復(fù)習(xí)筆記cfa l3b3equity2表明股市有正收益比債券高

EquityPortfolioAlternativeRA24EquityPortfolio一、在組合中的地位EquitiesinaEquityisagoodinflationhedge，但有兩個問題（1）corporate eandcapitalgaintaxratesarenotindexedtoinflation（2）是否有competitivepositionhistoricalrecord表明有正的真實收益，比債券高Rporfolio 1.passive、active、semi-activeRporfolio P2.（1）P

IR

(RRpassivenn（1）計算，相對于每只買1股， n

（2）n（3）biasvalue-weighted=marketcapitalization-weightedfloat-weighted：只算流動部分，publicavailabletoinvestors;（2）biasstock（3weighted（1）缺點：①rebalancedperiodically，成本高；②biasedtowardssmallcompanies；③notabletofindliquidity.相對于ETFindexmutualfundsare(1)lessfrequentlytraded;(2)haveshareholderrecordkeecosts;(3)paylowerlicensefees;(4)lesstaxefficient;(5)highercostsforthelong-terminvestor（6）lessderivativesseparateorpooledequityequitytotalreturnC構(gòu)建指數(shù)組合indexingafullreplication（1）適用于①smallerindices(lessthan1000stocks);②indexstocksareliquid（能夠按照公允價格；③managerhasmorefundstoinvest.（2）優(yōu)點①lowtrackingrisk②onlytoberebalancedwhenindexstockschangeorpaydividends優(yōu)：nothavetopurchasealltheoptimization優(yōu)點：①factormodelaccountsforcovariancesbetweenrisk缺點：①risksensitivityarebasedonhistoryandmaychange；②misleading③frequentoptimizationtrackerror比stratifiedsampling低activeinvestment（一）valueinvestmentsafermean需要認(rèn)清原因：realizethattheremaybeagoodreasonwhythestockispricedsocheaply★substyle：highdividendyield;lowP/EorP/B;contrarian(反向投資growthhighexpectedearningrisk：earninggrowthdonotmaterializeandtheprice-multiplesubstyle：consistentgrowth;earningmomentum(lessMarket-orientedinvest(=blendstyle=coresubstyle：①market-orientedwithavaluebias;②market-orientedwithagrowth③growthatareasonableprice;④styleMarketCapitalization-Based（二）StyleReturn-Basedstyle回歸所用indices中的每個類型應(yīng)該①mutuallyexclusive（互斥）,②exhaustive（遍歷）③representdistinct,uncorrelatedsourceofrisk（沒有相同風(fēng)險各敏感因和應(yīng)該為100%，殘差項表示個股選擇能力（3）R2=styleHolding-based=composition-basedLowprice-HighdividendHighprice-LowdividendForecastEPSGrowthLowerthangrowth-EarningsIndustrysectorFinanceandUtilitiesReturnCharacterizesentireportfolio 無效（使用Modelrisk(errorinindicesintheHoldingCharacterizeseach(2)lookingat(1)需要的信(2)性requirespecificationofstyleBoxstyleSociallyresponsibleinvestingNegativeScreen：污染(能源)、煙酒、PositiveScreen：慈善、smallcap（三）Long-shortorlong-onlyLong-onlyalpha，long-shortLong-only非對稱的，Long-short是對稱的（權(quán)重-Long-short包含pairtrade(兩個sensitivity完全一樣，有一個相對低估，一個相對高估，short相對高估，long相對低估)Long-shortpotentialmagnifiedbyleveragelong的部分也可以long-onlyshort的錢來投資short的reasonsforinefficientpricingontheshortsideofequitytrades做空有、：theimpedimentstoshort管理層推高股價：managementismorelikelytopromotethefirm’s分析師：ystsaremorelikelytoissue 分析師壓力：thepressureystsfacefrom5.投資策略之Equitizingmarketneutrallong-short將非組合futuresLong-short基礎(chǔ)上加入股指ETFsequitylongpositionshortcashEquitized之后，benark是futurecontract或ETF標(biāo)的的指 ark是risk-6.long-short策略中的一個特例：shortextension常見策略120/20先用100構(gòu)建組合借入價值20的差的賣（short，再用賣掉的錢（20）買入（long）認(rèn)為好的；canbeimplementedwithoutaderivativemoreefficientandcoordinated缺點：①hightransactioncost；②addedvaluecomesfrommanagersabilitytoidentifyunder-andover-valuedstocks（四）Selling替代策略substitutionstrategy:anexistingsecurityisrecedbyanothervaluation-basedP/BP/Edown-from-costselldiscipline20%up-from-costselldisciplinetargetpriceselldisciplinevalueinvestorgrowthinvestorturnover（五）semi-activeorenhancedindexingequity兩種：stock-based,derivative-缺陷：獲得alpha很難，成功的獲得alpha的方被，以后未必能獲得（一）Information

IB，基于衍生品時次數(shù)少，需要更高的IC才能獲得更高的IR（二）ActivereturnactiveriskdiversificationCore-salite①方法Core：passiveand/orenhancedindexing——控制風(fēng)險；Salite:active②缺陷：lessoptimalallocationtomanagersmanagerscorrelation②activereturn：平均；activerisk：標(biāo)準(zhǔn)差平方平completenessfundapproachexposure進行分配，最終各基金經(jīng)理加在一起的riskexposuresimilartobenark①好處：riskminimizedactive②缺點：i.rebalance成本增加ii.activereturnalphaandbeta①方法：gainalongsystematicriskexposurethroughalow-cost；addinganalphathroughalong-shortstrategy②優(yōu)點：obtainthebetadesiredwhilebroadeningtheopportunitysetfor③缺點：i.maybedifficultorcostlytoimplementinsomemarkets;ii.somelong-shortstrategiesarenottrulymarketneutral;iii.long-shortstrategymaybeoff-limitstosomeinvestorsactiveperformance分解成兩部分：thetrueandthemisfitThetrue=manager’sactualreturn–manager’snormalben Themisfit=manager’snormalbenark–investor’sben Manager’stotalactiverisk2=trueactiverisk2+misfitactiveTrueIRtrueactivereturntrueactiverisk（true3.Selectinginvestment（1）：①advalorem(basedonAUM);②basedonperformance;③有時有feecaps,andhighwatermarksRporfolio Rporfolio informationratio=a