CFA三级知识点必备：Equity Portfolio Management_标准版.docx

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1、寸二6UOHq0CCl一鼠法皿肾一Rgf藤三UI IEquityInvestmentStyleClassificationsAThetwomainapproachesinstyleanalysisaretheholdings-basedapproachandthereturns-basedapproach.ATheholdings-basedapproach1undlnveslmenlsiylelooksattheattributesofeachValueBlendGrowthindividualstockinaportfolioandaggregatestheseattributesSize

2、1.argetoconcludetheoverallstyleoftheportfolio.AcommonapplicationofthisideaistheMorningstarStyleBox.MidSmallHoldings-BasedStyleAnalysisAThestyleboxapproachaimstoclassifyapproximatelythesamenumberofstocksineachofthevalue,blend,andgrowthgroups,essentiallydistributingthemarketvalueofeachrowevenlyacrosst

3、hegrid.ATheclassificationofstocksintovalue/blend/growthinvolvesassigningastylescoretoeachindividualstock.Forexample,toassignavaluescore,thedividendyieldmaybeused./StockswouldberankedaccordingtotheirdividendyieldandaSCOreallocatedtoaStcICkbasedOntheirPe(CentiIeOfthemarketvalueoftheirparticulargroup./

4、IfthestockisattheIoWer(high)endOfthedividendyieldrange,itWillreceiveaIc)W(high)SCoreCloSet。OQOO).Acomprehensivescoringmodelwouldusemanyindicatorsofvalueandcombinethemtogetherinapre-determinedweighting.Holdings-BasedStyleAnalysisATheclassificationofstocksThedifferencebetweenthestock,sgrowthandvaluesc

5、oresiscalledanetstylescore./Ifthenetstylescoreisstronglynegative,thestockisclassifiedasvalue./Ifthenetstylescoreisstronglypositivethenthestockisclassifiedasgrowth./Ifthenetstylescoreisclosetozerothenthestockwillbeclassifiedascore.Onceconstructedforastockuniverse,thegridcanbeusedasavisualaidtohelpcat

6、egorizeandtrackmanagedinvestmentportfolios.，Ataglance,aninvestorcanseewhereamanagerispositionedonthegrid,and,ifhistoricaldataexists,howthisstylehaschangedovertime.Returns-BasedStyleAnalysisAreturns-basedstyleanalysisaimstoidentifythestyleofafundthroughregressionofthefundsreturnsagainstasetofpassives

7、tyleindices.AByimposingaconstraintontheregressionthatthesumoftheslopecoefficientsshouldsumtoavalueof1,theslopecoefficientscanbeinterpretedastheanager,sallocationtothatstyleduringtheperiod.Forexample,areturn-basedstyleanalysismightconductaregressionoffundreturnsversusfourpassiveindicesasfollows:+斗存=t

8、nereturnostylendesmesamepero雪=1 and s O fors=thefundexposuretostyles(withconstraints.along-onlyportfolio)=aconstantofteninterpretedasthevalueaddedbythefundmanagert=theresidualreturnthatcannotbeexplainedbythestylesusedintheanalysisManagerSelf-IdentificationAThefud,sinvestmentstrategyisusuallyself-des

9、cribedbythemanager.AComparingthatself-descriptionwithreturns-basedandholdings-basedstyleanalysiswilleitherconfirmaconsistentidentificationorindicateaneedforfurtherinvestigationandanalysistoexplainthediscrepancy.Somestylessuchasequitylong/short,equitymarketneutralandshortbiasdonotfittraditionalstylec

10、ategoriesandthemanagersdescriptionandfundprospectusbecomesthekeysourceofinformationonstyleofsuchfunds.Equitystyleanalysis-Comparisonof2tech.AdvantagesDisadvantagesReturn-basedRequiresminimalinformationCanbeexecutedquicklyCosteffectiveMorewidelyappliedMaybeineffectiveincharacterizingcurrentstyleDiffi

11、culttodetectmoreaggressivepositionsHolding-basedMoreaccuratethanreturns-basedFacilitatescomparisonsofindividualpositionsCapturechangesinstylemorequicklyMoredataintensivethanreturns-basedanalysisLesseffectiveforfundswithsubstantialpositionsinderivatives.巨业创新憎值一2.PortfolioConstruction专业创新增值APassively-

12、managedindex-basedequityportfolioscanbeconstructedby:FullReplication:fullreplication(holdallofthesecuritiesintheindex)StratifiedSampling:holdasampleofthesecuritiesbasedonstratifiedsamplingOptimization:usemorecomplexoptimizationtomaximizedesirablecharacteristicswhileminimizingundesirablecharacteristi

13、cs.BlendedApproach:inpracticeablendoftheseapproachesmaybeused.AFullreplicationcanbecostlywhentherearelargenumbersofstockandliquidityislimited.Theportfoliomustberegularlyreconstitutedandrebalanced.Theadvantageoffullreplicationisthatitcloselymatchestheindexreturn(beforetransactioncosts).AToavoidthehig

14、hcostoffullreplication,itoftenmakesmoresenseforthemanagertousestratifiedsampling,inwhichheholdsasubsetoftheconstituentstocks,withthesampleselectedinsuchawayastoreplicatetheindexreturn/riskcharacteristics.Toimplementstratifiedsampling,themanagercreatesstrataacrosstheconstituentstocksthataremutuallyex

15、clusiveandexhaustive.Themanagermustconsidersizeofthesampleused.Asmorestocksareaddedandtheportfolioapproachesfullreplication;lessliquidstocksareadded,increasingtransactioncostandtrackingerror.Optimizationusesthetoolsofmodernportfoliotheorytoaddresstheproblemofminimizingtrackingerror.Theoptimizerseeksthecombinationofstocksthatwouldhaveminimizedtrackingerr