£kfi~flflrfi Ksfifififiifi. $irtimfidfamhfis, hitfléfififle fi,fifl£%fifit3);fififi$%i$fie3%.$%¥%fl£%i:4LfifiAA. .lxixéfzsiz. . ~' 3 #5 fl 3 ... mom i will fififisfl (:) t aims sesiesksns.mansiwinionsm.snnose‘wnofin. 5. Wfifit iiiisi‘iza‘it‘isfiz-‘Lr. assesses i-rr‘?§ise.ol.Ll-5J-fi‘aH-Hstiz, fifiefiifiiié’sflgifin fi:*mfi& . {éfiCFalfiljsz htthil'.l'efa_gfedu_netif 1 1!. {Mi-Leis: http:/i'bbsgfedunet! 3. {HilT‘lfl-ififi: ht'tp:i’MNtNtr.gfoniinecementIr 4 marrow isms; 14259969 . ifiafinxfiifiiffiéfififiafvfifiafiiflzsat. 5. firs-inst gfedu@gfedu_nel Ji‘r‘firfifizfi‘a’i: 1111.11}: Els'ifi oz1—5555snuesszsxsmsss‘mxs 'FEIJEifil‘JSJ '1} assent-s2 2‘fififi‘éflfi'iiéfgfi3’fi (Ill-54510226 13385008177 IA: .\ a 3-41 fihflfi CFAnfiififil‘Eg-‘IE Study Session I lithies & Professional Standards Study Session 2-3 Quantitative Methods Study Session 4«() Economic Analysis Study Session 7—19 Financile Statement Analysis Study Session ] 1 Corporate Finance Study Session 12 Portfolio Management Study Session 13—14 Equity Analysis Study Session 15-16 Fixed Income Analysis Study Session 17 l.)eriyati\-'e Investments Study Session 18 Alternative Investments r?- x “ M g} 3.33% Outline Jr Study Session 12 'r Estimated weights in exam: 5% 'r Topics include: i'rPortfolio Management: An Overview rPortfolio Risk and Return: Part I rPortfolio Risk and Return: Part II 'r Basics of Portfolio Planning and Construction 5-4] Huntsman: \Ii II ‘I II J 9 1' gflfififlfi The importance of the portfolio perspective 'r The portfolio perspective refers to evaluating individual investments by their contribution to the risk and return of an investor‘s portfolio. 'r An investor who holds all his wealth in a single stock because he believes it to be the best stock available is not taking the portfolio perspective — his portfolio is very risky compared to holding a diversified ponfolio of stocks. r A diversified portfolio produces reduced risk for a given level of expected return. compared to investing in an individual security. Modern pon folio theory concludes that investors that do not take a portfolio perspective bear risk that is not rewarded with greater expected return. 6-4] Huntsman: \Ii II ‘I II J 9 1' gflfififlfi The types of investment management clients 'r Figure 1: Characteristics of Different Types of investors. fin-error Risk Tolerance Investment Horizmt Liqrn'dirr Needs income Needs Individuals Depends on individual Depends on individual Depends on individual Depends on individual Defined Benefit Pensions High Long 1 mv Depends on age Banks Shun High Pa)‘ interest Endowments long Low Spending level Insurance Long-life She n- P&(.‘ High Low Mutual Funds 7-4] Depends on l‘und Depends on fund lIigh Depends on fund agrees it \~._./ Cni'hllL-‘Hd'fiifi ‘I'.\I£I"IIIJ9F Steps in the portfolio management process 'r Three Steps 'r Planning: Determine Client needs and Circumstances. including the client‘s return objectives. risk tolerance. constraints. and preferences. Create. and then periodically review and update. an investment pot’iev statement (1P8) that spells out these needs and circumstances. 'r- Execution: Construct the client portfolio by determining suitable allocations to various asset classes based on the IPS and on expectations about macroeconomic variables such as inflation. interest rates. and GDP growth. Identify attractively priced securities within an asset class for client portfolios based on valuation estimates 1' rom security analysts. 'r Feedback: Monitor and rebalance the ponfolio to adjust asset class allocations and securities holdings in response to market performance. Measure and repon performance relative to the perfonnancc benclunark specified in the IPS 8-4] Huntsman: \Ii II ‘I II J 9 1' gflfififlfi Mutual funds and other forms of pooled investments 'r Mutual funds '7 open-end fund and closed-end funds ‘r Money market funds iv Bond funds 'r Stock funds 7' Exchange-traded funds (ETFs) r Separately managed account r Hedge funds r Buyout funds (private equity funds) 'r Venture capital funds fr" $13 Q E CALDL-‘He'flt ‘l'.