CFA一级强化班培训项目：益-另类-衍生（打印版）.docx

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1、TopicWeightingsiniCFALevelISessionNO.Study Session 1EthicalandProfoWm*RQuantitativeMetlhodsEconomicsFinancialReportingandAnalysisDerivativesAlternativeInvestments5-8StudySession18-19PortfolioManagement5-8 Fra mew orkEquity Invest mentsR37SecurityMarketlndcx.esR38MaiketEfficiencySS13EquityInvestmentR

2、39OverviewofEquitySecuritiesR40IntroductiontoIndustryandCompanyAnalysisR41EquityValuation:ConceptsandBasicTools4571.i.MarketOrganizationandStructure专业.创新I旨僧1.MinFunctionsofIheFinancialMarketFramework5lQaSsinCaliOnofarketsPrimaryVSSecondarymarketsMoneyvsCapitalma,kets7.Instructionsoftransactionproces

3、ses亏业创新1吕值1406(2)1412(1)1512(1)1706(1)1712(1)1912(I)-57IntermediariesoffinancialmarketFinancialintermediaries第servicesthattheyprovideBrokerdealers,andHelpwiththetradeofsecuritiestchrigSecuritizersAbsorbdepositsbypayinginterestonCUSIomerdepositsCreateinsurancecontractspolicies)thatprovideapaymentinth

4、eeventthatsomclossoccurs;loralhazard:aHvorsnspnrtinn:fal7-57TreservicesthattheyprovideArbitrageursSeektogainceltainreturnwithoutbearinganyrisk;BuyandsellidenticaloressentiallysimilarinstrumentsatHiFfprontPfirQaindifFnrpntmarkPtgCl,waliqluusys.;arrangeforfinalsettlementoftradestolimitthecounterpartyr

5、isk;CusiudiaJJishoLdsecuritiesonbehalfoftheircIientstopreventthelossofsecuritiesthroughfradfoversight,or弓业1406(1)*WellFunctionedFinancialMarketAWellfunctionedfinancialmarkel:Operationaleficiency:amarkethasrelativelyLowtransactioncostsamarketinwhichassetpricesreflectnewinformationquicklyandrationally

6、efficiency:amarketpromotestheallocationofresourcestotheirIiighestvalueuses.1406(1)1512(1)1606(1)1706(1)1806(1)1906ClassificationofmarketsClassifiPrimaryVSSecondaryarketsJ，*c，IrIrlHlv111themarketf*shortterindebtinstruments(one-yearmaturityorless)./Capitalmarkets：financialmarketsthattradesecuritiesofl

7、ongerdurationsuchasbondsandTraditionalVSAlternativeQiarkeLsEqJTT/Traditionalihvestmentmarkets:marketsfortraditionalinvestmentsincludeallpubliclytradeddebtsandequities/Alternativemarkets:maketforinvestraentsotherW-5714061412(1)1606(1)1706(1)1712(1)ClassificationofmarketsHQWSCCUritiC5arcSCldthroughPti

8、marymarketSecuritytrans；JJctionmethodsSoldpublicly/Underwrittenoffering(themostcommonway);/Bestefforts;/Indicationsofinterest-/RCCkEnilding/Dividendreinvestmeritplan;/Rightsofferin911-57亏业创新I旨僭ClassificationofmarketsHowsecuritiesaresoldthroughplimarymarket-soldpubliclyDifferencebetweenunderwrittenof

9、feringandbesteffortsUnderwrittenofferingBesteffortsGUHranIeeSLhesaleoftheissueNotObIigaIedIDbuytheUnSoIdportionInvestmentbankgenerallyaresupposedtoselecttheofferingpricethatwillraisethemostmoney.12-57亏业创新1包1506(1)1512(1)1606(1)17061806(1)1812(1) ciHowsecuritiesaretradPricepriority:thehighestpricedbu

10、yordersandthelowestpricedsellordersgofirst;Secondaryprecedencerule:useIimeprecedenceLorankordersatthesamepriceThefirstordertoarrivehasprecedenceoverotherordersBrokeredmarketsClassificationofmarketsSecondarycapitalmarketsHowsecuritiesaretradedinsecondarymarketsCallMarkets-AtspecifictimesAtanytimewhen

11、marketisopenThepiceisdeteminedeithe亏业创新I旨1506(1)15121606(D1712(1)Positionsinanasset1.ongpositionPeoplehaveIongpositionswhentheyownassetsorcontracts:Benefitformanincreaseintheprice.ShortpositionPeoplehaveshortpositionswhentheyhavesoldassetsthattheydonotown,orwhentheywriteandsellcontractsForaShorl-Sal

