復(fù)習(xí)筆記cfa l二分類前三種是傳統(tǒng)return

AlternativeRA25AlternativeInvestmentPortfolio共同點(diǎn)：lowliquiditydiversification,duediligencecosts,difficultperformanceIssuesforprivatewealths：taxes,suitability,communication,decisionrisk,concentrated（一）Realdirect：residences,commercialrealestate,agricultureindirect：持有房地產(chǎn)公司，REITs,CREF(私募REITs),Infrastructureadvantagei.deductibletax;ii.Abilitytousemoreleverage;iii.Moredirectcontrolthanstocks;iv.Diversification(地理上);v.lowervolatilitythanstocks.disadvantage:i.alargepartoftheinvestor’sportfolio;ii.Highinformationcost;iii.成Highcommissionsiv.highoperatingandmaintenancecosts;v.Specialgeographicalrisk;vi.politicalrisk,suchastaxeschange.（二）非公開Private(1)earlystage:seed,startup,firstBuyout:middle-capbuyoutfunds,mega-capbuyoutDividendrecapitalization：成熟公司，暫時(shí)，PE投一筆錢，占（一般控股，公司過dividendPEPE所占股權(quán)比例不變。fees：Managementfee+Incentivefee:hurdlerateclaw-back（其他項(xiàng)目虧損要取把已經(jīng)拿到缺點(diǎn)：illiquid,long-term,higherriskhigherRR,limited7-10diversificationportfolio（三directcommodity和特點(diǎn)：lowcorrelationwithstocksandbonds,businesssensitivity,positivecorrelationwithnon-假設(shè)有全額，但用做投資，因此有collalreturnreturn=spotreturn+collalreturn+rollreturn lreturn：持有現(xiàn)金獲得的收益rollreturntermstructure:要做長(zhǎng)期投資，但使用流動(dòng)性較強(qiáng)的短期合約，roll貼水（backwardation：rollyield是正的，即轉(zhuǎn)倉(cāng)時(shí)越來越貴升水（contango）:rollyield（四）HedgeEquitymarketneutral：long–short★Convertiblearbitrage：convertiblebonds,warrantsorconvertiblepreferredstock：一般普通股被高估，可轉(zhuǎn)換股被低估?？梢浴Distressed★Mergerarbitrageordealarbitragetarget漲，acquirer(并購(gòu)方)Hedgedequityglobalmacroemerging場(chǎng)整體。但investor（出資人）因?yàn)镕OF的diversificaton反而可能失去自己portfolio的diversification。②多次，extralayeroffees。③moreliquidity。④cashdrag（keeextracash（體現(xiàn)其他的對(duì)稱基金。⑧sufferfromstyledrift。⑨morehighcorrelationwithequityrelativevaluestrategies★event-drivenmergerorequityglobalassetshort經(jīng)驗(yàn)表明，sharp不適合Hedgefund，因?yàn)閟harpratioassumenormaldistribution,hedgedisynegativeskewnessandpositivekurtosistimedependence(higherforlongerperiods)littlepowerforhedge（五）ManagedFutures：只做的基focusonmacro，hedgefundfocusonindividual類型：systematictradingstrategies,discretionarytrading衍生品是“zero-sum”gamesnotavailabletoallinvestors，原因二市場(chǎng)中有人對(duì)沖風(fēng)險(xiǎn)；portfolio里的角色：diversification，原因：abilitytoshort（六）distressed公開流通：Hedgefundstructure，主要方法，流動(dòng)性非公開上市：PEfundstructuredistressed①publiclytradeddebtand②orphanequity③bankdebtandtradeclaims④“l(fā)endoflastresortnotes①below