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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-basedModelAThefactorsaretypicallySimilartothefundamental(orstructural)fa
