CFA二级组合总结

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组合

• R43 ETF(跟踪指数，passive) mechanics and applications
  • 1.mechanics
    • two markets
      • primary(over the counter basis)
        • 人
          • sponsor/issuer
          • APs(authorized participants)
            • motivation：套利
        • transaction
          • in-kind
      • secondary
        • 交易intra day
  • 2.best-managed ETFs feature
    • low and predictable investment costs
      • closely track the index
        • lowest possible tax exposure
  • 3.ETF analysis
    • expense ratio
      • charge lower fees than mutual funds
        • issuer不需要track个人账户,不承担交易成本（AP承担）
        • passive（不需要做active research）
    • index tracking
      • periodic tracking
        • Tracking error（计算式：年化） is reported as the annualized standard deviation of the daily differential returns of the returns of the ETF and its benchmark
        • 缺点：不反映Rb，Rp的大小关系
          • daily differences
          • rolling holding periods
            • 均值随时间变化；cumulative effect
      • tracking error source
        • change to the undering index securities(quartly basis,影响小
    • tax treatment
      • distribute less in capital gains than mutual fund
        • tax fair
          • 投资者的sell不影响tax lia
        • tax efficiency（tax lot management
          • unrealized gains largest in-kind
    • potentail costs and risks
  • 4.cost
    • management fee
      • 去年化
        • ongoing cost
    • commission
    • trading cost（market cost）
      • bid-ask spread（liq+,spread-）
        • size
          • hedging
    • t uncorrelated
      • transaction cost
    • ETF Premiuns and discounts涉及计算
      • end-of-day
        • (ETF price-NAV per share)/NAV per share
      • intra-of-day
        • (ETF price-iNAV per share)/iNAV per share
      • 产生因素：time difference；stale pricing（trade infrequently）
      • When ETF trading at premium（share price>iNAV） to intra NAV,AP buy creation basket,还成股票，二级市场卖出
    • 相关概念：
      • p30表
  • 5.risk
    • counterparty risk
      • settlement risk
        • security lending
      • ETN
        • 无股票抵押
    • fund closures(sponsor不运营)
      • regulation；cpmpetition；corporate action；软终止：（creation halts；change in investment strategy）
    • investor-related risk（expectation-related risk）
  • 6.application
• R44Multifactor models
  • 1.APT
    • E(RP)=Rf+b1λ1+b2λ2...（无误差项）
      • λ:factor risk permium/factor price
        • 某一市场因子所带来的风险溢价
    • 完美市场下，理论收益率，not real。
    • assumption：well-diversified portfolios;no arbitrage opportunity
    • 运行：套利计算
  • 2.Multifactor models
    • macroeconomic factor
      • Ri=E(Ri)+b1F1+b2F2+..+ξ
        • Fi：surprise=actual value-predited(expected)value
      • 回归：time series;根据F求出bi
    • fundamental factor model
      • Ri=ai+b1F1+..ξ
        • bi:standardized beta（binary variables）;eg:b1={(P/E)1-P/E平均值}/σp/E
      • 回归：cross-sectional data
        • 根据b求F
      • b:真实值距离均值的偏离有几个单位；F：每偏离一单位收益率会变化多少
    • statistical factor model
      • 优点
        • minimal assumption
      • 缺点
        • 有可能没有经济学含义，无法进行充分的解释，解释力度低
    • 注：most sensitivity to the combined surprise 以绝对值为准 系数为0，surprise不一定为0，还有benchmark
  • 3.application
    • active return/value addde(Rp-Rb
      • 来源
        • return from factor tilts;(Bp-Bb)F
          • 对b的超配低配,reflect the manager skill in asset class selection
        • return from security selection
          • ξp-ξb,reflect the manager skill in individual asset selection
    • active risk
      • active return的标准差：S(Rp-Rb)
        • Rp越偏离Rb，TE越高，承担更多风险
    • information ratio
      • mean active return/active risk
        • best IR 非负
    • active risk squared{单位：(%)平方}=active factor risk+active specific risk
    • risk attribution
    • portfolio constrution
      • rules-based active management
        • E(Rp)=Rf+B1F1+B2F2+B3F3+B3F4
• R45Measuring market risk
  • 1.VaR/downside risk/left-tail risk
    • 影响因素：time horizon;probability;minimum loss
      • 小概率下的最小损失，大概率下的最大损失
    • limition
      • failure to take into account liquidity；低估损失
    • extension of VaR
      • conditional VaR(ave loss);incremental VaR;Marginal VaR;Relative VaR
  • 2.VaR计算方法
    • analytical/variance-covariance/parameter method
      • assumption:normal distribution
      • VaR=|Rp-z*ξ|*Vp
        • 转换（base annual）：monthly12、weekly52
        • 5%VaR=1.65;1%VaR=2.33
      • 优缺点
        • 缺点：非正态分布不适用。eg：option
    • historical method（本质分位数
      • 优点
        • does not assume a return distribution
      • 缺点
        • 历史会重复，然而历史不等于未来
    • monte carlo method(数据是模拟出来的)
      • 次数越多，越趋近于正态分布
        • multiple input variable change
      • 缺点：costly,complex流程，主观
  • 3.Other risk measure
    • stress test：one single variable extreme change
    • scenario analysis(multiple input varible
      • historical
      • hypothetical
    • sensitivity优缺点
      • 优点：专一特点比较。缺点：不同特点无法比较
  • 4.application
    • 相关概念
      • drawdown；surplus at risk;
      • risk budgeting;position limits;liquidity limits;stop-loss limits;economic capital

