CFA-权益

这是一篇关于权益的思维导图，主要内容包括：R1 Introduction to equity portfolio management，R2 Passive equity investment，R3 Active equity investing strategies，R4 Active equity investing:portfol.

权益

• R1 Introduction to equity portfolio management
  • 1-The roles of equity portfolio
    • I. Capital appreciation
      • i. 强劲的经济增长
      • ii. Growths in earnings,cash flows,revenues,competitive success
    • II. Dividend income
      • i. common dividend
      • ii. preferred dividend
    • III. Diversification with other asset classess
      • i. Returns less than perfectly correlated
      • ii. correlations are not constent
    • IV. Hedge agsinst inflation
      • i. passing along higher input costs protect profit margin
      • ii. Real retuen on equities and inflation have positive correlation over the long-term
      • iii. For severe inflationary periods real return and inflation have been negative correlated
    • V. CLient considerations for equities in portfolio
      • i. IPS
      • ii. ESG
  • 2-Equity investment universe
    • I. Segmentation by size and style
      • i. size:large medium small
      • ii. style:value core growth
      • iii. Advantages:
        • straightforward\manageable
        • diversification
        • performance benchmarks
        • changing growth /value orientation
      • iv. Disadvantages:
        • 分类会随时间变化
    • II. Sagmentation by geography
      • i. Advantages:
        • useful fou investors to invest domestic market
      • ii. Disadvantages:
        • lower than expected exposure
        • currency risk
      • iii. developed \emergency\frontier
    • III. Segmentation by economic activity
      • producetion-oriented approach一
      • market-oriented approach
      • Advantages:
        • construct performance benchmarks for sopecific sectors
        • also obtain better industry representation(diversification)
      • Disadvantages:
        • more than one industry or sub-industry
      • GICS——唯一采用market-oriented方法
      • ICB
      • TRBC
      • RGS
    • IV. Segmentation of equity indexes and benchmarks
  • 3-Income and costs in an equity portfolio
    • Income , ancillary strategies
      • dividend income and securities lending income
      • dividend capture 除权日之前买股票，除权日之后卖出，可以得到股利
      • selling options 获得期权费
        • writing a covered call
        • writing a cash- protective put(cash -secured put ) short put +cash
    • costs and fees
      • trading casts
        • impact cost冲击成本，一次性进入市场造成的 \ delay cost滞后成本
      • management fees,poformance fees
      • administration fees
      • marketing and distribution costs
    • investment approach and effects on costs
  • 4-Shareholder engegement
    • Benefits
      • more effective governance culture
      • more information
      • free ride problem 搭便车
      • stakeholders are influenced
      • ESG consideration
    • Disadvantages
      • time consuming
      • focus on near target at the expense of long term goals
      • selective disclosure and insider trading
      • conflict of interest
    • roles
      • activest investing
      • voting
        • proxy voting
        • empty voting
  • 5-Equity investment across the passive-active spectrum
• R2 Passive equity investment
  • Choosing a benchmark
    • index as a basis for investment
      • rules based
      • transparent
      • investable
        • buffering
        • packeting
    • considerations when choosing a benchmark index
    • index construction methodologies
      • market -cap weighting
        • Mean variance efficient最好
        • no limit market capacity
        • market effcient hypothesis
      • price weighting
        • 分母要调整
      • equal weighting
      • fundamental weighting
        • 市场是不有效的
      • the effective number of stocks
    • factor-based strategies
      • return oriented
        • momentum index
      • risk oriented
        • 按 volatility index
      • diversification oriented
        • 量化模型，计算diversification ratio
  • approches to passive equity investment
    • pooled investment
      • open end mutual fund
      • ETFs
        • 可以做保证金交易margin trade
    • detivative based
      • options and futures
      • 作用：overlay 叠加
        • 将少量多余的现金投资于衍生品
      • benefit and drawbacks
        • benefits: adjust portfolio exposure quickly and at a low cost
        • drawbacks:
          • rolling over
          • restrictions by regulartor
          • suitable contract
          • basis risk with equity index futures
          • conterparty liquidity
          • interest rate and tax policy risk with swaps
    • separately managed equity based
  • portfolio construction
    • full replication
      • 跟踪误差最小
        • U-shape
    • stratified sampling
      • 跟踪误差最大
