CFA level 1conception.docx
- 文档编号:29356182
- 上传时间:2023-07-22
- 格式:DOCX
- 页数:40
- 大小:5.38MB
CFA level 1conception.docx
《CFA level 1conception.docx》由会员分享,可在线阅读,更多相关《CFA level 1conception.docx(40页珍藏版)》请在冰豆网上搜索。
CFAlevel1conception
Thecurrencywiththehigher(lower)interestratewillalwaystradeatadiscount(premium)intheforwardmarket.Thelowerinterestrateinthedomesticcountrywillbeoffsetbytheappreciationofthedomesticcountry’scurrencyovertheinvestmenthorizon.
ThevalueofaEuropeanputoptionwilldecreaseastherisk-freeinterestrateincreases.
Whenacommoditymarketisincontango,futurespricesarehigherthanspotprices.Whenspotpricesarehigherthanthefuturesprice,themarketissaidtobeinbackwardation.
Bisincorrectbecausebackwardationistheoppositeofcontango;thefuturespriceisbelowthespotprice.
Cisincorrectbecausecarryreferstostorageplusinterestcosts.Itdoesnotsayanythingaboutfuturespricesrelativetospotprices.
Adistributionthatismorepeakedthannormaliscalledleptokurtic.
Adistributionthatisneithermorepeakednorlesspeakedthannormaliscalledmesokurtic.
Adistributionthatislesspeakedthannormaliscalledplatykurtic.
Thedurationofaportfolioistheweightedaverageofthebonds’durationsinwhichtheweightforeachbondisitscontributiontotheportfolio'svalue
MonteCarlosimulationlendsitselfto“whatif”analysisandrequirestheusertoprovideaprobabilitydistributionordistributions.Itcanbeacomplementtoanalyticalmethods.
MonteCarlosimulationprovidesadistributionofpossiblesolutionstocomplexfunctions.Thecentraltendencyandthevarianceofthedistributionofsolutionsgiveimportantcluestodecisionmakersregardingexpectedresultsandrisk.
Thesamplingerroristhedifferencebetweentheobservedvalueofastatisticandthequantityitisintendedtoestimate.
ZZ-score(standardizedvalue)=(X −μ)/σ,计算取值X距离平均值μ的标准差的个数
Themostappropriatetestischi-square,with36−1=35degreesoffreedom.Reminber:
Thedominatorjustforcalculatingthestandarddeviationofsamplewithsizeofnis(n-1).
Anormaldistributionhaskurtosisof3.0.
whileforthecalculatingoftstatistic,thestandarderrorofsampleinformulaiss/n^0.5.
Thestandarderrorofthesample=StandardDeviation/n^0.5
ThesecuritymarketlineisagraphicalrepresentationoftheCAPMwithbetaonthe x-axisandexpectedreturnonthe y-axis.Theslopeofthelineisgivenbythemarketriskpremium,thedifferencebetweentheequitymarketreturnandtherisk-freerateofinterest.
ThebetaofStockA=CorrelationofStockAwiththemarket×StandarddeviationofStockA’sreturn÷Standarddeviationofthemarket’sreturn
Theoptimalriskyportfolioliesatthepointoftangencybetweenthecapitalallocationlineandtheefficientfrontierofriskyassets.
theoptimalinvestorportfolioliesatthepointoftangencybetweentheinvestor’sindifferencecurveandthecapitalallocationline.
theglobalminimum-varianceportfolioistheleft-mostpointontheminimum-variancefrontier.
Ifaclientoffersabonusthatdependonthefutureperformanceofheraccount,thisisanadditionalcompensationarrangementthatrequireswrittenconsentinadvance.Ifaclientoffersabonustorewardamemberforheraccount’spastperformance,thisisagiftthatrequiresdisclosuretothemember’semployerwithstandardI(B)IndependenceandObjective.
Foraninvestorwhoholdsafullydiversifiedportfolio,theTreynorratioandJensen’salphaaretheappropriateportfolioperformancemeasures.Theyareappropriatebecauseinafullydiversifiedportfolio,onlysystematicriskmatters;boththesemetricsmeasureperformancerelativetobetaorsystematicrisk.
TheTreynorratiomeasuresthereturnpremiumofaportfolioversustherisk-freeassetrelativetotheportfolio’sbeta,whichisameasureofsystematicrisk.
TheSharperatioissimilartotheTreynorratio,butitusesportfoliostandarddeviation,whichisameasureoftotalrisk,insteadofstandarddeviation.
M-squaredincorporatesthestandarddeviationofthemarketandportfolio,whicharemeasuresoftotalrisk.
TheCAPMrequiresthattherearenorestrictionsonshortselling(whichisanassumptionunderlyingfrictionlessmarkets)andthattheamountinvestedinanassetcanbeasmuchoraslittleastheinvestorwants(thatis,investmentsareinfinitelydivisible).TheCAPMalsoassumesthatallinvestorsanalyzesecuritiesinthesamewayusingthesameinputsforfuturecashflowsandthesameprobabilitydistributions;thatis,itassumesthatinvestorshavehomogenousexpectations.
TheprovisionswithintheGIPSstandardsaredividedintothefollowingninesections:
FundamentalsofCompliance,InputData,CalculationMethodology,CompositeConstruction,Disclosure,PresentationandReporting,RealEstate,PrivateEquity,andWrapFee/SeparatelyManagedAccount(SMA)Portfolios.
