CFA二级基础段培训讲义：投资组合管理.docx

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1、PortfolioManagementCFA二级培训项目讲师：Irene小靖g/ribHi。M断2雌内中UioNisvnTopicWeightingsinCFALevelIISessionNO.ContentWeightingsStudySession1Ethical&ProfessionalStandards10-15StudySession2-3QuantitativeMethods5-10StudySession4Economics5-10StudySession5-6FinancialReportingandAnalysis10-15StudySession7-8CorporateFi

2、nance5-10StudySession9-11Equity10-15StudySession12-13FixedIncome10-15StudySession14Derivatives5-10StudySession15AlternativeInvestments5-10StudySession16-17PortfolioManagement10-153-201豆业创新憎值 Framework Portfolio ManagementASS16:PortfolioManagement(1)R43Exchange-TradedFunds:MechanicsandApplicationsR44

3、UsingMultifactorModelsR45MeasuringandManagingMarketRiskASS17:PortfolioManagement(2)R46EconomicsandInvestmentmarketsR47AnalysisofActivePortfolioManagementR48TradingCostsand日ectronicMarkets专业创新憎信 mllSllIONO4eu=ddXX(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ETFMechanicsPrimaryMarketInvestor1ETFs

4、ponsorAPInvestor2Investor3PortfolioSecurities1Securities2AETFtransactionstakeplaceintwointerrelatedmarkets.1.ist(creationbasket)Securities1Securities2ItSecuritiesnSecuritiesnBuy&SellSecondaryMarket1.1TheCreation/RedemptionProcessATheprimarymarketforETFtradingisthatwhichexistsonanover-the-counterbasi

5、sbetweenauthorizedparticipants(APs)fandtheETFissuer,orsponsor.TheonlyinvestorswhocancreateorredeemnewsharesofanETFareaspecialgroupofinstitutionalinvestorscalledAPs./APsarelargebroker/dealers,oftenmarketmakers,whoareauthorizedbytheETFissuertoparticipateintheprocess.TheAPcreatesnewETFsharesbytransacti

6、ngin-kindwiththeETFissuer.Thisin-kindswaphappensofftheexchange,intheprimarymarketfortheETF1whereAPstransfersecuritiesto(forcreations)orreceivesecuritiesfrom(forredemptions)theETFissuer,inexchangeforETFshares.1.1.1CreationProcessAEachbusinessday,theETFmanagerpublishesalistofrequiredin-kindsecurities(

7、creationbasket)foreachETF.Tocreatenewshares,anAPacquiresthesecuritiesinthecreationbasketinthespecifiedshareamounts(generallybytransactinginthepublicmarketsorusingsecuritiestheAPhappenstohaveininventory).TheAPthendeliversthisbasketofsecuritiestotheETFmanagerinexchangeforanequalvalueinETFshares./Thepr

8、icetheAPmighthavepaidtoacquirethatstockorwhatitspricehappenstobeattheendofthedayisnotrelevanttotheexchangetakingplace.AThesetransactionsbetweentheAPandtheETFmanageraredoneinlargeblockscalledcreationunits,usuallybutnotalwaysequalto50r000sharesoftheETF.1.1.2RedemptionProcessATheprocessalsoworksinrever

9、se:theAPpresentsthesesharesforredemptiontotheETFmanagerandreceivesinreturnthebasketofunderlyingsecurities.ThebasketofsecuritiestheAPreceiveswhenitredeemstheETFsharesiscalledtheredemptionbasket.Thisbasketoftenhasthesamesecuritycompositionasthecreationbasket,butitmaybedifferentiftheETFportfoliomanager

10、istryingtosellparticularsecuritiesfortax,compliance,orinvestmentreasons.AAlthoughactualprocessofexchangingbasketsandblocksofETFshareshappensafterthemarketsareclosed,theAPisabletoexecuteETFtradesthroughoutthetradingdaybecausetheAPknowsthesecuritycompositionofthebasketneededforETFsharecreationorredemp

11、tion.三-*三illIOZNIslso:JP3oBPUBSqWrDBSWA-JBPUn一joAl-P-Clb=Iq-MA-Jf0ISalBllSIJUPOIB2PUe-d0一SJBaPLUc-EOJsues-EI-q-c-MIB(三)-JdclIde6a6e.luq.le.soIdsm-EOls-unt-oddo046U&00-SBPUBdBtS-P0Hrz10qJOl-UOEsdSBqQlIJt一JoS-dBSneUBgA6e三J3.ArbitragekeepstheETFtradingatornearitsfairvalue.1.4Secondary:TradingandSettlem

12、entAProcessofinvestmentinthesecondarymarketStep1:YouplaceabuyorderinyourbrokerageaccounttheSameWayyouwouldplaceanOrdertoboyanyPUbliClyIiStedequitysecurity,Step2:Yourbrokersubmitsthatordertothepublicmarkettofindawillingseller:anotherinvestororamarketmaker(i.e.,abroker/dealerwhostandsreadytotaketheopp

