CFA一级强化班培训项目：权益-另类-衍生（标准版）.docx

TopicWeightingsinCFALevelIStudySession1EthicalandProfessionalStandards15-20StudySession2-3QuantitativeMethods8-12StudySession4-5Economics8-12StudySession6-9FinancialReportingandAnalysis13-17StudySession10-11CorporateFinance8-12StudySession12-13EquityJnvestments10-12StudySession14-15Fixedncome10-12StudySession16Derivatives5-8StudySession17Alternativenvestmerits5-8StudySession18-19PortfolioManagement5-5菩业.创新.增值S512EquityInvestment(1)、EquityInvestmentsS513EquityInvestment(2)R41EquityVaIuation:ConceptsandBasicTools包雪鹿号肃s.1Z.up9SSSHOJdUO一：PBSUBJJoSUowruJSUIZISSPUP.三suo三sod.9Sl一PlUslu<s>-PUo一-P巴一SI>1BE-BI一dBus>AUozSj>leujAJBPUoUss>AJe三JdSj÷PLUjolIO1PM=SSPU.>ovEe<1406(2)1412¢1)1512¢1)1706(1)1712(1)1912(1).IntermediariesoffinancialmarketBrokers,dealers,andHelpwiththetradeofsecurities,exchangesManagetheprocessofbuyingassets,placingtheminaSecuritizerspool,thensellingsecuritiesthatrepresentownershipofthepool.Thisprocessiscalledsecuritization.Absorbdepositsbypayinginterestoncustomerdeposits.Depositorymst1tut1onsIProvidetransact1onservicesononehand,andthenmakeIoanSWiththedepositsOntheOtherhand.Createinsurancecontracts(policies)thatprovideapaymentintheeventthatsomelossoccurs；InsurancecompaniesThebuyersbenefitbecausetheycaneasilyobtaintherisktransfers*Moralhazard;adverseselection;fraud.1406(2)1412(1)1512(1)1706(1)IntermediariesoffinancialmarketFinancialintermediariesTheservicesthattheyprovideArbitrageursClearinghouses：arrangeforfinalsettlementoftradestoCUStodians:holdsecuritiesonbehalfoftheirclientstopreventtheIossofsecuritiesthroughfraud,oversight,ornaturaldistAr,Secondarymarkets/Primarymarket:theplaceforfirmstopubliclyrisecapital.PO(initialpublicofferings),Seasonedofferqs(secondaryissues)/Secondarymarketinstruments(one-yearmaturityorless)./Capitalmarkets:fancialmarketsthattradeTraditionalVSAlternativemarkets/Traditionalinvestmentmarkets:marketsfortraditionalinvestments,includeallpubliclytradeddebtsandequities./Alternativemarkets:marketforinvestmentsotherthantraditionalsecuritiesinvestments.Classificationofmarkets1406(1)1512(1)1606(1)1706(1)1806(1)1906(2)14061412160617061712>HowsecuritiesaresoldthroughprimarymarketSoldpublicly3estefforts;ndicationsofinterestShelfregistration;Dividendreinvestmentplan;/Rightsoffering.ClassificationofmarketsAHowsecuritiesaresoldthroughprimarymarket-soldpubliclyDifferencebetweenunderwrittenofferingandbestefforts.UnderwrittenofferingBesteffortsGuaranteesthesaleoftheissueNotobligatedtobuytheunsoldportionnvestmentbankshavestrongincentivestochooseaIowpricethatbankscanallocatevaluablesharestobenefittheirnvestmentbankgenerallyaresupposedtoselecttheofferingpricethatwillraisethemostmoney.四三1旗石.w(一)Z一8一(I)908一S-(一)909一(一)Z-QI(一)90C一ClassificationofmarketsHowsecuritiesaretradedinsecondarymarketsIandthenanegotiatcdpriceisThepriceisdetenincdeitherby1506(1)1512(1)1606(1)1712(1)PositionsinanassetLongpositionPeoplehavelongpositionswhentheyownassetsorcontracts;Benefitformanincreaseintheprice.AShortpositionPeoplehaveshortpositionswhentheyhavesoldassetsthattheydonotown,orwhentheywriteandsellcontracts.Forashort-sale,theprocedureisasbelow/Borrowsecuritiesfromsecuritylenderswhoarelongholders.Thenselltheborrowedsecuritiestoothertraders;/Closetheirpositionsbyrepurchasingthesecuritiesandreturningthemtothesecuritylenders;/Maintaintheproceedsofshort-salesascollateral.Benefitfromadecreaseintheprice.15-57Thepotentialgainsonashortpositionarelimitedtonomorethan100芸业.