CFA一级强化班培训项目：权益-另类-衍生（标准版）.docx

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1、TopicWeightingsinCFALevelIStudySession1EthicalandProfessionalStandards15-20StudySession2-3QuantitativeMethods8-12StudySession4-5Economics8-12StudySession6-9FinancialReportingandAnalysis13-17StudySession10-11CorporateFinance8-12StudySession12-13EquityJnvestments10-12StudySession14-15Fixedncome10-12St

2、udySession16Derivatives5-8StudySession17Alternativenvestmerits5-8StudySession18-19PortfolioManagement5-5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-PUo一-P巴一SI1BE-

3、BI一dBusAUozSjleujAJBPUoUssAJe三JdSjPLUjolIO1PM=SSPU.ovEeHowsecuritiesaresoldthroughprimarymarketSoldpublicly3estefforts;ndicationsofinterestShelfregistration;Dividendreinvestmentplan;/Rightsoffering.ClassificationofmarketsAHowsecuritiesaresoldthroughprimarymarket-soldpubliclyDifferencebetweenunderwri

4、ttenofferingandbestefforts.UnderwrittenofferingBesteffortsGuaranteesthesaleoftheissueNotobligatedtobuytheunsoldportionnvestmentbankshavestrongincentivestochooseaIowpricethatbankscanallocatevaluablesharestobenefittheirnvestmentbankgenerallyaresupposedtoselecttheofferingpricethatwillraisethemostmoney.

5、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;Benefitformanincreaseinthepric

6、e.AShortpositionPeoplehaveshortpositionswhentheyhavesoldassetsthattheydonotown,orwhentheywriteandsellcontracts.Forashort-sale,theprocedureisasbelow/Borrowsecuritiesfromsecuritylenderswhoarelongholders.Thenselltheborrowedsecuritiestoothertraders;/Closetheirpositionsbyrepurchasingthesecuritiesandretur

7、ningthemtothesecuritylenders;/Maintaintheproceedsofshort-salesascollateral.Benefitfromadecreaseintheprice.15-57Thepotentialgainsonashortpositionarelimitedtonomorethan100芸业.创新.增值皿一联&.当魂-T9-cwo2鼠巴03OJJOEoSej0u-MOJJOqAqSOPUuoAnqUEoSJ*uPRP8JpluUoAnSUo三sodP060PJ(Uo3A.Marginrequirement:therequiredequitypo

8、sitionisCalledthemarginmarginpurchase;/MaintenancemarginIsthe-Investorsrequiredequitypositionintheaccount;/MargincalkifaninvestorSmarginaccountbalancefallsbelowthemaintenancemargin,thebuyerwillreceiveamargincallandwillberequiredtoeitherliquidatethepositionorbringtheaccountbacktoitsmaintenance(minimu

9、m)marginrequirement./Margincallpriceforaleverageposition.Pe=r-M-1-MMInStrUCtic)nsOfITanSaCtionProCeSSeSlimit/InstructionsconcernthevolumeofthetradeAll-or-nothingorders./Good-till-canceliedorders(GTC);/Immediateorcance1orders;/Good-on-closeorders;/Good-on-openorders;/Stoporders(Emphasismomentumeffect

10、)stop-sellorder;+ldr1Usuallynotattachedtoanorde.UlUl芸业.创新.增值r1906(1)InstructionsoftransactionprocessesBehindthemarket:Abuyorderplacedbelowthebestbidorasellorderplacedabovethebestoffer;1506(1)1806(1)1812(1)InstructionsoftransactionprocessesOrderPricesBidsOffbrS(AS比)Theleastaggressivelypricedsellorder

11、sarethem虹ket.3,025242322ThesesellTalsosaythatare,TheThespacebestbidandofferisinsidemarket.Ifanewlimitorderanewmarket.ThCh勾tbidisatthemarket.themar妇I.TheIe邸t皿一联&.当魂eg、S3PUloe5AcnUS二Sn一.糜而.亨祁UPqMUM一BlUnlyhepricesofheConsttientecuritesbulsohereinvestnenbfallincomeReturnIndexfreceivedsinceincepton;Weigh

12、tingschemesforstockindexesPrice-weightedindexEqual-weightedindexArithmeticmean:xiisthereturneachstockchangeinaverageindexvalue=Geometricmean:Xi=1+hprinchangeinaverageindexvaluel111X2xncurrenttotalmarketvalueofindexstocksL11baseyeartotalmarketvalue01indexstocksAIFundamentalweightingWeightingbyusingme

13、asuresofaComPanSSsizethatareindependentofitssecuritypricetodeterminetheweightOneachCOnSt内券SeCUrity.(E.G.bookVaIUejeVentie,etc.EqUy11eestmAltra,.,ttBroadmarketindexMulti-marketindexMulti-marketindexwithfundamentalweightingSectorindexStyleindex/LargeuniverseofsecuritiesRebalancing/Tomaintaintheweighto

14、feachsecurityconsistentwiththeindexsReconstitutioninanindex;/Constituentsecuritiesthatnolongermeetthecriteriaarereplacedwithsecuritiesthatdomeetthecriteria.AOUQswWEn1.WhatisEfficientCapitalMarketFramework3.ThreeformsofmarketefficiencyTneweak-fbrmEMHTnesemi-strongformEMHTnestrong-formEMH4.Tests,Impli

15、cationsandConclusionsofEMH5.MarketAnomalies6.BehaviorFinanceWeak-FormIAuiiWlvailablgO1.仑-尸AdLMaI11；Weak-formEMHMarketinfo.TechnicalanalysisXSemistrong-formPublicinfo.TechnicalanalysisXFundamentalanalysisXStrong-fbrmEMHA什TechnicalanalysisXFundamentalanalysisXNobOdyCanWinthemark。tX1406(2)1412(1)1612(1

