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

上传人:p** 文档编号:632251 上传时间:2023-12-15 格式:DOCX 页数:13 大小:52.05KB
下载 相关 举报
CFA三级知识点必备:Equity Portfolio Management_标准版.docx_第1页
第1页 / 共13页
CFA三级知识点必备:Equity Portfolio Management_标准版.docx_第2页
第2页 / 共13页
CFA三级知识点必备:Equity Portfolio Management_标准版.docx_第3页
第3页 / 共13页
CFA三级知识点必备:Equity Portfolio Management_标准版.docx_第4页
第4页 / 共13页
CFA三级知识点必备:Equity Portfolio Management_标准版.docx_第5页
第5页 / 共13页
CFA三级知识点必备:Equity Portfolio Management_标准版.docx_第6页
第6页 / 共13页
CFA三级知识点必备:Equity Portfolio Management_标准版.docx_第7页
第7页 / 共13页
CFA三级知识点必备:Equity Portfolio Management_标准版.docx_第8页
第8页 / 共13页
CFA三级知识点必备:Equity Portfolio Management_标准版.docx_第9页
第9页 / 共13页
CFA三级知识点必备:Equity Portfolio Management_标准版.docx_第10页
第10页 / 共13页
亲,该文档总共13页,到这儿已超出免费预览范围,如果喜欢就下载吧!
资源描述

《CFA三级知识点必备:Equity Portfolio Management_标准版.docx》由会员分享,可在线阅读,更多相关《CFA三级知识点必备:Equity Portfolio Management_标准版.docx(13页珍藏版)》请在第壹文秘上搜索。

1、寸二6UOHq0CCl一鼠法皿肾一Rgf藤三UI IEquityInvestmentStyleClassificationsAThetwomainapproachesinstyleanalysisaretheholdings-basedapproachandthereturns-basedapproach.ATheholdings-basedapproach1undlnveslmenlsiylelooksattheattributesofeachValueBlendGrowthindividualstockinaportfolioandaggregatestheseattributesSize

2、1.argetoconcludetheoverallstyleoftheportfolio.AcommonapplicationofthisideaistheMorningstarStyleBox.MidSmallHoldings-BasedStyleAnalysisAThestyleboxapproachaimstoclassifyapproximatelythesamenumberofstocksineachofthevalue,blend,andgrowthgroups,essentiallydistributingthemarketvalueofeachrowevenlyacrosst

3、hegrid.ATheclassificationofstocksintovalue/blend/growthinvolvesassigningastylescoretoeachindividualstock.Forexample,toassignavaluescore,thedividendyieldmaybeused./StockswouldberankedaccordingtotheirdividendyieldandaSCOreallocatedtoaStcICkbasedOntheirPe(CentiIeOfthemarketvalueoftheirparticulargroup./

4、IfthestockisattheIoWer(high)endOfthedividendyieldrange,itWillreceiveaIc)W(high)SCoreCloSet。OQOO).Acomprehensivescoringmodelwouldusemanyindicatorsofvalueandcombinethemtogetherinapre-determinedweighting.Holdings-BasedStyleAnalysisATheclassificationofstocksThedifferencebetweenthestock,sgrowthandvaluesc

5、oresiscalledanetstylescore./Ifthenetstylescoreisstronglynegative,thestockisclassifiedasvalue./Ifthenetstylescoreisstronglypositivethenthestockisclassifiedasgrowth./Ifthenetstylescoreisclosetozerothenthestockwillbeclassifiedascore.Onceconstructedforastockuniverse,thegridcanbeusedasavisualaidtohelpcat

6、egorizeandtrackmanagedinvestmentportfolios.,Ataglance,aninvestorcanseewhereamanagerispositionedonthegrid,and,ifhistoricaldataexists,howthisstylehaschangedovertime.Returns-BasedStyleAnalysisAreturns-basedstyleanalysisaimstoidentifythestyleofafundthroughregressionofthefundsreturnsagainstasetofpassives

