第1周—16周輕松搞定CFALEVEL1

1、16周輕松搞定CFA LEVEL 1-第1周保羅時(shí)報(bào)系列專題2010年2月15日星期一16周輕松搞定CFA LEVEL 1-第1周新的一年開(kāi)始了，今年你的新年愿望是什么？ 一次通過(guò) CF級(jí)考試?保羅時(shí) 報(bào)特于農(nóng)歷新年推出CFALEVEL1考試準(zhǔn)備計(jì)劃，希望有志于立足金融業(yè)的您 可以按照保羅時(shí)報(bào)科學(xué)、合理的備考方案，順利通過(guò) 6月份的考試，實(shí)現(xiàn)新 年愿望。保羅時(shí)報(bào)與您共飲慶功酒！2月15日周一Reading 1: Code of Ethics and Standards of Professional Conduct道德與職業(yè)行為準(zhǔn)則Reading 2: Guidance for Standar

2、ds I - VII 職業(yè)行為準(zhǔn)則 I -VII 指導(dǎo)仔細(xì)閱讀這兩個(gè)小節(jié)，特別是書(shū)中的例子。2月16日周二一一2月17日周三Reading 3: CFA Institute Soft Dollar Standards CFA協(xié)會(huì)軟美元準(zhǔn)則Reading 4: CFA Institute Research Objectivity Standards CFA協(xié)會(huì)研究客觀性準(zhǔn)則仔細(xì)閱讀這兩個(gè)小節(jié)，特別是書(shū)中的例子，并做完session后的習(xí)題。做完后將 做錯(cuò)的題再回到書(shū)中原文對(duì)照，務(wù)必將各種準(zhǔn)則理解。2月18日周四 2月19日周五Reading 5: The Time Value of Money資

3、金的時(shí)間價(jià)值Reading 6: Discounted Cash Flow Applications現(xiàn)金流量折現(xiàn)應(yīng)用做完章節(jié)后的習(xí)題，熟練PV,IR,FV的各種算法。2月20曰周六一一2月21日周日Reading 7: Statistical Concepts and Market Returns統(tǒng)計(jì)概念和市場(chǎng)收益Reading 8: Probability Concepts概率概念Reading 9: Common Probability Distributions 概率分布Reading 10: Sampling and Estimation抽樣與推斷此部分概率內(nèi)容不難，大多都為大學(xué)本科課

4、程內(nèi)的內(nèi)容，大家只需將notes看一 遍，將章節(jié)后習(xí)題做一遍即可。16周輕松搞定 CFA LEVEL 1-第1天不知道各位昨天有沒(méi)有根據(jù)保羅時(shí)報(bào)的要求學(xué)習(xí)Reading 1。現(xiàn)在保羅時(shí)報(bào)就來(lái)幫您按照CFALEVEL1教材梳理一下Reading 1的重要知識(shí)點(diǎn)。按教材 要求，CFA LEVEL 1考生對(duì)Reading 1要掌握：a. describe the structure of the CFA Institute Professional ConductProgram and the process for the enforcement of the Code and Standards

5、;b. state the six components of the Code of Ethics and the seven Standards of Professional Conduct;c. explain the ethical responsibilities required by the Codeand Standards, including the multiple sub-sections of each Standard.具體分解一下。上述 a點(diǎn)關(guān)于Professional Conduct Program 的回答為：All members and candidate

6、s must apply with the Code and Standards. TheCFA Institute Board of Governors oversees the Professional ConductProgram through a Disciplinary Review Committee.Professional Conduct staff conduct professional conduct inquiries. The following can bring about an investigation: 1. self-disclosure on annu

7、al conduct statements2. written complaints3. media reports of wrongdoing4. exam proctors can submit a violation reportRules of Procedure are based on two primary principals:1. Fair process to the member and candidate2. Confidentiality of proceedingsA CFA Institute Designated Officer reviews the mate

8、rial obtained by Professional Conduct staff in the investigation and may1. conclude there is no disciplinary sanction2. issue a cautionary letter3. continue proceeding to discipline the memberor candidate. The member or candidate may accept or reject the proposed sanction. If he rejectsit, the case