\I£I'NIIJ9T Outline ‘r Study Session 12 7 Estimated weights in exam: 5% r Topics include: 'rPortfolio Management: An Overview iiPortfolio Risk and Return: Part I rPortfolio Risk and Return: Part II r Basics of Portfolio Planning and Construction fr" $13 Q E CALDL-‘He'flt ‘l'.\I£I'NIIJ9T Ill-4i Portfolio Risk and Return: Part I r Holding period return (HPR) 'r Average returns iv Arithmetic mean return 'r Geometric mean return 'r Money-weighted rate of return 'r Other return measures 'r Gross returnfNet return r Pretax nominal remranfter-tax nominal return 'r Real return I Leveraged return “fl” @sisus CALDL-‘Hd'..fii§ .Iulxl-uua9r Portfolio Risk and Return: Part I r Mean Variance Model ‘s 'r Return: E(R) 1}. ' iv Risk: 0 Lr Risk Aversion ER) “or, Pren’d 1.: [1 l-I:irr_\'M.\larko\\'I1z 51927-1 won L L I. L. P ,u' I: I {rut-5'1i1:tééfi$if¥€fl:iil«fi- direclion .' I is ." i' a. X r \ __--/ \ Risk( 0 ) 12-41 Elf-fig .Iulxl-uua9r Portfolio Risk and Return: Part I r Assumptions about investor behavior of Markowitz Portfolio Theory r Regard E(R) as return and 0 as risk ‘r Utility maximization r Risk aversion 17-4} ; Portfolio Risk and Return: Part I r Portfolio Risk and Return Computation 'r Return rSingle asset: E(R)= E PiRi= lfn X 221 R1. 'rT\\=o-assot portfolio: E(RP):\=IE(R1)+ sz(R2) 'r Risk 'rSinglc asset: 0 2 = V Pi [Ri - E(R}J2=lx’(n-l) X Z [Ri - E(R)J2 an]? rTwo-assot portfolio: 2: .2 2__ .2 2 . _ 0F “I (I. “2 02+2\\1\\2C0VL2 _ .2 2--..2 2 .. _. - _“'1oi “2 02+2“l“201020l2 14-4: fr" fi l3 Q E CALDL-‘He'flt ‘l'.\I£I'NIIJ9T Portfolio Risk and Return: Part I r Effects of Correlation on Diversification Benefits E(Rp} 15-4} fr" fi l3 Q E CALDL-‘He'flt ‘l'.\I£I'NIIJ9T Portfolio Risk and Return: Part I Figure 5: Minimum Variance and Efiicient Frontiers i r'. i Global Minimum Variance Portfolio \ Emcici‘ll Fm nricr p (All Emcirm Portfolios) ‘ . [ncmcuu-Il Portfolios I d. ,d 115: . ‘H o s . WI; n M u cunty 16-4} fr" fi l3 Q E CALDL-‘He'flt ‘l'.\I£I'NIIJ9T Portfolio Risk and Return: Part I r Optimal Portfolio E(Rp)‘ Y Efficient Frontier .‘ I _ .. III Jig. s". 7‘ f v 0 JJ 11-4: $3535.21 \I'\I£I'NII.\Y|' E [1.8.] “3 .E I Figure 5: Capital Allocation Line and Risky Asset Weights [ ‘.-1 n - A l . . . A n . n . . . - . u . . . . . - - - . . - - . u . . u u u - - u . . I o I I u u .3 t . I21 Ix _ I ."'" ‘ X E \n.. o 5-.l{_- ,1: K . 13-4: $13 3 DLNIJ'.RL \I'\I£I'NII.\Y|' Portfolio Risk and Return: Part I Figure 7: Portfolio Choices Based on Investor's indifference Curves W \I'\I£I'NII.\Y|' Outline ‘r Study Session 12 7 Estimated weights in exam: 5% r Topics include: 'rPortfolio Management: An Overview rPOI'thIiO Risk and Return: Part I PPortfolio Risk and Return: Part II r Basics of Portfolio Planning and Construction 20-4: $13 3 DLNIJ'.RL \I'\I£I'NII.\Y|' Portfolio Risk and Return: Part [1 Portfolio Risk and Return: Part ll )- From Portfolio Theory to Capital Market Theory , Capita| Market Line 'r NR ) " n . . , . 'r Adding :1 risk-free asset to portfolio theory (“PH-"l Mflrl‘fl I‘m" . . Barrowlng'l'” I ___— Efficient. Frontier r The Assumptions of capital market theory 21/5233" 'r Markmvitz investors “mtg-j: 'r Unlimited risk-free lending and borrowing RF -" I I" 'r Homogeneous expectations ‘ ’ Risk“, p) 'r One - period horizon 'r Divisible assets ‘r E(Rp) =(l-\\-'M) Rr+ WME(RM) =Rt.