CFA三级基础段:交易、绩效评估和经理选择(打印版).docx

上传人:王** 文档编号:706664 上传时间:2023-12-15 格式:DOCX 页数:79 大小:601.02KB
下载 相关 举报
CFA三级基础段:交易、绩效评估和经理选择(打印版).docx_第1页
第1页 / 共79页
CFA三级基础段:交易、绩效评估和经理选择(打印版).docx_第2页
第2页 / 共79页
CFA三级基础段:交易、绩效评估和经理选择(打印版).docx_第3页
第3页 / 共79页
CFA三级基础段:交易、绩效评估和经理选择(打印版).docx_第4页
第4页 / 共79页
CFA三级基础段:交易、绩效评估和经理选择(打印版).docx_第5页
第5页 / 共79页
CFA三级基础段:交易、绩效评估和经理选择(打印版).docx_第6页
第6页 / 共79页
CFA三级基础段:交易、绩效评估和经理选择(打印版).docx_第7页
第7页 / 共79页
CFA三级基础段:交易、绩效评估和经理选择(打印版).docx_第8页
第8页 / 共79页
CFA三级基础段:交易、绩效评估和经理选择(打印版).docx_第9页
第9页 / 共79页
CFA三级基础段:交易、绩效评估和经理选择(打印版).docx_第10页
第10页 / 共79页
亲,该文档总共79页,到这儿已超出免费预览范围,如果喜欢就下载吧!
资源描述

《CFA三级基础段:交易、绩效评估和经理选择(打印版).docx》由会员分享,可在线阅读,更多相关《CFA三级基础段:交易、绩效评估和经理选择(打印版).docx(79页珍藏版)》请在优知文库上搜索。

1、.Trading,PerformanceEvaluation,and)ManagerSelection/.CFAn井J条高军人Jcy映ShX向m加悔士乞StudySession1-2StudySession3TopicinCFALevelIIIContentETHICS&PROFESSIONALSTANDARDS(1)&(2)BEHAVIORALFINANCEStudySession4StudySession5StudySession6StudySession78StudySession9-10StudySession11StudySession1213StudySession14StudyS

2、eSSiOn15StudySession1CAPITALMARKETEXPECTATIONSASSETALLOCATIONANDRELATEDDECISIONSINPORTFOLIOMANAGEMENTDERIVATIVESANDCURRENCYMANAGEMENTFIXED-INCOMEPORTFOUOMANAGEMEM(1)&(2)EQUITYPORTFOUOMANAGEMENT&(2)ALTERNATIVEINVESTMEMSFORPORTFOUOMANAGEMENTPRIVATEWEALTHMANAGEMENT&(2)Portfouomanagementforinstitutional

3、investorsTRADING,PERFORMANCEEVALUATION,ANDMANAGERSELECTIONcasesinPortfouomanagementandriskmanagement2-207 Framework专业因断nI1ISS15:Trading,PerformanceEvaluation,andManagerSelectionTrading,PerformanceEvaluation,andManagerSeIectionR34TradeStrategyandExecutionR35PortfolioPerformanceEvaluationR36Investment

4、ManagerSeIectionM亚金斯!SUTradeStrategyandExecution4-207专业国新muFramework1.MotivationstoTrade2.TradingStrategiesandStrategySelectionTradeStrategyInputsReferencePricesTradeStrategies3.TradeExecution(StrategyImplementation)TradeImplementationChoicesAlgorithmicTradingComparisonOfMarkets4.ImplementationShort

5、fall5.EvaIuatingTradeExecution6.TradeGovernance5-207M业Hfjmn1.MotivationstoTradePortfoliomanagersneedtotradeIheirportfolioholdingstoensurealnmentwiththefund,sunderlyinginvestmentstrategyandobjectives.ProfitseekingRiskmanagement/hedgingneedsCashflowneedsCorporateactionsindereconstitutions/margincalls1

6、.1ProfitseekingProfitseekingTheprimaryaddedvaluethatmostactivemanagersseektoprovideisriskadiustedOUtDerformarKerelativetotheirbenchmark.Tradeurgency&alphadecayTradeurgencyreferstohowquickly(aggressively)orslowly(patiently)theorderisexecutedoverthetradingtimehorizon.AlphadecayreferstotheerosionOrdete

