CFA三级基础段：交易、绩效评估和经理选择（打印版）.docx

.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)BEHAVIORALFINANCEStudySession4StudySession5StudySession6StudySession78StudySession9-10StudySession11StudySession1213StudySession14StudySeSSiOn15StudySession1®CAPITALMARKETEXPECTATIONSASSETALLOCATIONANDRELATEDDECISIONSINPORTFOLIOMANAGEMENTDERIVATIVESANDCURRENCYMANAGEMENTFIXED-INCOMEPORTFOUOMANAGEMEM(1)&(2)EQUITYPORTFOUOMANAGEMENT&(2)ALTERNATIVEINVESTMEMSFORPORTFOUOMANAGEMENTPRIVATEWEALTHMANAGEMENT&(2)PortfouomanagementforinstitutionalinvestorsTRADING,PERFORMANCEEVALUATION,ANDMANAGERSELECTIONcasesinPortfouomanagementandriskmanagement2-207 Framework专业因断nI1ISS15:Trading,PerformanceEvaluation,andManagerSelectionTrading,PerformanceEvaluation,andManagerSeIectionR34TradeStrategyandExecutionR35PortfolioPerformanceEvaluationR36InvestmentManagerSeIectionM亚金斯!SUTradeStrategyandExecution4-207专业国新muFramework1.MotivationstoTrade2.TradingStrategiesandStrategySelectionTradeStrategyInputsReferencePricesTradeStrategies3.TradeExecution(StrategyImplementation)TradeImplementationChoicesAlgorithmicTradingComparisonOfMarkets4.ImplementationShortfall5.EvaIuatingTradeExecution6.TradeGovernance5-207M业Hfjmn1.MotivationstoTradePortfoliomanagersneedtotradeIheirportfolioholdingstoensurealnmentwiththefund,sunderlyinginvestmentstrategyandobjectives.ProfitseekingRiskmanagement/hedgingneedsCashflowneedsCorporateactionsinde×reconstitutions/margincalls1.1ProfitseekingProfitseekingTheprimaryaddedvaluethatmostactivemanagersseektoprovideisriskadiustedOUtDerformarKerelativetotheirbenchmark.Tradeurgency&alphadecayTradeurgencyreferstohowquickly(aggressively)orslowly(patiently)theorderisexecutedoverthetradingtimehorizon.AlphadecayreferstotheerosionOrdeteriorationinshort-termalphaonceaninvestmentdecisionismade.ManagersfolIowingashort-termalpha-drivenstrategywilltradewithgreaterurgencytoreaIizeaIphabeforeitdissipates(decays).Managersfollowingalonger-termstrategywilltradewithlessurgencyifalphadecayisexpectedtobeslower.VaIuemanager(long-termprofitseeking)7'2°7坊业&新moi1.2Riskmanagement/hedgingneedsRiskmanagement/hedgingneedsAsthemarketandtheriskenvironmentchange,portfoliosneedtobetradedorrebalancedtoremainattargetedrisklevelsorriskexposures.Durationmatch,Betamanagement.PortfoliomanagersmayalsotradetohedgeriskswhentheydoNOThaveaninvestmentviewonthespecificriskinquestion.Currencyhedging,CDSs,optionstrategies.M业色断n111.3CashflowneedsCashflowneedsThistypeoftradingisoftenclientdriven,arisingfromfundinflows(orders,mandates)andoutflows(redemptions,liquidations).CashflowneedsmayinvolvehighorIowtradeurgencyhightradeurgency:collateral/margincallslowtradeurgency:longer-termclientasseta!locationchangesTominimizeCaShdrdRonaDortfoliO,fundinflowsmaybeequitizedusingfuturesorETFsuntilthenextportfoliorebalanceorpositionsintheunderlyingcanbetraded.EquitizationreferstoastrategyoftemporariIyinvestingcashusingfuturesorETFstogainthedesiredRQlIitVRXPoSUrebeforeinvestingintheunderlyingsecuritieslongerterm.EquitizationmayberequiredIflargeinflowsintoaportfolioarehinderedbvlackOfliQUiditVintheunderlyingsecurities.1.4OthersCorporateactions/indexreconstitutions/margincallsTradingmaybeIiquiditydrivenresultingfromclientactivityoride×reconstitutions.TradingmayalsobenecessitatedbysuchactivityasCorDOQteactionsandODeQtiOnalneeds.Dividend/couponreinvestment,distributions,margincalIszandexpirationOfderivativecontractsForindextrackingportfolios,suchindexchan&esasadditions,deletions,andConStitUentWeiRhtChangeSaregenerallytradedinthemanager'sportfoliotoreflectbenchmarkexposure.MarginOrcollateralcallsmavdrivehimhlevelsoftradeUrRenCTgivenaneedfortheimmediatesaleofportfolioholdings.Inthesecases,managerstypicalIytradeusingend-of-dayclosingpricesbecausethesepricesareusedforfundandbenchmarkvaluation.1°"°7与业.efi.18102.TradingStrategiesandStrategySeIectionTradeStrategyInputsOrderCharacteristicsSecurityCharacteristicsMaFketConditionsUser-BasedConsiderations:TradingCostRiskAversionMarketImpactandExecutionRiskReferencePricesPre-TradeBenchmarksIntradayBenchmarksPost-TradeBenchmarksPriceTargetBenchmarksTradeStrategiesShort-TermAlphaTradeLong-TermAlphaTradeRiskRebaIanceTradeClientRedemptionTradeNewMandateTrade11-207M业&断HBfI2.1TradeStrategyInputsOrderCharacteristicsSide:thesideortradedirectionoftheorderforexample,buyorsell.Ifpricesarerising,executingabuyordermaytakelongerthanexecutingasellorder,giventhepresenceofmorebuyers(Iiquiditydemanders)thansellers(IiquiditysupplierslinthemarketTradingaIistthatconsistsofonlybuysOronlysellswillhavegreatermarketriskexposurethanalistofbuysandsellsinwhichthesecuritieshaveoffsettingmarketriskexposures.Size:thetotalamountorqUantityofthesecuritybeingtransacted.Relativesize(%OfADVJzordersizeasapercentageofthesecurit/saveragedailvvolume(ADV).2.1TradeStrategyInputsSecurityCharacteristicsSecuritytype:thetypeofsecuritybeingtraded(underlying,ETF,Americandepositaryreceipt,globaldepositaryreceipt).Short-termalpha：(tradingalphaOrtradealpha)mayarisefromanappreciation,adepreciation,orareversion(i.e.,reversal)insecurityprice.Highratesofalphadecay,oraIphaloss,requirefaster,ormoreaccelerated,tradingtorealizealphabeforeitistradedonbyothermarketparticipants.PriceVolatilityitheannualizedpriceVolatilityofthesecurity.ThepriceVolatilityofasecurityprimarilyaffectstheexecutionriskofthetrade.EXeCUtiOnriskistheriskOfanadverseDriCeFnoVenIentQCCUrrinEOVerthetradinghorizonOWinatoachangeinthefundamentalvalueoftheSecurityorbecauseoftrading-inducedvolatility.SecuritieswithhigherIeVeISOfprirevoIatiIZhave-reaterexpowretoexecutionriskthansecuritieswithlowerpricevolatility.SecurityIiquidityztheliquidityprofileofthesecurity(e.g.fADV,bid-askspread；averagetradesize).Allelsebeingequal,greaterliquidityreducesexecutionriskandtradingcosts,suchasmarketimpact"2°7与业.QMfi»10.2.1TradeStrategyInputsMarketConditions1.iquiditycrises:deviationsfromexpectedIiuidilvDatternSduetoperiodsofcrisis.Duringmarketeventsorcrises,thevolatilityandliquidityofthemarketandtheSecuritywillbecriticItoconsiderasConditiOnSresultinsuddenandsignificantdeviationsfromnormaltradepattems.Duringnormalmarketenvironment,someCompanieswillreachmarketvalue4whichmayresultinthembeinaddedorremovedfromthewidelyUSedStoCkindex.WhenthishappenszliquidityintheirstockstendstoimproveOrdeteriorateastheirstocksbecomebroaderornarrower.MarketvolatilityandIiquidityaredynamic.Theyarealsogenerallynegativelyrelated,whichbecomesapparentespeciallyduringperiodsofcrisis,whenvolatilityincreasesandIiquiclitydecreases.14-207M业.0H.an2.1TradeStrategyInputsUser-BasedConsiderations:TradingCostRiskAversionAportfoliomanagerortraderwithahighlevelofriskaversionisIikelytobemoreconcernedaboutmarketrisktendtotradewithgreatertradeurgencytoavoidthegreatermarketexposureassociatedwithXradingmorepatiently.2.1TradeStrategyInputsMarketImpactandExecutionRiskMarketimpactistheadversepriceimpactinasecuritycausedfromtradinganorderandcanrepresentoneoftheIarReStCoStSintrading.TominimizeinformationIeaka*portfoliomanagersmayattempttohidetheirtradingactivitybyexecutingordersacrossdifferentvenuesandusingamixofordertypes,suchasmarketandlimitorders.ExecutionriskistheadversepriceimpactresultingfromachangeinthefundamentalvalueoftheSecurityandisoftenDrQXiedbvoricevolatility.Trader,sdilemma.Tradingtoofastresultsintoomuchmarketimpact,buttradingtooslowresultsintoomuchmarketrisk.Thegoalinselectingatradingstrategyistochoosethebestprice-timetrade-offgivencurrentmarketconditionsandtheuniquecharacteristicsoftheorder.16'2°7与业.QMfi»102.2ReferencePricesReferenceprices,aIsoreferredtoaspricebenchmarks,areusedindeterminingtradepricesforexecutionStrategyandincalculatingactualtradecostsforposttradeevaluationpurposes.CategoriesofreferencepricesPre-tradebenchmarksIntradaybenchmarksPost-tradebenchmarksPricetargetbenchmarksM业色断n112.2ReferencePricesPre-tradebenchmarks,wherethereferencepriceforthebenchmarkisknownbeforetradingbegins.DecisionpriceQuantitativeportfoliomanagerswilloftenhaverecordsoftheirdecisionpricebecausethesepricesmaybeinputsintotheirquantitativemodels.PreviouscloseApreviousclosebenchmarkIsoftenspecifiedbyquantitativeportfoliomanagersWhoincorporatethepreviouscloseinaquantitativemodel,portfoliooptimizer,Orscreeninwmodel.Thepreviouscloseisoftenusedasaproxyforthedecisionpricebyquantitativeportfoliomanagers.2.2ReferencePricesPre-tradebenchmarks,wherethereferencepriceforthebenchmarkisknownbeforetradingbegins.OpeningpriceThisbenchmarkpriceismostoftenspecifiedbyportfoliomanagerswhobegintradingatthemarketopenandwishtominimizetradingcosts.TheopeningPriceisoftenusedasaProxyforthedecisionpricebyfundamentalportfoliomanagerswhoareinvestinginaSecurityforlong-termalphaorgrowthpotential.Theopeningpricedoesnothaveassociatedovemightrisk,ortheriskthatpriceswilladjustatmarketopentoincorporateinformationreleasedaftertheClOSaofthePreViolJSbusinessdav.Ifthetradeistobeexecutedintheopeningauction,thenUSingtheopeningpriceasareferencebenchmarkisnotappropriatebecausethetradeitselfcaninfluencethereferencebenchmark.-207M业QMfi»102.2ReferencePricesPre-tradebenchmarks,wherethereferencepriceforthebenchmarkisknownbeforetradingbegins.Arrivalprice.ThearrivalpriceisthepriceoftheSecurityatthetimetheorderisenteredintothemarketforexecution.Inthesecases,theportfoliomanagersgoalistotransactatorclosetocurrentmarketprices.PortfoliomanagerswhoarebUyingorsellingonthebasisofalphaexpectationsoracurrentmarketmispricingwilloftenspecifyanarrivalpricebenchmarkIgreatertradeurgency).PortfoliomanagersIoOkinatOminimizetradinecostwillalsousearrivalpriceasbenchmark.2g°7M业&断HBfl.2.2ReferencePricesIntradaybenchmarks,wherethereferencepriceforthebenchmarkiscomputedonthebasisofmarketpricesthatOCClJrdIJrinRthetradingperiod.Managerswithoutviewsonshort-termpricemovementswhowishtoparticipateinVolumesovertheexecutionhorizontypicallyuseanintradaybenchmark,suchasVWAPorlWAP.2.2ReferencePricesVolume-weightedaverageprice(VWAP)TheVWAPbenchmarkpriceisthevolume-weightedaverageDriCeOfalltradesexecutedOVerthedavorthetadin又horizon.PortfoliomanagersmayspecifytheVWAPbenchmarkwhentheywishtoparticipateWithvolumepatternsovertheda.PortfoIiomanagerswhoarerebalancingtheirportfoliosoverthedayandhavebothbuyandsellordersmayselecttheVWAPasapricebenchmark.PortfoliomanagerswhoarerebalancingandusingcashfromsellorderstopurchasebuyordersWillalsooftenselectanintradaybenchmark,suchasVWAP.DoingsoallowstheportfoliomanagerstostructuretheirexecutionsovertimetoensurecashreceivedfromsellordersisSufficienttofundremainingbuyorders,DoingsoallowstheportfoliomanagerstostructuretheirexecutionsovertimetoensureCaShreceivedfromSellOrderSisSuffiCienttofundremainingbuvorders.222°7坊业.