CFA三级原版书课后题：交易、绩效评估与经理人选择_标准版.docx

一鼠ll裕lf您IIIVHOuo4mxUJPUe A62BS HDUqQdHARobertHardingisaportfoliomanageratVaIIeyRise,ahedgefundbasedintheUnitedStates.HardingmonitorstheportfolioalongsideAndreaYellow,ajunioranalystVaIIeyRiseonlyinvestsinequities,butHardingisconsideringotherassetclassestoaddtotheportfolio,namelyderivatives,fixedincome,andcurrencies.HardingandYellowmeettodiscusstheirtradingstrategiesandpricebenchmarks.>HardingbeginsthemeetingbyaskingYellowaboutfactorsthataffecttheselectionofanappropriatetradingstrategy.YellowtellsHarding:1Statement1Tradingwithgreaterurgencyresultsinlowerexecutionrisk.Statement2Tradinglargersizeorderswithhighertradeurgencyreducesmarketimpact.Statement3Securitieswithhighratesofalphadecayrequirelessaggressivetradingtorealizealpha.>AfterfurtherdiscussionaboutYellow'sstatements,HardingprovidesYellowalistoftradesthathewantstoexecute.HeasksYellowtorecommendapricebenchmark.Hardingwantstouseabenchmarkwherethereferencepriceforthebenchmarkiscomputedbasedonmarketpricesthatoccurduringthetradingperiod,excludingtradeoutliers.HAEarlierthatdaybeforethemeeting,Yellowbelievedthatthemarkethadunderreactedduringthepre-markettradingsessiontoastrongearningsannouncementfromABCCorp.,acompanythatYellowandHardinghavebeenthoroughlyresearchingforseveralmonths.Theirresearchsuggestedthestock,sfairvaluewas$90pershare,andthestrongearningsannouncementreinforcedtheirbeliefintheirfairvalueestimate.HARightaftertheearningsannouncement,thepre-marketpriceofABCwas$75.Concernedthattheunderreactionwouldbeshort-lived,HardingdirectedYellowtobuy30,000sharesofABCstock.YellowandHardingdiscussedatradingstrategy,knowingthatABCsharesareveryliquidandtheorderwouldrepresentonlyabout1%oftheexpecteddailyvolume.Theyagreedontradingaportionoftheorderattheopeningauctionandthenfillingtheremainderoftheorderaftertheopeningauction.Thestrategyforfillingtheremainingportionoftheorderwastoexecutetradesatpricesclosetothemarketpriceatthetimetheorderwasreceived.uozo-PBI 七6£.JnPSlU IU >01JU：d S >PBtJdx IoUS OP6U-PBH S-BUopp< slus-t-s- lgLUOlUo-Lluo- CT>OU u-o>。二UBdiU- ES、p3Jl IIl Z-UJ-U-IU 01-AIodSbU-PJBHZAXU-Uo-SodOO=OJtOd 6u-p-'qUEMPnb=>4BIBwS B-c-s UJOS SB-5md 0UJw06-5Ue Z三一nOl - P-om 一-IPJBS>-su ×-Je Mo=A S-3 6,PJH djouZAX Oluo4BSJ>uou-I 1JSu 一Mo-A puro6£pBH AHAHardingandYellowconcludetheirmeetingbycomparingtradeimplementationforequitieswiththetradeimplementationforthenewfixed-income,exchange-tradedderivatives,andcurrencyinvestmentsunderconsideration.YellowtellsHarding:Statement4Smallcurrencytradesandsmallexchange-tradedderivativestradesaretypicallyimplementedusingthedirectmarketaccess(DMA)approach.Statement5Thehigh-touchagencyapproachistypicallyusedtoexecutelarge,non-urgenttradesinfixed-incomeandexchange-tradedderivativesmarkets.HAThenextday,HardinginstructsYellowtorevisittheirresearchonBYYP,Inc.Yellow,sresearchleadshertobelievethatitssharesareundervalued.ShesharesherresearchwithHarding,andat10a.m.heinstructshertobuy120,000shareswhenthepriceis$40.00usingalimitorderof$42.00.AThebuy-sidetraderreleasestheorderformarketexecutionwhenthepriceis$40.50.Theonlyfeeisacommissionof$0.02pershare.Bytheendofthetradingday,90,000sharesoftheorderhadbeenpurchased,andBYYPclosesat$42.50.Thetradewasexecutedatanaveragepriceof$41.42.DetailsabouttheexecutedtradesarepresentedinExhibit1.1Exhibit1BYYPTradeExecutionDetailsTradesTrade1Trade230,000Trade320,000Trade430,000Total90,000HAWhilethebuy-sidetraderexecutestheBYYPtrade,HandingandYellowreviewVaIIeyRisefStradepolicydocument.Afterreviewingthedocument,Yellowrecommendsseveralchanges:1)addapolicyforthetreatmentoftradeerrors;2)addapolicythatensuresover-the-counterderivativesaretradedonvenueswithrulesthatensureminimumpricetransparency;and3)alterthelistofeligiblebrokerstoincludeonlythosethatprovideexecutionatthelowestpossibletradingcost.HGreatertradeurgencyresultsinlowerexecutionriskbecausetheorderisexecutedoverashorterperiodoftime,whichdecreasesthetimethetradeisexposedtopricevolatilityandchangingmarketconditions.Incontrast,lowertradeurgencyresultsinhigherexecutionriskbecausetheorderisexecutedoveralongerperiodoftime,whichincreasesthetimethetradeisexposedtopricevolatilityandchangingmarketconditions.luoS-l>eJipuqP-uEoP-Floqs1HardingaskedYellowtoexecutealistoftrades,andhewantstouseapricebenchmarkwherethereferencepriceforthebenchmarkiscomputedbasedonmarketpricesthatoccurduringthetradingperiod,excludingtradeoutliers.Portfoliomanagersoftenspecifyanintradaybenchmarkforfundsthataretradingpassivelyovertheday,seekingliquidity,andforfundsthatmayberebalancing,executingabuy/selltradelist,andminimizingrisk.Anintradaypricebenchmarkisbasedonapricethatoccursduringthetradingperiod.Themostcommonintradaybenchmarksusedintradingarevolume-weightedaverageprice(VWAP)andtime-weightedaverageprice(TWAP).PortfoliomanagerschooseTWAPwhentheywishtoexcludepotentialtradeoutliers.1B.aTWAPparticipationstrategy.C.aVWAPparticipationstrategy.HGiventhetradeurgencyoftheorder,theveryliquidmarketforABCshares,andthesmallordersizerelativetoABC,sexpectedvolume,Yellowisusinganarrivalpricetradingstrategythatwouldattempttoexecutetheremainingsharesclosetomarketpricesatthetimetheorderisreceived,cfafrmcpacmavideo,weixin:804283381LUL06-plsFntjOddoUIUIIl06-pud-><.IUIlI06u-u.<ClULU>0E。d-lu-odInoqBj-qSzPUeUO-sodZAXW6u-p-q-AlodSK-PJBHUE6sJLISZAXWBS3JndOlPSnqP-noilsUJL06-3+0dAlllA1XYZsharesarerelativelyliquid,andHardinghasprioritizedminimizingthetrade,smarketimpacttoavoidconveyinginformationtomarketparticipants.Hardingalsodoesnotexpectadversepricemovementsduringthetradehorizon.Scheduledalgorithmsareappropriateforordersinwhichportfoliomanagersortradersdonothaveexpectationsforadversepricemovementduringthetradehorizon.Thesealgorithmsarealsousedbyportfoliomanagersandtraderswhohavegreaterrisktoleranceforlongerexecutiontimeperiodsandaremoreconcernedwithminimizingmarketimpact.Scheduledalgorithmsareoftenappropriatewhentheordersizeisrelativelysmall(e.g.,nomorethan5%-10%ofexpectedvolume),thesecurityisrelativelyliquid,ortheordersarepartofarisk-balancedbasketandtradingallordersatasimilarpacewillmaintaintheriskbalance.1WhichofYellow,sstatementsregardingthetradeimplementationof*W»M1“WWmWE*M*<«M»«MMHM1Smallcurrencytradesareusuallyimplementedusingdirectmarketaccess(DMA).Buy-sidetradersgenerallyuseDMAforexchange-tradedderivatives,particularlyforsmallertrades.1ABasedonExhibitlztheexecutioncostforpurchasingthe90,000shares*W»M1“WWmWE*M*<«M»«MMHMHExecutioncostiscalculatedasthedifferencebetweenthecostoftherealportfolioandthepaperportfolio.Itreflectstheexecutionprice(s)paidforthenumberofsharesintheorderthatwereactuallyfilledorexecuted.Theexecutioncostiscalculatedas:碧瑕-碧果=(10,000shares×$40.75)+(30,000shares×$41.25)+(20,000shares×$41.50)+(30,000shares×$41.75)-(90,000×$40.00)=$3,727,500-$3,600,000CK：«*MOoU(OoO寸SloZM)×(OOo、06000、OZI)H-PBlgS-BU-ouA-un±oddo-l-.u-Uo-SPPIlISBilS=Bu×Olz6uaqIoUJolsou°WSLJaIPUB电Jo°WU-P13XUnU-shellsJo.!qunuIUoPs3q-ISO。