9、is referred to a panel of CFA Institute members. Violators may be suspended from the CFA program.b 點(diǎn)所指的Code of Ethics6 個(gè)組成部分為：Members and Candidates must:1. Act with integrity, competence, diligence, respect, and in an ethical manner with the public, clients, prospective clients, employers, employee

10、s, colleagues in the investment profession, and other participants in the global capital markets.2. Place the integrity of the investment profession and the interests of clients above their own personal interests.3. Use reasonable care and exercise independent professional judgement when conducting

11、investment analysis, making investment recommendations, taking investment actions, and engaging in other professional activities.4. Practice and encourage others to practice in a professional and ethical manner that will reflect credit on themselves and the profession.5. Promote the integrity of, an

12、d uphold the rules governing, capital markets.6. Maintain and improve their professional competence and strive to maintain and improve the competence of their investment professionals.考題有可能問(wèn)：“Which of the following is not stated in the Code ofEthics? ”給出的選項(xiàng)中會(huì)有 3 個(gè)來(lái)自于以上6 個(gè)組成部分，而有1 個(gè)卻不是。b 點(diǎn)所指的Standard

13、s of Professional Conduct 有 7 類：1. Professionalism2. Integrity of Capital Markets3. Duties to Clients and Prospective Clients4. Duties to Employers5. Investment Analysis, Recommendations, and Action6. Conflicts of Interest7. Responsibilities as a CFA Institute Member or CFA Candidate根據(jù)c點(diǎn)要求，考生還必須牢記 S

14、tandards of Professional Conduct7 大類下 的梭有小分類。請(qǐng)各位CFA LEVEL 1備考者們做好相應(yīng)準(zhǔn)備16周輕松搞定CFA LEVEL 1-第2天進(jìn)入正題前，保羅時(shí)報(bào)先上兩圖，讓各位考生看一下CFA美國(guó)考場(chǎng)的情況。16周輕松搞定CFA-級(jí)第二天復(fù)習(xí)的是職業(yè)行為準(zhǔn)則I -VII指導(dǎo)。在這里保 羅時(shí)報(bào)要提醒大家，作為CFAT生，知道相關(guān)法律是責(zé)任，“我不知道”并不 能成為辯護(hù)。另外要注意，當(dāng)CFA準(zhǔn)則與當(dāng)?shù)胤刹灰恢聲r(shí)，應(yīng)當(dāng)遵守更為嚴(yán)格 的一條法律。這一概念經(jīng)常被考，考生須牢記。下面我們?cè)賮?lái)看兩道2004年關(guān)于fair dealing的考試真題。1. Whena

15、n AIMRmemberhas a limited number of shares of an initial public offering to distribute, the member would be least likely to violate theAIMR Standards of Professional Conduct by:a. allocating the shares pro rata to all subscribers for whom the issueis appropriate.b. first filling the orders of indivi

16、dual clients, then filing the orders of institutional clients.c. first filling the orders of clients who have generated the most commissions during the past year.d. first filling the orders of those who have been clients of the investment professional for the longest period of time.正確答案為 Ao B、G D全部違

17、反了 Fair Dealing Standard, Standard III B.2. Dave Bauman, CFA, is a portfoliomanager who wants to buy Arrow Company common stock for his clients accounts and his personal account.According to the Guidance, Bauman: personal account.a. must buy the stock for his clientsaccounts before buying for hisb.

18、must wait 30 days after buying the stock for clients before buying for his personal account.c. may buy for his personal account at any time as long as he discloses the trades to his employer and clients.d. may buy for his personal account at any time as long as the execution price is not more favora

19、ble than the execution price realized by clients. 正確答案為A。16周輕松搞定 CFA LEVEL 1-第3天學(xué)習(xí)CFA一級(jí)已經(jīng)進(jìn)入了第3天，大家有沒(méi)有跟著保羅時(shí)報(bào)進(jìn)行備考呢？第 3 天我們學(xué)的是 Introduction to Global Investment Performance Standards 簡(jiǎn)稱GIPSoa. Explain why the GIPS standards were created, what parties the GIPS standards apply to and who is served by the

