CFA三级精要.docx
- 文档编号:9623723
- 上传时间:2023-02-05
- 格式:DOCX
- 页数:35
- 大小:75.25KB
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(35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–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&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(ris
- 配套讲稿:
如PPT文件的首页显示word图标,表示该PPT已包含配套word讲稿。双击word图标可打开word文档。
- 特殊限制:
部分文档作品中含有的国旗、国徽等图片,仅作为作品整体效果示例展示,禁止商用。设计者仅对作品中独创性部分享有著作权。
- 关 键 词:
- CFA 三级 精要