CFA三级知识点必备：Asset Allocation and Related Decisions in Portfolio Management（投资组合管理中的资产配置及相关决策）.docx

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1、讲师：JCY0% 8前城8 8叱 PYOf铀i。MtiAssetAllocationandRelatedDecisionsinPortfolioManagement(1)CFA三级培训项目1.AssetAllocationPrinciples行业创新增值EconomicBalanceSheetEconomicbalancesheetConventional/FinancialassetsandliabilitiesAdditional/Extendedassetsandliabilities/Relevantinmakingassetallocationdecisionsbutnotappea

2、ronconventionalbalancesheetsAssetsLiabilitiesandNetworthFinancialassetsFinancialliabilitiesDomesticequityShort-termborrowingExtendedassetsExtendedliabilitiesPVofexpectedfuturecontributionsPVofexpectedfuturesupportNetvorthEconomicnetworthApproachestoAssetAllocationLiability-relative:Distinctionsbetwe

3、enliabilitiesforaninstitutionalinvestorandgoalsforanindividualinvestorLiabilitiesofinstitutionalinvestorsareIegalobligationsOrdebts,whereasgoals,suchasmeetinglifestyleoraspirationalobjectives,arenot;Whereasinstitutionalliabilities,suchaslifeinsurerobligationsorpensionbenefitobligations,areUniforminn

4、ature(allofasingletype),anindividualsgoalsmaybemanyandvaried;Liabilitiesofinstitutionalinvestorsofagiventype(e.g.,thepensionbenefitsowedtoretirees)areoftennumerousandsozthroughaveraging,mayOftenbeforecastWithconfidence.Incontrast,individualgoalsarenotSUbjeCttotheIaWOflargenumbersadaveraging;AssetCla

5、ssCriteriaforspecifyingassetclassesforthepurposeofassetallocationAssetswithinanassetclassshouldberelativelyhomogeneous;Assetclassesshouldbemutuallyexclusive;Assetclassesshouldbediversifying;TheassetclassesasagroupshouldmakeupaPrePondaSSnCCOfWOrldinvestablewealth;Assetclassesselectedforinvestmentshou

6、ldhavethecapacitytoabsorbameamgfel-FpFt+o-4RvestF-pFtfk.RiskFactorsFactor-basedassetallocationModelingusingassetclassesastheunitofanalysistendstoObSCUretheportfoliosSenSitiVitytoOVerlaPPingriskfactors;TheprocessofFactor-basedassetallocationSBeEfykSk4aStrategicassetallocation/Policyportfolioanassetal

7、locationthatisexpectedtobeeffectiveia日ChiRVinganassetownersinvestmentobjectives,givenhisorherinvestmentConStQimSandrisktolerance,asdocumentedintheinvestmentpolicystatementAOptimalassetallocationMaximizeEU(W)=f(W,assetclassreturndistribution,degreeofriskaversion)bychoiceofassetclassweightsWTOisubject

8、toZ(I=1AUtilityfunction12Mean-varianceutility:U=E(rp)-apOptimalallocationtotheriskyassetStrategicimplementationchoicesAPassive/ActiveSpectrumUSeOfinfbrmationonassetclasses,investmentMOSTPASSIVEctoi21.aQdindvdualinvestmentsMOSTACTIVE(indexingtoincrease57ifteFuantifiedby(unconstrainedmarketweights)Inc

9、reasingtrackingriskre1ativet5ichfnadmandates)IncreasingactivesharerelativetobenchmarkFactorsinfluencingwheretoinvestonthepassive/activespectrumAVailableinvestments;SCalabilityofactivestrategiesbeingconsidered;ThefeasibilityOfinVCStingPElSSiVOlywhileincorporatingclient-specificconstraints(e.g.ESGinve

10、stingcriteria);BeliefsConCerningmarketinformationalefficiency;Thetrade-offofexpectedincrementalbenefitsrelativetoincrementalcostsandrisksofactivechoices;.Ta*tatus;StrategicconsiderationsinrebalancingStrategicconsiderationsConsiderationsRebalancingrangesTransactioncostsHighercosts,widerrangesRisk-ave

11、rsionMorerisk-averse,narrowerrangesAssetclasscorrelationLesscorrelated,narrowerrangesBeliefsinmomentumfavor/meanreversionBeliefsinmomentum,widerranges;Meanreversion,narrowerrangesLiquidityIlliquidinvestmentscomplicaterebalancing,commonlywiderrangesVolatilityHighervolatilitymakesdivergencesfromthestr

