CFA一级强化班培训项目：益-另类-衍生（打印版）.docx

TopicWeightingsiniCFALevelISessionNO.Study Session 1EthicalandProfoWm*RQuantitativeMetlhodsEconomicsFinancialReportingandAnalysisDerivativesAlternativeInvestments5-8StudySession18-19PortfolioManagement5-8 Fra mew orkEquity Invest mentsR37SecurityMarketlndcx.esR38MaiketEfficiencySS13EquityInvestmentR39OverviewofEquitySecuritiesR40IntroductiontoIndustryandCompanyAnalysisR41EquityValuation:ConceptsandBasicTools4571.i.MarketOrganizationandStructure专业.创新I旨僧1.MinFunctionsofIheFinancialMarketFramework5lQaSsinCaliOnofarketsPrimaryVSSecondarymarketsMoneyvsCapitalma,kets7.Instructionsoftransactionprocesses亏业创新1吕值1406(2)1412(1)1512(1)1706(1)1712(1)1912(I)-57IntermediariesoffinancialmarketFinancialintermediaries第servicesthattheyprovideBrokerdealers,andHelpwiththetradeofsecuritiestchrig¢"SecuritizersAbsorbdepositsbypayinginterestonCUSIomerdepositsCreateinsurancecontractspolicies)thatprovideapaymentintheeventthatsomclossoccurs;loralhazard:aHvorsnspnrtinn:fa<l7-57TreservicesthattheyprovideArbitrageursSeektogainceltainreturnwithoutbearinganyrisk;BuyandsellidenticaloressentiallysimilarinstrumentsatHiFfprontPfirQaindifFnrpntmarkPtgCl,waliqluusys.;arrangeforfinalsettlementoftradestolimitthecounterpartyrisk;CusiudiaJJishoLdsecuritiesonbehalfoftheircIientstopreventthelossofsecuritiesthroughfradfoversight,or弓业1406(1)*WellFunctionedFinancialMarketAWellfunctionedfinancialmarkel:Operationaleficiency:amarkethasrelativelyLowtransactioncostsamarketinwhichassetpricesreflectnewinformationquicklyandrationallyefficiency:amarketpromotestheallocationofresourcestotheirIiighestvalueuses.1406(1)1512(1)1606(1)1706(1)1806(1)1906ClassificationofmarketsClassifiPrimaryVSSecondaryarketsJ，*»c，IrIrlHlv111themarketf*shortterindebtinstruments(one-yearmaturityorless)./Capitalmarkets：financialmarketsthattradesecuritiesoflongerdurationsuchasbondsandTraditionalVSAlternativeQiarkeLsEqJTT/Traditionalihvestmentmarkets:marketsfortraditionalinvestmentsincludeallpubliclytradeddebtsandequities/Alternativemarkets:maketforinvestraentsotherW-5714061412(1)1606(1)1706(1)1712(1)ClassificationofmarketsHQWSCCUritiC5arcSCldthroughPtimarymarketSecuritytrans<；JJctionmethodsSoldpublicly/Underwrittenoffering(themostcommonway);/Bestefforts;/Indicationsofinterest-/RCCkEnilding/Dividendreinvestmeritplan;/Rightsofferin911-57亏业创新I旨僭ClassificationofmarketsHowsecuritiesaresoldthroughplimarymarket-soldpubliclyDifferencebetweenunderwrittenofferingandbesteffortsUnderwrittenofferingBesteffortsGUHranIeeSLhesaleoftheissueNotObIigaIedIDbuytheUnSoIdportionInvestmentbankgenerallyaresupposedtoselecttheofferingpricethatwillraisethemostmoney.12-57亏业创新1包1506(1)1512(1)1606(1)17061806(1)1812(1) ciHowsecuritiesaretradPricepriority:thehighestpricedbuyordersandthelowestpricedsellordersgofirst;Secondaryprecedencerule:useIimeprecedenceLorankordersatthesamepriceThefirstordertoarrivehasprecedenceoverotherordersBrokeredmarketsClassificationofmarketsSecondarycapitalmarketsHowsecuritiesaretradedinsecondarymarketsCallMarkets-AtspecifictimesAtanytimewhenmarketisopenThepiceisdeteminedeithe亏业创新I旨1506(1)15121606(D1712(1)Positionsinanasset1.ongpositionPeoplehaveIongpositionswhentheyownassetsorcontracts:Benefitformanincreaseintheprice.ShortpositionPeoplehaveshortpositionswhentheyhavesoldassetsthattheydonotown,orwhentheywriteandsellcontractsForaShorl-SaleIheprocedureisasbelow/Maintaintheproceedsofshort-salesascollateral15-57percentwhereasthepotentialb:sscsareunbounded亏业创新-【包1三*Definition:tradersbuysecuritiesbyborrowingsomeofthepurchaseprice1.everageratio=l/margin6TT亏业创新11406(D1606(1)16(1)1706(1)1812(1)2(HMI)Positionsinanasset1.everagedpositionsMarginrequirement:therequiredequitypositionisCaIIedthemarginrequireUient/Initialmargin:aminimumamountofequityatthetimeofanewinarginpurchase;/MaintenancemarginIstheinvestorsrequiredequitypositionintheaccount;17-57P=P1LM亏业创新|旨1906The bid and欢Onl the market.Behindthemarket:Abuyorderplacedbelowthebestbidorasellorderplacedabovethebestoffer;19571506(D1806(1)1812(1)InstructionsoftransaprocessesOrdirPrSc.BidsOffers(AsU)1己LLChoIItIket二TheWWt也0QFF"扭Urrentbidande行eris,rha*rkel.lfanB,laitorderThese buyar,b,hindth,mnrket.Vealsosay)DltheyW-57bur<iereorejarfm<he专业.创新I旨僧See uri ty Market Ind icesEqual-WeightedIndexMarketCapitalization-WeightedIndexAHoat-AdjusledMarketCapitalization-WeightedindexFundamentalweighting22-571412(1)150616061612(D1806(D1812(1)2012(D23-57IntroductionofsecuritymarketindexAsecuritymarketirclass,securitymarMeofanaMetTPriceindexApriceindexreflectsonlythepricesoftheconstituentsecuritiesWilhitheindex;ReturnindexaLOtaireturnncxrcecsoonyInCpricesOT"110constituentsecuritiesbutalsothereinvestmentofallincome1receivedsinceinception;Totaleturmcasuespiccappreciationplusinterest,dividendandotherdistributions.亏业.创新，I旨僧14Q6141:2(1)1506(D15120)1612MethodsofindexConistwetiGm.torstockiWeightingschemePncc-WcightedIndCX-"CQtfin；一augtdfar叩IitsAriIhmI收ais人IUnlhstockchangeinaverageindexvalue=Geometricmean:X:=l+hpr:changeinaverageindexVaIUe=,K*1Markelcapitalization*weightedindexcurent>ialmarketvaluedindexslocks.,.xbaseyea,indexvaleAfloat-adjustedmarketcapitalizationweightedindexIllyVIjIILUIlUaLIIVUIIL1IUVIIL>3CCU11.LJfISUDlGIlllIlUUIJyadjustingitsmarketCapilalizationforthenumberofsharesoftheconstituentsecuritythatareavailabletotheinvestingpublic.h1:15“IlugUyUFIJlB>>vuv>uvup<11ya?ICCmt.EquityindexesFiXedina6mentConsiructiohoffixed*HedgefundindexesStyleindex25,571512¢1)16()6(1)1812(2)RebalancingandreconstitutionRebalancingandReconslitutionRebalancingReconstitution26,-57inanindex;专业.创新1旨借亏业.创新I吕僵28:-571406(3)1412(2)15061512(1)1606(I)1612(2)1706(1)1712(I)1806(1)18i2(l)1906(1)20i2(1)ThreeformsofmarketefficiencyThreeofHiarketefficiency:TypesImplicationWeak-formEMHSemistrong-fbrmEMHStrong-formEMHPublicinfo.Allinfo.29157FundamentalanalysisNobodv can win the marketCalendaranomaliesAnomaliesi n cross-sectionaldataSizeeffectvajt effecto ther IdentifiedanomaliesClosed-end investmentfunds announcements InitialpubIicofTerings Economicfundamentals14(K), (2) 1412 (1) 1612 (1) 17()6 (1)1712 (1) 1812 (I) l<X)6 (1) Tests, implications and conclusions of EMHBehavioralfinanceOverview of Equity Securities32,-57亏业.