A-unt-oddo(OOsIo寸S(OsO寸SZ'I寸S)X1+1Asitrelatestothetradepolicydocument,VaIIeyRiseshouldimplementiwwrue<aMtaaMHM1Firmsshouldhaveapolicyinplaceforthetreatmentoftradeerrors.Errorsfromtradingandanyresultinggains/lossesneedtobedisclosedtoafirm,scompliancedepartmentanddocumentedinatradeerrorlog.Thetradeerrorlogshouldincludeanyrelateddocumentationandevidencethattradeerrorsareresolvedinawaythatavoidsadverseimpacttotheclient.SMBUUeUUOtdO=OJtOd6=pexHAAlexandraJones,asenioradviseratFederalistInvestors(FI),meetswithErinBragg,ajunioranalystBraggjustcompletedamonthlyperformanceevaluationforanFIfixed-incomemanager.Bragg,sreportaddressesthethreeprimarycomponentsofperformanceevaluation:measurement,attribution,andappraisal.JonesasksBraggtodescribeaneffectiveattributionprocess.Braggrespondsasfollows:Response1:Performanceattributiondrawsconclusionsregardingthequalityofaportfoliomanager,sinvestmentdecisions.Response2:Performanceattributionshouldhelpexplainhowperformancewasachievedbybreakingapartthereturnorriskintodifferentexplanatorycomponents.HABraggnotesthatthefixed-incomeportfoliomanagerhasstrongviewsabouttheeffectsofmacroeconomicfactorsoncreditmarketsandfollowsatop-downinvestmentprocess.AJonesreviewsthemonthlyperformanceattributionandasksBraggwhetheranyrisk-adjustedhistoricalperformanceindicatorsareavailable.Braggproducesthefollowingdata:1Exhibit1IO-YearTrailingRisk-AdjustedPerformanceSortinoratio0.87Upsidecapture0.66NSUodSHPUeTSUodSHWog1Performanceattributionhelpsexplainhowperformancewasachieved;itbreaksapartthereturnorriskintodifferentexplanatorycomponents.Effectiveperformanceattributionmustaccountforalloftheportfolio'sreturnorriskexposure,reflecttheinvestmentdecision-makingprocess,quantifytheactivedecisionsoftheportfoliomanager,andprovideacompleteunderstandingoftheexcessreturn/riskoftheportfolio.SUOSPPUo-SPUBUo-ISo=B.1BJOl>S6三B=号q±3UOsodoJoJ>|S-BlOlOlUo4nqluou-CTC-E°Iro->.8*OMUJB苴t-o0UMoPdolBOl三SIUn-3uol-c-SodiUoU°P.<luouulpXM=一JoJLPBOJddBUo=nqt:B上£ro-oc-roOLUIllA>BipuqIOJ>-SUo一SPPUo-rjesPUBUo-Iso-B6u.>p11t¾-l-sP-FIOLIS-ro一uol-roIUUJ>u-UMoPdolB0LL-uo-InqtB,÷。d>l>ls,iz.1BJBSBOPU-oz»WeIU-5UqTO-rororoE-O=OJtod一|一1BasedonExhibit1,thetargetsemideviationfortheportfolioisclosest*W»M1“WWmWE*M*<«M»«MMHMHThetargetsemi-standarddeviationortargetsemideviationisthedenominatoroftheSortinoratio.ThenumeratoroftheSortinoratioistheaverageportfolioreturnminusthetargetrateofreturn(minimumacceptablereturn,orMAR),cfafrmcpacmavideo,weixin:804283381(AverageportfolioreturnMAR)Sortinoratio=SubstitutingthevaluesprovidedinExhibit3,thetargetsemideviationisasfollows:8.20%-5.00%Targetsemideviation=3.678%=3.68%HC.thattheportfoliogenerateshigherreturnsthanthebenchmarkduringallmarketconditions.iwwrue<aMtaaMHM1Theupside/downsidecapture,orsimplythecaptureratio(CR),istheupsidecaptureratiodividedbythedownsidecaptureratio.Acaptureratiogreaterthan1indicatespositiveasymmetryofreturns,oraconvexreturnprofile.1AThemaximumdrawdownanddrawdowndurationinExhibit1indicateB.overthe10-yearperiod,theaveragemaximumlosswas-24.00%.C.asignificantlossoncepersistedforfourmonthsbeforetheportfoliobegantorecover.