CFA三级精要.docx

CFA三级精要.docx

《CFA三级精要.docx》由会员分享，可在线阅读，更多相关《CFA三级精要.docx（26页珍藏版）》请在冰豆网上搜索。

CFA三级精要

BehavioralHeuristics–CheckAnchor/OARAvailability–Conservatism,Anchoring,Overconfidence,Ambiguityaversion,Representativeness,Availability

TraditionalFinance–TF-RAR-Riskaverse,Assetintegration,Rationalexpectations

BehavioralFinance–BF-LAB-Lossaverse,Assetsegregation,Biasedexpectations

TypeofInvestors–CMIS-Cautious,Methodical,Individualistic,Spontaneous

IPSProcess–OCSAEEA,OldCarsSellAtEasternEuropeanAuctions–Objectives,Constraints,Strategy,Allocation,Execution,Evaluation,Adjustments

IPSConstraints–URLIT-Unique,Regulatory/legal,Liquidity,tIme,Tax

TDAvs.TEA–HigherEndersTakeTEA–HigherEndingTaxrateTEAbetter

Residencevs.Source–PayGreaterratewithCredit,ExemptSourceIncome,DeductPaidTaxes

IfourHumanCapitalisBond-like,weshouldinvestmoreaggressively（equity）andourdemandforlifeinsuranceincreases.

TypeI&IIError–TypeI,Ididsomething（rejectedH0）wrong;TypeII,failedTOrejectH0

Null=Manageraddsnovalue;Reject&concludethatmanageraddsvaluewhenheactuallydoesnot.

DBRiskToler/Objs.Factors–.SanFranciscoRiskedEverythingWithCertainPlanFeatures-PensionSurplus,SponsorFinances,RiskExposures,WorkforceCharacteristics,Same

PrudentManRule:

Foundationforallwritestds.OfprudenceapplyinLegal/Reg.

PrudentExpert:

DB/DCplan

PrudentInvestor:

Endowment,LifeInsurance

PrudentManRule:

therequirementthatatrustee,investmentmanagerofpensionfunds,treasurerofacityorcounty,oranyfiduciary（atrustedagent）mustonlyinvestfundsentrustedtohim/heraswouldapersonofprudence,.withdiscretion,careandintelligence.PrudentManRulerequiresthateachinvestmentbejudgedonitsownmerits.UnderthePrudentManRule,speculativeorriskyinvestmentsmustbeavoided.investmentsaren'tviewedinaportfoliocontext.

PrudentExpertRule:

RevisedversionoftheprudentmanrulerequiredbyERISAtoguidemanagersofpensionandprofitsharingportfolios.Themainadditionisthatthemanagermustactassomeonewithfamiliaritywithmattersrelatingtothemanagementofmoney,notjustprudence.

PrudentInvestorrule:

ThisisamodifiedversionofPrudentManRuleinthatitviewsassetallocationfromaportfoliocontext.Anasset（likederivatives）maybetooriskytoinvestifconsideredonastand-alonebasisbutcanprovidediversificationbenefitsifviewedinaportfoliocontext.

Lifeinsurancecompanies'RETURNobjective:

APEG

（Actuarial+Positiveinterestratespread+EnhanceMargin+GrowthSurplus）

Aninvestorwhosedecisionsareimpactedbymentalaccountingwilllookatinvestmentsasseparate,focusingontheriskofinvestmentsinisolation.

Accordingtobehavioralfinance,expertforecastersareoverconfidentintheirforecastingabilityduetocognitivedissonance.

Cognitivedissonancestatesthatindividualswillavoidinformation（reflectingwhathasbeenactuallyexperienced）thatisindisagreement（dissonance）withtheindividual’sperceivedabilityofhimselforherself.Asaresult,expertswillhavelimitedrecollectionoftheirfailures.

Framedependencereferstoinvestors'tendencytoframetheirtoleranceonthecurrentdirectionofthemarketorinthecontextoftheinformationreceivedratherthanonitsownmerits.

Anchoringreferstotheinabilitytofullyincorporate（adjust）theimpactofnewinformationonprojections.

Representativenesscancauseinvestors’perceptionstobebaseduponcurrentorhistoricalinformationratherthanunbiasedexpectationsresultinginoverpriced“winners”underperformingandunderpriced“losers”outperformingaspricesreturntotheirintrinsicvalues.

Ifsomeonedevelopedherinvestmentstylethroughtrialanderror,learningfromherownmistakes.Thisisasignofheuristic-drivenbias.

Behavioralfinanceassumesthat:

arelossaverse,whichmeanstheypreferuncertainlossestocertainlosses.

exhibitbiasedexpectations,duetooverconfidenceintheirabilitytoforecastthefuture.

constructportfoliosviaassetsegregation,meaningthattheytendtofocusonanasset’sindividualinvestmentfeaturesversusitsimpactontheoverallportfolioposition

Byadmittinghismistakebutreiteratingotherprojections,oneusedthe"singlepredictor"defense.

Feelingthattheyshouldspreadouttheirrisk,butnotknowinghowleadstothe1/ndiversificationheuristic.Oftentimes,participantswillonlyhavearoughunderstandingoftheeffectsofcorrelationanddiversificationandwillsimplydividetheirassetsequallyovertheinvestmentoptionsintheplaninanattemptdiversifytheirportfolio.

DCparticipantstendtoholdexcessstockofthecompanytheyworkforduetofamiliarityandaperceivedendorsementbymanagement.