-investment-gradeIPS②oldequityclaimsmaybewipedoutina③dependonspecialistskillsanddeep④illiquid,negativeskewnessandpositive①long-only：high-yieldinvesting,orphanequity②distresseddebtarbitrage：longbond,short如果公司轉(zhuǎn)好，bond漲的多，equitybond優(yōu)先償還；如果公司繼續(xù)差，bond跌的少，equityequity③Privateequity：vulturefunds,④variationofactive①Eventrisk;②liquidityrisk;③Marketrisk；④Jfactorrisk（Judgefactorrisk：法律三、業(yè)績(jī)基準(zhǔn)Ben realestate：volatilitydownsidecommodityindex的兩種權(quán)重方式：根據(jù)全球產(chǎn)值，根據(jù)重要Hedgefundben ark的問題（1）popularitybias：好的ben ark吸引很多人買，導(dǎo)致好的fund權(quán)重大，導(dǎo)致upwardbias（2）survivorshipbias，upwardbias（3）stalepricebias：隔一段時(shí)間才更新一次，導(dǎo)致volatilitydownwardbias（4）backfillbiasorinclusionbias：hedgefund是自愿報(bào)告，所以表現(xiàn)好的傾向于報(bào)告，upwardbias。加入房地產(chǎn)，sharpratiodiversificationsharpratio更好加入PE，長(zhǎng)期看超過，短期看不一定比好Commodity作為單獨(dú)投資，return少，standarddeviation大，sharpratio小，沒有價(jià)值。Commodity，sharpratio得到提升。Hedgefund：長(zhǎng)期好，短期meanreturn和sharpratio比好，差于債券RiskRA26RiskRA是企業(yè)的風(fēng)險(xiǎn)管理，RA27-29是如何使用衍生品對(duì)沖投資風(fēng)險(xiǎn)。一、Risktypes+IdentifyRisk注意：1.（一）FinancialRisk（主要考點(diǎn)Marketrisk★：最大的風(fēng)險(xiǎn)。由于利率、匯率、股價(jià)、大宗商品等價(jià)格發(fā)生變化帶來的風(fēng)CreditriskLiquidityrisk注意：1.marketrisk；2.OTC，bond（公司債）creditrisk。3.手上資產(chǎn)value>0的信用風(fēng)險(xiǎn)？？？。4.房地產(chǎn)、Hedgefund、藝術(shù)品、OTCliquidityrisk。（二）NonFinancialoperationalrisksettlementrisk★：OTC產(chǎn)品、ForeignExchangesettlementmodelrisk;4.sovereignrisk;5.regulatoryrisk;6.tax,accountingandlegal/contract（三）other1.ESG(Environmental,social,ernance)risk;2.performancenettingrisk;3.settlementnettingMeasuring（一）marketstandarddeviation:price,surplusfirst/second-orderRisk)（1）（2）（3）（4）切分位點(diǎn)。1.37%/1.37VARatthe5%probability1001.37萬的概率5%95%1.37以內(nèi)。再如：考試會(huì)讓解釋：The1-day,1%VARofaportfoliois$2.6million:Thismeantthatthereisa1%chancetheportfoliowilllosemorethan$2.6millioninoneday.ORthereisa99%chancetheportfoliowillloselessthan$2.6millioninoneday.n（1）percentage（3）timeperiod（4）同樣的分布，1%VAR5%的大（x軸負(fù)值，左邊比右邊絕對(duì)值大（5）0，題目可能不給出；長(zhǎng)期一般（6）standarddeviationvariance（7）VARn

(假設(shè)波動(dòng)之間沒有關(guān)系)n=12n=52，日=252分析法（yticalMethod）優(yōu)缺點(diǎn)，考試中可能描述一個(gè)場(chǎng)景，要求寫出優(yōu)缺點(diǎn)。優(yōu)點(diǎn)：①easytocalculateandeasilytounderstood；②allowsmodelingthecorrelationsofrisks；③canberepliedtoshorterorlongertimeperiods.缺點(diǎn)①assumesnormaldistribution;②manyassetsexhibitleptokurtosis;③difficulttoestimatestandarddeviationinverylargeHistoricalVARMethod:根據(jù)歷史數(shù)據(jù)的分布計(jì)算。