+\\-‘E_\_I[E(RM)- Rr| r Fnetiortless markets 'r o Fax-M o M I No inflation and constant mlcrest ;, Capital Market Linc; HRP) =Rf+ g p X {15mm}- RT}; 0 M} ', Equilibrium 21.4: 5.3555 22.4: 5.3555 Portfolio Risk and Return: Part [1 Portfolio Risk and Return: Part I] r Systematic and Unsystematic Risk r Risk vs. Number of Portfolio Assets 'r Total risk: systematic risk+ unsystematic risk u (risk) min) (Total Risk= Capital Market Linc \ . . . . . . \ unsystematic nsk KIA-LfT”; -_ _ _._- lufficmit Frontier \ /— + systelnfllic risk) _—_..-. '_';I_II____ A Rt. - lfnsystenmtic Risk HRH , Risk(” 9) r l “E- “__7 Marl-wt risk -—-— _ _ _ systematic risk unsyslemnlic risk ( 0 Ink.) 1 S)-'slerii:ilie Risk 'r Required return only depends on portfolios systematic risk. 1 [101 its total risk. Number of securities in the portfolio 2:30 23.4: 5.3555 24.4: 5.3555 Portfolio Risk and Return: Part I] r Capital Asset Pricing Model CovI . E(R-.)=Rt-+fl-.[E(Rmi Hit-11 fisz) mkt ‘r E(Ri): expected return on risky asset 7 RF: risk free rate r E(Rmk‘) — Rf: market portfolio risk premium 'r' B i : systematieal risk of asseti 'r B i>< [E(l§nki) - Rf]: beta-adjusted market risk premium 25-4: fafififlt E \J“ (snowman: ‘I'.\.£I"lIIJ,I Portfolio Risk and Return: Part I] Figure 5: Regression of Asset Excess Returns against Market Asset Returns .'\\'i."5 ' 0 Ass“. Characteristic Linc Mut'kct llixi't‘hh Ri‘llilll {Ru RI} 26-41 fafififlt E \J“ (snowman: ‘I'.\.£I"lIIJ,I Portfolio Risk and Return: Part I] r Example: capital asset pricing model 'r l. The expected return on the market is 15%. tlte risk-free rate is 8%. and the beta for stock A is 1.2. Compute the rate of return that would be expected (required) on this stock. Answer: E(RA)=U,U8+l.2{(l,l5-U.[}8)=0.164 note: ["5 fl so E(R‘._\) } E(Rm,\.l) r 2. The expected return on the market is 15"". tlte risk-free rate is 8%. and the beta for stock B is 0.8. Compute the rate of return that would be expected (required) on this stock. Answer: E(RB)={I.{18+U.8(U. lS-[l.[}8)=0. 136 note: ['5 1i«<1 so E(Rn} < Emmi“) 21-4 1 [Azx u if} fiisflfi .Iunxr-tuJ91- Portfolio Risk and Return: Part I] r Security Market Line (SM L) MRI) Seeutih' Market Line (SML) / B mh=| Systematic Risk ( i5 I) 23-42 [Azx u if} fiisflfi .Iunxr-tuJ91- Portfolio Risk and Return: Part I] 'r Comparing the CML and the SML The applications of the CA PM and the SML Figure 9: Sharpe Ratios as Slopes HR) II I. — — ~ t- I“ CAL slope = Rm Rf /CM]_ flops = R Rf 2 RF: Rf “M an L-‘(RMJ . . R,- 294: 5.35 31:33 30-42 5.35 31:33 The applications of the CAPM and the SML The applications of the CA PM and the SML Figure 10: M‘squared for a Portfolio Figure 11: Treynor Measure and Jensen's Alpha HR: “m 'i-Up: - I'I't'w'lzrur :m'.1~1m [m i’tu'thuluu J‘ 31-41 / 5:\1l lemurs .‘llplm 32-41 |l €33} Efiflfi el'llrllNlla.I Outline Jr Study Session 12 'r Estimated weights in exam: 5% 'r Topics include: ‘rPortfolio Management: An Overview rPortfolio Risk and Return: Part I ‘rPortfolio Risk and Return: Part I] “rBasics of Portfolio Planning and Construction 33-4: if? fififlfi \:-ll(|'M!¢J\'|I' Investment Policy Statement (IPS) 'r The reasons for a written investment policy statement (l'PS) ', A written investment policy statement. the first step in the portfolio management process. is a plan for achieving investment success. An [PS forces investment discipline and ensures that goals are realistic by requiring investors to articulate their circumstances. objectives. attd constraints. 34-4: if? fififlfi \:-ll(|'M!¢J\'|I' The major components of an IPS i. Description of (‘t’ieat circumstances. situation. and investment objectives 2. Statetttent thite Purpose of the IPS 3. Statement of Ditties and Responsibilities ofinvestlttettt manager. custodian of assets. attd tlte client 4. Procedures to update IPS and to respond to various possible situations 5. im’esiiiteiit Objectives derived front co nttttunicatiotts with the client 6. [itl’esiiiie’i‘ti (T'tttts‘trrtints that must be considered in the plan 7. titties-intent (itiideiiiies such as how the policy will be executed. asset types permitted. and leverage to be used 8. Evaitmtiuit qf'Peijfiiriiiaitee, related to feedback on investment results 9. Appendices: may specify the ponfolio‘s strategic asset allocation (policy portfolio) or the portfolios rcbalancing policy. 