Theendorsementeffectreferstothemisconceptionthatbyofferinganinvestmentasanalternative,thesponsorisimplicitlyendorsingitasagoodinvestment.

Notethatthestatusquobiasreferstoalackofactiononthepartoftheparticipant.Alsonotethatputtingtoomuchincompanystockwouldbeanexampleofaninvestorbeing“boundedlyselfish”inthattheredoesnotseemtobeadeterminationiftheinvestmentwouldbeintheinvestor’sbestinterests.

Trialanderrorandexperimentationareheuristiclearningprocesses.Heuristiclearnerspickupinformationsimply,throughtheirowneffortsorfromsourcessimpletoaccess.Theydon'tdoresearch.

Whenoverconfidentinvestorsrevisetheirforecastsbasedonnewinformation,theytendtooverestimatetheimpact.Asanoverconfidentinvestor,onewillbedisappointedbythesubsequentmovementsinBisonstockbecauseofherinitialoveroptimismaftertheearningsannouncement.

Investorswhouseanchoringtendtounderestimatetheimpactofnewinformationbecausetheyareanchoredintheiroldbeliefs.Onewillbepleasedbythesubsequentmovementsinstockbecausehewillhaveinitiallyunderestimatedtheimpactofthepositiveearningsannouncement.

BankSecurityPortfolioReturnObjs.–IRememberLivingInCR–InterestRaterisk,Liquidity,Income,CreditRisk

CMEFormProcess–FormingExpectationsNeededHistoricallyProvidedCapitalManagersManyIncentives&GratifyingInvitationsIntoOverlookingMarketExpectationsMadeRashly-FindExpectationsNeeded,HistoricalPerformance,ChooseMethods/Models/Info,GetInfo,InterpretOutput,MakeExpectations,Monitor&Refine

PsychTraps–OverconfidentChiefExecutivesStartQuietlyPilingRisk–Overconfidence,ConfirmingExpectations,StatusQuo,Prudence,Recallibility

BRIC

-SizeofBRICeconomiescouldbe>1/2thatoftheG6by2025,andcouldsurpasstheG6by2040

-India'sgrowthisstrongestat5%fornext30-50years

-GlobalspendingforBRICs-4xaslargeasG6by2050

-RealexchangeratesforBRICcountriescouldstrengthenby300%by2050

-Slowesttoopeneconomy:

India

-Weakertechprogree:

Brazil&India

-Mostrapidlyaging:

China&Russia

-China'seconomycouldovertakeGermanyinnext4years,Japanby2015,andUSby2039

-India'seconomycouldbelargerthanallbutUS&Chinain30years

-BRICpercapitaincomewillremainbelowG6（exceptRussia）

Factorsthatleadtogrowth

-Technologicalprogress

-Growthincapitalstock

-EmploymentGrowth

ConditionsforSustainedEconomicGrowth

-Macroeconomicstability

-institutionalefficiencies

-opentrade

-workereducation

WhyEmergingMarketsinaPortfolio?

Increasedgrowthinmarkets=increaseddemandforcapital=stongercurrencyvalues=increasedmarketcapswhichfurtherjustifiesinclusioninawelldiversifiedportfolio

Whenevaluatingaspecificcountry,arethefollowinggoodorbadsigns?

1.GDP=5%goodif>4%,undermaymeangrowingslowerthanpopulation

2.Defecit/GDP=10%bad>4%indicatessubstantialcreditrisk

3.ForeignDebt/GDP=75%bad>50%

4.Debt/CurrentAcctReceipts=250%bad>200%consideredhighrisk

5.Reserves/ShortTermDebt=200%good≥200%safe,≤100%veryrisky

-BLisatopdownapproach

-usesreturnsimpliedbythevalueweightedglobalmarketindex

-alteritslightlybasedonanalystopinions（liketacticalassetallocation）

-Itwillresultinawelldiversifiedportfolio,andwillavoidtheinputbiasfromE（R）

-Disadvantageisyoumustusehistoricalvolatility.

-Ifyouwanttomakeyourportfoliolessrisky（belowaveragerisk）buthavenoviews,combineworldportfoliowithriskfreeasset.Tomakemorerisky（aboveaveragerisk）youborrowatriskfreerateandinvestinthemarketportfolio.

WACCwithPensionAssets:

Note:

ForOperations:

%Eq↑→βO↓→βT↑→

↓ForPension:

%Eq↑→βP↑→βT↓→

↓

CyclicalBond:

Increasesin#ofnewissuesassociatedwithnarrowerspreads&strongerreturnsandviceversa,LiquidityΔsduetoEconomicConditions

SecularBond:

BondStructuresaretrendingtowardintermediatetermbulletstructuresImplications:

（1）Structuresw/optionsembeddedsellatpremiumduetoscarcityvalue

（2）Structuresw/longerdurationwillsellatpremiumaspercentageoflong-termissueswilldecline-effectivedurationandaggregateinterestraterisksensitivitywillalsodecline.（3）Credit-basedderivativesusewillincreaseforreturn&/ordiversificationbenefits;Liquidityincreasingduetotradinginnovations&competitionamongmanagers

Leverage,PortfolioReturns&Duration

IfReturn>costofDebt→ReturnenhancedIfReturn

I=B+E

RiskMeasurementDeficiencies:

σ2&σ–AssumesNDistribution,requires[N*（N+1）]/2estimatedtermstoestimate

BondCharsΔw/timeShortfallRisk（riskofnotachievingR=x）–Doesn’taccountfor