20、 standards.Individuals and institutions are constantly scrutinizing past investment performance in search of the best performing manager to achieve their investment object. GIPS were created to ensure fair representation and full disclosure of performance information. GIPS set a global standard for

21、calculation and reporting performance recognized and accepted worldwide.GIPS apply to investment management firms.GIPS serve clients and prospective clients (investors), including consultants that may assist investors in selecting management firms.GIPS do not apply to consultants and software compan

22、ies who produce the measurement software, i.e. the performance measurement tools.Plan sponsors, consultants and software companies, unless they actually manageassets, cannot makeperformance claims. They can endorse or require GIPS. Software companies can “ calculate performance in a manner acceptabl

23、e by the Standards. ”b. Explain the construction and purpose of composites in performance reporting.A composite is an aggregation of discretionary portfolios into a single group that represents a particular investment objective or strategy. A composite must include all actual fee-paying, discretiona

24、ry portfolios managed in accordance with the same objective or strategy. A composite is asset weighted.For example, if a GIPS-compliant firm presents its track record for a Global Equity Composite, the Composite must include all portfolios that are managed, or have historically been managed, in the

25、firm s GlobalEquity strategy. The firm maynot subjectively select which Global Equity portfolios will be included in or excluded from the calculation and presentation of the Global Equity Composite. The determination of which portfolios to include in the Composite should be done according to pre-est

26、ablished criteria (i.e., on an ex-ante basis), not after the fact. This prevents a firm from including only their best performing portfolios in the Composite.Purpose of Composites: Creating meaningful, asset-weighted campsites iscritical to the fair presentation, consistency, and comparability ofres

27、ults over time and among Firms.c. Explain the requirements for verification of compliance with GIPS standards.A firm is responsible for its claim of GIPS compliance, that is, a firm “self - regulates “ its claim of GIPS compliance; verification is not required.However, if done, verification of that

28、claim must be done by an independent third party. A firm cannot perform its own verification.Verification provides assurance and credibility that the firm claiming GIPS compliance has adhered to GIPS firm wide. Also, a firm undergoing verification has an added benefit to improve its internal GIPS po

29、licies and procedures because of a review by an independent third party.Verification is done on the entire firm, not on specific composites.Verification tests:1. That the firm has complied with all the composite construction requirements of GIPS on a firm wide basis; and2. That the firm s processes

30、and procedures calculate and present performance in compliance with GIPS.16周輕松搞定CFA LEVEL 1-第4天按照保羅時(shí)報(bào)的復(fù)習(xí)計(jì)劃，今天應(yīng)該是 CFA一級(jí)考試復(fù)習(xí)的第4天了，不知 各位考生朋友經(jīng)過(guò)這幾天的學(xué)習(xí)， 感覺(jué)如何？是不是有點(diǎn)難呢？沒(méi)關(guān)系。 覺(jué)得有 困難絕對(duì)不只你一人，其他人都是。CFA考量的不只是才智，還有意志力。堅(jiān)持到底，就是勝利！累了的話，不如看一下電視轉(zhuǎn)播的冬奧會(huì)比賽，相信各國(guó)頂尖 運(yùn)動(dòng)員的矯健表現(xiàn)一定不會(huì)讓你失望。相比他們花在訓(xùn)練上的時(shí)間，CFA一級(jí)備考似乎就是小菜一碟了吧。想要輕松一下的話，不如

31、看看保羅時(shí)報(bào)對(duì)于冬奧會(huì)的報(bào)道，從不同角度了解本屆溫哥華奧運(yùn)會(huì)和奧運(yùn)健兒們。16周輕松搞定CFA LEVEL 1-第5天保羅時(shí)報(bào)的16周輕松搞定CFALEVEL1計(jì)劃第5天學(xué)習(xí)的是貨幣時(shí)間價(jià) 值。這里有些重要公式需要考生記住。保羅時(shí)報(bào)特選兩條公式配合練習(xí)題供 各位小試牛刀：1. r = Real risk-free interest rate + Inflation premium + Default risk premium + Liquidity premium + Maturity premium這里的r即the interest rate on a debt security,以上公式表

