l2-集訓(xùn)營直播組合

科目集訓(xùn)營123456SharpInformationTotalrisk-adjustedvalueRelativerisk-adjustedvalueUnaffectedbytheadditionofcashuseofAffectedbytheadditionofcashorofAffectedbytheaggressiveactiveUnaffectedbytheaggressiveactiveTworatioswouldbeequalifthebenarkisrisk-free78CaseThefollowinginformationrelatestoQuestions1—Iverson,asenioreconomic ystofGoldenInvestment,isassignedtoestablishanindependentdepartmentofeconomic ysis.Afterseveralroundsofscreening,hedecidestointerviewwithSophia.IversonasksSophiato yzecurrentglobaleconomicconditionsandtodiscoverinvestmentopportunitiesinthefuture.Sophiarelies:“AccordingtothestatementofChristineLagarde,thechairmanofIMF,Ithinkthattheglobaleconomyisintheshadowoffinancialcrisisandmostdevelo countrieswilladoptaneconomicstimuluspolicy.Hence,Iexpectthatinflationwillincreasewhilethegrowthrateofeconomywillbestagnantinfuture.”9IversonacknowledgesthatSophiahasexcellentexpertiseintheeconomicfieldbuthethinksthatanunderstandingof ysistheoryisvitallyimportantintheeraofbigdata.HewantstoexamineSophia’sunderstandingofArbitagepricingtheory(APT)bythreestatements.Statement1：ThereturntoassetcanbedescribedbythefactorStatement3：Thereareplentyofassetsavailable,soinvestorscanformwell-portfoliosthatunwishedriskis yIversonstatesthatshehasprovedherinvestmentexperitise.Butitdoesnotmeanthatcancorrectlyexplaintheresults tativemodelgivenintheThen,hegivesresultofafundamentalmodelthatisbasedonanindexofvalueBecauseofbusinessexpansion,thedepartmentof ysisneedsmorestaffs.SophiaisassignedtomaketheinterviewwithpotentialLanm,astudentofphilosophy,wantstohavesomeexperienceinGoldenInvestment.ButSophiadoubtshisprofessionalknowledgeinthefinancialfield.Andpreparestocheckhisknowledgebyquiz.Sophiamakesastatementasfollow.Statement4：Becausetheobjectiveofevolutionisanacclimation,butthecurrentconditionsaresignificantlydifferentfromthepast,ourbehaviorscannotbeoptimalreactionstocurrentevents.Thus,Ineed gorithmtoreplacetraderforthesakeofprofit.Oneyearlater,Lanmwantstotransferfromtheinvestment ysistotheactivemanagementbecausetheinvestmentrestrictionofactivemanagementissimilarwithhedgefund.John,theleaderofthedepartmentofactivemanagement,hasthesameworriesaboutLanm’sprofessionalknowledge.HepresentsnecessaryinformationinExhibit2andproposestwoBenActiveQuestion1：WhatistheinformationratioofportfolioQuestion2：WhycannotthenewlyhiredmanagerwhoisanexcellentinvestorinpensionfundkeepthesameAccordingtotheSophia’seconomicjudgment,whichofthefollowinginvestmentswouldbethebestchoice?Long-termcorporatebondC.Risk-freeWhichofthefollowingstatementsisnotanunderlyingassumptionofStatementStatementStatementrisk，而不是unwishedrisk。如果投資者的unwishedrisk是系統(tǒng)性風(fēng)險，那么AccordingtoExhibit1,whichvariablemostlikelyindicatesfactorMarketShare解析：根據(jù)表1可以看出因子3的標(biāo)準(zhǔn)化是-0.3也就意味著低于均值0.3個標(biāo)準(zhǔn)差帶來了3.22%的回報。對于價值型而言，P/B指標(biāo)越大表明資產(chǎn)價格可能被高估，因此一個負(fù)的標(biāo)準(zhǔn)化說明P/B指標(biāo)低于平均值，因此最可 因此EPS應(yīng)該與回報正相關(guān)，所以C錯誤Accordingtostatement4,whichofthefollowingsolutionsistheStatisticalarbitrageB.ImplementationshortfallC.MarketparticipationInordertoreplyQuestion1,Lanm’sanswerisclosestActivereturn=12%-9.5%=2.5%Activerisk=4.7%因此InformationWhichofthefollowingstatementsisleastlikelytoexplainQuestionA.HisperformanceisduetoB.Hisinformationcoefficientisbasedonpreviousinvestmentfieldandnowheobligatestheunfamiliarinvestmentfield.C.Thedepartmentofactivemanagementhasmoreconstraintsonhisportfolioandhencehisactiveportfoliohasasmallertransfercoefficient. CaseThefollowinginformationrelatestoQuestions7—HuiCheung,aportfoliomanager,asksherassistant,RonaldLam,toreviewthemacroeconomicmodelcurrentlyinuseandtoconsiderafundamentalfactormodel ThecurrentmacroeconomicfactormodelhasfourRiaibi1FGDPbi2FCAPbi3FCONbi4

FGDP,