優(yōu)點(diǎn)：①easytocalculateandeasilytounderstood；②doesnotassumeareturndistribution；③canbeappliedtodifferenttimeperiodsaccordingtoindustrycustom.缺點(diǎn)：①assumethepatternofhistoricalreturnswillrepeatinthefuture.MonteCarloVARMethod：計(jì)算方法和yticalMethod一樣（路徑多了就是正態(tài)分布。優(yōu)點(diǎn)：①incorporateanyassumptionsregardingreturnpatterns,correlations,andotherfactorsthe ystbelievesarerelevant.缺點(diǎn)：theoutputisonlyasgoodastheinputassumptions. etheindustrystandard；②不同風(fēng)險(xiǎn)整合成一個(gè)aggregatesallriskintoonesingle,easytounderstandnumber；③用作資本分配canbeusedincapital缺點(diǎn)：①Somemetheds（MonteCarlo）aredifficultandexpensive；②differentcomputationmethodscangeneratedifferentestimatesofVAR；③Itcangenerateafalsesenseofsecurity；④★★★Itisone-sided,focusingonthelefttailinthereturndistribution,andignoresanyupsidepotential.Scenarioysis★：缺點(diǎn)inabilitytoaccuraymeasureby-productsofmajorfactormovements（factorbu-products）①stylizedscenarios：定義9種情況，theystchangeoneormoreriskfactorstomeasuretheeffectontheportfolio;②actualextremeevents：the ystmeasurestheimpactofmajorpasteventsontheportfolio③hypotheticalevents：neverhappenbutmightmodels（08①factorpushysis：將情況不斷變②umlossoptimization：求極③worst-casescenario：情④缺點(diǎn)：i.incorrectinputsandassumptions;ii.userbias;iii.somefactorshavedifferingorevenoppositeeffectsonvalues（二）bond兩個(gè)維度：probabilityofevent(ProbabilityofDefaultamountofloss(LossGiven考試重點(diǎn)：OTC產(chǎn)品forward,option,andswaps，所的衍生品creditvalue0creditriskoption都是long方creditrisk，金額是optionpremium。Europeanoptioncreditrisk只creditrisk。currentcreditrisk（jumptodefaultrisk）Potentialcreditriskswapcreditriskcurrencyswap，中間和到期之間最大三、管理風(fēng)險(xiǎn)ManageRiskManageMarket（1）RiskbudgetManageCreditRisk：limitingexposure,markingtomarket,collal,paymentnetting,closeoutnetting(某一方bankruptcy時(shí))minimumcreditstandardsSPVenhancedderivatives四、衡量風(fēng)險(xiǎn)調(diào)整后的表現(xiàn)：MeasuringRisk-adjusted

RiskManagementApplicationsofforwardorfuturedurationbeta，forwardorfuturepriceportfolio，portfolioforwardorfutureRA27RiskManagementofForwardandFutures一、用遠(yuǎn)期或調(diào)整手中的（一）

betacontracts(TP PfHedgeisrarelybasisrisk：用合約hedge現(xiàn)貨，兩種不是一種主體原因①分子與分母不是基于同一主體。thenumeratoranddenominatorarenotbasedonthesameitem。②beta和久期不能反應(yīng)市值變化。thebetasanddurationsusedinthehedgecalculationdonotreflecttheactualsubsequentmarketvaluechangesoftheportfolioorcontract.③thehedgeresultsaremeasuredpriortocontractexpirationand/orthehedgeisclosedpriortocontractexpiration.