CFA三级精要文档格式.docx
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CFA三级精要文档格式.docx
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Null=Manageraddsnovalue;
Reject&
concludethatmanageraddsvaluewhenheactuallydoesnot.
DBRiskToler/Objs.Factors–P.S.SanFranciscoRiskedEverythingWithCertainPlanFeatures-PensionSurplus,SponsorFinances,RiskExposures,WorkforceCharacteristics,Same
PrudentManRule:
Foundationforallwritestds.OfprudenceapplyinLegal/Reg.
PrudentExpert:
DB/DCplan
PrudentInvestor:
Endowment,LifeInsurance
PrudentManRule:
therequirementthatatrustee,investmentmanagerofpensionfunds,treasurerofacityorcounty,oranyfiduciary(atrustedagent)mustonlyinvestfundsentrustedtohim/heraswouldapersonofprudence,i.e.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:
1.investorsarelossaverse,whichmeanstheypreferuncertainlossestocertainlosses.
2.investorsexhibitbiasedexpectations,duetooverconfidenceintheirabilitytoforecastthefuture.
3.investorsconstructportfoliosviaassetsegregation,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&
-Mostrapidlyaging:
China&
Russia
-China'
seconomycouldovertakeGermanyinnext4years,Japanby2015,andUSby2039
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<
costofDebt→LossmagnifiedLeverageincreasesσofRPort(NotRInvestment),InvestmentReturnincreasesσofRPortDuration:
I=B+E
RiskMeasurementDeficiencies:
σ2&
σ–AssumesNDistribution,requires[N*(N+1)]/2estimatedtermstoestimate
BondCharsΔw/timeShortfallRisk(ris
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