CFA-Capital market expectation

这是一篇关于Capital market expectation的思维导图，主要内容包括：part 1 :Framework and macro considerations，Part2:forecasting asset class returns。

Capital market expectation

• part 1 :Framework and macro considerations
  • Framework and challenges for developing CME
    • Bili ean and Sam Kim are two portfolio managers charged with developing capital market expectations, jean's investment scope:is limited to US and Eurozone equity markets, Asian sovereignbonds Us aovernment bonds, and New Zealand altematve inwestments,The investment obiective of lean incudes alobal tacica aset alocation proprams aswelas ono-term arowth and incomeKim focuses on Canadian equies and Canadian investmen grade bonds for ong-term captalgrowth.Wwhich of the foowing sitatements abouthe knowedge and information requirements of eanand Kim is least likely correct? A Jean is more insistent on being familiar with various sources of knowledge, including poltical, social, and economic areas compared to Kim. B Kim’s focus is on the long-term situation and Jean’s focus is on the near-term and long-term situation. C Compared with Kim, Jean needs to be more familiar with corporate and municipal debt securities. 正确答案:C你的答案:C全站正确率 64.8%,全站被做次数 261 次 考点:●framework & challenges in forecasting 解析: Jean的组合包含美国和欧洲的股票市场，亚洲和美国的主权情以及新西兰的另类市场，并不包括公司债券，因此an不太需要了解公司债相关的信息，而Km的组合包含加拿大的投资级别债券，包合部分高品质公司债和市政债，因此Kim更需要了解相关的知识。选项C描述错误，符合题意，是正确选项。对于选项A，由于Jean的投资组合更加全面和广泛，因此Jean对于各种知识和信息的要求会更高，所以选项A描述正确，不符合题意，为错误选项。对于选项B，jean的投资目标既有组合的长期增值，也有短期的战略配置。而Kim更加关注长期增长，所以选项B的描述正确，不符合题意，为错误选项。
    • Framework (7 steps)
      • Montoring actual market outcomes and companing them with analysis expectations is vitalinthe fameworkfor developing capital market expectations, When measunng the acuracy of marketexpectations against actual market data, it is important to ensure that the market forecasts are: A ensuring internal consistency across asset classes and over various time periods. B eliminating the size of forecasting errors. Cwell researched as well as being subjective and unbiased. 正确答案: A 你的答案: A 全站正确率 72.1%,全站被做次数 265 次 考点:oframework & challenges in forecasting 解析: 在对资本市场进行预期的过程中，监控实际结果并将其与预期结果进行比较，提供比较以及反债并改进期望的设定过程，是非常必须且有效的，其中，一个好的市场预期要保证是内部一致的，无论是跨资产类比，还是跨时间周期，因此选项A的描述是正确的，符合题意，是正确选项。 对于选项B，一个好的市场预期要尽可能减少，但不可能完全消除预期错误。因此，该选项错误。对于选项C，好的市场预期应该是客观且无偏的。因此，该选项错误。
      • expectations needed
      • historical record
      • specify metheds and models
      • best sources
      • environment
      • document
      • monitor and feedback
    • Challenge 9
      • Bob Lehigh Case Bob Lehigh is a capital markets consultant for the New York Doctors’Retirement System(NYDRS). Lehigh is meeting with the NYDRs board to present his capital market expectationsfor the next year. Board member Keynes Lively asks Lehigh about the possibility that datameasurement biases exist in historical data. Lehigh responds:"One bias results from the use of appraisal data in the absence of market transaction data.Appraisal values tend to be less volatile than market-determined values for identical assets. Asa result, measured volatilities are biased downward and correlations with other assets tend tobe exaggerated."Board member Arnold Brown asks Lehigh about the use of high-frequency (daily) data indeveloping capital market expectations. Lehigh answers, "Sometimes it is necessary to usedaily data to obtain a data series of the desired length. lronically, high-frequency dataimproves the precision of sample variances, covariances, and correlations but not the precisionof the sample mean, High-frequency data are more sensitive to asynchronism acrossvariables." Lively states that he recently read an article on how to forecast the volatility of asset returnsHe makes the following three statements based on his understanding.Statement1: Main advantage of the sample variance-covariance matrix is that the number oiassets can be very large relative to the number of observations.Statement2: The sample variance-covariance matrix is an unbiased estimate of the true VCvstructure. Statement3: Multi-factor model is popularly used in forecasting volatilities, but the maindrawback is inconsistent and biased.
