CFA三级知识点必备：Equity Portfolio Management 标准版.docx

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三1BuildingBlocksUsedinPortfolioConstructionAThethreemainbuildingblocksofportfolioconstructionare:Factorweightings.Alphaskills.Positionsizing.AThesethreebuildingblocksareintegratedintoasuccessfulportfolioconstructionprocessthroughafourthcomponent:breadthofexpertise.AFirstBuildingBlock:Overweight/UnderweightRewardedFactorsThisrelatestothemanagertakingexposurestorewardedrisksthatdifferfromthoseofthebenchmark.Thiscanbethoughtofasactivereturnduetodifferencesinbeta.Withexposurestorewardedfactorsincreasinglyaccessibleviarules-basedindexproducts,simplestaticexposuretorewardedfactorsisnolongerwidelyconsideredasourceofalpha.Irrespectiveofthemanager'sapproach,whethertheyexplicitlytargetfactorexposuresortargetindividualsecurities,theirperformancecaninpartbeattributedtosensitivitytothesebetafactors.Thisbuildingblockrelatesprimarilytoactivereturnsourcenumberone:differencesinexposurestolong-termrewardedfactors.ASecondBuildingBlock:AlphaSkillsAlphaskillsareexcessreturnsrelatedtotheuniqueskillsandstrategiesofthemanager./Amanagercangeneratealphathroughfactortiming,whichisskillinidentifyingwhenafactormightoutperform/underperformitsaveragereturn./Thiscouldapplytoarewardedfactor,butitcouldalsoapplytounrewardedfactors,suchascorrectlytiminggeographicalorindustrysectorexposures,commodityprices,orevensecurityselection(adiscretionarymanagermightrefertotheseasthematicexposures).Thisbuildingblockrelatesprimarilytoactivereturnsourcenumbertwo:identifyingmispricings.>ThirdBuildingBlock:SizingPositionsPositionsizingbalancesmanagers'confidenceintheiralphaandfactorinsightswhilemitigatingidiosyncraticriskscomingfromconcentratedpositions.Positionsizingwillaffectallthreesourcesofactiverisk,butthemostdramaticimpactwillbeonidiosyncraticrisk./Thegeneralruleisthatsmallerpositionsinagreaternumberofsecuritieswilldiversifyawayidiosyncraticriskandleadtolowerportfoliovolatility.Afactor-orientatedmanagerwhospreadstheirportfolioacrossmanyassetsislikelytominimizetheimpactofidiosyncraticrisk.Astock-pickerislikelytoholdmoreconcentratedpositionsbasedontheirinsightsintoindividualsecurities,andhence,deliberatelyassumeaHgheFegFeef4disy÷GFatie44sk2ActiveShareandActiveRiskAActiveSharemeasuresthedegreetowhichthenumberandsizingofthepositionsinamanager,sportfolioaredifferentfromthoseofabenchmark,andisgivenbythefollowingequation:liNActiveShare=2IWeightPOrtfoliO/-Weightbenchmark,!IActiveSharetakesavaluebetweenOand1.IfaportfoliohasanActiveShareof0.5,wecanconcludethat50%oftheportfolioisidenticaltothatofthebenchmarkand50%isnot.Iftwoportfolioswiththesamebenchmarkinvestonlyinbenchmarksecurities,theportfoliowiththefewersecuritiesandthereforehigherdegreeofconcentrationinpositionswillhaveahigherlevelofActiveShare.AActiverisk,alsocalledtrackingerror,isthestandarddeviationofactivereturns(portfolioreturnsminusbenchmarkreturns).Asanequation:AResearchconclusionsonthecompositionofactivereturninclude:Highnetexposuretoariskfactorleadstohighlevelofactiverisk.AportfoliowithnonetfactorexposurewillhaveactiveriskattributedentirelytoActiveShare.ActiveriskattributabletoActiveShareisinverselyproportionaltothenumberofsecuritiesintheportfolio.Activeriskincreasesasfactorandidiosyncraticrisklevelsincrease.InvestmentStyleDescriptionActiveShareandActiveRiskPureindexingNoactivepositions:portfolioisequaltothebenchmarkZeroActiveShareandzeroactiveriskFactorneutralNoactivefactorbetsidiosyncraticrisklowifdiversifiedLowactiveriskActiveSharelowifdiversifiedFactordiversifiedBalancedexposuretoriskfactorsandminimizedidiosyncraticriskthroughhighnumberofsecuritiesinportfolioReasonablylowactiveriskhighActiveSharefromlargeamountofsecuritiesusedthatareunlikelytobeinthebenchmarkConcentratedfactorbetsTargetedfactorbetsidiosyncraticrisklikelytobehighHighActiveShareandhighactiveriskConcentratedstockpickerTargetedindividualstockbetsHighestActiveShareandhighestactiverisk巨业创新憎值一UJBqS