12、eIheprocedureisasbelow/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.everagedpositionsMarg

13、inrequirement:therequiredequitypositionisCaIIedthemarginrequireUient/Initialmargin:aminimumamountofequityatthetimeofanewinarginpurchase;/MaintenancemarginIstheinvestorsrequiredequitypositionintheaccount;17-57P=P1LM亏业创新|旨1906The bid and欢Onl the market.Behindthemarket:Abuyorderplacedbelowthebestbidora

14、sellorderplacedabovethebestoffer;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-57buriereorejarfmialmarketvaluedindexslocks.,.xbaseyea,indexvaleAfloat-ad

15、justedmarketcapitalizationweightedindexIllyVIjIILUIlUaLIIVUIIL1IUVIIL3CCU11.LJfISUDlGIlllIlUUIJyadjustingitsmarketCapilalizationforthenumberofsharesoftheconstituentsecuritythatareavailabletotheinvestingpublic.h1:15“IlugUyUFIJlBvuvuvup11ya?ICCmt.EquityindexesFiXedina6mentConsiructiohoffixed*Hedgefund

16、indexesStyleindex25,5715121)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:Type

17、sImplicationWeak-formEMHSemistrong-fbrmEMHStrong-formEMHPublicinfo.Allinfo.29157FundamentalanalysisNobodv can win the marketCalendaranomaliesAnomaliesi n cross-sectionaldataSizeeffectvajt effecto ther IdentifiedanomaliesClosed-end investmentfunds announcements InitialpubIicofTerings Economicfundamen

18、tals14(K), (2) 1412 (1) 1612 (1) 17()6 (1)1712 (1) 1812 (I) lX)6 (1) Tests, implications and conclusions of EMHBehavioralfinanceOverview of Equity Securities32,-57亏业.创新|旨酒3. Non-domestic Equity Securities彩beenidentifiedincludeLossaversionOverconfkienceRecentresultsaffectinvestorestimatesoffutureprob

19、abilities.Investorsreactslowlytochanges.DispositioneffectNarrowframingInvestorsvieweventsinisolation.1812(I)ClassificationfequitysecuritiesRepresentanownershipinterestinaCompanyandarethepredominanttypeofequitysecurity34-571412(1)15()6(I)1612(1)17)218062012(1)，CharaCteriStiCSOfequitySeCUrItleSClassif

20、icationofequitysecuritiesIfthcCompanydecidesnottopayadividendinoneorpaidinfullbefbredividendsonCpanysprofitsexceedsapre-specifiedlevel.ConveIiblepreferencesharesentitleshareholdesioConverttheirshaesintoaSpecifiednumberofcommonshares耳571706(1)1906(1)2012(1)RiskandreturnofequitysecuritiesTheriskismost

21、commonlymeasuredasthestandarddeviationofreturns(收益的标准差).1.owfiriskHighPreferredstockCommonstockPutablestockCallablestockCumulativepreferredstockNon-Cumulativepreferredstock1406(1)1412(I)i5O6(I)1812ISo6(2)1906(I)2012(1).Introduction toand company AnalysisNon-domesticdquitysecuritiesDirectinvestingIsk

22、)buyandsellsecuritiesdirectlyinforeignmarkets.Globalregisteredshares(GRS)Basketoflisteddepositoryreceipts(BLDR)AreexchanCJc-tradedfund(ETF)IhatrepresentaportfolioofdeposiloryTeoeips(DRs),Depositoryreceipts(DRs)AresecuritiesthattradelikeordinarysharesonaIOCalexchangeandrepresenteconomicinterestsinfor

23、eignmanies.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:

24、largely independentAnoncyclicalcompanyOf(hebusinesscycle.is(weVVho!汜PerfhrnlanCeGrowthindustries:WOUIdincludeindustrieswithspecificdemanddynamicsthataresostrong!thattheyoverridethesignificanceofbroadeconomicOrOthcrEHemalfactors.JExamplesinclude:stapleconsumegoods(fbodandbeverage),householdandpersona

25、lcareproducts,hedthcare,alutilities;41-5715()6 (I) 1512(I) 17()6 (1)2012 (I)IndustryinfluencespricingpowertoentryIndustryconcentrationindicates that concentratedindustries alwaysItisnotnecessailyhavepricingpower.IndustrycapacityStablemarketsharestypicallyindicatelessOornpetitiveindustries.which is a

