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

rEquityPortfolio'Management/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.Thesethreebuildingblocksareintegratedintoasuccessfulportfolioconstructionprocessthroughafourthcomponent:breadthofexpertiseBuildingBlocksUsedinPortfolioConstructionFirstBuildingBlock:Overweight/UnderweightRewardedFactorsThisrelatestothemanagertakingexposurestorewardedrisksthatdifferfromthoseofthebenchmark.Thiscanbethoughtofasactivereturnduetodifferencesinbeta.Withexposurestorewardedfactorsincreasinglyaccessibleviarules-basedindexproducts,simplestaticexposuretorewardedfactorsisnoIongerwidelyconsideredasourceofalpha.Irrespectiveofthemanager'sapproach,whethertheyexplicitlytargetfactorexposuresortargetindividualsecurities,theirperformancecaninpartbeattributedtosensitivitytothesebetafactors.Thisbuildingblockrelatesprimarilytoactivereturnsourcenumberone:differencesinexposurestolong-termrewardedfactors.4-21MH巨亚盅新ten_BuildingBlocksUsedinPortfolioConstmcxionSecondBuildingBlock:AlphaSkillsAlphaskillsareexcessreturnsrelatedtotheuniqueskillsandstrategiesofthemanager.Amanagercangeneratealphathroughfactortiming,whichisskillinidentifyingwhenafactormightoutperform/underperformitsaveragereturn.Thiscouldapplytoarewardedfactor,butitcouldalsoapplytounrewardedfactors,suchascorrectlytiminggeographicalorindustrysectorexposures,commodityprices,orevensecurityselection(adiscretionarymanagermightrefertotheseasthematicexposures).5-21Thisbuildingblockrelatesprimarilytoactivereturnsourcenumbertwo:identifyingmispricings.M亚&新mu_BuildingBlocksUsedinPortfolioConslSct!oTl1ThirdBuildingBlock:SizingPositionsPositionsizingbalancesmanagers'confidenceintheiralphaandfactorinsightswhilemitigatingidiosyncraticriskscomingfromconcentratedpositions.Positionsizingwillaffectallthreesourcesofactiverisk,butthemostdramaticimpactwillbeonid沁SynCratiCrisk.Thegeneralruleisthatsmallerpositionsinagreaternumberofsecuritieswilldiversifyawayidiosyncraticriskandleadtolowerportfoliovolatility.Afactor-orientatedmanagerwhospreadstheirportfolioacrossmanyassetsislikelytominimizetheimpactofidiosyncraticrisk.Astock-pickerislikelytoholdmoreconcentratedpositionsbasedontheirinsightsintoindividualsecurities,andhence,deliberatelyassumeahigherdegreeofidiosyncraticrisk.7-212.ActiveShareandActiveRisk写亚自新tin.ActiveShareandActiveRiskActiveSharemeasuresthedegreetowhichthenumberandsizingofthepositionsinamanager'sportfolioaredifferentfromthoseofabenchmark,andisgivenbythefollowingequation:ActivShare=WeightPOrtfOliOj-VeightTenchmarklIActiveSharetakesavaluebetweenOand1.IfaportfoliohasanActiveShareof0.5,wecanconcludethat50%oftheportfolioisidenticaltothatofthebenchmarkand50%isnot.Iftwoportfolioswiththesamebenchmarkinvestonlyinbenchmarksecurities,theportfoliowiththefewersecuritiesandthereforehigherdegreeofconcentrationinpositionswillhaveahigherlevelofActiveShare.HH雪业&«1111.ActiveShareandActiveRiskActiverisk,alsocalledtrackingerror,isthestandarddeviationofactivereturns(portfolioreturnsminusbenchmarkreturns).Asanequation:Researchconclusionsonthecompositionofactivereturninclude:Highnetexposuretoariskfactorleadstohighlevelofactiverisk.AportfoliowithnonetfactorexposurewillhaveactiveriskattributedentirelytoActiveShare.ActiveriskattributabletoActiveShareisinverselyproportionaltothenumberofsecuritiesintheportfolio.Activeriskincreasesasfactorandidiosyncraticrisklevelsincrease.921HHM目欢鼻新m僵.ActiveShareandActiveRiskInvestmentStyleDescriptionActiveShareandActiveRiskPureindexingNoactivepositions:portfolioisequaltothebenchmarkZeroActiveShareandzeroactiveriskFactorneutralNoactivefactorbetsidiosyncraticrisklowifdiversifiedLowactiveriskActiveSharelowifdiversifiedFactordiversifiedBalancedexposuretoriskfactorsandminimizedidiosyncraticriskthroughhighnumberofsecuritiesinportfolioReasonablylowactiveriskhighActiveSharefromlargeamountofsecuritiesusedthatareunlikelytobeinthebenchmarkConcentratedfactorbetsTargetedfactorbetsidiosyncraticrisklikelytobehighHighActiveShareandhighactiveriskConcentratedstockpickerTargetedindividualstockbetsHighestActiveShareandhighestactiverisk巨业&IWitillActiveShareandActiveRiskInvestmentStylesrActiveShare,andActiveRiskHighQuUVl'actor Neutral and 6、CrSifIcd Sl<k PicksDhrcnifiedFaCtor BctsConcentratedConcentrated Stock Picks Factor BetsClosetIndexing*HighPureIndexing11-21ActiveRiykM亚色新！