SA-OVLowActiveShareandActiveRisk>InvestmentStyles,ActiveShare,andActiveRiskHighConcentrated泪NConcentratedstockPicksDiversifiedFactorBetsFactorNeutralandIactorBetsDiversifiedStockPicksClosetIndexing*PureIndexingHighActiveRiskAManagerstylescanalsobeidentifiedthroughobservingtheirsectorandsecurityspecificconstraints.Forexample:Asectorrotatorwouldneedtohavelargepermitteddeviationsinsectorweights;Astockpickerwouldneedtohavelargepermitteddeviationsinindividualsecurityweights;Adiversifiedmulti-factorinvestorwouldnotneedsuchlargedeviationsfromindexweights,butwouldstillneedsomeflexibilityinordertogenerateamoderatelevelofactiveriskandreturn.3.AllocatingtheRiskBudgetingAllocatingtheRiskBudgeting>Riskbudgetingisaprocessbywhichthetotalriskofaportfolioisallocatedtoconstituentsoftheportfoliointhemostefficientmanner.Itisanintegralpartofaneffectiveriskmanagementprocess.Aneffectiveriskmanagementprocesshasthefollowingfoursteps:Determinewhichtypeofriskmeasureisappropriategiventhefundmandate./Absoluteriskmeasuresareappropriatewhentheinvestmentobjectiveisexpressedintermsoftotalreturns./Relativeriskmeasuresareappropriatewhentheinvestmentobjectiveistooutperformamarketindex.Understandhoweachaspectofthestrategycontributestorisk.Determinewhatlevelofriskbudgetisappropriate.Properlyallocateriskamongindividualpositions/factors.AllocatingtheRiskBudgetingACausesandSourcesofAbsoluteRiskAbsoluteriskmeasuresfocusonthesizeandcompositionofabsoluteportfoliovariance.Thecalculationoftotalportfoliovariance(Vp):尊片芸7嘤安2Inotherwords,theportfolaFanceisthesumofeachasset,scontributiontoportfoliovariance.Thecontributionofassetitoportfoliovariance(CVi)isgivenbytheequation:粤/羲assetj'sweightintheportfolio/翻*thecovarianceofreturnsbetweenassetiandassetj/畿*=thecovarianceofreturnsbetweenassetiandtheportfolioAllocatingtheRiskBudgetingACausesandSourcesofRelative/ActiveRiskRelativeriskbecomesanappropriatemeasurewhenthemanagerisconcernedwithherperformancerelativetoabenchmark.Onemeasureofrelativeriskisthevarianceoftheportfolio'sactivereturn(AVp):驾蠢浴邀吐/xi=theasset,sightintheportfolio/bi=thebenchmarkweightinasseti/IhecovarianceofrelativereturnsbetweenassetiandassetjThecontributionofeachassettotheportfolioactivevariance(CAVi)is/RCipisthecovarianceofelafvereturnsbetweenassetiandtheportfolio.AllocatingtheRiskBudgetingATheimportantpointstonoteare:Contributiontoactivevarianceisafunctionofactiverisknotabsolutestandarddeviation./E.g.Whilecashhasaverylowstandarddeviation,ithasanactiverisktwicethatoftheindexescomprisingthebenchmarkduetothelowcorrelationofcashversusthebenchmark.Thisleadstocashcontributingto100%oftheactivevariance.ThecorrelationoftheactivereturnsofindexAandindexBis-1.Thisisbecausethebenchmarkisanequallyweightedaverageofthetwoindiceswhenoneisoutperformingthebenchmark(sohaspositiveactivereturns)thentheothermustbeunderperformingthebenchmark(givingnegativeactivereturns).Example:Absoluteriskattribution>AportfoliohasthefollowingcharacteristicsPortfolioWeightStandardDeviationAssetA40%20%AssetB50%12%AssetC10%6%Portfolio100%11.92%CovarianceAssetAAssetBAssetCAssetA0.0400000.0096000.002400AssetB0.0096000.0144000.001440AssetC0.0024000.0014400.003600ACalculatetheabsolutecontributiontoportfoliovarianceofassetA.AGiventhatthetotalvarianceis0.014212fcalculatetheproportionoftotalportfoliovariancecontributedbyAssetA.Example:AbsoluteRiskAttributionWeightofAssetA×WeightofAssetA×CovarianceofAssetAwithAssetA0.40×0.40×0.04+WeightofAssetA×WeightofAssetB×CovarianceofAssetBwithAssetA0.40×0.50×0.0096+WeightofAssetA×WeightofAssetC×CovarianceofAssetCwithAssetA+0.40×0.10×0.0024=AssetA'scontributiontototalportfoliovariance=0.008416>1.CovarianceofreturnsbetweenassetAandtheportfolio:A2.TheproportionoftotalportfoliovariancecontributedbyAssetAis,therefore,0.008416/0.014212=59.22%.Example:Factor-basedriskbudgeting>Thefollowingtablepresentstherisk-factorcoefficientsandvariance/covariancematrixforamanagerrunningaportfoliousingatwo-factormodel(marketandsize)CoefficientMarketSizeValueMomentumCoefficient1.0800.098-0.4010.034Varianceofthemarketfactorreturnandcovarianceswiththemarketfactorreturn0.001090.000530.00022-0.00025Portfolio'smonthlystandarddeviationofreturns3.74%>CalculatetheportionoftotalportfolioriskthatisexplainedbythemarketfactorinFundl,sexistingportfolioisclosestto:.Example:AbsoluteRiskAttributionATheportionoftotalportfolioriskexplainedbythemarketfactoriscalculatedintwosteps.Thefirststepistocalculatethecontributionofthemarketfactortototalportfoliovarianceasfollows:nCVrnarketfaCtor=/marketfactorjmf,jj=CVmarketfactor=(1.080×0.00109×1.080)+(1.080×0.00053×0.098)+(1.080×0.00022×-0.401)+(1.080×-0.00025×0.034)CVmarketfactor=0.001223AThesecondstepistodividetheresultingvarianceattributedtothemarketfactorbytheportfoliovarianceofreturns,whichisthesquareofthestandarddeviationofreturns:Portionoftotalportfolioriskexplainedbythemarketfactor=0.001223(0.0374)2=87%