CFA二级基础段培训讲义：投资组合管理.docx

PortfolioManagementCFA二级培训项目讲师：Irene小靖g/ribHi。M断2雌内中UioNisvnTopicWeightingsinCFALevelIISessionNO.ContentWeightingsStudySession1Ethical&ProfessionalStandards10-15StudySession2-3QuantitativeMethods5-10StudySession4Economics5-10StudySession5-6FinancialReportingandAnalysis10-15StudySession7-8CorporateFinance5-10StudySession9-11Equity10-15StudySession12-13FixedIncome10-15StudySession14Derivatives5-10StudySession15AlternativeInvestments5-10StudySession16-17PortfolioManagement10-153-201豆业创新憎值 Framework Portfolio ManagementASS16:PortfolioManagement(1)R43Exchange-TradedFunds:MechanicsandApplicationsR44UsingMultifactorModelsR45MeasuringandManagingMarketRiskASS17:PortfolioManagement(2)R46EconomicsandInvestmentmarketsR47AnalysisofActivePortfolioManagementR48TradingCostsand日ectronicMarkets专业创新憎信 mllSllIONO4eu=dd<PUe Muuz:SPUnu-ppsH&6IeipXujFramework1.ETFMechanicsCreation/redemptionprocessTradingandsettlementArbitrageAdvantageoftheETFmechanics2.UnderstandingETFExpenseratioTrackingErrorTradingcostsTaxissuesTotalCostsofETFOwnershipTypesofETFrisks3.ETFsinPortfolioManagementETF家族5D利率债）Cs三信用债）ETF家族(h(>XX(l)-(有色金属)JK行业剧GHw)H策略脸(SmartBeta)图片来自于微信公众号：ETF之家ETFMechanicsPrimaryMarketInvestor1ETFsponsorAPInvestor2Investor3PortfolioSecurities1Securities2AETFtransactionstakeplaceintwointerrelatedmarkets.1.ist(creationbasket)Securities1Securities2ItSecuritiesnSecuritiesnBuy&SellSecondaryMarket1.1TheCreation/RedemptionProcessATheprimarymarketforETFtradingisthatwhichexistsonanover-the-counterbasisbetweenauthorizedparticipants(APs)fandtheETFissuer,orsponsor.TheonlyinvestorswhocancreateorredeemnewsharesofanETFareaspecialgroupofinstitutionalinvestorscalledAPs./APsarelargebroker/dealers,oftenmarketmakers,whoareauthorizedbytheETFissuertoparticipateintheprocess.TheAPcreatesnewETFsharesbytransactingin-kindwiththeETFissuer.Thisin-kindswaphappensofftheexchange,intheprimarymarketfortheETF1whereAPstransfersecuritiesto(forcreations)orreceivesecuritiesfrom(forredemptions)theETFissuer,inexchangeforETFshares.1.1.1CreationProcessAEachbusinessday,theETFmanagerpublishesalistofrequiredin-kindsecurities(creationbasket)foreachETF.Tocreatenewshares,anAPacquiresthesecuritiesinthecreationbasketinthespecifiedshareamounts(generallybytransactinginthepublicmarketsorusingsecuritiestheAPhappenstohaveininventory).TheAPthendeliversthisbasketofsecuritiestotheETFmanagerinexchangeforanequalvalueinETFshares./ThepricetheAPmighthavepaidtoacquirethatstockorwhatitspricehappenstobeattheendofthedayisnotrelevanttotheexchangetakingplace.AThesetransactionsbetweentheAPandtheETFmanageraredoneinlargeblockscalledcreationunits,usuallybutnotalwaysequalto50r000sharesoftheETF.1.1.2RedemptionProcessATheprocessalsoworksinreverse:theAPpresentsthesesharesforredemptiontotheETFmanagerandreceivesinreturnthebasketofunderlyingsecurities.ThebasketofsecuritiestheAPreceiveswhenitredeemstheETFsharesiscalledtheredemptionbasket.Thisbasketoftenhasthesamesecuritycompositionasthecreationbasket,butitmaybedifferentiftheETFportfoliomanageristryingtosellparticularsecuritiesfortax,compliance,orinvestmentreasons.AAlthoughactualprocessofexchangingbasketsandblocksofETFshareshappensafterthemarketsareclosed,theAPisabletoexecuteETFtradesthroughoutthetradingdaybecausetheAPknowsthesecuritycompositionofthebasketneededforETFsharecreationorredemption.