representunanticipatedchangesinfourfactors:grossdomesticmanufacturingcapacityutilization,consumerspending,andtherateofunemployment,LamassumestheerrortermisequaltozerowhenusingthisLamestimatesthecurrentmodelusinghistoricalmonthlyreturnsforthreeportfoliosforthemostrecentfiveyears.TheinputsusedinandestimatesderivedfromthemacroeconomicfactormodelarepresentedinExhibit1.TheUSTreasurybondrateof2.5%isusedasaproxyfortherisk-freerateofLamusesthemacroeconomicmodeltocalculatethetrackingerrorandthemeanactivereturnforportfolio.HepresentsthesestatisticsinExhibitLamconsidersafundamentalfactormodelwithfourRiajbj1FLIQbj2FLEVbj3FEGRbj4FLIQ,FLEV,

representliquidity,financialleverage,earningsgrowth,andthevariabilityofrevenues,respectively.LamandCheungdiscusssimilaritiesanddifferencesbetweenmacroeconomicfactormodelsfundamentalfactormodels,andLamoffersacomparisonofthosemodelstostatisticalfactorLammakesthefollowingStatement1Thefactorsinfundamentalfactormodelsarebasedonattributesofstocksorcompanies,whereasthefactorsinmacroeconomicfactormodelsarebasedonsurprisesineconomicvariables.Statement2ThefactorsensitivitiesaregenerallydeterminedfirstinfundamentalfactorwhereasthefactorsensitivitiesareestimatedlastinmacroeconomicfactorLamalso lsCheung:Anadvantageofstatisticalfactormodelsisthattheymakeminimalassumptions,andtherefore,statisticalfactormodelestimationlendsitselftoeasierinterpretationthanmacroeconomicandfundamentalfactormodels. lsCheungthatmultifactormodelscanbeusefulinactiveportfoliomanagement,butnotinpassivemanagement.Cheungdisagrees;she lsLamthatmultifactormodelscanbeusefulinbothactiveandpassivemanagement.BasedontheinformationinExhibit1,theexpectedreturnforPortfolio1isclosestto:AisWhenusingamacroeconomicfactor,theexpectedreturnistheintercept(whenallmodelfactorstakeonavalueofzero).TheinterceptcoefficientforPortfolio1inExhibit1is2.58.BasedonExhibit1,theactiveriskforPortfolio2isexplainedbysurprisesconsumerallfourmodelCisActiverisk,alsoreferredtoastrackingriskortrackingerror,isthesamplestandarddeviationofthetimeseriesofactivereturns,wheretheactivereturnsconsistofthedifferencesbetweentheportfolioreturnandtheben arkreturn.WhereasGDPistheonlyportfolionon-zerosensitivityforPortfolio2,thecontributiontotheportfolio’sactivereturnisthesumofthedifferencesbetweentheportfolio’sandtheben ark’ssensitivitiesmultipliedbythefactorreturn.BecauseallfourofthefactorsensitivitiesofPortfolio2aredifferentfromthefactorsensitivitiesofthe ark,allfourfactorscontributetotheportfolio’sactivereturnand,toitsactiveBasedonExhibit2,whichportfoliohasthebestinformationPortfolioPortfolioPortfolioAiscorrect.Portfolio1hasthehighestinformationratio,1.0,andthushasthebestmeanactivereturnperunitofactiveThisinformationratioexceedsthatofPortfolio2(–0.38)orPortfolio3WhichofLam'sstatementsregardingmacroeconomicfactormodelsandfundamentalfactormodelsiscorrect?OnlyStatementOnlyStatementBothStatements1andCisInamacroeconomicfactormodel,thefactorsaresurprisesinmacroeconomicvariablesthatsignificantlyexplainreturns.Factorsensitivitiesaregenerallyspecifiedfirstinfundamentalfactormodels,whereasfactorsensitivitiesareestimatedlastinmacroeconomicfactormodels.IsLam'scommentregardingstatisticalfactormodelsNo,becauseheisincorrectwithrespecttointerpretationoftheNo,becauseheisincorrectwithrespecttotheBisAnadvantageofstatisticalfactormodelsisthattheymakeminimalHowever,theinterpretationofstatisticalfactorsisgenerallymoredifficultthantheinterpretationofmacroeconomicandfundamentalfactormodels.Whosestatementregardingtheuseofmultifactormodelsinactiveandpassiveportfoliomanagementiscorrect?LamCheungBothLamandBisystscanusemultifactormodelsinpassivelymanagedportfoliostoreplicateanindexfund’sfactorexposures.CaseThefollowinginformationrelatestoQuestions13—JamesFrazeeischiefinvestmentofficeratH&FCapitalInvestors.Frazeehiresathird-partyadvisertodevelopacustomben arkforthreeactivelymanagedbalancedfundsheoversees:FundX,FundY,andFundZ.