32、達(dá)的是 r由無(wú)風(fēng)險(xiǎn)實(shí)際利率加上通貨膨脹附加率、違約風(fēng)險(xiǎn)溢酬、流動(dòng)性溢價(jià)和到期風(fēng)險(xiǎn)溢 位組成。下面我們來(lái)做一道相關(guān)例題：The table below gives current information on the interest rates for two two-year and two eight-year maturity investments.All investmentspromise only a single payment (payment at maturity).Assume thatpremiums relating to inflation, liquidity,

33、 and default risk are constant across all time horizons.InvestmentMaturity(in years)LiquidityDefault RiskInterest Rate(%)12HighLow2.022LowLow2.538HighLow4.048LowHigh6.5The default risk premium is closest to:1. 2.02. 2.53. 3.0答案為12. Effective annual rate =(1 + Periodic interest rate) m - 1止匕處 m表示 the

34、 number of compounding periods per year 。相關(guān)例題一道：A bank quotes a stated annual interest rate of 5.89% with quarterly compounding. The effective annual rate is closest to:1. 5.89%2. 5.93%3. 6.02%答案為316周CFAl級(jí)考點(diǎn)復(fù)習(xí)-第1周保羅時(shí)報(bào)系列專題2010年8月16日星期一16周CFA-級(jí)考點(diǎn)復(fù)習(xí)-第1周隨著年底的CFA一級(jí)考試將至，相信各位準(zhǔn)考生的心情是繼期待又怕受傷害，準(zhǔn)備考試的過(guò)程總是會(huì)有讓人手足

35、無(wú)措的時(shí)候，書(shū)念得再熟也還是覺(jué)得有遺漏。CFA的教材內(nèi)容繁重，書(shū)是一本比一本還厚，看了后面忘了前面怎么辦？不用擔(dān)心保羅時(shí)報(bào)早已準(zhǔn)備好錦囊妙方，考生除了可以依照16周輕松搞定CFALevell系列專題備考并督促自己的學(xué)習(xí)之外，還可以跟隨保羅時(shí)報(bào) 的腳步，以16周的進(jìn)度在16周CFA一級(jí)考點(diǎn)復(fù)習(xí)中復(fù)習(xí)各章節(jié)的重點(diǎn)觀念， 拋開(kāi)繁重的書(shū)本重新整理思路，并磨練基本工，看看自己是否確實(shí)了解各章精華。在這一周里(8月16日22日)，根據(jù)16周輕松搞定 CFA Levell-第1周 的進(jìn)度，考生應(yīng)該已經(jīng)快速閱讀完 CFA Notes的Reading 1到Reading 10。對(duì) 于有金融背景的考生來(lái)說(shuō)，這10

36、個(gè)章節(jié)應(yīng)該算是復(fù)習(xí)與熱身，而對(duì)較為缺乏金 融背景的考生來(lái)說(shuō)則是基礎(chǔ)課，一定要弄懂。全球投資業(yè)績(jī)標(biāo)準(zhǔn)(Global Investment Performance Standards , GIPS)全球投資業(yè)績(jī)標(biāo)準(zhǔn)是美國(guó)特許金融分析師協(xié)會(huì)(CFAft、會(huì))于1999年所列出的 一系列投資業(yè)績(jī)披露上的準(zhǔn)則，旨在維持公平與投資業(yè)績(jī)的全面披露。 其主要精 神在于建立一個(gè)在投資業(yè)績(jī)報(bào)告上的統(tǒng)一格式與計(jì)算方法，不讓投資公司在業(yè)績(jī) 報(bào)告上任意篩選評(píng)估指標(biāo)，擾亂客戶視聽(tīng)。全球投資業(yè)績(jī)標(biāo)準(zhǔn)的創(chuàng)立是源于 20世紀(jì)初期各國(guó)對(duì)金融業(yè)績(jī)披露的要求與格式 不一，造成國(guó)際投資者很難對(duì)不同國(guó)家的金融公司業(yè)績(jī)進(jìn)行解讀與比較。而美