TheinvestmentdecisionruleusingIRR(InternalRateofReturn),theIRRrule,statesthefollowing:
“AcceptprojectsorinvestmentsforwhichtheIRRisgreaterthantheopportunitycostofcapital.”TheIRRruleusestheopportunitycostofcapitalasahurdlerate,orratethataproject’sIRRmustexceedfortheprojecttobeaccepted.NotethatiftheopportunitycostofcapitalisequaltotheIRR,thentheNPVisequalto0.Iftheproject’sopportunitycostislessthantheIRR,theNPVisgreaterthan0(usingadiscountratelessthantheIRRwillmaketheNPVpositive).
Thetime-weightedrateofreturnmeasuresthecompoundrateofgrowthof$1initiallyinvestedintheportfoliooverastatedmeasurementperiod.Incontrasttothemoney-weightedrateofreturn,thetime-weightedrateofreturnisnotaffectedbycashwithdrawalsoradditionstotheportfolio.Theterm“time-weighted”referstothefactthatreturnsareaveragedovertime.Tocomputeanexacttime-weightedrateofreturnonaportfolio,takethefollowingthreesteps:
1.Pricetheportfolioimmediatelypriortoanysignificantadditionorwithdrawaloffunds.Breaktheoverallevaluationperiodintosubperiodsbasedonthedatesofcashinflowsandoutflows.
2.Calculatetheholdingperiodreturnontheportfolioforeachsubperiod.
3.Linkorcompoundholdingperiodreturnstoobtainanannualrateofreturnfortheyear(thetime-weightedrateofreturnfortheyear).Iftheinvestmentisformorethanoneyear,takethegeometricmeanoftheannualreturnstoobtainthetime-weightedrateofreturnoverthatmeasurementperiod.
Themoneymarketisthemarketforshort-termdebtinstruments(one-yearmaturityorless).Someinstrumentsrequiretheissuertorepaythelendertheamountborrowedplusinterest.Othersarepurediscountinstrumentsthatpayinterestasthedifferencebetweentheamountborrowedandtheamountpaidback.
Alldatameasurementsaretakenononeoffourmajorscales:
nominal,ordinal,interval,orratio.
1.Nominalscalesrepresenttheweakestlevelofmeasurement:
Theycategorizedatabutdonotrankthem.Ifweassignedintegerstomutualfundsthatfollowdifferentinvestmentstrategies,thenumber1mightrefertoasmall-capvaluefund,thenumber2toalarge-capvaluefund,andsoonforeachpossiblestyle.Thisnominalscalecategorizesthefundsaccordingtotheirstylebutdoesnotrankthem.
2.Ordinalscalesreflectastrongerlevelofmeasurement.Ordinalscalessortdataintocategoriesthatareorderedwithrespecttosomecharacteristic.Forexample,theMorningstarandStandard&Poor’sstarratingsformutualfundsrepresentanordinalscaleinwhichonestarrepresentsagroupoffundsjudgedtohavehadrelativelytheworstperformance,withtwo,three,four,andfivestarsrepresentinggroupswithincreasinglybetterperformance,asevaluatedbythoseservices.Anordinalscalemayalsoinvolvenumberstoidentifycategories.Forexample,inrankingbalancedmutualfundsbasedontheirfive-yearcumulativereturn,wemightassignthenumber1tothetop10percentoffunds,andsoon,sothatthenumber10representsthebottom10percentoffunds.Theordinalscaleisstrongerthanthenominalscalebecauseitrevealsthatafundranked1performedbetterthanafundranked2.Thescaletellsusnothing,however,aboutthedifferenceinperformancebetweenfundsranked1and2comparedwiththedifferenceinperformancebetweenfundsranked3and4,or9and10.
3.Intervalscalesprovidenotonlyrankingbutalsoassurancethatthedifferencesbetweenscalevaluesareequal.Asaresult,scalevaluescanbeaddedandsubtractedmeaningfully.TheCelsiusandFahrenheitscalesareintervalmeasurementscales.Thedifferenceintemperaturebetween10°Cand11°Cisthesameamountasthedifferencebetween40°Cand41°C.Wecanstateaccuratelythat12°C=9°C+3°C,forexample.Nevertheless,thezeropointofanintervalscaledoesnotreflectcompleteabsenceofwhatisbeingmeasured;itisnotatruezeropointornaturalzero.ZerodegreesCelsiuscorrespondstothefreezingpointofwater,nottheabsenceoftemperature.Asaconsequenceoftheabsenceofatruezeropoint,wecannotmeaningfullyformratiosonintervalscales.Asanexample,50°C,althoughfivetimesaslargeanumberas10°C,doesnotrepresentfivetimesasmuchtemperature.Also,questionnairescalesareoftentreatedasintervalscales.Ifaninvestorisaskedtorankhisriskaversiononascalefrom1(extremelyrisk-averse)to7(extremelyrisk-loving),thedifferencebetweenaresponseof1andaresponseof2issometimesassumedtorepresentthesamedifferenceinriskaversionasthedifferencebetweenaresponseof6andaresponseof7.Whenthatassumptioncanbejustified,thedataaremeasuredonanintervalscale.
4.Ratioscalesrepresentthestrongestlevelofmeasurement.Theyhaveallthecharacteristicsofintervalmeasurementscalesaswellasatruezeropointastheorigin.Withratio
- 配套讲稿:
如PPT文件的首页显示word图标,表示该PPT已包含配套word讲稿。双击word图标可打开word文档。
- 特殊限制:
部分文档作品中含有的国旗、国徽等图片,仅作为作品整体效果示例展示,禁止商用。设计者仅对作品中独创性部分享有著作权。
- 关 键 词:
- CFA level 1conception conception