组合2

• R46Economic and investment markets
  • Ri=Rf+Rp(经济影响具体factor)
    • Rf or l
      • real default-free bond(TIPs):P0U0 and U1(消费理论)
      • m=p0=U1/U0:Inter-temporal rate of substitution
        • 预示未来经济（有钱）好，U0+,U1-,m-
      • one period
        • rf real=(1-p0)/p0=1/m-1
          • rf,m反向关系（return+，current consumption+）
      • s-period
        • p=risk neutral present value+covariance term
        • covariance term
          • >0
            • 经济差，战乱买黄金
          • <0
            • for most risky assets with risk-averse investor
      • 相关关系
        • cov（r real or GDP, m）<0
          • cov(GDP orξ（GDP），rf real)>0
    • θ+∏
      • nominal interest rate
      • θ+∏:break-even inflation rate(BEI)
        • θ:inflation ∏：uncertainty of inflation
      • short term
        • 有θ无∏
      • long term
        • cov（GDP,∏）>0
        • Yield curve
          • an inverted yield curve is often read as being a predictor of recession
    • γ
      • credit spread=yield on corporate bond-yield on gov bond
        • 经济+，spread-
      • 影响因素
        • rating：经济好，选rating差的；经济差，选rating好的
        • 周期性行业，risk高
    • k
      • the equity premium relative to credit risky bonds
      • good consumption hedge:gold、短期美元国债
        • bad-：房地产，衍生品
    • Φ
      • 流动性溢价
      • real-estate:both bond-like and stock-like
• R47Active portfolio management
  • 1.value added
    • active return=portfolio return-benchmark return
    • decomposition画图计算
      • 上图security selection
      • 下图asset allocation
  • 2.construct optimal portfolio
    • 概念相关：
      • 超配少配现金（rf相关）不影响sharp ratio
      • 超配或少配benchmark不影响unconstrained information ratio
    • 构建
      • 最优条件下，SR平方p=SR平方b+IR
      • 最优组合下，σA新=IRp/SRb*σb
      • Wp=σA新/σA
  • 3.IR
    • IR=TC*IC*根号下BR
      • BR,IC不能单独上升
      • TC可单独上升
        • TC+,投资流动性好，限制条件少的市场
    • IC Information coefficient:反映预测能力
      • correlation between the forcasted active returns and the realized active return
    • TC transfer coefficient:反映执行能力
      • correlation between active weight and forcasted active return
      • basic(full) fundamental law,完美市场TC=1(TC不等于1)
      • TC平方=explained/total variation
        • 1-TC平方=unexplained/total variation
    • [-1,1],越趋近于1，能力越强
    • BR：independence of investment decision
      • BR=N/[1+(N-1)ρ]
        • ρ表示2次预测的相关性，区间[0,1];趋近于0，BR+;趋近于1，BR-
        • 反映基金经理的努力程度，BR+,一段时间的独立预测次数越多
• R48Trading costs and electronic markets
  • 1.trading cost
    • type
      • fixed
      • variable（与volume有关）
        • explicit
        • implicit
          • bid-ask spread;market impact;delay cost;opportunity costs
    • 相关概念
      • market bid-ask spread(inside spread)
        • best ask - best bid
      • midquote price=(bid+ask)/2
    • implicit transaction cost estimation
      • 基本
        • buy：transaction cost=price-benchmark;sell:TC=B-P(B=Midquote price)
      • effective spread
        • effective spread=TC*2
        • 缺点：未考虑delay cost，opportunity cost
      • implementation shortfall
        • =paper return理论收益率 - actual return
        • 考虑了market impact costs,delay costs,opportunity cost
      • VWAP
        • 计算
          • 1.benchmark and portfolio 的doallor volume；2.doallor volume/# =VWAP.3相减
        • 优缺点
          • 适用于多个交易
            • 缺点：trader的交易，直接下大量买单
  • 2.electronic trading
    • market frafmentation
      • same instrument in multipe venues
    • types
      • high-frequency traders（下单次数多）VS low-latency traders
      • major tyle:5
    • hidden order用IOC(Immedicate or cancel)to discover
    • front running老鼠仓
      • wash trading倒仓
        • gunning the market做空价格