37、國(guó)特許金融分析師協(xié)會(huì)則為了克服此問(wèn)題而提出該項(xiàng)標(biāo)準(zhǔn)。截至2010年8月，全球投資業(yè)績(jī)標(biāo)準(zhǔn)一共被32個(gè)國(guó)家所采用。內(nèi)部收益率(Internal Rate Of Return, IRR )內(nèi)部收益率指的是凈現(xiàn)值(Net Present Value, NPV為零時(shí)的貼現(xiàn)率(Discount Rate)。內(nèi)部收益率愈高，表示未來(lái)的收益愈大，因此，內(nèi)部收益率可作為衡量 投資獲利的標(biāo)準(zhǔn)。當(dāng)其他條件相等時(shí)，企業(yè)通常會(huì)選擇內(nèi)部收益率最高的投資項(xiàng) 目。IRR = (FV/PV)1/N -1FV:未來(lái)價(jià)值PV:現(xiàn)值N:復(fù)利計(jì)算期舉例來(lái)看，假設(shè)一投資項(xiàng)目的成本為10億元，3年后可望帶來(lái)15億元的回報(bào)，則可計(jì)算出該投

38、資項(xiàng)目的內(nèi)部收益率為：(15/10)1/3 1=14.47%資金加權(quán)收益率(Money-weighted Rate Of Return )資金加權(quán)收益率其實(shí)就是投資項(xiàng)目的內(nèi)部收益率，即凈現(xiàn)值為零或是流出(Outflows )現(xiàn)值等于流入(Inflows )現(xiàn)值時(shí)的收益率。其中，進(jìn)行投資項(xiàng)目 的成本、再投資的股息或利息、以及現(xiàn)金流出都算是流出；而出售投資項(xiàng)目、股息或利息收入、以及現(xiàn)金流入都算是流入。在計(jì)算資金加權(quán)收益率時(shí)，任何的流 出與流入都需被折算成現(xiàn)值。假設(shè)小保在t=0時(shí)用30元買進(jìn)1只每年發(fā)放2元股利的股票,一年后（t=1 ）股 價(jià)不變，并在兩年后（t=2）以50元賣出，可得出該筆投資的資

39、金加權(quán)收益率為 0.35%,計(jì)算方式如下：流出現(xiàn)值=a入現(xiàn)值t=0,流出：$30t=1,流入：$2t=2,流入：$50+$22/（1+r）+2/（1+r）2+50/（1+r）2=30 r=35%時(shí)間加權(quán)收益率（Time-weighted Rate of Return ）時(shí)間加權(quán)收益率為每個(gè)投資期限收益率的幾何平均計(jì)算而成的年化收益率，因此不受現(xiàn)金流出與流入的影響，并且較受業(yè)界青睞。要計(jì)算時(shí)間加權(quán)收益率必須先算出每一持有期收益率（Holding Period Return , HPR ,之后再相乘各持有期收益率得出該項(xiàng)投資的時(shí)間加權(quán)收益率，若期投資 年限超過(guò)一年，則需使用幾何平均法算出年化收益率

40、。以同樣的例子來(lái)看，假設(shè)小保在t=0時(shí)用30元買進(jìn)1只每年發(fā)放2元股利的股 票，一年后（t=1 ）股價(jià)不變，并在兩年后（t= 2）以50元賣出，可得出該筆投 資的資金加權(quán)收益率為0.35%,計(jì)算方式如下：持有期收益率=（期初市價(jià)-期末市價(jià)）/期初市價(jià)第一年的收益率：（30+2-30）/30=0.07第二年的收益率：（52-30）/30=0.73時(shí)間加權(quán)收益率：（1+0.07）x（1+0.73）-1=0.85年化收益率：（1+0.85）1/2-1=36%置信水平（Confidence Level ）在統(tǒng)計(jì)學(xué)上，置信水平是個(gè)較難懂的概念，很多人就算明白了它的用法但還是對(duì) 其概念一知半解。置信水平通