      • Limitations to using economic data
        • time lag迟滞效应
        • data official revisions数据的官方修正
        • definitions and methodology change定义和计算方法的变化--印度修改GDP计算方法
        • re-based基年数据的调整
      • Data measurement errors and biases
        • Transicription errors转录错误
        • Survivorship bias幸存者偏差
        • appraisal data评估的数据，过于平滑的数据
      • Limitations of Historical estimates
        • historical data not be representative of future
        • poor estimate
        • changes in regime and statistical problem of nonstationary政权变更和统计学上的非稳态问题
        • long term period is preferable尽可能使用比较长的历史数据
        • data frequency--high-frequency data-asynchronous日数据作为高频数据，引起了统计学上的异步性问题
        • skewness and fat tail
      • Ex-post risk as a biased risk measures of ex-anti risk 事后分析的风险对未来风险进行事前预测可能是有偏的的
        • reflection of negative events
          • Peso problem
          • underestimate ex-anti risk, overestiate ex-anti anticipated return低估风险，高估收益
        • opposite situation
      • Biases in analysts'metheds
        • Aex Jones, f,discovered the domestic stock index retums manifested some approximatelylinear relationship with the other country's stock index retums duning December 2021.Jones doubtedwhether the two markets really affected each other since there could be some problems except: A data-mining bias. B smoothed data problem. C time-period bias. 正确答案: B你的答案: B 全站正确率 59.1%，全站被做次数 687 次 考点:●framework & challenges in forecasting 解析: 答案:B 解析: 被平滑的数据一般出现在使用评估模型时，由于资产缺乏流动性，因此部分数据会采取评估的方式，这样会导致波动性被低估，而股票作为流动性较好的资产，其回报率很好获得，不需要采取评估模型，Jones的分析中不存在平滑数据的问题，因此正确选项为B。 对于选项A，数据控掘信差是指在分析数揭时，由于过多依赖控掘过程，从而将一些可能只是巧合的数据特征当做会重复出现的经济规律，由此产生的深差、国内市场和他国市场股票指数存在近似线件联系可能只是巧合，所以可能存在数据挖掘偏差，与题意不符。因此，该选项错误。 对于选项C，时间段信差是指由于选择仅涵盖特定时间段的观测值而导致的采样误差，时间段偏差可能导致不准确的结果，Jones的采样时段仅限于12月，所以是存在时间段候差的，与题意不符，因此，该选项措误。
        • Data mining bias数据挖掘偏差——no story ,no future
        • Time period bias时间段偏差--调整时间段可能导致分析结果大不相同
        • analysts should examine the economic rationale and examine the forecasting ralationship out of sample分析师需要检查经济学原理，并做样本外推
      • Failure to account for conditioning information
        • unconditional expected return--例题
          • conditional information
          • unconditional information
          • 分析师不能忽略相关的信息
      • Misrepresentation of correlations相关性的错误理解，是否存在经济学意义上的联系
        • 线性相关 非线性相关
        • 倒果为因
      • Psychological biases行为心理学偏差
        • 高顿练习题 Ben Nate is a green hand at investment analysis . Now he is delivering a report about equity market expectations in Country A . However , the stock indexes are turbulent and generating negative returns at the moment because of the woridwideepidemic . Without adequate investigation or objective evidence , Nate concludes that it is a bad decision to allocate assets in Country A since the economy is expected to go through a downturn What is the most likely bias that Nate should be？ 本·内特是投资分析方面的新手。现在，他正在发表一份关于a国股市预期的报告。然而，由于全球范围内的疫情，股指目前处于动荡状态，并产生负回报。在没有充分调查或客观证据的情况下，内特得出结论，在a国分配资产是一个糟糕的决定，因为预计经济将经历衰退。内特最有可能的偏见是什么？ A prudence bias: B Availability Bias C Confirmation bias 考点:●framework & challenges in forecasting 解析: 答案:B 解析: Nate在分析A国的股票市场的时候，只是根据近期度情的影响导致股价指数下跌就做出了不该在该国投资的结论，显然是受到了近期数据的影响，并给与近期数据更高的到断依据权重，屋于可得件信差，因此正确选项 为B。 对于选项A，谨情性偏差是指在得出极端结论时调整预测以使结果不显得极端，或在预测时过于谨慎的倾向。该选项不符合题意。因此，该选项错误。 对于选项C，确定性偏差是指倾向于寻找并重视能证实自己已有信念的证据或信息，而忽视与这些信念相矛盾的证据。该选项不符合题意。因此，该选项错误。
        • prudence biase
        • conservatism bias 保守偏差：对新信息没有充分吸收，仍旧保持先前的观点或预测