12、ategicassetallocationmorelikely,thusnarrowerrangesTaxesEncourageasymmetricandwiderrebalancingranges,forexample,25%-(24%,28%)专业缺穴i曾值一3.AOzMVOApproach.11-40Asset-Only:MVOStrengthsMostcommonandwidelyusedBasisformoresophisticatedapproachesWeaknessesTheoutputs(assetallocations)arehighlySenMtivctoSmallCha

13、ngeSintheinput用(otherapproaches)TheassetallocationstendtobelyCorKentratedQsubletoftheavailableassetclasses;(otherapproaches)InvestorsareoftenconcernedwithcharacteristicsofassetclassreturnssuchasSkeWneSSandkurto4sthtarenot日CC(JUntedforinMV0;(Non-normaloptimizationapproaches)Whiletheassetallocationsma

14、yappeardiversifiedacrossassets,thesourcesofFiskmaynotbedWersified;(Riskbudgeting)MVOallocationsmayhavenodirectconnectiontothefactorsaffectinganyliabilityorconsumptionstreams;MVOisagle-pedframeworkthatdoesnottakeaccountoftrading/rebalancingcostsandtaxes.专配领先18值一Asset-Only:Factor-basedModelAThefactors

15、aretypicallySimilartothefundamental(orstructural)factorsinwidelyusedmulti-factorinvestmentmodels.Typicalfactorsusedinassetallocationincludesize,valuation,momentum,liquidity,duration(term),credit,andvolatility.Returnscanbecombinedfromshortinglarge-capstocksandgoinglongsmall-capstocks,foranexample,zzS

16、izefactorreturn=Small-capstockreturn-Large-capstockreturn,Standarddeviationsrepresentthevolatilityofdifferentfactorsreturn.Pair-wisecorrelationsWiththemarketandithoneanotheraregenerallylow.Constructingfactorsinthismannerremovesmostmarketexposurefromthefactorsbecauseoftheshortpositionsthatoffsetlongp

17、ositions.4.ALM&Goal-basedApproachSurplusoptimizationItinvolvesadaptingasset-onlymean-varianceoptimizationtoanefficientfrontierbasedonthevolatilityofsurplusbysubstitutingsurplusreturnforassetreturnoveranygiventimehorizon,allelseequal.Isastraightforwardextensionoftheasset-onlyportfoliomodelTheobjectiv

18、efunctionisULRm=E(R-1-5Where,SurplusReturn=(ChangeinassetvaIuexchangeinliabilityvalue)(lnitialassetvalue)ExpectedreturnsandvariancesofliabilitiesWeassumethattheliabilitieshavethesameexpectedreturnsandvolatilitiesasUScorporatebonds;Analternativeapproachistodeployasetofunderlyingfactorsthatdrivetheret

19、urnsoftheassets.Hedging/Return-seekingPortfolioApproachAInthisapproach,theliability-relativeassetallocationtaskisdividedintotwoparts,thusthisapproachisalsocalledtwo-portfolioapproach.Wedistinguishasbasicthetwo-portfolioapproachinthecaseinwhichthereisasurplus/Inthebasiccase,thefirstpartoftheassetallo

20、cationtaskconsistsofhedgingtheliabilitiesthroughahedgingPOlIfolio.Inthesecondpart,thesurplus(orsomepartofit)isallocatedtoafetm-seekingpGFtfComparedtobasicapproachThesevariantsdonothedgetheliabilitiestothefullextentpossiblegiventheassetsandthusareIeSSConSelnativethanthebasicapproachdiscussedabove.Sti

21、llztherecanbebenefitstoapartialhedgewhenthesponsorisabletoincreasecontributionsifthefundingratiodoesnotincreaseinthefutureto1orabove.AnessentialissueinvolvesthecompositionofthehedgingportfolioThedesignatedcashflowscanbehedgedviacashflowmatching,durationmatching,orimmunization,e.g.frozenDBpensionplan

22、.Whatsthemostimportantisthehedgingportfoliomustincludeassetswhosereturnsaredrivenbythesamefactorsthatdrivethereturnsoftheliabilities.Goals-basedAssetAllocationsProcess:Disaggregatestheinvestorsportfoliointoanumberofsub-portfolios,eachofwhichisdesignedtofundanindividualgoal(ormentalaccount)withitsOWn

23、timehorizonandFeqUiredProbabilityOfsuccess.Twofundamentalparts/Thefirstcentersonthecreationofportfoliomodules;/Whilethesecondinvolvesidentifyingclientgoalsandmatchingeachofthesegoalstotheappropriatesub-portfolioofasuitableassetsize.InstitutionsInclindualsGoalsSingleMultipleTimehorizonSingleMultipleR

24、iskmeasureVolatility(returnorsurplus)ProbabilityofmissinggoalReturndeterminationMathematicalexpectationsMinimumexpectationsRISkdeterminationTop-downbottom-upBottom-upTaxStatUSSingle,oftentax-exemptMostlytaxable5.RiskParity&RiskBudgetingRiskBudgetingandRiskParityAAriskbudgetissimplyaparticularallocat

25、ionofportfoliorisk.Thegoalofriskbudgetingistomaximizereturnperunitofriskwhetheroverallmarketriskoractiverisk.Theriskbudgetingprocessistheprocessoffindinganoptimalriskbudget.Themarginalcontributiontototalrisk(MCTR)identifiestherateatwhichriskwouldchangewithasmall(ormarginal)changeinthecurrentweights.