*W»M1“WWmWE*M*<«M»«MMHM1Maximumdrawdownisthecumulativepeak-to-troughlossduringacontinuousperiod.Drawdowndurationisthetotaltimefromthestartofthedrawdownuntilthecumulativedrawdownrecoverstozero,whichcanbesegmentedintothedrawdownphase(starttotrough)andtherecoveryphase(troughtozerocumulativereturn).Themaximumdrawdownwas-24.00%,withadrawdownperiodoffourmonths.Giventhe10-yeartimeframe,theportfoliorecoveredquicklyfromitsmaximumloss.H>StephanieTolmachisaconsultanthiredtocreateaperformanceattributionreportonthreefundsheldbyadefinedbenefitpensionplan(thePlan).Fund1isadomesticequitystrategy,Fund2isaglobalequitystrategy,andFund3isadomesticfixed-incomestrategy.ATolmachusesthreeapproachestoattributionanalysis:thereturn-based,holdings-based,andtransaction-basedapproaches.ThePlan'sinvestmentcommitteeasksTolmachto(1)applytheattributionmethodthatusesonlyeachfund,stotalportfolioreturnsoverthelast12monthstoidentifyreturn-generatingcomponentsoftheinvestmentprocessand(2)includetheimpactofspecificactiveinvestmentdecisionsandtheattributioneffectsofallocationandsecurityselectioninthereport.1ATolmachfirstevaluatestheperformanceofFund1byconstructinga*(4)16.32%-3.25%7.33%-9.60%50.53%3.38%-10.17%174.49%-274.49%100.00%*RMRFisthereturnonavalue-weightedequityindexinexcessoftheone-monthT-billrate,SMBisthesmallminusbigmarketcapitalizationfactor,HMListhehighminuslowfactor,andWMListhewinnersminuslosersfactor.*a*MMBMM'CK1ATolmachturnsherattentiontoFund2,constructingaregion-basedmicroattributionanalysistoevaluatetheactivedecisionsoftheportfoliomanager.TheresultsarepresentedinExhibit2.Exhibit2Fund2PerformanceAllocationbyRegionPortfolioBenchmarkPortfolioReturnBenchmarkReturn16.50%16.47%GreaterEurope42.35%23.16%25.43%Asiaand29.86%31.16%11.33%12.85%20.38%18.82%20.00%35.26%100.00%100.00%18.26%22.67%：«*MHANext,TolmachevaluatesFund3andtheappropriatenessofitsbenchmark.Thebenchmarkisacap-weightedbondindexwithdailyreportedperformance;theindexisrebalancedfrequently,makingitdifficulttoreplicate.Thebenchmarkhasameaningfulinvestmentinforeignbonds,whereasFund3investsonlyindomesticbonds.>Inthefinalsectionofthereport,TolmachreviewstheentirePlan,scharacteristics,assetallocation,andbenchmark.TolmachobservesthatthePlanzsbenefitsarenolongerindexedtoinflationandthattheworkforceis,onaverage,youngerthanitwaswhenthecurrentfundallocationswereapproved.TolmachrecommendsachangeinthePlan,sassetallocationpolicy.BlBJrDUBISBlS-<SEnl三PalSUBB>?IeIIISSSOJdIUIUlS3>u一一PJOSlUUodEoj一AJ4UP-OpodB>0Sunl2o=OJt=od-BlolWA-UoSSnUo-Inqll3PSBqIUnIH.(SlPPOJddPpsq-Uo-:PBSUBHscqlu-p-Ollroo-<l-ol)uol-I一o-BJrmBISB-IS-IpZMoroPSBqIlUnlaJBPBqPUSBP一-UJLUOU一|一HABasedonExhibit1andrelativetothebenchmark,themanagerofFund1mostlikelyuseda:.1=1LMOP?-l-raraEmE-ouU-UMollS>3uutuq一POlIul-olpPUB(lHOIzToIO-.-suS>CTIUIjUn-OUU-s-l>-suS0UBJ一UoPSB0QHABasedonExhibitlzwhichofthefollowingfactorscontributedtheleast*W»M1“WWmWE*M*<«M»«MMHM(A->dsJ-%09NIpu3%90s)>->-XIIHPUB(A>d、CnsosPUB%ZO7)lIAlHUBESs-JBJPWnqEUOUSHS、umUo4q一Iuou一Jo%rcmzq'MPUB汉60Jo?In-OSqBUBEO