创新.增值皿一联&.当魂-T9-cwo2鼠巴03OJJO°EoSej0u-MOJJOqAqSOPUuoAnqUEoSJ*uPRP8JpluUoAnSUo三sodP060PJ(U>o3A.Marginrequirement:therequiredequitypositionisCalledthemarginmarginpurchase;/MaintenancemarginIsthe-Investor'srequiredequitypositionintheaccount;/Margincalkifaninvestor'Smarginaccountbalancefallsbelowthemaintenancemargin,thebuyerwillreceiveamargincallandwillberequiredtoeitherliquidatethepositionorbringtheaccountbacktoitsmaintenance(minimum)marginrequirement./Margincallpriceforaleverageposition.Pe=r-M-1-MMInStrUCtic)nsOfITanSaCtionProCeSSeSlimit/InstructionsconcernthevolumeofthetradeAll-or-nothingorders./Good-till-canceliedorders(GTC);/Immediateorcance1orders;/Good-on-closeorders;/Good-on-openorders;/Stoporders(Emphasismomentumeffect)stop-sellorder;+ldr1Usuallynotattachedtoanorde.UlUl芸业.创新.增值r1906(1)InstructionsoftransactionprocessesBehindthemarket:Abuyorderplacedbelowthebestbidorasellorderplacedabovethebestoffer;1506(1)1806(1)1812(1)InstructionsoftransactionprocessesOrderPricesBidsOffbrS(AS比)'Theleastaggressivelypricedsellordersarethem虹ket.3,025242322ThesesellTalsosaythatare,TheThespacebestbidandofferisinsidemarket.Ifanewlimitorderanewmarket.ThCh勾tbidisatthemarket.themar妇I.TheIe邸t皿一联&.当魂eg'、S3PUloe5Acn°US二Sn一.糜而.亨祁UPqMUM一BlU<DUIPPUn工XUPUIPUl¾'sMIUOPBZ-一EEdBu_(D*.IBPIPBsnpvJEOI工VXupulPgJqMUMIUOHBZ=BtdBO-UXJBnX。PUIP2¾sMlwnb仔OMgUlEJ工8ApriceindexrefleetonlyhepricesofteconsttentsecuriteswihinheindexApriceretmmeasuresonlypriceappreciatonorpercengechangeinprice.Ablretrnindexrcfleetnot>nlyhepricesofheConsttientecuritesbulsohereinvestnenbfallincomeReturnIndexfreceivedsinceincepton;WeightingschemesforstockindexesPrice-weightedindexEqual-weightedindexArithmeticmean:xiisthereturneachstockchangeinaverageindexvalue=Geometricmean:Xi=1+hprinchangeinaverageindexvaluel111X2xncurrenttotalmarketvalueofindexstocksL11baseyeartotalmarketvalue01indexstocksAIFundamentalweightingWeightingbyusingmeasuresofaComPanSSsizethatareindependentofitssecuritypricetodeterminetheweightOneachCOnSt内券SeCUrity.(E.G.bookVaIUejeVentie,etc.EqUy11eestmAltra,.,ttBroadmarketindexMulti-marketindexMulti-marketindexwithfundamentalweightingSectorindexStyleindex/LargeuniverseofsecuritiesRebalancing/Tomaintaintheweightofeachsecurityconsistentwiththeindex'sReconstitutioninanindex;/Constituentsecuritiesthatnolongermeetthecriteriaarereplacedwithsecuritiesthatdomeetthecriteria.AOU<QswWEn1.WhatisEfficientCapitalMarketFramework3.ThreeformsofmarketefficiencyTneweak-fbrmEMHTnesemi-strongformEMHTnestrong-formEMH4.Tests,ImplicationsandConclusionsofEMH5.MarketAnomalies6.BehaviorFinanceWeak-FormIAuiiWlvailablgO1.仑-尸A±dLMaI11；Weak-formEMHMarketinfo.TechnicalanalysisXSemistrong-formPublicinfo.TechnicalanalysisXFundamentalanalysisXStrong-fbrmEMHA什TechnicalanalysisXFundamentalanalysisXNobOdyCanWinthemark。