13、ositesideofthetransaction).Step3:Theorderisexecuted,andyoureceivesharesoftheETFinyourbrokerageaccountjustasifyoutransactedinastock.AThesellingactivitiesofindividualinvestorsinthesecondarymarketdonotrequirethefundtotradeOUtOfitsUnderlyingPoSitions.1.4Secondary:TradingandSettlementAUSsettlement:centra

14、lizedNationalSecurityClearingCorporationandDepositoryTrustCompany.(T+2):guarantorofthattransactiontheentitythatensuresallpartiesareimmunizedagainstthefinancialimpactofanyoperationalproblemsontheeveningofthetrade,andthetradeisconsideredcleared.TheDepositoryTrustCompany(DTC)rofwhichtheNSCCisasubsidiar

15、y,holdsthebookofaccountstheactuallistofsecurityholdersandownership.EUsettlement:fragmentedThemajorityoftradinghappensinnegotiatedover-the-countertradesbetweenlargeinstitutions.InEurope,theyareclearedtooneof29centralsecuritiesdepositories(orCSDs).AcomplexsystemresultsinWiderSPreadSandhigherIoCalmarke

16、ttradingcosts.2.UnderstandingETFsAThebest-managedETFschargelowandpredictableinvestmentcosts,closelytracktheindexesonwhichtheyarebased,provideinvestorswiththelowestpossibletaxexposurefortheinvestmentobjective.ATobestunderstandanETF,sabilitytomeetexpectations,oneshouldconsiderits:expenseratio;indextra

17、cking;taxtreatment;potentialcostsandrisks.2.1ExpenseRatiosTheactualcoststomanageanETF(managementfee)vary,dependingonPOrtfC)IiOcomplexity(forexample,howmanysecuritiesthefundholds,howoftenrebalancingorstrategyimplementationoccurs,difficultyinmaintainingportfolioexposures)；issuersize(economiesofscaleap

18、ply),andtheCOmPetitiVeIaridSCape.AETFsgenerallychargelowerfeesthanmutualfundsETFprovidersdonothavet。keepITaCkOfindividualinvestoraccounts,sinceETFsharesareheldbyandtransactedthroughbrokeragefirms.NordoETFissuersbeartheCoStSOfCommUniCatingdirectlyWithindividualinvestors.Index-basedportfoliomanagement

19、,usedbymostETFs,doesnotrequirethesecurityandmacroeconomicresearchCalTiedoutbyactivemanagers,whichincreasesfundoperatingcosts.AEXPenSeratiodoesnotreflecttheCoStOfPoilfOlioFebdlrnCingOrOtherfees.2.2IndexTrackingDailydifferences=Rp(measuredbyNAV)-Rb.MeasurehowcloseanETFcantrackrelativeindex.Periodictra

20、cking1.Trackingerror=standarddeviationofdailydifferences./Typicallyfora12-monthperiod./Trackingerrordoesnotrevealtheextenttowhichthefundisunder-oroverperformingitsindex;thedistributionoferrors.2.2IndexTracking:PeriodictrackingAPeriodictracking(cont.)2.Rollingtrackingdifference/Trackingdifferencescal

21、culatedoveraIongerholdingperiod./ThisapproachallowsinvestorstoseetheCUmUlatiVeeffectOfportfoliomanagementandexpensesoveranextendedperiod.RepresentbothCentraltendenciesandvariability.AAllelseequal,onewouldnormallyexpectanindexfundtoIlnderPerfonnitsbenchmarkonanannualbasisbytheamountofitsexpenseratio.

22、2.2IndexTracking:SourceofTrackingErrorA1.FeesandexpensesIndexcalculationgenerallyassumesthattradingisfrictionlessandoccursattheclosingprice.Afundzsoperatingfeesandexpensesreducethefund,sreturnrelativetotheindex.A2.Representativesampling/optimizationForfundstrackingindexexposuretosmallorilliquidmarke

23、ts,owningeveryindexconstituentcanbedifficultandcostly.Therefore,fundmanagersmaychoosetooptimizetheirportfoliosbyholdingonlyaportion,orrepresentativesample,ofindexsecurities.Comparedwithafullreplicationapproach,representativesampling/optimizationintroducesgreaterpotentialfortrackingerror.2.2IndexTrac

24、king:SourceofTrackingErrorA3.DepositaryreceiptsandotherETFsFundsmayholdsecuritiesthataredifferentfromthoseintheindex/suchasAmericandepositaryreceipts(ADRs),globaldepositaryreceipts(GDRs)zandotherETFs.DifferenCeSinITrdinghoursandSeCUrityPriCeScreatediscrepanciesbetweenportfolioandindexvalues.Similarl

25、y,ETFissuersmaychoosetoholdETFsasunderlyingholdings.ThisalsocreatesdiscrepanciesbetweenfundNAVandindexvalue,becausetheETFs,holdingsarevaluedattheirclosingmarketpriceandnottheirNAV.2.2IndexTracking:SourceofTrackingErrorA4.IndexchangesFundsmaytradeindexchangesattimesandpricesthataredifferentfromthoseo

26、fthebenchmarktracked.Sincerebalanceisinfrequent,thispartisoftentheSmaHestcontributor.5.FundaccountingpracticesThetimeofthedaywhenETFs,NAViscalculatedversuswhentheindexproviderperformsthiscomputationcanleadtodifferencesincalculatedreturns.Additionally,ETFswithforeign-currency-denominatedholdingsmayus

