CFA三级知识点必备：Asset Allocation and Related Decisions in Portfolio Management（投资组合管理中的资产配置及相关决策）.docx

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PYOf铀i。MtiAssetAllocationandRelatedDecisionsinPortfolioManagement(1)CFA三级培训项目1.AssetAllocationPrinciples行业创新增值EconomicBalanceSheet>EconomicbalancesheetConventional/FinancialassetsandliabilitiesAdditional/Extendedassetsandliabilities/RelevantinmakingassetallocationdecisionsbutnotappearonconventionalbalancesheetsAssetsLiabilitiesandNetworthFinancialassetsFinancialliabilitiesDomesticequityShort-termborrowingExtendedassetsExtendedliabilitiesPVofexpectedfuturecontributionsPVofexpectedfuturesupportNetvorthEconomicnetworthApproachestoAssetAllocation>Liability-relative:DistinctionsbetweenliabilitiesforaninstitutionalinvestorandgoalsforanindividualinvestorLiabilitiesofinstitutionalinvestorsareIegalobligationsOrdebts,whereasgoals,suchasmeetinglifestyleoraspirationalobjectives,arenot;Whereasinstitutionalliabilities,suchaslifeinsurerobligationsorpensionbenefitobligations,areUniforminnature(allofasingletype),anindividual'sgoalsmaybemanyandvaried;Liabilitiesofinstitutionalinvestorsofagiventype(e.g.,thepensionbenefitsowedtoretirees)areoftennumerousandsozthroughaveraging,mayOftenbeforecastWithconfidence.Incontrast,individualgoalsarenotSUbjeCttotheIaWOflargenumbersa<daveraging;AssetClassCriteriaforspecifyingassetclassesforthepurposeofassetallocationAssetswithinanassetclassshouldberelativelyhomogeneous;Assetclassesshouldbemutuallyexclusive;Assetclassesshouldbediversifying;TheassetclassesasagroupshouldmakeupaPrePondaSSnCCOfWOrldinvestablewealth;Assetclassesselectedforinvestmentshouldhavethecapacitytoabsorbameamgfel-FpFt+o-4RvestF-pFtfk.RiskFactorsFactor-basedassetallocationModelingusingassetclassesastheunitofanalysistendstoObSCUretheportfolio'sSenSitiVitytoOVerlaPPingriskfactors;TheprocessofFactor-basedassetallocationSBeEfykSk4a<GFSandthedesiredexposuretoeachfactor;DescribeassetclasseswithrespecttotheirsensitivitiestoeachOfthefactors;isolateexposuretotheriskfactor;Map-bek-achoiceofriskexposuresinfactorspacetoassetclassspaceforimplementation;2.SAAandRebalancing行业创新增值Strategicassetallocation>Strategicassetallocation/Policyportfolioanassetallocationthatisexpectedtobeeffectiveia日ChiRVinganassetowner'sinvestmentobjectives,givenhisorherinvestmentConStQimSandrisktolerance,asdocumentedintheinvestmentpolicystatementAOptimalassetallocationMaximizeEU(W)=f(W,assetclassreturndistribution,degreeofriskaversion)bychoiceofassetclassweightsWTOisubjecttoZ(I=1AUtilityfunction12Mean-varianceutility:U=E(rp)-ap>OptimalallocationtotheriskyassetStrategicimplementationchoicesAPassive/ActiveSpectrumUSeOfinfbrmationonassetclasses,investmentMOSTPASSIVE'''ctoi21.aQdind>v>dualinvestmentsMOSTACTIVE(indexingtoincrease57ifteFuantifiedby(unconstrainedmarketweights)Increasingtrackingriskre1ativet"5ichfnadmandates)Increasingactivesharerelativetobenchmark>Factorsinfluencingwheretoinvestonthepassive/activespectrumAVailableinvestments;SCalabilityofactivestrategiesbeingconsidered;ThefeasibilityOfinVCStingPElSSiVOlywhileincorporatingclient-specificconstraints(e.g.ESGinvestingcriteria);BeliefsConCerningmarketinformationalefficiency;Thetrade-offofexpectedincrementalbenefitsrelativetoincrementalcostsandrisksofactivechoices;.Ta*tatus;Strategicconsiderationsinrebalancing>StrategicconsiderationsConsiderationsRebalancingrangesTransactioncostsHighercosts,widerrangesRisk-aversionMorerisk-averse,narrowerrangesAssetclasscorrelationLesscorrelated,narrowerrangesBeliefsinmomentumfavor/meanreversionBeliefsinmomentum,widerranges;Meanreversion,narrowerrangesLiquidityIlliquidinvestmentscomplicaterebalancing,commonlywiderrangesVolatilityHighervolatilitymakesdivergencesfromthestrategicassetallocationmorelikely,thusnarrowerrangesTaxesEncourageasymmetricandwiderrebalancingranges,forexample,25%->(24%,28%)专业缺穴i曾值一3.AOzMVOApproach.11-40«Asset-Only:MVO>StrengthsMostcommonandwidelyusedBasisformoresophisticatedapproaches>WeaknessesTheoutputs(assetallocations)arehighlySenMtivctoSmallChangeSintheinput用(otherapproaches)TheassetallocationstendtobelyCorKentrated¾Qsubletoftheavailableassetclasses;(otherapproaches)InvestorsareoftenconcernedwithcharacteristicsofassetclassreturnssuchasSkeWneSSandkurto4sthtarenot日CC(JUntedforinMV0;(Non-normaloptimizationapproaches)Whiletheassetallocationsmayappeardiversifiedacrossassets,thesourcesofFiskmaynotbedWersified;(Riskbudgeting)MVOallocationsmayhavenodirectconnectiontothefactorsaffectinganyliabilityorconsumptionstreams;MVOisagle-pedframeworkthatdoesnottakeaccountoftrading/rebalancingcostsandtaxes.专配领先18值一Asset-Only:Factor-basedModelAThefactorsaretypicallySimilartothefundamental(orstructural)factorsinwidelyusedmulti-factorinvestmentmodels.Typicalfactorsusedinassetallocationincludesize,valuation,momentum,liquidity,duration(term),credit,andvolatility.Returnscanbecombinedfromshortinglarge-capstocksandgoinglongsmall-capstocks,foranexample,zzSizefactorreturn=Small-capstockreturn-Large-capstockreturn,Standarddeviationsrepresentthevolatilityofdifferentfactors'return.Pair-wisecorrelationsWiththemarketandithoneanotheraregenerallylow.Constructingfactorsinthismannerremovesmostmarketexposurefromthefactorsbecauseoftheshortpositionsthatoffsetlongpositions.4.ALM&Goal-basedApproachSurplusoptimization>Itinvolvesadaptingasset-onlymean-varianceoptimizationtoanefficientfrontierbasedonthevolatilityofsurplusbysubstitutingsurplusreturnforassetreturnoveranygiventimehorizon,allelseequal.Isastraightforwardextensionoftheasset-onlyportfoliomodelTheobjectivefunctionisULRm=E(R-1-°°°5Where,SurplusReturn=(ChangeinassetvaIuexchangeinliabilityvalue)(lnitialassetvalue)>ExpectedreturnsandvariancesofliabilitiesWeassumethattheliabilitieshavethesameexpectedreturnsandvolatilitiesasUScorporatebonds;Analternativeapproachistodeployasetofunderlyingfactorsthatdrivethereturnsoftheassets.Hedging/Return-seekingPortfolioApproachAInthisapproach,theliability-relativeassetallocationtaskisdividedintotwoparts,thusthisapproachisalsocalledtwo-portfolioapproach.Wedistinguishas"basic"thetwo-portfolioapproachinthecaseinwhichthereisasurplus/Inthebasiccase,thefirstpartoftheassetallocationtaskconsistsofhedgingtheliabilitiesthroughahedgingPOlIfolio.Inthesecondpart,thesurplus(orsomepartofit)isallocatedtoafetm-seekingpGFtf<4ie,whichcanbemanagedindependentlyofthehedgingportfolio(e.g.usingMV0).Andas"variants"theapproachasappliedwhenthereisnotapositivesurplus/Apartialhedge,wherebycapitalallocatedtothehedgingportfolioisreducedinordertogeneratehigherexpectedreturns/Anddynamicversionswherebytheinvestorincreasestheallotmenttothehedgingportfolioasthefundingratioincreases.Hedging/Return-seekingPortfolioApproach>ComparedtobasicapproachThesevariantsdonothedgetheliabilitiestothefullextentpossiblegiventheassetsandthusareIeSSConSelnativethanthebasicapproachdiscussedabove.Stillztherecanbebenefitstoapartialhedgewhenthesponsorisabletoincreasecontributionsifthefundingratiodoesnotincreaseinthefutureto1orabove.>AnessentialissueinvolvesthecompositionofthehedgingportfolioThedesignatedcashflowscanbehedgedviacashflowmatching,durationmatching,orimmunization,e.g.frozenDBpensionplan.What'sthemostimportantisthehedgingportfoliomustincludeassetswhosereturnsaredrivenbythesamefactorsthatdrivethereturnsoftheliabilities.Goals-basedAssetAllocationsProcess:Disaggregatestheinvestor'sportfoliointoanumberofsub-portfolios,eachofwhichisdesignedtofundanindividualgoal(or"mentalaccount")withitsOWntimehorizonandFeqUiredProbabilityOfsuccess.Twofundamentalparts/Thefirstcentersonthecreationofportfoliomodules;/Whilethesecondinvolvesidentifyingclientgoalsandmatchingeachofthesegoalstotheappropriatesub-portfolioofasuitableassetsize.InstitutionsInclindualsGoalsSingleMultipleTimehorizonSingleMultipleRiskmeasureVolatility(returnorsurplus)ProbabilityofmissinggoalReturndeterminationMathematicalexpectationsMinimumexpectationsRISkdeterminationTop-downbottom-upBottom-upTaxStatUSSingle,oftentax-exemptMostlytaxable5.RiskParity&RiskBudgetingRiskBudgetingandRiskParityAAriskbudgetissimplyaparticularallocationofportfoliorisk.Thegoalofriskbudgetingistomaximizereturnperunitofriskwhetheroverallmarketriskoractiverisk.