7、tyleindices.AByimposingaconstraintontheregressionthatthesumoftheslopecoefficientsshouldsumtoavalueof1,theslopecoefficientscanbeinterpretedastheanager,sallocationtothatstyleduringtheperiod.Forexample,areturn-basedstyleanalysismightconductaregressionoffundreturnsversusfourpassiveindicesasfollows:+斗存=t

8、nereturnostylendesmesamepero雪=1 and s O fors=thefundexposuretostyles(withconstraints.along-onlyportfolio)=aconstantofteninterpretedasthevalueaddedbythefundmanagert=theresidualreturnthatcannotbeexplainedbythestylesusedintheanalysisManagerSelf-IdentificationAThefud,sinvestmentstrategyisusuallyself-des

9、cribedbythemanager.AComparingthatself-descriptionwithreturns-basedandholdings-basedstyleanalysiswilleitherconfirmaconsistentidentificationorindicateaneedforfurtherinvestigationandanalysistoexplainthediscrepancy.Somestylessuchasequitylong/short,equitymarketneutralandshortbiasdonotfittraditionalstylec

10、ategoriesandthemanagersdescriptionandfundprospectusbecomesthekeysourceofinformationonstyleofsuchfunds.Equitystyleanalysis-Comparisonof2tech.AdvantagesDisadvantagesReturn-basedRequiresminimalinformationCanbeexecutedquicklyCosteffectiveMorewidelyappliedMaybeineffectiveincharacterizingcurrentstyleDiffi

11、culttodetectmoreaggressivepositionsHolding-basedMoreaccuratethanreturns-basedFacilitatescomparisonsofindividualpositionsCapturechangesinstylemorequicklyMoredataintensivethanreturns-basedanalysisLesseffectiveforfundswithsubstantialpositionsinderivatives.巨业创新憎值一2.PortfolioConstruction专业创新增值APassively-

12、managedindex-basedequityportfolioscanbeconstructedby:FullReplication:fullreplication(holdallofthesecuritiesintheindex)StratifiedSampling:holdasampleofthesecuritiesbasedonstratifiedsamplingOptimization:usemorecomplexoptimizationtomaximizedesirablecharacteristicswhileminimizingundesirablecharacteristi

13、cs.BlendedApproach:inpracticeablendoftheseapproachesmaybeused.AFullreplicationcanbecostlywhentherearelargenumbersofstockandliquidityislimited.Theportfoliomustberegularlyreconstitutedandrebalanced.Theadvantageoffullreplicationisthatitcloselymatchestheindexreturn(beforetransactioncosts).AToavoidthehig

14、hcostoffullreplication,itoftenmakesmoresenseforthemanagertousestratifiedsampling,inwhichheholdsasubsetoftheconstituentstocks,withthesampleselectedinsuchawayastoreplicatetheindexreturn/riskcharacteristics.Toimplementstratifiedsampling,themanagercreatesstrataacrosstheconstituentstocksthataremutuallyex

15、clusiveandexhaustive.Themanagermustconsidersizeofthesampleused.Asmorestocksareaddedandtheportfolioapproachesfullreplication;lessliquidstocksareadded,increasingtransactioncostandtrackingerror.Optimizationusesthetoolsofmodernportfoliotheorytoaddresstheproblemofminimizingtrackingerror.Theoptimizerseeksthecombinationofstocksthatwouldhaveminimizedtrackingerr

展开阅读全文
相关资源
猜你喜欢
相关搜索

当前位置:首页 > 管理/人力资源 > 咨询培训

copyright@ 2008-2023 1wenmi网站版权所有

经营许可证编号:宁ICP备2022001189号-1

本站为文档C2C交易模式,即用户上传的文档直接被用户下载,本站只是中间服务平台,本站所有文档下载所得的收益归上传人(含作者)所有。第壹文秘仅提供信息存储空间,仅对用户上传内容的表现方式做保护处理,对上载内容本身不做任何修改或编辑。若文档所含内容侵犯了您的版权或隐私,请立即通知第壹文秘网,我们立即给予删除!