        • anchoring biase锚定偏差
        • status quo bias 懒惰，喜欢沉迷于舒适区而不想做出改变
        • confirmation bias确认偏差：只关注赞同自己的观点，忽视反驳自己的观点
        • overconfidence bias过度自信
        • availability bias易得性偏差，投资过程中倾向于应用已有的、容易获得的信息，而不是真正正确的信息
        • hindsight bias事后诸葛亮
        • framing bias框架偏差--提问方式框住答案
        • mental accounting bias 心理账户
        • loss aversion bias 损失厌恶
        • self-control bias 缺乏自律而无法达成投资目标
      • model uncertainty模型的不确定性
        • model uncertainty
        • parameter uncertainty
        • input uncertainty
  • Macroeconomic analysis
    • Analysis of economic growth--trend analysis 趋势分析
      • Exogenous shocks to growth外生冲击
        • Which of the following would least likely be deemed as an exogenous shock? A The trend growth of the economy has changed its direction; however, market prices have already reflected this transition B Government policies are shifting from hostile competition to friendly cooperation. C Geopolitical tensions shift funding from infrastructure to military.
        • defination:anticipated evens
        • Causes 6个
          • change of government policy
          • new products and technology
          • geopolitics地缘政治
          • natural disasters
          • natural resourses/ critical inputs
          • financial crises
      • Analysis of GDP
        • decomposition of GDP
          • growth of labor inputs
            • growth in potential labor force size
            • growth in actural labor force participation
          • growth in labor productivity
            • growth from increasing capital niputs"capital deepening"
            • growth in total factor productivity
          • 主观题
          • 公式1
            • • 总产出=技术*资本*劳动力
            • • 总产出增长率=全要素增长率*资本的增长率*劳动力的增长率
        • Anchoring bond return to trend growth
        • Anchoring equity return to trend growth
          • 从长期角度来看，the growth rate of the total value of equity in an economy is linked to the growth rate of GDP
            • • 权益市场的总体市值=GDP*全部股份数*PE整个股票市场的市盈率
              • 分红收益率
    • Approaches of economic forecasting经济预测方法
      • 三种方法
        • 计量经济学方法-Fama french three factors approach
        • 领先指标法--能够预测经济拐点turning point
        • 问卷调查法
    • Business cycle analysis
      • monitoring the business cycle
        • GDP growth
        • IP industrial production
        • employment\unemployment
        • PMI purchasing managers indexes
        • orders and durable goods
        • out gap
          • 产出缺口=实际GDP-潜在GDP
      • Inflation implication
    • Analysis of monetary and fiscal policy
      • Monetary
        • countercyclical
      • fascal policy
        • countercycle
        • loose fiscal policy _increasing spengding and decreasing taxes,increasing budget deficit
      • shape of yield curve
    • International interactions
      • 蒙代尔-克鲁格曼不可能三角形：不可能同时存在的事务：
        • unrestricted capital flow
        • fixed exchange rate
        • independent monetary policy
• Part2:forecasting asset class returns
  • overview and adjustment to a global portfolio
  • forecasting specific assets return
    • fixed income
      • Approaches
        • Discounted cash flow
          • Expected of fixed income
            • 需要知道未来现金流和现金流到期的时间
            • YTM=discounted rate =IRR
              • 不违约
              • 到期现金流以YTM再投资
              • 持有至到期
          • Realized return of fixed income
            • 受capital loaa/gain&reinvestment income 的影响
        • Risk premium approach