>Theriskbudgetingprocessistheprocessoffindinganoptimalriskbudget.Themarginalcontributiontototalrisk(MCTR)identifiestherateatwhichriskwouldchangewithasmall(ormarginal)changeinthecurrentweights.MCTRi=,XGPTheabsolutecontributiontototalrisk(ACTR)foranassetclassmeasureshowmuchitContributestoportfolioreturnvolatility.ACTR=W.×MCTR=吗×Bj×pExcessreturn=expectedreturn-risk-freerate/Sometimes,itisbasedonreverse-optimizedreturns.RiskBudgetingandRiskParityAnassetallocationisoptimalwhentheratioofexcessreturn(overtherisk-freerate)toMCTRisthesameforallassetsandmatchestheSharperatioofthetangencyportfolio./RatioofexcessreturntoMCTR=(Expectedreturn-Risk-freerate)MCTR/Critically,betatakesaccountnotonlyoftheasset'sownvolatilitybutalsooftheassetscorrelationswithotherportfolioassets.>Theobjectiveofriskbudgetinginassetallocationistouseriskefficientlyinthepursuitofreturn.Ariskbudgetspecifiesthetotalamountofriskandhowmuchofthatriskshouldbebudgetedforeachallocation.RiskBudgetingandRiskParity>RiskparityRiskparityportfolio/Ariskparityassetallocationisbasedonthenotionthateachasset(assetclassorriskfactor)shouldcontributeequallytothetotalriskoftheportfolioforaportfoliotobewelldiversified.吗xCo"小 Construct the overall portfolio/ Deriving a risk parity-based asset allocation (risk parity portfolio)/ Borrow or to lend so that the overall portfolio corresponds to the investor's risk appetite.=1。；1CAWC1=,0Qp=-npRiskBudgetingandRiskParity>Inthiscasezeachassetclasscontributed0.8%,resultinginanassetallocationwithatotalstandarddeviationof6.41%.Inthisexample,5/8oftotalriskcomesfromequityassetclassesand3/8comesfromfixed-incomeassetclasses.AssetClassWeightMarginalContributiontoTotalRisk(MCTR)ACTRPercentageCoiitiibutiontoTotalStandardDeviationReverse-OptimizedTotalReturnsUSlarge-capequities7.7%10.43%0.8012.50%6.47%USmd<apequities6113.0308012.507.33USsmall-capequities5.913.610.8012.507.52Non-USdevelopedmarketequities5614380.8012.50778Emergingmarketequities4.517.740.8012.508.89Non-USbonds15.55.170.8012.504.72USTIPS23.93.360.8012.504.12USbonds30.82.600.8012.503.86Total1000%641%10000%5.13%Il施同三lllOb4ZSu-BJUSUOJCO7SO=<<9AssetAllocationfortheTaxableInvestorAfter-TaxPortfolioOptimizationThereturnwillbeaffectedbythetax:'G=Fpt(IT)rat=theexpecteda代er-taxreturnrpt=theexpectedpre-tax(gross)returnt=theexpectedtaxrateIftheexpectedreturncomposedbydifferentintegral:'%=pdrpt(l-td)+parpt(l-tcg)pd=theproportionofrptattributedtodividendincomepa=theproportionofrptattributedtopriceappreciationtd=thedividendtaxrateteg=thecapitalgainstaxrateExample阊IAConsideraportfoliowitha50%allocationtoequity,whereequityreturnsaresubjecttoa25%taxrate.Atax-exemptinvestormayestablishatargetallocationtoequitiesof50%,withanacceptablerangeof40%to60%(50%plusorminus10%).Whattherangeshouldbeforataxableinvestorwhowouldliketoachievethesametargetequityallocation.ACorrectanswer:10%÷(l-25%)=13.3%50%±13.3%Ataxableinvestorwiththesametargetequityallocationcanachieveasimilarriskconstraintwitharangeof37%to63%(50%plusorminus13%).It'snotanendbutjustthebeginning.Thefailuresandreverseswhichawaitmen-andoneafteranothersaddenthebrowofyouth-addadignitytotheprospectofhumanlife,whichnoArcadiansuccesswoulddo.一HenryDavidThoreau.尽管失败和挫折等待着人们，一次次地夺走青春的容颜，但却给人生的前景增添了一份尊严，这是任何顺利的成功都不能做到的。