27、eexchangeratevaIuescapturedatadifferenttimethantherateusedbytheindexprovider.6.RegulatoryandtaxrequirementsFundsmaybesubjecttoregulatoryandtaxrequirementsthataredifferentfromthoseassumedinindexmethodology,suchaswithforeigndividendwithholding.2.2IndexTracking:SourceofTrackingErrorA7.Assetmanageropera

28、tionsETFissuersmayattempttooffsetcoststhroughSeCUrityIendingandforeigndividendrecapture.Theseactasnegativecosts,whichenhancefundperformancerelativetotheindex.Securitylending:ManyETFs(andmutualfunds)lendaportionoftheirportfolioholdingstoshortsellers.Inexchange,theETFreceivesafeeandearnsinterestonthec

29、ollateralpostedbytheborrower.SinceSecurities-Iendingincomeisnotaceountedforictheindexcalculation,itisaSe)UrCeoftrackingerror.Foreigndividendrecapture:AssetmanagersmayworkwithforeigngovernmeritstominimizetaxPaidOndistributionsreceived.1.CapitalGainsDistributions:Ingeneral,fundsmustdistributeanyCaPita

30、lgainsrealizedduringtheyear.Onaverage,ETFSdistributeIeSSinCaPitalgainsthanComPetingmutualfundsfortwoprimaryreasons.Taxfairness:/Fortraditionalmutualfund,shareholdersmayhavetopaytaxliabilitiestriggeredbyothershareholdersredeemingoutofthefund./ForETF:TheSellingactivitiesOfindividualinvestorsinthesecon

31、darymarketdonotrequirethefundtotradeOUtOfitSUnderIyingPoSitions.IfanAPredeemsETFshares,thisredemptionoccursinkindandisnotataxableevent.Thus,redemptionsdonottriggerCaPitalgainrealizations.，“Taxfair:TheactionsOfinVeStOrSSCllingshare/OfthefunddoaotinfluencethetaxIiabilitieSforremainingfundshareholders.

32、1.CapitalGainsDistributions(cont.)Taxefficiency:/TaxlotmanagementallowsportfoliomanagerstoIimittheUnrealiZedgainsinaportfolio./Taxlotmanagement:BychoosingshareswiththeIargeStUnrealiZedCaPitelgainsthatis,thoseacquiredatthelowestcostbasisETFmanagerscanusethein-kindredemptionprocesstoreducepotentialcap

33、italgainsinthefund./Manyindexeshaverebalancingperiods,andfundstrackingtheseindexesmusttradethosechanges.Rebalancingincreasesthepotentialforcapitalgainstooccur.TaxefficiencyCanbeimprovedifredemptionsOCCUrorindexIrebalanCedates,becausethisallowstheportfoliomanagertoremoveappreciatedSeCUritieSViain-kin

34、dexchanges,ratherthansellingandrealizingacapitalgain.2.OtherDistributionsSecuritydividenddistributionscantriggertaxliabilitiesforinvestors./Inmostmarkets,ETFsdistributetheiraccur3ateddividends;，However,insomejurisdictionsnotablyinEuropeETFsmayhaveshareclassesthataccumulateandautomaticallyeinvestdivi

35、dendsintothefund./Becausenotalldistributionsaretreatedalike,investorsmustensuretheyunderstandthetaxtreatmentspecifictoeachfundsdomicile,legalstructure,andportfoliotype.Return-of-capital(ROC)distributionsareamountsPaidexcessOfanETFsearningsandservetoreduceaninvestorscostbasisbytheamountofthedistribut

36、ion./Thesedistributionsaregenerallynottaxable.3.TaxesonSaleInmostjurisdictions,ETFsaretaxedaccordingtotheirunderlyingholdings.However,therecanbenuancesinindividualtaxjurisdictionsthatrequireinvestoranalysis.2.4ETFTradingCostsAETFtradingcostsCommissionBid-askspreadPremiumanddiscount行业创新憎值.241ETFBid-A

37、skSpreadsASourcesofETFBid-AskSpreads:OngoingorderflowintheETF,asmeasuredbydailysharevolume(moreflowmeanslowerspreads);theamountofcompetitionamongmarketmakers(morecompetitionmeanslowerspreads);theactualcostsandrisksfortheliquidityprovider.AMaximumquotedspreadonETF:Creation/redemptionfeesandotherdirec

38、ttradingcosts,suchasbrokerageandexchangefees+Bid-askspreadsoftheunderlyingsecuritiesheldintheETF+Compensation(tomarketmakerorliquidityprovider)fortheriskofhedgingorcarryingpositionsfortheremainderoftradingday+Marketmaker,sdesiredprofitspread,subjecttocompetitiveforces-DiscountrelatedtothelikelihoodofreceivinganoffsettingETForderinashorttimeframe.241ETFBid-AskSpreadsAETFBid-AskSpreads:OneofthemostimportantdriversofETFbid-askspreadsandliquidityisthemarketstructureandliquidityoftheunderlyingsecurit