26、 Junctionof theRivalryamongexistingindustryscompetitivestructure;Powerofsuppliers:whichmaybeabletoraisepicesorrestricttheexertinginfluenceOnsuppliersregardingprices;Threatofsubstitutes:whichcannegativelyaffectdemandifcustomersclx)seotherwaysofsatisfyingtheirneeds.43,-571712CompanyanalysisThreegeneri

27、ccompetitivestrategiesbenefitsthatotherfirmsdonopnvide: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 uniqu

28、e;+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)171

29、2(1)1806(1)DiscountedcashflowmodelsValuingpreferredstockTheeferredstockholdersarepomisedtoeceiveastateddividendforaninfiniteperiod;PreferredstockisPCrPelUilysinceithasnomaturity;ValuationmodelofapreferredsockV=DP+DP*.+PP二坠(l+rp)(+rp)(曰)N仲PDiscountedcashflowmodelsDividendsgmwataconstantrate;VoHDQJIDd

30、I+g+_Do+r)(1+.)2Dq+g,L9Y,4L57DiscountedcashflowmodelsrImportantconclusionThewiderthedifterencebetweenrandg,thesmallerthevalueofthestocks;Smallchangesinhedifterencebetweenrandgwillcauselargechangesinthestocksvalue.50,-5716121)1906(1DiscountedcashflowmodelsThegrowthcatestartsatahighlevelforarelatively

31、shortperiodoftime,thenreverts(oaIog-nnperpetuallevel./DisadvantagesofusingpricemultiplesConclusiondrawnundertheCOmParableandfundamentalmethodmaybereverse;(Pricemultiplesmaylosevaliditywhenfirmsusedifferentaccountingmethods;PricemultiplesforcyclicalfirmsmaybeHighlyinfluencedbycurrenteconomiccondition

32、s.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)E

33、nterpisevalue(EV)istotalcompanyvalue,notequity;EV=marketvalueofcommonstock+marketvalueofpreFerredequity+Oiarketvalueofdebt-cashandshort-terminvestments.AAdvantageUSefulforcomparingfirmswithdifferentdegreesoffinancialleverage;EBITDAisUsefulforvaluingcapitabintensivebusinessEB;EBlTDAisUsuallypositivee

34、venwhenEPSisnotADisadvantagesMarketvalueofdebtisoftennotavailable.JBondvaluesmaybeestimatedfromcurrentquotationsforbondsWilhsimilarmaturity,andcreditcharacteristics;1512(2)1612(1)17()6(1)1712(1)1806(1)1906(I)Asset-basedisnotreallyapplicableforafirmwithahighthebks,assets.55,57itsnottheendbutjustthebe

35、ginning.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-TopicWeightingsinlCFALeve

36、lIGJnICIIIEtIiicaJandProLessiialStandardsQuantitativeMethodsEconomics8-12FinancialReportingandAnalysis13-17StudySession10-11CorporateFinance8-2StudySession12-13EquityInvestmentsIO-12StudySessionJ4-15FixedIncomeI()-12Derivatives5-8AlternativeInvestn记nts5-8StudySessionIg-19PortfolioManafemet5-8亏业创新J冒但

37、 SS17 Alternative Investments RsOlntroduction to Alternative Investments2,*320PameworkAlternativeInvestments/亏业创新4旨逗AlternativeInvestmentsTraditionalvs.alternativeinvestmentsNot always true!eg high correlation in financial crisisofalternativeIlliquidityofunderlyinginvestmentsNarrowmanagespecializati

38、onluwcorrelationwithtraditionalinvestmentsLowlevelofregulationandlesstransparencyLimitedandpotentiallypoblematichistoricaliskandreturndataS-32UniquelegalandtaxConsideratiions亏业创新目僵AlternativeInvestmentsReturnsforalternativeinvestmenI:SRisksforalternativeinvestmentsRisk-Returnmeasun!sAIsSharpcratioap

39、propriateforaltumativeinvestments?IlliquidnatureoftheassetsReturnmaynotbereliable-VCrSIatCd/LZtandarddeviationmaynotbereliableunderstatedANormaldistribution?annotusestandarddeviationforriskmeasureVaR,SortinoratiowouldbeappropriaterAssumingnormldistributioD,underestimatedownsideriskTaileventsStresste

40、stingScenarioanalysisX2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-drivenstrategiesConsideredbottomupStratem1.ASubdivisionsRelativevaluestrategiesB-32亏业.创新|旨渔 Macro strategiesAMaCro strategies14-32亏业创新|1706 (1