④四舍五入。thenumberofcontractsis⑤定價(jià)。thefutureandspotpricearenotfairly（二）SyntheticPositions：要用risk-rate計(jì)syntheticequity=longrisk-asset+stockindexsyntheticrisk-asset=longstock-stockindexfutures：手里有的合約和hedge所用標(biāo)的一致。仍然使用調(diào)整beta的。如果題中描述是syntheticcash，期限更明確，用risk-rate。如果僅調(diào)整beta，沒有考慮期限，沒給risk-rate，不用考慮risk-rate。（三）equitytobondsbeta0durationbondstoequityduration0betabetaequitybeta0（四）preinvestingfutures模擬一段時(shí)間之后手中的頭寸（一）transactionexposureeconomicexposure：匯率變動(dòng)帶來的變化對(duì)經(jīng)濟(jì)的影translationexposure：子公司財(cái)報(bào)處理時(shí)的風(fēng)（二）hedginghedgehedge。precisevalueofequityposition①hedgingaminimumfuturevaluebelowwhichtheyfeeltheportfoliowillnot②hedgingtheestimated③hedgingtheinitial（三）futuresorforwards？bondandequity用interestpaymentsorreceiptRA28RiskManagementofOptionOption主要掌握三個(gè)內(nèi)容：構(gòu)建策略及背后的意圖、max&min、如果畫圖，畫草圖即可；shortoption都是為了賺費(fèi)，但有風(fēng)險(xiǎn)；longoption會(huì)帶cost一、CoveredcallandProtective（一）Coveredcall，會(huì)漲到call的執(zhí)行價(jià)格X。如果價(jià)格沒有漲到X，賺取漲的價(jià)格和calloption的premium。如果價(jià)格下降，則判斷錯(cuò)誤會(huì)導(dǎo)致?lián)p失。profit=ST–S0+c–max(0,ST–ST>X時(shí)，profitST–S0+cSTXX+cST<X時(shí)，profitSTS0+（二）Protective基本思想：買，longput。已經(jīng)買了，看好繼續(xù)上漲，但害怕下跌。如果繼續(xù)漲，則不執(zhí)行Put，損失putpremium；如果下跌超過X，能夠維持已經(jīng)在X獲得的。profitSTS0pmax(0,XST)ST>X時(shí)，profit=ST–S0-pST<X時(shí)，profitSTS0pXSTXS0-二、OptionSpread（一）BullBullSpreadusing（1）基本思想：牛市看漲，LonglowX的call，能賺錢但花了費(fèi)，所以shorthigh的call，賺費(fèi)（2）profitcLmax(0,STXLcHmax(0,STXH)ST<XL時(shí)，profitcL+cH<0XL<ST<XH時(shí)，profitcLST–XLcXH<ST時(shí)，profitcLST–XL+cHSTXHcLXLcH+XBullSpreadusing（1）基本思想：牛市看漲，賺費(fèi)，shorthighXput賺費(fèi)；但萬一跌了會(huì)賠錢，所Longput，降低風(fēng)險(xiǎn)。（2）profit（二）BearBearSpreadusing（1）基本思想：熊市看跌，shortlowX的call，賺費(fèi)，但害怕上漲，所以longhigh（2）profitBearSpreadusing（1）基本思想：熊市看跌，longhighXput賺錢，但花了費(fèi)；所以要short一個(gè)low（2）profit=-pH+max(0,XH-ST)+pH-max(0,XL-（三）Butterfly都是賣middle，買一高一低兩份。蝴蝶尖向上（maxprofit）是longButterflySpreadwith（1）基本思想：shortmiddleXcall，longcalllowXhigh（2）profit=2cM-2max(0,ST–XM)-cL+max(0,ST–XL)-cH+max(0,ST–ButterflySpreadwith基本思想：shortmiddleXput，longputlowXhighprofit=2pM-2max(0,XM-ST)-pL+max(0,XL-ST)-pH+max(0,XH-（四基本思想（1）longstraddle判斷可能大漲或（betonvolatility，同時(shí)long一個(gè)call,一個(gè)put，執(zhí)行價(jià)格都一樣，無論漲跌都賺錢（2）shortstraddle判斷一段時(shí)間內(nèi)股價(jià)不變，賺費(fèi)。但風(fēng)險(xiǎn)很大，如果股價(jià)有較大變動(dòng)，虧損很大。profit=-c+max(0,ST–X)-p+max(0,X-（五）Collar（和Bullspread，但Collar持有，應(yīng)用場(chǎng)景和目的不同基本思想：可以看做（1）coveredcalllongput（2）pro