        • Equilibrium model
        • Building block approach
          • short-term default-free rate:与预测期限匹配的高质量高流动性债券，实际为government zero-coupon bill;负利率时，需要adpot a norminalized rate
          • Term premium: Positive ,related to duration
          • Credit premium: 承担违约损失风险的补偿；credit spreads
            • Structual credit models
            • Reduced-form credit medels
          • Liquidity premium:
      • Risk in emerging market bonds
        • Economic risk (ability to pay)
          • Fiscal deficit to GDP:大于40%danger
          • Debt to GDP:>70-80%
            • Foreign debt >50%
            • Foreign exchange reserves>100%
          • Investor expect a real growth rate at least 4%
        • Political and legal risks (willingness to pay)
    • equity
      • Grinold-Kroner Model
        • Approaches
          • Historical statistics approach
            • Shrinkage estimateors
          • DCF approach
            • GK model
            • 对比固收
              • GK两位教授对E(Re)=D/P+g进行了修正:考虑了股票回购；考虑了投资者情绪P/E
          • Risk premium approach
            • An equilibrium approach
            • ST model
            • 对比固收
        • GK model
          • 本质是DCF Model的应用
          • 短期公式
            • • 公式代表的含义
              • 回购：股票数减少，-S；增发：股票数增加，+S
              • D id D1,是第一期的D；P是P0，是第0 期的P
          • 长期公式
            • • 中期再加
          • Cyclically adjusted P/E(CAPE)
      • SK model
        • CAPM&ICAPM
          • RP=E(Ri-Rf)
        • SK Model
          • Step1:
            • 子主题
          • Step2:
          • Step3:
      • Risk in emerging market equities
        • less fully intergreted
    • real estate
      • 特点
      • cycles
        • Boom
        • Bust
      • Caplitalization rate
        • Earning yields
        • 资本化率受哪些影响
          • riskier property types ,lower-quality properties,less attractive lacations,cap rate higher
          • Pro-cyclical:cap rate rise or fall with the long-term interest rates
          • sensitivi to credit spreads and availibility of credit ___countercyclical nature of credit spreads mitigates the cyclical of cap rate
          • high vacancy induce higher cap rates
      • Expected rate of return for real estate
        • • 比较GGM
        • NOI is norminal measure,incorprating real growth plus inflation
        • 长期：
          • 比较GK Model
      • Risk premium
        • Term premium
        • Credit premium
        • Equity premium
        • Liquidity premium
      • Public & private real estate
    • currencies
      • 1.Focus on Goods and Services,trades,and the current account
        • Trade flows
        • Purchasing power parity(PPP)
        • Current account and exchange rate
      • 2.Focus on capital flows:impalications of capital mobility
        • Perfect mobility
        • Segments
          • Money market:1
          • Goverment bond:1-2
          • Corporate bond :1-3
          • Pbuliv traded equitied:1-4
          • Private assets: all
        • "Overshoot"
        • Uncovered interest rate parity (UIRP)
        • Rapid economic grwoth
  • Estimation of Variance-Covariance Structures
    • Estimating a Constant VCV Matrix with sample statistics
      • Two main problems
• 不考
• long-term productivity growth rate
  • growth in increacing capital inputs
  • growth in TFP
• long -term growth rate of labor force
  • growth in potential labor fprce size
  • growth in actual labor force participation
• potential GDP growth rate