26、MCTRi=,XGPTheabsolutecontributiontototalrisk(ACTR)foranassetclassmeasureshowmuchitContributestoportfolioreturnvolatility.ACTR=W.MCTR=吗BjpExcessreturn=expectedreturn-risk-freerate/Sometimes,itisbasedonreverse-optimizedreturns.RiskBudgetingandRiskParityAnassetallocationisoptimalwhentheratioofexcessret

27、urn(overtherisk-freerate)toMCTRisthesameforallassetsandmatchestheSharperatioofthetangencyportfolio./RatioofexcessreturntoMCTR=(Expectedreturn-Risk-freerate)MCTR/Critically,betatakesaccountnotonlyoftheassetsownvolatilitybutalsooftheassetscorrelationswithotherportfolioassets.Theobjectiveofriskbudgetin

28、ginassetallocationistouseriskefficientlyinthepursuitofreturn.Ariskbudgetspecifiesthetotalamountofriskandhowmuchofthatriskshouldbebudgetedforeachallocation.RiskBudgetingandRiskParityRiskparityRiskparityportfolio/Ariskparityassetallocationisbasedonthenotionthateachasset(assetclassorriskfactor)shouldco

29、ntributeequallytothetotalriskoftheportfolioforaportfoliotobewelldiversified.吗xCo小 Construct the overall portfolio/ Deriving a risk parity-based asset allocation (risk parity portfolio)/ Borrow or to lend so that the overall portfolio corresponds to the investors risk appetite.=1。；1CAWC1=,0Qp=-npRisk

30、BudgetingandRiskParityInthiscasezeachassetclasscontributed0.8%,resultinginanassetallocationwithatotalstandarddeviationof6.41%.Inthisexample,5/8oftotalriskcomesfromequityassetclassesand3/8comesfromfixed-incomeassetclasses.AssetClassWeightMarginalContributiontoTotalRisk(MCTR)ACTRPercentageCoiitiibutio

31、ntoTotalStandardDeviationReverse-OptimizedTotalReturnsUSlarge-capequities7.7%10.43%0.8012.50%6.47%USmdapequities6113.0308012.507.33USsmall-capequities5.913.610.8012.507.52Non-USdevelopedmarketequities5614380.8012.50778Emergingmarketequities4.517.740.8012.508.89Non-USbonds15.55.170.8012.504.72USTIPS2

32、3.93.360.8012.504.12USbonds30.82.600.8012.503.86Total1000%641%10000%5.13%Il施同三lllOb4ZSu-BJUSUOJCO7SO=9AssetAllocationfortheTaxableInvestorAfter-TaxPortfolioOptimizationThereturnwillbeaffectedbythetax:G=Fpt(IT)rat=theexpecteda代er-taxreturnrpt=theexpectedpre-tax(gross)returnt=theexpectedtaxrateIftheex

33、pectedreturncomposedbydifferentintegral:%=pdrpt(l-td)+parpt(l-tcg)pd=theproportionofrptattributedtodividendincomepa=theproportionofrptattributedtopriceappreciationtd=thedividendtaxrateteg=thecapitalgainstaxrateExample阊IAConsideraportfoliowitha50%allocationtoequity,whereequityreturnsaresubjecttoa25%t

34、axrate.Atax-exemptinvestormayestablishatargetallocationtoequitiesof50%,withanacceptablerangeof40%to60%(50%plusorminus10%).Whattherangeshouldbeforataxableinvestorwhowouldliketoachievethesametargetequityallocation.ACorrectanswer:10%(l-25%)=13.3%50%13.3%Ataxableinvestorwiththesametargetequityallocation

35、canachieveasimilarriskconstraintwitharangeof37%to63%(50%plusorminus13%).Itsnotanendbutjustthebeginning.Thefailuresandreverseswhichawaitmen-andoneafteranothersaddenthebrowofyouth-addadignitytotheprospectofhumanlife,whichnoArcadiansuccesswoulddo.一HenryDavidThoreau.尽管失败和挫折等待着人们，一次次地夺走青春的容颜，但却给人生的前景增添了一份尊严，这是任何顺利的成功都不能做到的。