tX1406(2)1412(1)1612(1)1706(1)1712(1)1812(1)1906(1)Economicfundamentals1412(1)1506(1)1612(1)1806(1)1812(1)1906(1)2012(1)BehavioralbiasesthathavebeenidentifiedincludeOverconfidenceOverconfidencebiasexpIainsthatinvestorsoranalystsareRepresentativenessGambler,sfallacyMentalacCountingConservatismInvestlosses.orsarewillingtorealizegainsbutunwillingtorealizex3nbwJoMUIAJUAoFramework1.ClassificationofPublicEquitySecurities2.PrivateEquitySecurities3.Non-domesticEquitySecurities4.RiskandReturnCharacteristicsofEquitySecurities1812(1)CommonsharesRepresentanownershipinterestinacompanyandaretheCallablecommonsharesbbGivetheissuingcompanytheoption(orright),butnottheligation,tobuybacksharesfrominvestorsatacallpricethatisspecifiedwhenthesharesareoriginallyissued.PutablecommonsharespuGiveinvestorstheoptionorrighttoselltheirshares(i.e.,t,*them)backtotheissuingcompanyatapricethatisspecifiedwhenthesharesareoriginallyissued.Characteristicsofequitysecuritiessecuritiesdistributionofthecompany,snetassetsuponliquidation.preferencesharesEntitleshareholderstoreceiveanadditionaldividendifthecompany,sprofitsexceedsapre-specifiedlevel.sharesConvertiblepreferencesharesentitleshareholderstoconverttheirsharesintoaspecifiednumberofcommon1706(1)1906(1)2012(1)RiskandreturnofequitysecuritiesTheriskismostcommonlymeasuredasthestandarddeviationofreturns(收益的标准差).1.ow<risk>HighPreferredstock<CommonstockPutabIestock<CallablestockCumulativepreferredstock<Non-cumulativepreferredstockNon-domesticsecuritiesDirectinvestingIstobuyandsellsecuritiesdirectlyinfbreignmarkets.ArecommonsharesthataretradedondifferentstockexchangesaroundtheworldindifferentCurrcncies.redDR;UnsponsoredDR;AmericandepositoIyreceipts(ADRs).-三踊君抑,8ES-SAIEUVAUEdlU0。PUEbJsnpulOjUo=OnPoBUI-三踊君抑-T6ESgWgJRqSUAsJgdlUooS-SA-PupAUEdlUoU寸SpoqjgllqPOHS=EJS9MUSSDU-Sng,仔om(duiej工-Growthisslow;productpriceishigh;substantialinvestmentisrequired;highriskoffailurefallingprices;increasingProfitability.DGrowthturnsnegative;decliningdemandandprices;firm:Anon-cyclicalcompanyisonewhoseperfbanceis/ExamplesmeIude:stapleconsumergoods(fbodandbeverage),householdandpersonalcareproducts,healthcare,andutilities;Barrierstoentry/lowbarrierstoentry->littlepricingpower;/highbarrierstoentrydonotnecessarilymeanhighpricingpower;/StablemarketsharesIypicallyindicatelesscompetitiveindustries.IndustryinfluencesACompetitiveAdvantageAAnalysisofthecompetitiveenvironmentwithanemphasisontheimplicationsoftheenvironmentforcorporatestrategyisknownasstrategicanalysis.Michaelporter1S"fiveforces"frameworkisaclassicstartingpoint.Rivalryamongexistingcompetitors:whichisafunctionoftheindustry'scompetitivestructure;ThreatQfsubstFtutes:whichcannegativelyaffectdemandifcustomerstheir needs*扣。