(Balancedfundsarefundsinvestedinequitiesandbonds.)Theben arkneedstobecomposedof60%globalequitiesand40%globalbonds.Thethird-partyadvisersubmitstheproposed arktoFrazee,whorejectstheben arkbasedonthefollowingconcerns:Concern1:Manysecuritieshewantstopurchasearenotincludedintheben Concern2:Onepositionintheben arkportfoliowillbesomewhatcostlytoreplicate.Concern3:Theben arkportfolioisafloat-adjusted,capitalization-weightedAfterthethird-partyadvisermakesadjustmentstothebenarktoalleviateFrazee'sconcerns,Frazeeacceptsthebenarkportfolio.HethenaskshisresearchstafftodevelopriskandexpectedreturnforecastsforFundsX,Y,andZaswellasforthebenark.TheforecastsarepresentedinExhibit1.Frazeedecidestoaddafourthofferingtohisgroupoffunds,FundW,whichwillusethesameben arkasinExhibit1.FrazeeestimatesFundW'sinformationratiotobe0.35.Heisconsideringaddingthefollowingconstrainttohisportfolioconstructionmodel:FundWwouldnowhave umover-andunderweightconstraintsof7%onsingle-countrypositions.FrazeeconductsasearchtohireamanagerfortheglobalequityportionofFundWandidentifiesthreecandidates.HeasksthecandidatestoprepareriskandreturnforecastsrelativetoFundW'sben arkbasedontheirinvestmentstrategy,withtheonlyconstraintbeingnoshortselling.Eachcandidatedevelopsindependentannualforecastswithactivereturnprojectionsthatareuncorrelatedandconstructsaportfoliomadeupofstocksthatarediversebothgeographicallyandacrosseconomicsectors.Selecteddataforthethreecandidates’portfoliosarepresentedinExhibit2.FrazeeasksCandidateCtore-evaluateitsportfoliodatagiventhefollowingchanges:Change1:Fixthenumberofsecuritiesto50.Change2:RebalanceonasemiannualChange3: umover-orunderweightconstraintsonsectorFrazeeasksCandidateCtore-evaluateitsportfoliodatagiventhefollowingChange1:FixthenumberofsecuritiestoChange2:RebalanceonasemiannualChange3: umover-orunderweightconstraintsonsectorWhichofFrazee'sconcernsbestjustifieshisdecisiontorejecttheproposed ConcernConcernConcernAisBecausetheben arkdoesnotcontainmanyassetsthatFrazeewantstoinvestin,theben arkmaynotberepresentativeofhisinvestmentapproach.Concern2,asstated,islessimportantbecauseitdoesnotimplythatthecostofreplicatingthe arkisaseriousconcern.Finally,Concern3actuallystatesagenerallypositivefeatureoftheben BasedonExhibit1,theexpectedactivereturnfromassetallocationforFundXBisActivereturnfromassetallocationisderivedfromdifferencesbetweenthebenarkweightandtheportfolioweightacrossassetclasses.ForFundX,theexpectedactivereturnfromassetallocationiscalculatedas:WhereΔwjisthedifferenceintheactiveportfolioandtheben arkassetweights,RB,eisthe ark’sreturnfromglobalequities,andRB,bistheben ark’sreturnfromglobalBecauseFundXhasthesameassetweightsasthebenarkacrossthetwoassetclasses(60%globalequities,40%globalbonds),theexpectedactivereturnfromassetallocationiszero.BasedonExhibit1,whichfundisexpectedtoproducethegreatestconsistencyofactivereturn?FundFundFundCiscorrect.TheIRmeasurestheconsistencyofactivereturn.TheIRiscalculatedthethreefundsasFundZhasthelargestIRandthusisexpectedtoproducethegreatestconsistencyofactivereturn.BasedonExhibit1,combiningFundWwithafundthatreplicatesthe arkwouldproduceaSharperatioclosestto:BisGiventheIRforFundWof0.35andtheben ark’sSRof0.44,thecombinationoftheben arkportfolioandFundWwouldproduceanSRof0.55,calculatedasIfFrazeeaddedtheassumptionheisconsideringinFundW'sportfolioconstruction,itwouldmostlikelyresultin:adecreaseintheoptimalaggressivenessoftheactivetheinformation inginvarianttothelevelofactiveanincreaseinthetransferofactivereturnforecastsintoactiveAisThenewassumptionaddsconstraintstoFundW.TheIRforaconstrainedportfoliogenerallydecreaseswiththeaggressivenessofthestrategybecauseportfolioconstraintsreducethetransferofactiveretu