CFA三级知识点必备:Equity Portfolio Management_打印版.docx

上传人:王** 文档编号:706694 上传时间:2023-12-15 格式:DOCX 页数:8 大小:59.64KB
下载 相关 举报
CFA三级知识点必备:Equity Portfolio Management_打印版.docx_第1页
第1页 / 共8页
CFA三级知识点必备:Equity Portfolio Management_打印版.docx_第2页
第2页 / 共8页
CFA三级知识点必备:Equity Portfolio Management_打印版.docx_第3页
第3页 / 共8页
CFA三级知识点必备:Equity Portfolio Management_打印版.docx_第4页
第4页 / 共8页
CFA三级知识点必备:Equity Portfolio Management_打印版.docx_第5页
第5页 / 共8页
CFA三级知识点必备:Equity Portfolio Management_打印版.docx_第6页
第6页 / 共8页
CFA三级知识点必备:Equity Portfolio Management_打印版.docx_第7页
第7页 / 共8页
CFA三级知识点必备:Equity Portfolio Management_打印版.docx_第8页
第8页 / 共8页
亲,该文档总共8页,全部预览完了,如果喜欢就下载吧!
资源描述

《CFA三级知识点必备:Equity Portfolio Management_打印版.docx》由会员分享,可在线阅读,更多相关《CFA三级知识点必备:Equity Portfolio Management_打印版.docx(8页珍藏版)》请在优知文库上搜索。

1、rEquityPortfolioManagement/CFA货漂笺亩笛VBobHong2厘纱X十5%Prbe彗Uy2-211.BuildingBlocksUsedinPortfolioConstruction行业&新NI1I.BuildingBlocksUsedinPortfolioConstructionThethreemainbuildingblocksofportfolioconstructionare:Factorweightings.Alphaskills.Positionsizing.Thesethreebuildingblocksareintegratedintoasuccess

2、fulportfolioconstructionprocessthroughafourthcomponent:breadthofexpertiseBuildingBlocksUsedinPortfolioConstructionFirstBuildingBlock:Overweight/UnderweightRewardedFactorsThisrelatestothemanagertakingexposurestorewardedrisksthatdifferfromthoseofthebenchmark.Thiscanbethoughtofasactivereturnduetodiffer

3、encesinbeta.Withexposurestorewardedfactorsincreasinglyaccessibleviarules-basedindexproducts,simplestaticexposuretorewardedfactorsisnoIongerwidelyconsideredasourceofalpha.Irrespectiveofthemanagersapproach,whethertheyexplicitlytargetfactorexposuresortargetindividualsecurities,theirperformancecaninpart

4、beattributedtosensitivitytothesebetafactors.Thisbuildingblockrelatesprimarilytoactivereturnsourcenumberone:differencesinexposurestolong-termrewardedfactors.4-21MH巨亚盅新ten_BuildingBlocksUsedinPortfolioConstmcxionSecondBuildingBlock:AlphaSkillsAlphaskillsareexcessreturnsrelatedtotheuniqueskillsandstrat

5、egiesofthemanager.Amanagercangeneratealphathroughfactortiming,whichisskillinidentifyingwhenafactormightoutperform/underperformitsaveragereturn.Thiscouldapplytoarewardedfactor,butitcouldalsoapplytounrewardedfactors,suchascorrectlytiminggeographicalorindustrysectorexposures,commodityprices,orevensecur

6、ityselection(adiscretionarymanagermightrefertotheseasthematicexposures).5-21Thisbuildingblockrelatesprimarilytoactivereturnsourcenumbertwo:identifyingmispricings.M亚&新mu_BuildingBlocksUsedinPortfolioConslSct!oTl1ThirdBuildingBlock:SizingPositionsPositionsizingbalancesmanagersconfidenceintheiralphaand

7、factorinsightswhilemitigatingidiosyncraticriskscomingfromconcentratedpositions.Positionsizingwillaffectallthreesourcesofactiverisk,butthemostdramaticimpactwillbeonid沁SynCratiCrisk.Thegeneralruleisthatsmallerpositionsinagreaternumberofsecuritieswilldiversifyawayidiosyncraticriskandleadtolowerportfoli

8、ovolatility.Afactor-orientatedmanagerwhospreadstheirportfolioacrossmanyassetsislikelytominimizetheimpactofidiosyncraticrisk.Astock-pickerislikelytoholdmoreconcentratedpositionsbasedontheirinsightsintoindividualsecurities,andhence,deliberatelyassumeahigherdegreeofidiosyncraticrisk.7-212.ActiveSharean

9、dActiveRisk写亚自新tin.ActiveShareandActiveRiskActiveSharemeasuresthedegreetowhichthenumberandsizingofthepositionsinamanagersportfolioaredifferentfromthoseofabenchmark,andisgivenbythefollowingequation:ActivShare=WeightPOrtfOliOj-VeightTenchmarklIActiveSharetakesavaluebetweenOand1.IfaportfoliohasanActive

10、Shareof0.5,wecanconcludethat50%oftheportfolioisidenticaltothatofthebenchmarkand50%isnot.Iftwoportfolioswiththesamebenchmarkinvestonlyinbenchmarksecurities,theportfoliowiththefewersecuritiesandthereforehigherdegreeofconcentrationinpositionswillhaveahigherlevelofActiveShare.HH雪业&1111.ActiveShareandAct

11、iveRiskActiverisk,alsocalledtrackingerror,isthestandarddeviationofactivereturns(portfolioreturnsminusbenchmarkreturns).Asanequation:Researchconclusionsonthecompositionofactivereturninclude:Highnetexposuretoariskfactorleadstohighlevelofactiverisk.Aportfoliowithnonetfactorexposurewillhaveactiveriskatt

12、ributedentirelytoActiveShare.ActiveriskattributabletoActiveShareisinverselyproportionaltothenumberofsecuritiesintheportfolio.Activeriskincreasesasfactorandidiosyncraticrisklevelsincrease.921HHM目欢鼻新m僵.ActiveShareandActiveRiskInvestmentStyleDescriptionActiveShareandActiveRiskPureindexingNoactivepositi

13、ons:portfolioisequaltothebenchmarkZeroActiveShareandzeroactiveriskFactorneutralNoactivefactorbetsidiosyncraticrisklowifdiversifiedLowactiveriskActiveSharelowifdiversifiedFactordiversifiedBalancedexposuretoriskfactorsandminimizedidiosyncraticriskthroughhighnumberofsecuritiesinportfolioReasonablylowac

14、tiveriskhighActiveSharefromlargeamountofsecuritiesusedthatareunlikelytobeinthebenchmarkConcentratedfactorbetsTargetedfactorbetsidiosyncraticrisklikelytobehighHighActiveShareandhighactiveriskConcentratedstockpickerTargetedindividualstockbetsHighestActiveShareandhighestactiverisk巨业&IWitillActiveSharea

15、ndActiveRiskInvestmentStylesrActiveShare,andActiveRiskHighQuUVlactor Neutral and 6、CrSifIcd Slk PicksDhrcnifiedFaCtor BctsConcentratedConcentrated Stock Picks Factor BetsClosetIndexing*HighPureIndexing11-21ActiveRiykM亚色新!B1|_ActiveShareandActiveRiskManagerstylescanalsobeidentifiedthroughobservingtheirsectorandsecurityspecificconstraints.Forexample:Asectorrotatorwouldneedtohavelargepermitteddeviationsinsectorweights;Astockpickerwoul

展开阅读全文
相关资源
猜你喜欢
相关搜索

当前位置:首页 > 管理/人力资源 > 咨询培训

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!