三-*三illIOZNIslso:JP3o>BPUBSqWrDBSWA-JBPUn一joAl-P-Clb=Iq-MA-Jf0>ISalBllSIJUPOIB2PUe-d0一SJBaPLUc-EOJsues-EI-q-c-MIB(三)-Jd"clIde6a6e.luq.le.s£oIdsm-EOls-unt-oddo046U&00-SBPUBdBtS-P0Hrz10qJOl-UOEsd<Suowpuou一-BUJJo-SBq一Uo6u-6uequA-Snonuguou3SglSSI>SBqQlIJt一JoS-dBSneUBgA6e三J<IExhibit1AnETFSharePriceataPremiumtoNAV$25.10ETF shares creationFair Value$25.00Exhibit2AnETFSharePriceataDiscounttoNAVETFSharesFairValue$25.00ETFsharesredemption$24.90AArbitragekeepstheETFtradingatornearitsfairvalue.Ifthecurrentper-sharemarketvalueofthebasketofunderlyingsecuritiesisgreaterthanthequotedpriceoftheETFshares,theAPcansimultaneouslysell(orshort)thebasketofsecuritiesandbuyETFshares,tomakeaprofit.Inthissituation,wheretheETFshareisundervalued,theETFissaidtobetradingatdiscountIfsharesoftheETFarequotedatahigherpricethantheper-sharemarketvalueofthebasketofsecurities,theETFistradingatpremium,andtheAPcanmakeaprofitbysimultaneouslysellingtheETFsharesinthemarketandbuyingthebasketofsecurities.1.3AdvantageoftheETFMechanicsA1.LowercostAsignificantadvantageoftheETFcreationredemptioprocessisthattheAPabsorbsallCC)StSOftranSaCtiSgtheSeCUritieSforthefund'sPOrtfOIio.ETFstructureismorefair:FrequentETFtradersbearthecostoftheiractivity,whereasbuy-and-holdETFshareholdersareshieldedfromthosecosts./APspassthesecoststoinvestorsintheETF,sbid-askspread,incurredbyETFbuyersandsellers.Thus,non-transactingshareholdersofanETFareshieldedfromthenegativeimpactoftransactioncostscausedbyotherinvestorsenteringandexitingthefund.Incontrast,wheninvestorsenterorexitatraditionalmutualfund,themutualfundmanagerincurscoststobuyorsellinvestmentsarisingfromthisactivity,whichaffectallfundshareholders.1.3AdvantageoftheETFMechanicsA2.TaxefficiencyBecausecreationandredemptionhappeninkind,theyallowtheETF,sportfoliomanagerstomanagethecostbasisoftheirholdingsbyselectinglow-basisholdingsforredemptions,leadingtogreatertaxefficiency./Issuersmaychoosetopublishcustomizedredemptionbaskets,whichallowsthemtotargetspecificlow-basissecuritiesforremovalfromtheportfolio./Bydeliveringoutsharesthatwereoriginallyacquiredatlowcosts,theissuercancontinuouslyraisetheaverageacquiredcost(orcostbasis)ofeachposition,therebyminimizingtheposition'sunrealizedgains.>3.ArbitragekeepstheETFtradingatornearitsfairvalue.1.4Secondary:TradingandSettlementAProcessofinvestmentinthesecondarymarketStep1:YouplaceabuyorderinyourbrokerageaccounttheSameWayyouwouldplaceanOrdertoboyanyPUbliClyIiStedequitysecurity,Step2:Yourbrokersubmitsthatordertothepublicmarkettofindawillingseller:anotherinvestororamarketmaker(i.e.,abroker/dealerwhostandsreadytotaketheoppositesideofthetransaction).Step3:Theorderisexecuted,andyoureceivesharesoftheETFinyourbrokerageaccountjustasifyoutransactedinastock.AThesellingactivitiesofindividualinvestorsinthesecondarymarketdonotrequirethefundtotradeOUtOfitsUnderlyingPoSitions.1.4Secondary:TradingandSettlementAUSsettlement:centralizedNationalSecurityClearingCorporationandDepositoryTrustCompany.(T+2):guarantorofthattransactiontheentitythatensuresallpartiesareimmunizedagainstthefinancialimpactofanyoperationalproblemsontheeveningofthetrade,andthetradeisconsidered"cleared".TheDepositoryTrustCompany(DTC)rofwhichtheNSCCisasubsidiary,holdsthebookofaccountstheactuallistofsecurityholdersandownership.