16、)1706(1)1712(1)1812(1)1906(1)Economicfundamentals1412(1)1506(1)1612(1)1806(1)1812(1)1906(1)2012(1)BehavioralbiasesthathavebeenidentifiedincludeOverconfidenceOverconfidencebiasexpIainsthatinvestorsoranalystsareRepresentativenessGambler,sfallacyMentalacCountingConservatismInvestlosses.orsarewillingtor

17、ealizegainsbutunwillingtorealizex3nbwJoMUIAJUAoFramework1.ClassificationofPublicEquitySecurities2.PrivateEquitySecurities3.Non-domesticEquitySecurities4.RiskandReturnCharacteristicsofEquitySecurities1812(1)CommonsharesRepresentanownershipinterestinacompanyandaretheCallablecommonsharesbbGivetheissuin

18、gcompanytheoption(orright),butnottheligation,tobuybacksharesfrominvestorsatacallpricethatisspecifiedwhenthesharesareoriginallyissued.PutablecommonsharespuGiveinvestorstheoptionorrighttoselltheirshares(i.e.,t,*them)backtotheissuingcompanyatapricethatisspecifiedwhenthesharesareoriginallyissued.Charact

19、eristicsofequitysecuritiessecuritiesdistributionofthecompany,snetassetsuponliquidation.preferencesharesEntitleshareholderstoreceiveanadditionaldividendifthecompany,sprofitsexceedsapre-specifiedlevel.sharesConvertiblepreferencesharesentitleshareholderstoconverttheirsharesintoaspecifiednumberofcommon1

20、706(1)1906(1)2012(1)RiskandreturnofequitysecuritiesTheriskismostcommonlymeasuredasthestandarddeviationofreturns(收益的标准差).1.owHighPreferredstockCommonstockPutabIestockCallablestockCumulativepreferredstocklittlepricingpower;/highbarrierstoentrydonotnecessarilymeanhighpricingpower;/StablemarketsharesIyp

21、icallyindicatelesscompetitiveindustries.IndustryinfluencesACompetitiveAdvantageAAnalysisofthecompetitiveenvironmentwithanemphasisontheimplicationsoftheenvironmentforcorporatestrategyisknownasstrategicanalysis.Michaelporter1Sfiveforcesframeworkisaclassicstartingpoint.Rivalryamongexistingcompetitors:w

22、hichisafunctionoftheindustryscompetitivestructure;ThreatQfsubstFtutes:whichcannegativelyaffectdemandifcustomerstheir needs*扣。seotherwaysofsatisfying43-57CompanyanalysisFocus:thefirmtargetsanichewitheitheracostoradifferentiationfocus.1.ow-coststrategyProductdifferentiationstrategyStrivetobecomethelow

23、-costproducers;Attemptservicestoprovideproductsandthatareunique;appealingtocustomersandsustainableovertime;tct_e；-三踊君抑Framework1.Evaluateasecurity2.MajorcategoriesofequityvaluationmodelsIThedeclarationdate;Theex-dividenddate;Theholder-oRrecorddate;Thepaymentdate.Thepreferredstockholdersareromisedtor

24、eceiveastateddividendforaninfiniteperiod;Preferredstockisperpetuitysinceithasnomaturity;ValuationmodelofapreferredstockV#D_DpPU(1+rP)儿/AssumptionfortheinfiniteperiodDoMDividendsgrowataconstantrate;V言3+小+(l+re)(l+re)(1+)V=DC(I+gc)=Dlre-廷Discountedcashflowmodels/ImportantconclusionSmaIldiangesinhedffe

25、rencebetveenrandgwiIlcause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,indiffe

26、rentindustriesorwithdifferentgrowthrate,thecomparablemaysufferamalfunction./DisadvantagesofusingpricemultiplesConclusiondrawnunderthecomparableandfindamenta1methodmaybereverse;(Pricemultiplesmaylosevaliditywhenfirmsusedifferentaccountingmethods;?Pricemultiplesforcyclicalfirmsmaybehighlyinfluencedbyc

27、urrenteconomicconditions.52-57MultiplesbasedonfundamentalsTheearningsmultipliermodelderivedfromDOM/AccordingtoinfiniteperiodDOMP二O/JustifiedP/E:assumewedividebothsidesoftheequationbyEI(expected12-monthearnings),theequationchangestoLeadingP/E:basedonexpectedearningsnextperiodBJE1JbElr-gTrailingP/E:ba

28、sedonactualearningsforthepreviousperiodDo I 庄。(+g)=(i-b)( +g)t9Enterprisevalue(EV)istotalcompanyvalue,notequity;EV=marketvalueofcommonstock+marketvalueofpreferredequityAAdvantageADisadvantagesMarketvalueofdebtisoftennotavailable./Bondvaluesmaybeestimatedfromcurrentquotationsforbondswithsimilarmaturi

29、ty,sector,andcreditcharacteristics;/Substitutingthebkvalueofdebtforthemarketvalueofdebtprovidesonlyaroughestimateofthedebt,smarketvalue.君u(qM050JSoUISlIPEoJddPUO=PnWAPgsPqJOSSEDqISJ。SSE-00qDqJJJO-JOSJgSS3DlqaUEJUIJOUOLJOdOJdNBWMUilDPU-qpodpA=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

30、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-

31、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 crisisNarro

32、wmanagespecializationLowcorrelationwithtraditionalinvestmentsLowlevelofregulationandlesstransparencyRisksforalternativeinvestmentsIlliquidnatureoftheassets/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