CFA三级基础段：交易、绩效评估和经理选择（打印版）.docx

.Trading,PerformanceEvaluation,and)ManagerSelection/.CFAn井J条高军人Jcy映ShX向m加悔士乞StudySession1-2StudySession3TopicinCFALevelIIIContentETHICS&PROFESSIONALSTANDARDS(1)&(2)BEHAVIORALFINANCEStudySession4StudySession5StudySession6StudySession78StudySession9-10StudySession11StudySession1213StudySession14StudySeSSiOn15StudySession1®CAPITALMARKETEXPECTATIONSASSETALLOCATIONANDRELATEDDECISIONSINPORTFOLIOMANAGEMENTDERIVATIVESANDCURRENCYMANAGEMENTFIXED-INCOMEPORTFOUOMANAGEMEM(1)&(2)EQUITYPORTFOUOMANAGEMENT&(2)ALTERNATIVEINVESTMEMSFORPORTFOUOMANAGEMENTPRIVATEWEALTHMANAGEMENT&(2)PortfouomanagementforinstitutionalinvestorsTRADING,PERFORMANCEEVALUATION,ANDMANAGERSELECTIONcasesinPortfouomanagementandriskmanagement2-207 Framework专业因断nI1ISS15:Trading,PerformanceEvaluation,andManagerSelectionTrading,PerformanceEvaluation,andManagerSeIectionR34TradeStrategyandExecutionR35PortfolioPerformanceEvaluationR36InvestmentManagerSeIectionM亚金斯!SUTradeStrategyandExecution4-207专业国新muFramework1.MotivationstoTrade2.TradingStrategiesandStrategySelectionTradeStrategyInputsReferencePricesTradeStrategies3.TradeExecution(StrategyImplementation)TradeImplementationChoicesAlgorithmicTradingComparisonOfMarkets4.ImplementationShortfall5.EvaIuatingTradeExecution6.TradeGovernance5-207M业Hfjmn1.MotivationstoTradePortfoliomanagersneedtotradeIheirportfolioholdingstoensurealnmentwiththefund,sunderlyinginvestmentstrategyandobjectives.ProfitseekingRiskmanagement/hedgingneedsCashflowneedsCorporateactionsinde×reconstitutions/margincalls1.1ProfitseekingProfitseekingTheprimaryaddedvaluethatmostactivemanagersseektoprovideisriskadiustedOUtDerformarKerelativetotheirbenchmark.Tradeurgency&alphadecayTradeurgencyreferstohowquickly(aggressively)orslowly(patiently)theorderisexecutedoverthetradingtimehorizon.AlphadecayreferstotheerosionOrdeteriorationinshort-termalphaonceaninvestmentdecisionismade.ManagersfolIowingashort-termalpha-drivenstrategywilltradewithgreaterurgencytoreaIizeaIphabeforeitdissipates(decays).Managersfollowingalonger-termstrategywilltradewithlessurgencyifalphadecayisexpectedtobeslower.VaIuemanager(long-termprofitseeking)7'2°7坊业&新moi1.2Riskmanagement/hedgingneedsRiskmanagement/hedgingneedsAsthemarketandtheriskenvironmentchange,portfoliosneedtobetradedorrebalancedtoremainattargetedrisklevelsorriskexposures.Durationmatch,Betamanagement.PortfoliomanagersmayalsotradetohedgeriskswhentheydoNOThaveaninvestmentviewonthespecificriskinquestion.Currencyhedging,CDSs,optionstrategies.M业色断n111.3CashflowneedsCashflowneedsThistypeoftradingisoftenclientdriven,arisingfromfundinflows(orders,mandates)andoutflows(redemptions,liquidations).CashflowneedsmayinvolvehighorIowtradeurgencyhightradeurgency:collateral/margincallslowtradeurgency:longer-termclientasseta!locationchangesTominimizeCaShdrdRonaDortfoliO,fundinflowsmaybeequitizedusingfuturesorETFsuntilthenextportfoliorebalanceorpositionsintheunderlyingcanbetraded.EquitizationreferstoastrategyoftemporariIyinvestingcashusingfuturesorETFstogainthedesiredRQlIitVRXPoSUrebeforeinvestingintheunderlyingsecuritieslongerterm.EquitizationmayberequiredIflargeinflowsintoaportfolioarehinderedbvlackOfliQUiditVintheunderlyingsecurities.1.4OthersCorporateactions/indexreconstitutions/margincallsTradingmaybeIiquiditydrivenresultingfromclientactivityoride×reconstitutions.TradingmayalsobenecessitatedbysuchactivityasCorDOQteactionsandODeQtiOnalneeds.Dividend/couponreinvestment,distributions,margincalIszandexpirationOfderivativecontractsForindextrackingportfolios,suchindexchan&esasadditions,deletions,andConStitUentWeiRhtChangeSaregenerallytradedinthemanager'sportfoliotoreflectbenchmarkexposure.MarginOrcollateralcallsmavdrivehimhlevelsoftradeUrRenCTgivenaneedfortheimmediatesaleofportfolioholdings.Inthesecases,managerstypicalIytradeusingend-of-dayclosingpricesbecausethesepricesareusedforfundandbenchmarkvaluation.1°"°7与业.efi.18102.TradingStrategiesandStrategySeIectionTradeStrategyInputsOrderCharacteristicsSecurityCharacteristicsMaFketConditionsUser-BasedConsiderations:TradingCostRiskAversionMarketImpactandExecutionRiskReferencePricesPre-TradeBenchmarksIntradayBenchmarksPost-TradeBenchmarksPriceTargetBenchmarksTradeStrategiesShort-TermAlphaTradeLong-TermAlphaTradeRiskRebaIanceTradeClientRedemptionTradeNewMandateTrade11-207M业&断HBfI2.1TradeStrategyInputsOrderCharacteristicsSide:thesideortradedirectionoftheorderforexample,buyorsell.Ifpricesarerising,executingabuyordermaytakelongerthanexecutingasellorder,giventhepresenceofmorebuyers(Iiquiditydemanders)thansellers(IiquiditysupplierslinthemarketTradingaIistthatconsistsofonlybuysOron