>EUsettlement:fragmentedThemajorityoftradinghappensinnegotiatedover-the-countertradesbetweenlargeinstitutions.InEurope,theyareclearedtooneof29centralsecuritiesdepositories(orCSDs).AcomplexsystemresultsinWiderSPreadSandhigherIoCalmarkettradingcosts.2.UnderstandingETFsAThebest-managedETFschargelowandpredictableinvestmentcosts,closelytracktheindexesonwhichtheyarebased,provideinvestorswiththelowestpossibletaxexposurefortheinvestmentobjective.ATobestunderstandanETF,sabilitytomeetexpectations,oneshouldconsiderits:expenseratio;indextracking;taxtreatment;potentialcostsandrisks.2.1ExpenseRatios>TheactualcoststomanageanETF(managementfee)vary,dependingonPOrtfC)IiOcomplexity(forexample,howmanysecuritiesthefundholds,howoftenrebalancingorstrategyimplementationoccurs,difficultyinmaintainingportfolioexposures)；issuersize(economiesofscaleapply),andtheCOmPetitiVeIaridSCape.AETFsgenerallychargelowerfeesthanmutualfundsETFprovidersdonothavet。keepITaCkOfindividualinvestoraccounts,sinceETFsharesareheldbyandtransactedthroughbrokeragefirms.NordoETFissuersbeartheCoStSOfCommUniCatingdirectlyWithindividualinvestors.Index-basedportfoliomanagement,usedbymostETFs,doesnotrequirethesecurityandmacroeconomicresearchCalTiedoutbyactivemanagers,whichincreasesfundoperatingcosts.AEXPenSeratiodoesnotreflecttheCoStOfPoilfOlioFebdlrnCingOrOtherfees.2.2IndexTracking>Dailydifferences=Rp(measuredbyNAV)-Rb.MeasurehowcloseanETFcantrackrelativeindex.>Periodictracking1.Trackingerror=standarddeviationofdailydifferences./Typicallyfora12-monthperiod./Trackingerrordoesnotrevealtheextenttowhichthefundisunder-oroverperformingitsindex;thedistributionoferrors.2.2IndexTracking:PeriodictrackingAPeriodictracking(cont.)2.Rollingtrackingdifference/TrackingdifferencescalculatedoveraIongerholdingperiod./ThisapproachallowsinvestorstoseetheCUmUlatiVeeffectOfportfoliomanagementandexpensesoveranextendedperiod.RepresentbothCentraltendenciesandvariability.AAllelseequal,onewouldnormallyexpectanindexfundtoIlnderPerfonnitsbenchmarkonanannualbasisbytheamountofitsexpenseratio.2.2IndexTracking:SourceofTrackingErrorA1.FeesandexpensesIndexcalculationgenerallyassumesthattradingisfrictionlessandoccursattheclosingprice.Afundzsoperatingfeesandexpensesreducethefund,sreturnrelativetotheindex.A2.Representativesampling/optimizationForfundstrackingindexexposuretosmallorilliquidmarkets,owningeveryindexconstituentcanbedifficultandcostly.Therefore,fundmanagersmaychoosetooptimizetheirportfoliosbyholdingonlyaportion,orrepresentativesample,ofindexsecurities.Comparedwithafullreplicationapproach,representativesampling/optimizationintroducesgreaterpotentialfortrackingerror.2.2IndexTracking:SourceofTrackingErrorA3.DepositaryreceiptsandotherETFsFundsmayholdsecuritiesthataredifferentfromthoseintheindex/suchasAmericandepositaryreceipts(ADRs),globaldepositaryreceipts(GDRs)zandotherETFs.DifferenCeSinITrdinghoursandSeCUrityPriCeScreatediscrepanciesbetweenportfolioandindexvalues.Similarly,ETFissuersmaychoosetoholdETFsasunderlyingholdings.ThisalsocreatesdiscrepanciesbetweenfundNAVandindexvalue,becausetheETFs,holdingsarevaluedattheirclosingmarketpriceandnottheirNAV.2.2IndexTracking:SourceofTrackingErrorA4.IndexchangesFundsmaytradeindexchangesattimesandpricesthataredifferentfromthoseofthebenchmarktracked.Sincerebalanceisinfrequent,thispartisoftentheSmaHestcontributor.>5.FundaccountingpracticesThetimeofthedaywhenETFs,NAViscalculatedversuswhentheindexproviderperformsthiscomputationcanleadtodifferencesincalculatedreturns.Additionally,ETFswithforeign-currency-denominatedholdingsmayuseexchangeratevaIuescapturedatadifferenttimethantherateusedbytheindexprovider.