创新|旨酒3. Non-domestic Equity Securities彩beenidentifiedincludeLossaversionOverconfkienceRecentresultsaffectinvestorestimatesoffutureprobabilities.Investorsreactslowlytochanges.DispositioneffectNarrowframingInvestorsvieweventsinisolation.1812(I)<ClassificationfequitysecuritiesRepresentanownershipinterestinaCompanyandarethepredominanttypeofequitysecurity34-571412(1)15()6(I)1612(1)17)218062012(1)，CharaCteriStiCSOfequitySeCUrItleSClassificationofequitysecuritiesIfthcCompanydecidesnottopayadividendinoneorpaidinfullbefbredividendsonCommonsharescanbepaid.company'sprofitsexceedsapre-specifiedlevel.ConveIiblepreferencesharesentitleshareholdesioConverttheirshaesintoaSpecifiednumberofcommonshares耳571706(1)1906(1)2012(1)RiskandreturnofequitysecuritiesTheriskismostcommonlymeasuredasthestandarddeviationofreturns(收益的标准差).1.owfiriskHighPreferredstock<CommonstockPutablestock<CallablestockCumulativepreferredstock<Non-Cumulativepreferredstock1406(1)1412(I)i5O6(I)1812ISo6(2)1906(I)2012(1).Introduction toand company AnalysisNon-domesticdquitysecuritiesDirectinvestingIsk)buyandsellsecuritiesdirectlyinforeignmarkets.Globalregisteredshares(GRS)Basketoflisteddepositoryreceipts(BLDR)AreexchanCJc-tradedfund(ETF)IhatrepresentaportfolioofdeposiloryTeoeip<s(DRs),Depositoryreceipts(DRs)AresecuritiesthattradelikeordinarysharesonaIOCalexchangeandrepresenteconomicinterestsinforeignmanies.SponsoredDR;UnsponsoredDR;Globaldepositoryreceipts(GDRs);Americandepositoryreceipts(ADRs).37,-5738:-57亏业.创新I旨酒1.Top-downprocessBusinessCycleStatisticalmethods4.CompanyanalysisCompetitiveStraiegiesIndustryinfluencesIhal affect thesensitivityc,fbusinesscycleHighvolatilityNon-cyclical firm: largely independentAnoncyclicalcompanyOf(hebusinesscycle.is(weVVho!汜PerfhrnlanCeGrowthindustries:WOUIdincludeindustrieswithspecificdemanddynamicsthataresostrong!thattheyoverridethesignificanceofbroadeconomicOrOthcrEHemalfactors.JExamplesinclude:stapleconsumegoods(fbodandbeverage),householdandpersonalcareproducts,hedthcare,alutilities;41-5715()6 (I) 1512(I) 17()6 (1)2012 (I)IndustryinfluencespricingpowertoentryIndustryconcentrationindicates that concentratedindustries alwaysItisnotnecessailyhavepricingpower.IndustrycapacityStablemarketsharestypicallyindicatelessOornpetitiveindustries.which is a Junctionof theRivalryamongexistingindustry'scompetitivestructure;Powerofsuppliers:whichmaybeabletoraisepicesorrestricttheexertinginfluenceOnsuppliersregardingprices;Threatofsubstitutes:whichcannegativelyaffectdemandifcustomersclx)seotherwaysofsatisfyingtheirneeds.43,-571712CompanyanalysisThreegenericcompetitivestrategiesbenefitsthatotherfirmsdonopnvide:the low-cost pxlucers; Pricing may become predatory driving competitors out of business; Tight cost controls, efficient operating and reporting systems, and appropriate managerial incentives.Attempt to provide products al services that Ure unique;+67亏业.创新I旨酒Equity Valuation: Con cep t and Basi c TlEvaluateasecurity2.MajorcategoriesofequityvaluationmodelsdiscountedcashflowmodelsMultipliermodels*models46,-571806(1BackgroundfortheDividendDiscountModelThedeclarationdale;Theex-dividenddale;Theholder-of-recorddale;Thepaymentdale.47,-571706(I)1712(1)1806(1)DiscountedcashflowmodelsValuingpreferredstockTheeferredstockholdersarepomisedtoeceiveastateddividendforaninfiniteperiod;PreferredstockisPCrPelUilysinceithasnomaturity;ValuationmodelofapreferredsockV=DP+DP*.