7、riorationinshort-termalphaonceaninvestmentdecisionismade.ManagersfolIowingashort-termalpha-drivenstrategywilltradewithgreaterurgencytoreaIizeaIphabeforeitdissipates(decays).Managersfollowingalonger-termstrategywilltradewithlessurgencyifalphadecayisexpectedtobeslower.VaIuemanager(long-termprofitseeki

8、ng)727坊业&新moi1.2Riskmanagement/hedgingneedsRiskmanagement/hedgingneedsAsthemarketandtheriskenvironmentchange,portfoliosneedtobetradedorrebalancedtoremainattargetedrisklevelsorriskexposures.Durationmatch,Betamanagement.PortfoliomanagersmayalsotradetohedgeriskswhentheydoNOThaveaninvestmentviewonthespe

9、cificriskinquestion.Currencyhedging,CDSs,optionstrategies.M业色断n111.3CashflowneedsCashflowneedsThistypeoftradingisoftenclientdriven,arisingfromfundinflows(orders,mandates)andoutflows(redemptions,liquidations).CashflowneedsmayinvolvehighorIowtradeurgencyhightradeurgency:collateral/margincallslowtradeu

10、rgency:longer-termclientasseta!locationchangesTominimizeCaShdrdRonaDortfoliO,fundinflowsmaybeequitizedusingfuturesorETFsuntilthenextportfoliorebalanceorpositionsintheunderlyingcanbetraded.EquitizationreferstoastrategyoftemporariIyinvestingcashusingfuturesorETFstogainthedesiredRQlIitVRXPoSUrebeforein

11、vestingintheunderlyingsecuritieslongerterm.EquitizationmayberequiredIflargeinflowsintoaportfolioarehinderedbvlackOfliQUiditVintheunderlyingsecurities.1.4OthersCorporateactions/indexreconstitutions/margincallsTradingmaybeIiquiditydrivenresultingfromclientactivityoridereconstitutions.Tradingmayalsoben

12、ecessitatedbysuchactivityasCorDOQteactionsandODeQtiOnalneeds.Dividend/couponreinvestment,distributions,margincalIszandexpirationOfderivativecontractsForindextrackingportfolios,suchindexchan&esasadditions,deletions,andConStitUentWeiRhtChangeSaregenerallytradedinthemanagersportfoliotoreflectbenchmarke

13、xposure.MarginOrcollateralcallsmavdrivehimhlevelsoftradeUrRenCTgivenaneedfortheimmediatesaleofportfolioholdings.Inthesecases,managerstypicalIytradeusingend-of-dayclosingpricesbecausethesepricesareusedforfundandbenchmarkvaluation.17与业.efi.18102.TradingStrategiesandStrategySeIectionTradeStrategyInputs

14、OrderCharacteristicsSecurityCharacteristicsMaFketConditionsUser-BasedConsiderations:TradingCostRiskAversionMarketImpactandExecutionRiskReferencePricesPre-TradeBenchmarksIntradayBenchmarksPost-TradeBenchmarksPriceTargetBenchmarksTradeStrategiesShort-TermAlphaTradeLong-TermAlphaTradeRiskRebaIanceTrade

15、ClientRedemptionTradeNewMandateTrade11-207M业&断HBfI2.1TradeStrategyInputsOrderCharacteristicsSide:thesideortradedirectionoftheorderforexample,buyorsell.Ifpricesarerising,executingabuyordermaytakelongerthanexecutingasellorder,giventhepresenceofmorebuyers(Iiquiditydemanders)thansellers(IiquiditysupplierslinthemarketTradingaIistthatconsistsofonlybuysOron

展开阅读全文
相关资源
猜你喜欢
相关搜索

当前位置:首页 > 金融/证券 > 金融资料

copyright@ 2008-2023 yzwku网站版权所有

经营许可证编号:宁ICP备2022001189号-2

本站为文档C2C交易模式,即用户上传的文档直接被用户下载,本站只是中间服务平台,本站所有文档下载所得的收益归上传人(含作者)所有。装配图网仅提供信息存储空间,仅对用户上传内容的表现方式做保护处理,对上载内容本身不做任何修改或编辑。若文档所含内容侵犯了您的版权或隐私,请立即通知装配图网,我们立即给予删除!