seotherwaysofsatisfying43-57CompanyanalysisFocus:thefirmtargetsanichewitheitheracostoradifferentiationfocus.1.ow-coststrategyProductdifferentiationstrategyStrivetobecomethelow-costproducers;Attemptservicestoprovideproductsandthatareunique;appealingtocustomersandsustainableovertime;t©ct_e；-三踊君抑Framework1.Evaluateasecurity2.MajorcategoriesofequityvaluationmodelsIThedeclarationdate;Theex-dividenddate;Theholder-oRrecorddate;Thepaymentdate.Thepreferredstockholdersareromisedtoreceiveastateddividendforaninfiniteperiod;Preferredstockisperpetuitysinceithasnomaturity;ValuationmodelofapreferredstockV#D_DpPU(1+rP)儿/AssumptionfortheinfiniteperiodDoMDividendsgrowataconstantrate;V言3+小+(l+re)(l+re)(1+)V=DC(I+gc)=Dl°re-廷Discountedcashflowmodels/ImportantconclusionSmaIldiangesinhedfferencebetveenrandgwiIlcause才喝Pchangesinhet气'产？压1612(1)1906(1)/Thegrowthratestartsatahighlevelforarelativelyshortperiodoftime,thenrevertstoalong-runperpetuallevel.，DividendjGrowth(g).T5%*啊3%StageVear4Staae2Time1412(1)1506(1)1712(1)PricemultipleapproachUndercircumstancesoffirmswithdifferentsizes,indifferentindustriesorwithdifferentgrowthrate,thecomparablemaysufferamalfunction./DisadvantagesofusingpricemultiplesConclusiondrawnunderthecomparableandfindamenta1methodmaybereverse;(Pricemultiplesmaylosevaliditywhenfirmsusedifferentaccountingmethods;?Pricemultiplesforcyclicalfirmsmaybehighlyinfluencedbycurrenteconomicconditions.52-57MultiplesbasedonfundamentalsTheearningsmultipliermodelderivedfromDOM/AccordingtoinfiniteperiodDOMP二O/JustifiedP/E:assumewedividebothsidesoftheequationbyEI(expected12-monthearnings),theequationchangestoLeadingP/E:basedonexpectedearningsnextperiodBJE1JbElr-gTrailingP/E:basedonactualearningsforthepreviousperiodDo I 庄。(+g)=(i-b)( +g)t9Enterprisevalue(EV)istotalcompanyvalue,notequity;EV=marketvalueofcommonstock+marketvalueofpreferredequityAAdvantageADisadvantagesMarketvalueofdebtisoftennotavailable./Bondvaluesmaybeestimatedfromcurrentquotationsforbondswithsimilarmaturity,sector,andcreditcharacteristics;/Substitutingthebkvalueofdebtforthemarketvalueofdebtprovidesonlyaroughestimateofthedebt,smarketvalue.君u(qM050JSoUISlIPEoJddPUO=PnWAPgsPqJOSSEDqISJ。SSE-00qDqJJJO-JOSJgSS3DlqaUEJUIJOUOLJOdOJdNBWMUilDP£U-qpo¾dpA=BXOUS-UPoIUPuSEqJOSSPOH调致。建立自信，敢千与困难短兵相接,而非绕道而行。记住，力量不是篇翳的法宝，无坚不摧的能力才是最重要的。们，所有提交的内容我们会在最快时间内核查并给与答复。A如何告诉我们？将您发现的问题通过电子邮件告知我们，具体的内容包含：/您的姓名或网校账号/所在班级Ceg.210SCFA一级长线无忧班）问题所在科目（若未知科目，请提供章节、知识点）和页船您对问题的详细描述和您的见解请发送电子邮件至：academic.supportgfO我们也将开通其他问题反馈渠道（如微信等）。AlternativeInvestmentseFA_级培训项目WeightingsI15-208-12Economics8-12FinancialReportingandAnalysis13-178-1210-1210-12Derivatives5-8SXAlternativeInvestmentsStudy Session 18-19.S-SPortfolioManagement3-32芸业.创新增值Fundsoffunds:->REITs勺Performance,diversificatioiInvestmentvehides->FuturespricingOtherinvestments.AlternativeInvestmentsNot always true!characteristicsofalternativeinvestmentsin financial crisisNarrowmanagespecializationLowcorrelationwithtraditionalinvestmentsLowlevelofregulationandlesstransparencyRisksforalternativeinvestmentsIlliquidnatureoftheassets/Returnmaynotbereliable->overstated/Standarddeviationmaynotbereliable->understatedNormaldistribution?Alternativeinvestmentreturn:Ieptokurtic.negativelyskewed/Non-normaldistributioncannotusestandarddeviationforriskmeasure/VaR9Sortinoratiowouldbeappropriate/Assumingnormaldistribution-undereStimatedownsideriskTailevents迎胃a.o0QozSSjUfiYUI一BUoH-PRIJUPqJPQ三上SS3(I)36二一)908一(I)90二(一)ZI91(I)Z三benefitboththeGPandtheLPs.迎勤三a热