+PP二坠(l+rp)(+rp)(曰)N仲PDiscountedcashflowmodelsDividendsgmwataconstantrate;VoHDQJIDdI+g+_Do+r)(1+.)2Dq+g,L9Y,4L57DiscountedcashflowmodelsrImportantconclusionThewiderthedifterencebetweenrandg,thesmallerthevalueofthestocks;Smallchangesinhedifterencebetweenrandgwillcauselargechangesinthestocks'value.50,-571612¢1)1906(1¼DiscountedcashflowmodelsThegrowthcatestartsatahighlevelforarelativelyshortperiodoftime,thenreverts(oaIog-nnperpetuallevel./DisadvantagesofusingpricemultiplesConclusiondrawnundertheCOmParableandfundamentalmethodmaybereverse;(Pricemultiplesmaylosevaliditywhenfirmsusedifferentaccountingmethods;PricemultiplesforcyclicalfirmsmaybeHighlyinfluencedbycurrenteconomicconditions.5Z-57MultiplesbasedonfundamentalsTheearningsmultipliermodelderivedfromDDM/AccordingtoinfiniteperiodDDMPKDr-gPoUiJ上Er-gr-gTrailingP/E:basedonactualearningsforthepreviousperiod53,-571506(1)1512(1)1606(!)1612(1)17112(1)1812(1)1906(1)2012(1).PricemultipleapproachAEnterprisevalue(costtoacquire(hefirm)Enterpisevalue(EV)istotalcompanyvalue,notequity;EV=marketvalueofcommonstock+marketvalueofpreFerredequity+Oiarketvalueofdebt-cashandshort-terminvestments.AAdvantageUSefulforcomparingfirmswithdifferentdegreesoffinancialleverage;EBITDAisUsefulforvaluingcapitabintensivebusinessEB;EBlTDAisUsuallypositiveevenwhenEPSisnotADisadvantagesMarketvalueofdebtisoftennotavailable.JBondvaluesmaybeestimatedfromcurrentquotationsforbondsWilhsimilarmaturity,andcreditcharacteristics;1512(2)1612(1)17()6(1)1712(1)1806(1)1906(I)Asset-basedisnotreallyapplicableforafirmwithahighthebks,'assets.55,57it'snottheendbutjustthebeginning.controloversituations,buttheabilitydealwithwhatevercomesyourway.调致建立自信.敢千与困难短兵相接，而非绕道而行记住，力量不是驾驭局势的法宝，无坚不摧的能力才是最重要的。亏业创新1旨酒问题反馈欢迎您告诉我们，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？，所在班级（eg.2105CFA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）和页码/您对间题的详细描述和您的见解AlternativeInvestmentsCFA-级j剖n项目讲师-TopicWeightingsinlCFALevelIGJnICIIIEtIiicaJandProLessiialStandardsQuantitativeMethodsEconomics8-12FinancialReportingandAnalysis13-17StudySession10-11CorporateFinance8-2StudySession12-13EquityInvestmentsIO-12StudySessionJ4-15FixedIncomeI()-12Derivatives5-8AlternativeInvestn记nts5-8StudySessionIg-19PortfolioManafemet5-8亏业创新J冒但 SS17 Alternative Investments RsOlntroduction to Alternative Investments2,*320PameworkAlternativeInvestments/亏业创新4旨逗AlternativeInvestmentsTraditionalvs.alternativeinvestmentsNot always true!eg high correlation in financial crisisofalternativeIlliquidityofunderlyinginvestmentsNarrowmanagespecializationlu»wcorrelationwithtraditionalinvestmentsLowlevelofregulationandlesstransparencyLimitedandpotentiallypoblematichistoricaliskandreturndataS-32UniquelegalandtaxConsideratiions亏业创新目僵AlternativeInvestmentsReturnsforalternativeinvestmenI:SRisksforalternativeinvestmentsRisk-Returnmeasun!sAIsSharpcratioappropriateforaltumativeinvestments?IlliquidnatureoftheassetsReturnmaynotbereliable-VCrSIatCd/LZtandarddeviationmaynotbereliableunderstatedANormaldistribution?"annotusestandarddeviationforriskmeasureVaR,SortinoratiowouldbeappropriaterAssumingnormldistributioD,underestimatedownsideriskTaileventsStresstestingScenarioanalysisX2亏业.创新J旨僭Hedgefundsofhedgefunds/BackfillbiasrNoticeperiod1512 (1) 1906(1)亏业创新I 笆值Limitedpartner(LP):LPistheinvestorswhounderstandandableto91-32AThesepartnershipsarefrequentlylocatedintax-efficientlocations,whichbenefitboththeGPandtheLPs.亏业创新1笆值.IOI32亏业.创新I旨渲HedgefundstrategiesEvent-drivenstrategiesRelativevaluesirategiesMacrostrategiesEquityhedgestrategies亏业.创新，11506(1)16()6(1)1712(I)Event-drivenstrategicsAEvent-drivenstrategiesConsidered"bottomup"Stratem1.ASubdivisionsRelativevaluestrategiesB-32亏业.创新|旨渔 Macro strategiesAMaCro strategies14-32亏业创新|1706 (1