41、常被用在對(duì)總體參數(shù)（Population Parameter）的預(yù)測(cè)上。由于點(diǎn)估 計(jì)容易產(chǎn)生偏差，所以分析師常會(huì)用區(qū)間估計(jì)來(lái)估計(jì)一個(gè)參數(shù)。例如，與其說(shuō)估計(jì)某總體平均值為10 （點(diǎn)估計(jì)），用區(qū)間估計(jì)的話就會(huì)說(shuō)估計(jì)某總體的平均值 在9.5至10.5之間，相應(yīng)的置信水平（Confidence Level ）為95%也就是說(shuō)， 總體平均值在9.5至10.5之間的概率為95%在這個(gè)例子里，9.5和10.5之間 就是置信區(qū)間（Confidence Interval ） 了。對(duì)于一組相同的數(shù)據(jù)所估算出對(duì)總體參數(shù)的預(yù)測(cè)，不要以為置信水平越高，所對(duì)應(yīng)的置信區(qū)間估計(jì)就越好。置信水平越高并不代表估計(jì)越精準(zhǔn)，當(dāng)計(jì)算出

42、的置信水平與置信區(qū)間都是來(lái)自同一組數(shù)據(jù)時(shí)，置信水平越高，置信區(qū)間的范圍也越廣，所以并不能帶來(lái)更高的精準(zhǔn)度。 換句話說(shuō)，同一組數(shù)據(jù)所帶來(lái)的估計(jì)質(zhì)量是一樣的，用者需根據(jù)用處和需要，從置信水平和置信區(qū)間之間尋找一個(gè)平衡點(diǎn)。相關(guān)閱讀投資新鮮人的N 堂課 ( 三 ) 復(fù)利投資的奧妙保羅時(shí)報(bào)系列專題2010 年 6 月 27 日星期日愛(ài)因斯坦曾說(shuō)過(guò)，復(fù)利(Compound Interest) 是“最偉大的數(shù)學(xué)發(fā)現(xiàn)”(Thegreatest mathematical discovery of all time)。復(fù)利的概念在我們的生活中其實(shí)隨處可見(jiàn)，應(yīng)用范圍之廣、影響程度之深，可能不是每個(gè)人都知道的，而也正

43、因?yàn)槿绱?，并不是每個(gè)人都能有效地利用復(fù)利來(lái)幫助自己獲利。在本篇投資新鮮人的 N堂課中，保羅時(shí)報(bào)將為各位讀者解 開(kāi)復(fù)利投資的奧妙，幫助投資人新鮮人正確地掌握復(fù)利投資。復(fù)利投資的神奇之處在于能將投資的效用施展得更加強(qiáng)大，藉由再投資既有的回報(bào)來(lái)獲得更多的收益。要發(fā)揮復(fù)利的作用需有兩個(gè)要素再投資與時(shí)間， 以下保羅時(shí)報(bào)將以數(shù)學(xué)實(shí)例來(lái)探討復(fù)利對(duì)投資的影響。各位先別緊張，保羅時(shí)報(bào)不是要在這邊教數(shù)學(xué)，也不是要考驗(yàn)讀者的計(jì)算能力， 以下的計(jì)算實(shí)例只是為了要簡(jiǎn)單體現(xiàn)復(fù)利投資的概念，并以數(shù)字比較來(lái)展現(xiàn)復(fù)利投資可造成的差異。首先， 假設(shè)保羅在銀行利率為5%時(shí)存了1 萬(wàn)元， 一年后他的本金加利息將為10500元($10

44、000 X 1.05 =$10500)。假設(shè)保羅決定不但要繼續(xù)投資這 1萬(wàn)元而且還將500 元利息也一并存入，在利率仍為5%的情況下，再隔一年，保羅的資金增加為11025元($10500X1.05= $11025)。這個(gè)例子的重點(diǎn)在于保羅決定“再投資”第一年獲得的 500 元利息($10000 X 0.05=$500)。因此第二年時(shí)，他的利息收入變成是525元(10500 X 0.05=$525),比第一年多了 25 元($525-$500=$25)?；蛟S你會(huì)覺(jué)得 25元看起來(lái)沒(méi)有什么，但想想你不需多做任何事情，這25 元就會(huì)自動(dòng)滾入你的帳戶，何樂(lè)而不為呢！而保羅若在第三年繼續(xù)存入所有的本利即11025 元，下一年的儲(chǔ)蓄將變?yōu)?1576.25 元 ($11025X1.05=$11576.25) 。其中利息收入為($11025X0.005=$551.25) 比第一年多出51.25 元 ($551