CFA三级知识点必备：Asset Allocation and Related Decisions in Portfolio Management（投资组合管理中的资产配置及相关决策）.docx

讲师：JCY0% 8前城8 8叱 PYOf铀i。MtiAssetAllocationandRelatedDecisionsinPortfolioManagement(1)CFA三级培训项目1.AssetAllocationPrinciples行业创新增值EconomicBalanceSheet>EconomicbalancesheetConventional/FinancialassetsandliabilitiesAdditional/Extendedassetsandliabilities/RelevantinmakingassetallocationdecisionsbutnotappearonconventionalbalancesheetsAssetsLiabilitiesandNetworthFinancialassetsFinancialliabilitiesDomesticequityShort-termborrowingExtendedassetsExtendedliabilitiesPVofexpectedfuturecontributionsPVofexpectedfuturesupportNetvorthEconomicnetworthApproachestoAssetAllocation>Liability-relative:DistinctionsbetweenliabilitiesforaninstitutionalinvestorandgoalsforanindividualinvestorLiabilitiesofinstitutionalinvestorsareIegalobligationsOrdebts,whereasgoals,suchasmeetinglifestyleoraspirationalobjectives,arenot;Whereasinstitutionalliabilities,suchaslifeinsurerobligationsorpensionbenefitobligations,areUniforminnature(allofasingletype),anindividual'sgoalsmaybemanyandvaried;Liabilitiesofinstitutionalinvestorsofagiventype(e.g.,thepensionbenefitsowedtoretirees)areoftennumerousandsozthroughaveraging,mayOftenbeforecastWithconfidence.Incontrast,individualgoalsarenotSUbjeCttotheIaWOflargenumbersa<daveraging;AssetClassCriteriaforspecifyingassetclassesforthepurposeofassetallocationAssetswithinanassetclassshouldberelativelyhomogeneous;Assetclassesshouldbemutuallyexclusive;Assetclassesshouldbediversifying;TheassetclassesasagroupshouldmakeupaPrePondaSSnCCOfWOrldinvestablewealth;Assetclassesselectedforinvestmentshouldhavethecapacitytoabsorbameamgfel-FpFt+o-4RvestF-pFtfk.RiskFactorsFactor-basedassetallocationModelingusingassetclassesastheunitofanalysistendstoObSCUretheportfolio'sSenSitiVitytoOVerlaPPingriskfactors;TheprocessofFactor-basedassetallocationSBeEfykSk4a<GFSandthedesiredexposuretoeachfactor;DescribeassetclasseswithrespecttotheirsensitivitiestoeachOfthefactors;isolateexposuretotheriskfactor;Map-bek-achoiceofriskexposuresinfactorspacetoassetclassspaceforimplementation;2.SAAandRebalancing行业创新增值Strategicassetallocation>Strategicassetallocation/Policyportfolioanassetallocationthatisexpectedtobeeffectiveia日ChiRVinganassetowner'sinvestmentobjectives,givenhisorherinvestmentConStQimSandrisktolerance,asdocumentedintheinvestmentpolicystatementAOptimalassetallocationMaximizeEU(W)=f(W,assetclassreturndistribution,degreeofriskaversion)bychoiceofassetclassweightsWTOisubjecttoZ(I=1AUtilityfunction12Mean-varianceutility:U=E(rp)-ap>OptimalallocationtotheriskyassetStrategicimplementationchoicesAPassive/ActiveSpectrumUSeOfinfbrmationonassetclasses,investmentMOSTPASSIVE'''ctoi21.aQdind>v>dualinvestmentsMOSTACTIVE(indexingtoincrease57ifteFuantifiedby(unconstrainedmarketweights)Increasingtrackingriskre1ativet"5ichfnadmandates)Increasingactivesharerelativetobenchmark>Factorsinfluencingwheretoinvestonthepassive/activespectrumAVailableinvestments;SCalabilityofactivestrategiesbeingconsidered;ThefeasibilityOfinVCStingPElSSiVOlywhileincorporatingclient-specificconstraints(e.g.ESGinvestingcriteria);BeliefsConCerningmarketinformationalefficiency;Thetrade-offofexpectedincrementalbenefitsrelativetoincrementalcostsandrisksofactivechoices;.Ta*tatus;Strategicconsiderationsinrebalancing>StrategicconsiderationsConsiderationsRebalancingrangesTransactioncostsHighercosts,widerrangesRisk-aversionMorerisk-averse,narrowerrangesAssetclasscorrelationLesscorrelated,narrowerrangesBeliefsinmomentumfavor/meanreversionBeliefsinmomentum,widerranges;Meanreversion,narrowerrangesLiquidityIlliquidinvestmentscomplicaterebalancing,commonlywiderrangesVolatilityHighervolatilitymakesdivergencesfromthestrategicassetallocationmorelikely,thusnarrowerrangesTaxesEncourageasymmetricandwiderrebalancingranges,forexample,25%->(24%,28%)专业缺穴i曾值一3.AOzMVOApproach.11-40«Asset-Only:MVO>StrengthsMostcommonandwidelyusedBasisformoresophisticatedapproaches>WeaknessesTheoutputs(assetallocations)arehighlySenMtivctoSmallChangeSintheinput用(otherapproaches)TheassetallocationstendtobelyCorKentrated¾Qsubletoftheavailableassetclasses;(otherapproaches)InvestorsareoftenconcernedwithcharacteristicsofassetclassreturnssuchasSkeWneSSandkurto4sthtarenot日CC(JUntedforinMV0;(Non-normaloptimizationapproaches)Whiletheassetallocationsmayappeardiversifiedacrossassets,thesourcesofFiskmaynotbedWersified;(Riskbudgeting)MVOallocationsmayhavenodirectconnectiontothefactorsaffectinganyliabilityorconsumptionstreams;MVOisagle-pedframeworkthatdoesnottakeaccountoftrading/rebalancingcostsandtaxes.专配领先18值一Asset-Only:Factor-basedModelAThefactorsaretypicallySimilartothefundamental(orstructural)fa