CFA三级基础段：交易、绩效评估和经理选择（打印版）.docx

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1、.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)BEHAVIORALFINANCEStudySession4StudySession5StudySession6StudySession78StudySession9-10StudySession11StudySession1213StudySession14StudyS

2、eSSiOn15StudySession1CAPITALMARKETEXPECTATIONSASSETALLOCATIONANDRELATEDDECISIONSINPORTFOLIOMANAGEMENTDERIVATIVESANDCURRENCYMANAGEMENTFIXED-INCOMEPORTFOUOMANAGEMEM(1)&(2)EQUITYPORTFOUOMANAGEMENT&(2)ALTERNATIVEINVESTMEMSFORPORTFOUOMANAGEMENTPRIVATEWEALTHMANAGEMENT&(2)Portfouomanagementforinstitutional

3、investorsTRADING,PERFORMANCEEVALUATION,ANDMANAGERSELECTIONcasesinPortfouomanagementandriskmanagement2-207 Framework专业因断nI1ISS15:Trading,PerformanceEvaluation,andManagerSelectionTrading,PerformanceEvaluation,andManagerSeIectionR34TradeStrategyandExecutionR35PortfolioPerformanceEvaluationR36Investment

4、ManagerSeIectionM亚金斯!SUTradeStrategyandExecution4-207专业国新muFramework1.MotivationstoTrade2.TradingStrategiesandStrategySelectionTradeStrategyInputsReferencePricesTradeStrategies3.TradeExecution(StrategyImplementation)TradeImplementationChoicesAlgorithmicTradingComparisonOfMarkets4.ImplementationShort

5、fall5.EvaIuatingTradeExecution6.TradeGovernance5-207M业Hfjmn1.MotivationstoTradePortfoliomanagersneedtotradeIheirportfolioholdingstoensurealnmentwiththefund,sunderlyinginvestmentstrategyandobjectives.ProfitseekingRiskmanagement/hedgingneedsCashflowneedsCorporateactionsindereconstitutions/margincalls1

6、.1ProfitseekingProfitseekingTheprimaryaddedvaluethatmostactivemanagersseektoprovideisriskadiustedOUtDerformarKerelativetotheirbenchmark.Tradeurgency&alphadecayTradeurgencyreferstohowquickly(aggressively)orslowly(patiently)theorderisexecutedoverthetradingtimehorizon.AlphadecayreferstotheerosionOrdete

7、riorationinshort-termalphaonceaninvestmentdecisionismade.ManagersfolIowingashort-termalpha-drivenstrategywilltradewithgreaterurgencytoreaIizeaIphabeforeitdissipates(decays).Managersfollowingalonger-termstrategywilltradewithlessurgencyifalphadecayisexpectedtobeslower.VaIuemanager(long-termprofitseeki

8、ng)727坊业&新moi1.2Riskmanagement/hedgingneedsRiskmanagement/hedgingneedsAsthemarketandtheriskenvironmentchange,portfoliosneedtobetradedorrebalancedtoremainattargetedrisklevelsorriskexposures.Durationmatch,Betamanagement.PortfoliomanagersmayalsotradetohedgeriskswhentheydoNOThaveaninvestmentviewonthespe

9、cificriskinquestion.Currencyhedging,CDSs,optionstrategies.M业色断n111.3CashflowneedsCashflowneedsThistypeoftradingisoftenclientdriven,arisingfromfundinflows(orders,mandates)andoutflows(redemptions,liquidations).CashflowneedsmayinvolvehighorIowtradeurgencyhightradeurgency:collateral/margincallslowtradeu

10、rgency:longer-termclientasseta!locationchangesTominimizeCaShdrdRonaDortfoliO,fundinflowsmaybeequitizedusingfuturesorETFsuntilthenextportfoliorebalanceorpositionsintheunderlyingcanbetraded.EquitizationreferstoastrategyoftemporariIyinvestingcashusingfuturesorETFstogainthedesiredRQlIitVRXPoSUrebeforein

11、vestingintheunderlyingsecuritieslongerterm.EquitizationmayberequiredIflargeinflowsintoaportfolioarehinderedbvlackOfliQUiditVintheunderlyingsecurities.1.4OthersCorporateactions/indexreconstitutions/margincallsTradingmaybeIiquiditydrivenresultingfromclientactivityoridereconstitutions.Tradingmayalsoben

12、ecessitatedbysuchactivityasCorDOQteactionsandODeQtiOnalneeds.Dividend/couponreinvestment,distributions,margincalIszandexpirationOfderivativecontractsForindextrackingportfolios,suchindexchan&esasadditions,deletions,andConStitUentWeiRhtChangeSaregenerallytradedinthemanagersportfoliotoreflectbenchmarke

13、xposure.MarginOrcollateralcallsmavdrivehimhlevelsoftradeUrRenCTgivenaneedfortheimmediatesaleofportfolioholdings.Inthesecases,managerstypicalIytradeusingend-of-dayclosingpricesbecausethesepricesareusedforfundandbenchmarkvaluation.17与业.efi.18102.TradingStrategiesandStrategySeIectionTradeStrategyInputs

14、OrderCharacteristicsSecurityCharacteristicsMaFketConditionsUser-BasedConsiderations:TradingCostRiskAversionMarketImpactandExecutionRiskReferencePricesPre-TradeBenchmarksIntradayBenchmarksPost-TradeBenchmarksPriceTargetBenchmarksTradeStrategiesShort-TermAlphaTradeLong-TermAlphaTradeRiskRebaIanceTrade

15、ClientRedemptionTradeNewMandateTrade11-207M业&断HBfI2.1TradeStrategyInputsOrderCharacteristicsSide:thesideortradedirectionoftheorderforexample,buyorsell.Ifpricesarerising,executingabuyordermaytakelongerthanexecutingasellorder,giventhepresenceofmorebuyers(Iiquiditydemanders)thansellers(IiquiditysupplierslinthemarketTradingaIistthatconsistsofonlybuysOron