35-4: if? fififlfi \:-ll(|'M!¢J\'|I' Risk and return objectives '1 Risk oifiectit-‘es are specifications for portfolio risk that are developed to embody a client’s risk tolerance. Risk objectives can be either ribs-attire (e.g.. no losses greater than l()% in any year) or relative (e.g.. annual return will be within 2% of FTSE return). 7 Return objectives are typically based on an investor's desire to meet a future financial goal. such as a particular level of income in retirement. Return objectives can be abmittte (e.g.. 9% annual return) or reiatit’e (e.g.. Outperform the S&P 500 by 2% per year). 'r The acltievability of an investor's i'etttm expectations may be hindered by the inventor's risk objectives. 36-4: if? fififlfi \:-ll(|'M!¢J\'|I' The investor‘s willingness and ability to take risk Liv Willingness to take financial risk is related to an investors psychological factors, such as personality type and level of financial knowledge. 'r Ability or capacity to take risk depends on financial factors, such as wealth relative to liabilities, income stability. and time horizon. 'r A client's overall risk tolerance depends on both his ability to take risk and his willingness to take risk. A willingness greater than ability, or vice versa. is typically resolved by choosing the more conservative of the two and counseling the client. 31-41 of.“ .I-llrlr~ui\t Investment Constraints 'rInvestment Constraints include: r Liquidity—f or cash spending needs (anticipated or unexpected) 'r Time ho rizon—tlic time between making an investment and needing the funds r Tax concerns—the tax treatments of various accounts. and the investor’s marginal tax bracket "r Legal and regulatory factors—restrictions on investments in retirement. personal. and trust acc0unts 'r Unique needs and preferences—constmints because of investor preferences or other factOIs not already considered 38-41 of.“ .I-llrlr~ui\t Strategic Asset Allocation Figtu-r l: Stnllcgi: Ann Mlncation Til: Vermonl Pen-dun Im-mmcn: Commuta- manage: uboul $3 billion in relimmem assets for various teachers and state and municipal employees in thal lute. VI‘IC’a investment polity specifies the rhllowing strategic asset allocation: Aim (Inn - - Esq-L: cash est- U.$. large-cap equin 12% [1.5. small i'xnit] up equity 6% Intemztmml (dew-Inpch equity 12% Emerging market equilv (flit U.S. bond. 11m1 Clalul lac-ml: 3% High -,-.(I.i bond.) see. Emerging mlrket debt 3% Inflation-plutnltd bun-ls 4% Real came 5% Hedge fund; ifih Priule equin 2% C(Illllllullillfl 0% Tacuui use! allocation Ind miter I596: _ 1w.” .._. ._.. . 39-41 _ _ -I-inr|r~ua\t Strategic Asset Allocation '1 Strategic asset attacartaa is a set of percentage allocations to various asset classes that is designed to meet the investor's objectives. The strategic asset allocation is developed by combining the objectives and constraints in the IPS with the performance expectations of the various asset classes. The strategic asset allocation provides the basic structure of a portfolio. 'r Tactical asset atlocattan refers to an allocation that deviates from the baseline (strategic) allocation in order to profit from a forecast of shorter- term opportunities in specific asst clasScs. 4:141 -I-inr|r~ua\t 41-41 THE END ...
View Full Document

Page1 / 11

V1_20110108&auml;&cedil;Š&aelig;&micro;&middot;&aring;&curren;&aelig;—&brvbar;CFA&auml;&cedil;€&cce

This preview shows document pages 1 - 11. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online