>6.RegulatoryandtaxrequirementsFundsmaybesubjecttoregulatoryandtaxrequirementsthataredifferentfromthoseassumedinindexmethodology,suchaswithforeigndividendwithholding.2.2IndexTracking:SourceofTrackingErrorA7.AssetmanageroperationsETFissuersmayattempttooffsetcoststhroughSeCUrityIendingandforeigndividendrecapture.Theseactas"negative''costs,whichenhancefundperformancerelativetotheindex.Securitylending:ManyETFs(andmutualfunds)lendaportionoftheirportfolioholdingstoshortsellers.Inexchange,theETFreceivesafeeandearnsinterestonthecollateralpostedbytheborrower.SinceSecurities-Iendingincomeisnotaceountedforictheindexcalculation,itisaSe)UrCeoftrackingerror.Foreigndividendrecapture:AssetmanagersmayworkwithforeigngovernmeritstominimizetaxPaidOndistributionsreceived.1.CapitalGainsDistributions:Ingeneral,fundsmustdistributeanyCaPitalgainsrealizedduringtheyear.Onaverage,ETFSdistributeIeSSinCaPitalgainsthanComPetingmutualfundsfortwoprimaryreasons.Taxfairness:/Fortraditionalmutualfund,shareholdersmayhavetopaytaxliabilitiestriggeredbyothershareholdersredeemingoutofthefund./ForETF:TheSellingactivitiesOfindividualinvestorsinthesecondarymarketdonotrequirethefundtotradeOUtOfitSUnderIyingPoSitions.IfanAPredeemsETFshares,thisredemptionoccursinkindandisnotataxableevent.Thus,redemptionsdonottriggerCaPitalgainrealizations.，“Taxfair":TheactionsOfinVeStOrSSCllingshare/OfthefunddoaotinfluencethetaxIiabilitieSforremainingfundshareholders.1.CapitalGainsDistributions(cont.)Taxefficiency:/TaxlotmanagementallowsportfoliomanagerstoIimittheUnrealiZedgainsinaportfolio./Taxlotmanagement:BychoosingshareswiththeIargeStUnrealiZedCaPitelgainsthatis,thoseacquiredatthelowestcostbasisETFmanagerscanusethein-kindredemptionprocesstoreducepotentialcapitalgainsinthefund./Manyindexeshaverebalancingperiods,andfundstrackingtheseindexesmusttradethosechanges.Rebalancingincreasesthepotentialforcapitalgainstooccur.TaxefficiencyCanbeimprovedifredemptionsOCCUrorindexIrebalanCedates,becausethisallowstheportfoliomanagertoremoveappreciatedSeCUritieSViain-kindexchanges,ratherthansellingandrealizingacapitalgain.2.OtherDistributionsSecuritydividenddistributionscantriggertaxliabilitiesforinvestors./Inmostmarkets,ETFsdistributetheiraccur3ateddividends;，However,insomejurisdictionsnotablyinEuropeETFsmayhaveshareclassesthataccumulateandautomaticallyeinvestdividendsintothefund./Becausenotalldistributionsaretreatedalike,investorsmustensuretheyunderstandthetaxtreatmentspecifictoeachfund'sdomicile,legalstructure,andportfoliotype.Return-of-capital(ROC)distributionsareamountsPaid>excessOfanETF'searningsandservetoreduceaninvestor'scostbasisbytheamountofthedistribution./Thesedistributionsaregenerallynottaxable.3.TaxesonSaleInmostjurisdictions,ETFsaretaxedaccordingtotheirunderlyingholdings.However,therecanbenuancesinindividualtaxjurisdictionsthatrequireinvestoranalysis.2.4ETFTradingCostsAETFtradingcostsCommissionBid-askspreadPremiumanddiscount行业创新憎值.241ETFBid-AskSpreadsASourcesofETFBid-AskSpreads:OngoingorderflowintheETF,asmeasuredbydailysharevolume(moreflowmeanslowerspreads);theamountofcompetitionamongmarketmakers(morecompetitionmeanslowerspreads);theactualcostsandrisksfortheliquidityprovider.AMaximumquotedspreadonETF:±Creation/redemptionfeesandotherdirecttradingcosts,suchasbrokerageandexchangefees+Bid-askspreadsoftheunderlyingsecuritiesheldintheETF+Compensation(tomarketmakerorliquidityprovider)fortheriskofhedgingorcarryingpositionsfortheremainderoftradingday+Marketmaker,sdesiredprofitspread,subjecttocompetitiveforces-DiscountrelatedtothelikelihoodofreceivinganoffsettingETForderinashorttimeframe.241ETFBid-AskSpreadsAETFBid-AskSpreads:OneofthemostimportantdriversofETFbid-askspreadsandliquidityisthemarketstructureandliquidityoftheunderlyingsecurit