    • optimization
      • 跟踪误差介于之间
    • blended approach
  • tracking error management
    • 产生的原因
      • manangement fee
        • buffering\ packeting,reduce fee
      • intra-day tracking
        • trading in close price
      • cash drag
        • 现金拖累
          • reduce cash; overlay;通过衍生品跟踪指数
      • sample portfolio
        • full; u-shape
  • sources of reutrn and risk in passive portfolio
    • 子主题
    • 子主题
    • 子主题
• R3 Active equity investing strategies
  • Approached to active management
    • fundamental approach
      • subjective;discretionary
      • financial information
      • small group ,indepth analysis
      • judgement,human skill
    • quantitative approach
      • objective;systematic ; nan-discretionary
      • historic data
      • large group; factor analysis
      • portfolio optimazer
  • types of acive management strategies
    • bottom up strategies
      • value based approach
        • deep value
          • expert
        • contranrian逆向投资
          • mean reverting
        • restructure distress
        • relative approach
          • PE
          • PB
          • PCH
          • 低
      • growth based approach
        • GARP
          • growth at resonable price
            • PEG
    • top down strategies
      • sector and industry rotation
      • country and geographic
      • volatility-based
      • thematic investment strategies
    • factor based strategies
      • hedge portfolio approach
        • factor mimicing portfolio
          • long max 10%
          • short min 10%
      • research factor timing
    • active strategies
      • voting: 短期目标和长期目标的冲突
        • staggered board锁定席位
        • dual class share同股不同权
    • other strategies
      • 量化
        • strategies based on statistical arbitrage and market
          • pair trading
      • 基本面
        • event driven strategies
  • creating a fundamental active investment strategies
    • the fundamental active investing process
      • 依赖基金经理的能力
    • pitfalls in fundamental investing
      • 各种behavioral bias
        • confirmation bias
        • illusion of control
        • availability bias
        • loss aversion
        • overconfidence bias
        • regret aversion bias
      • value and growth traps
  • creating a quantitative active investment strategies
    • the quantitative investment process
      • Pearson CI and Spearman rank IC
    • pitfalls in quantitaitve investment
      • survivorship bias
      • look ahead bias
      • data mining
      • overfitting
      • quant crowding
      • transaction cost
  • equity investment style classification
    • different approaches to style classification
      • holeding based style analysis(HBSA)
        • Morningstar;Thomson Reuters
          • net style score = growth score - value score
        • MSCI ; FTSE Russell
          • Z- score
      • return based style analysis(RBSA)
        • the analysis attributes fund returns to selected investment
    • strengths and limitation of style analysis
• R4 Active equity investing:portfolio construction
  • building blocks of active equity portfolio construction
    • • ε包含 lucky & unlucky
    • first building blocks :rewarded factors
      • strategic allocation
        • 因子的敞口
    • second building blocks: alpha skills
      • 基金经理的择股和择时能力
        • 因子的择股和择时能力
        • unrewarded factor
    • third building blocks : sizing position
      • idiosyncratic risk
        • 非系统性风险
      • • IC:基金经理判断的准确程度
        • TC：判断的转化能力
        • BR：独立决策的次数
          • 基金经理自己能控制
        • :Active risk
    • integrating the building blocks:breadth of expertise
  • Approaches to portfolio construction
    • choise and approaches
      • • Cross correlation的影响
      • active share ; active risk : factor exposure relationship
        • 4句话
    • objective and constraints
      • absolute framework
      • relative framework
  • Allocation the risk budget
    • absolute and relative measures of risk
      • absolute
      • relative
    • determining the qpproapriate level of risk
      • leverage 的影响
  • Additional riak measures used in portfolio construction and monitoring 其他风险
    • heuristic constrains
      • 经验值
    • formal constrains
      • VaR, CVaR
    • the risk of being wrong
  • implicit cost - related considerations in portfolio construction
    • implicit cost
    • cost of slippage
  • the well construted portfolio
    • clear philosophy
    • promised
    • risk efficient
      • 哪个组合的成分股更集中？
    • reasonably low cost
  • long /short , long extension , and market neutral portfolio construction
    • long only investing
    • long 、short portfolio construction
      • enhanced active equity strategies
      • market neutral portfolio construction