&新.tt1B2.2ReferencePricesIntradaybenchmarkTime-weightedaverageprice(TWAP)Anequal-weightedaveragepriceofalltradesexecutedovertheday.PortfoliomanagersmaychooseTWAPwhentheywishtoexcludepotentialtradeoutliers.TradeoutliersmaybecausedbytradingalargebuyOrderatthedaUsIoWoraIareeSelIe)rderattheday'shieh.IfITiarketpartidpantsarenotabletofullyparticipateinthesetrades,thenTWAPmaybeamoreappropriatechoice.TheTWAPbenchmarkisusedbyportfoliomanagersandtraderstoevaluatefairandreasonabletradingpricesinmarketenvironmentswithhighvolumeuncertaintyandforsecuritiesthataresubjecttospikesintradingvolumethroughouttheday.""°7M业&好11Bf.2.2ReferencePricesPost-tradebenchmarks,wherethereferencepriceforthebenchmarkisestablishedaftertradingisCOmDleted.Closingprice.PortfoliomanagersforfundsValuedattheclosingpriceonthedayorwhowishtominimizeIrackingerrortoanUnderlyingbenchmarkprice,suchasindexfundszoftenselectapost-tradereferenceprice,suchastheofficialdosingprice.Advantage:Fninimizespotentialtraclangerror.Disadvantage:notknownuntilaftertradingiscompleted.2.2ReferencePricesPricetargetbenchmarks,wherethereferencepriceforthebenchmarkisspecifiedasapricetomeetorbeat(transactmorefavorably).Portfoliomanagersseekingshort-termalphamayselectanalternativebenchmarkknownasapricetargetbenchmark.25-207Inthiscase,aportfoliomanagerwouldIiketotransactinasecuritybelievedtobeundervaluedOrovervalued-atamorefavorableprice.M业回新it值2.3TradeStrategiesTheprimarygoalOfatradingstrategyistobalancetheexpectedcosts,risks,andalphaassociatedwithtradingtheorderinamannerconsistentwiththeportfoliomanagerstradingobjectives,riskaversion,andotherknownconstraints.TradingStrategiesinvolvingequities,fixedincome,currency,andderivativesareexplainedasfollows:Short-termalpha：short-termalpha-drivenequitytrade(hightradeurgency).1.ong-termalpha:Iong-termalpha-drivenfixed-incometrade(Iowtradeurgency).Riskrebalance:buy/sellbaskettradetorebalanceafund,sriskexposure.Cashflowdriven:clientredemptiontradetoraiseproceeds.26-207NewMandateTrade:CaSheqUitjZatjon(derivatives)tradetoinvestanewclientmandate.M业色断n113.TradeExecution(StrategyImplementation)TradeImplementationChoicesAIgorithmicTradingExecutionAlgorithmClassificationsScheduled(POVzVWAPfTWAP)LiquidityseekingArrivaIpriceDarkstrategies/liquidityaggregatorsSmartorderroutersComparisonofMarketsEquitiesFixedlncomeExchange-TradedDerivativesOver-the-CounterDerivativesSpotForeignExchange(Currency)3.1TradeImplementationChoicesAvarietyofimplementationchoicesareavailablebasedonthespecificorder,market,andtradestrategyinvolved.Thehigher-touchapproachesinvolvegreaterdegreesofhumaninteractionforordercompletion.Inprincipaltrades,the-XecutinRbrokKrassumesaIIorDartoftheriskrelatedtotradingtheorder,PriCin-itintoherCiuotedspread.Inagencytrades,thebrokerisengagedtofindtheothersideofthetradebutactsasanagentOnkandriSkfortradingtheorderremainswiththebuy-sideportfoliomanagerortrader.Tradinginlargeblocksofsecuritiesrequiresahigher-touchapproach.Avanationofquote-drivenmarketsoftenusedtotradeIeSSliQUidSecuritiesisarequestforquote(RFQ).28'2°7与皿.QMfi.»1B3.1TradeImplementationChoicesForstraightforwardtradesinliquidsecurities,Iow-touchautomatedexecutionStrategiesareoftenpreferred.AltemabVetradi11RSvrtcmS(ATS)mtf"fur"rdic"c""jes(MTF)Non-e×changeIradingvenuesthatbringtogetherbuyersandsellerstofindtransactioncounterparties.DireCtmarketaccess(DMA)givesallmarketparticipantsawaytointeractdirectlywiththeorderbkofanexchange,Usuallythroughabrokersexchangeconnectivity.29-207Darkpools.M业色断nn3.2AlgorithmicTradingAlgorithmictradingisthecomputerizedexecutionoftheinvestmentdecisionfollowingsspeciedsetOftradinginstructions.Tradingalgorithms