B1|_ActiveShareandActiveRiskManagerstylescanalsobeidentifiedthroughobservingtheirsectorandsecurityspecificconstraints.Forexample:Asectorrotatorwouldneedtohavelargepermitteddeviationsinsectorweights;Astockpickerwouldneedtohavelargepermitteddeviationsinindividualsecurityweights;Adiversifiedmulti-factorinvestorwouldnotneedsuchlargedeviationsfromindexweights,butwouldstillneedsomeflexibilityinordertogenerateamoderatelevelofactiveriskandreturn.13-213.AllocatingtheRiskBudgeting写亚自新tin.AllocatingtheRiskBudgetingRiskbudgetingisaprocessbywhichthetotalriskofaportfolioisallocatedtoconstituentsoftheportfoliointhemostefficientmanner.Itisanintegralpartofaneffectiveriskmanagementprocess.Aneffectiveriskmanagementprocesshasthefollowingfoursteps:Determinewhichtypeofriskmeasureisappropriategiventhefundmandate.Absoluteriskmeasuresareappropriatewhentheinvestmentobjectiveisexpressedintermsoftotalreturns.Relativeriskmeasuresareappropriatewhentheinvestmentobjectiveistooutperformamarketindex.Understandhoweachaspectofthestrategycontributestorisk.Determinewhatlevelofriskbudgetisappropriate.Properlyallocateriskamongindividualpositions/factors.AllocatingtheRiskBudgetingCausesandSourcesofAbsoluteRiskAbsoluteriskmeasuresfocusonthesizeandcompositionofabsoluteportfoliovariance.Thecalculationoftotalportfoliovariance(Vp):V=)x)C尸白六Inotherwords,theportfoliovarianceisthesumofeachasset,scontributiontoportfoliovariance.Thecontributionofassetitoportfoliovariance(CVi)isgivenbytheequation:J=assetJ'sweightintheportfolioCt产thecovarianceofreturnsbetweenassetiandassetjCip=thecovarianceofreturnsbetweenassetiandtheportfolioHB目欢鼻新mu_All。CatingtheRiskBudgetingCausesandSourcesofRelative/ActiveRiskRelativeriskbecomesanappropriatemeasurewhenthemanagerisconcernedwithherperformancerelativetoabenchmark.Onemeasureofrelativeriskisthevarianceoftheportfolio'sactivereturn(AVp):VX尸theasset'sweightintheportfoliob干thebenchmarkweightinassetiCRi尸thecovarianceofrelativereturnsbetweenassetiandasset/Thecontributionofeachassettotheportfolioactivevariance(CAV)iisVCAi=(¥-CRRC步thecovarianceofrelativereturnsbetweenassetiandtheportfolio.16-21MH巨亚盅新ten_AllocatingtheRiskBudgetingTheimportantpointstonoteare:Contributiontoactivevarianceisafunctionofactiverisknotabsolutestandarddeviation.E.g.Whilecashhasaverylowstandarddeviation,ithasanactiverisktwicethatoftheindexescomprisingthebenchmarkduetothelowcorrelationofcashversusthebenchmark.Thisleadstocashcontributingto100%oftheactivevariance.ThecorrelationoftheactivereturnsofindexAandindexBis-1.Thisisbecausethebenchmarkisanequallyweightedaverageofthetwoindiceswhenoneisoutperformingthebenchmark(sohaspositiveactivereturns)thentheothermustbeunderperformingthebenchmark(givingnegativeactivereturns).Example:AbsoluteriskattributionAportfoliohasthefollowingcharacteristicsPortfolioWeightStandardDeviationAssetA40%20%AssetB50%12%AssetC10%6%Portfolio100%11.92%CovarianceAssetAAssetBAssetCZkssetA0.0400000.0096000.002400AssetB0.0096000.0144000.001440AssetC0.0024000.001440Calculatetheabsolutecontributiontoportfolio0,003600varianceofassetA.Giventhatthetotalvarianceis0.014212,calculatetheproportionoftotalportfoliovariancecontributedbyAssetA.18-21Example:AbsoluteRiskAttributionHWeightofAssetAhWeightofAssetAhCovarianceofAssetAwithAssetA0.40h0.40h0.04+WeightofAssetAhWeightofAssetBhCovarianceofAssetBwithAssetA0.40h0.50h0.0096+WeightofAssetAhWeightofAssetChCovarianceofAssetCwithAssetA+0.40h0.10h0.0024=AssetA'scontributiontototalportfoliovariance=0.0084161.CovarianceofreturnsbetweenassetAandtheportfolio:2.TheproportionoftotalportfoliovariancecontributedbyAssetAis,therefore,0.008416/0.014212=59.22%.19-21写亚自新tin.Example:Factor-basedriskbudgetingHThefollowingtablepresentstherisk-factorcoefficientsandvariance/covariancematrixforamanagerrunningaportfoliousingatwo-factormodel(marketandsize)CoefficientMarketSizeValueMomentumCoefficient1.0800.098-0.4010.034Varianceofthemarketfactorreturnandcovarianceswiththemarketfactorreturn0.001090.000530.00022-0.00025Portfoliomonthlystandarddeviationofreturns3.74%CalculatetheportionoftotalportfolioriskthatisexplainedbythemarketfactorinFundsexistingportfolioisclosestto:.20-21行业&新NI1I.Example:AbsoluteRiskAttributionTheportionoftotalportfolioriskexplainedbythemarketfactoriscalculatedintwosteps.Thefirststepistocalculatethecontributionofthemarketfactortototalportfoliovarianceasfollows:CVmartfacts=XmarketfaCtDrXJCmfjJ=ICVmarItetfaCtOr=(1.080×0.109×1.080)+(1.080M0.00053×0.098)+(1.080X0.00022×-0.401)+(1.080×-0.00025X0.034)CVmarketfactor=0.001223Thesecondstepistodividetheresultingvarianceattributedtothemarketfactorbytheportfoliovarianceofreturns,whichisthesquareofthestandarddeviationofreturns:Portionoftotalportfolioriskexplainedbythemarketfactor=0.001223(0.0374)2三87%写亚/新mu.