CFA三级知识点必备50：Equity Portfolio Management_打印版.docx

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1、rEquityPortfolio卜ManagementJCFA货漂笺亩笛VBobHong吗jX*3斯MM*5Iql1.Investmentstyle冷EquityInvestmentStyleClassificationsThetwomainapproachesinstyleanalysisaretheholdings-basedapproachandthereturns-basedapproachTheholdings-basedapproachlooksattheattributesofeachindividualstockinaportfolioandaggregatestheseatt

2、ributestoconcludetheoverallstyleoftheportfolio.AcommonapplicationofthisideaistheMorningstarStyleBox.Holdings-BasedStyleAnalysisThestyleboxapproachaimstoclassifyapproximatelythesamenumberofstocksineachofthevalue,blend,andgrowthgroups,essentiallydistributingthemarketvalueofeachrowevenlyacrossthegrid.T

3、heclassificationofstocksintovalue/blend/growthinvolvesassigningastylescoretoeachindividualstock.Forexample,toassignavaluescore,thedividendyieldmaybeused.Stockswouldberankedaccordingtotheirdividendyieldandascoreallocatedtoastockbasedontheirpercentileofthemarketvalueoftheirparticulargroup.Ifthestockis

4、atthelower(high)endofthedividendyieldrange,itwillreceivealow(high)scoreclosetoO(100).Acomprehensivescoringmodelwouldusemanyindicatorsofvalueandcombinethemtogetherinapre-determinedweighting.4-14MH巨亚盅新tenHoldings-BasedStyleAnalysisTheclassificationofstocksThedifferencebetweenthestocksgrowthandvaluesco

5、resiscalledanetstylescoreIfthenetstylescoreisstronglynegative,thestockisclassifiedasvalue.Ifthenetstylescoreisstronglypositivethenthestockisclassifiedasgrowth.Ifthenetstylescoreisclosetozerothenthestockwillbeclassifiedascore.Onceconstructedforastockuniverse,thegridcanbeusedasavisualaidtohelpcategori

6、zeandtrackmanagedinvestmentportfolios.Ataglance,aninvestorcanseewhereamanagerispositionedonthegrid,and,ifhistoricaldataexists,howthisstylehaschangedovertime.5-14HHHHHIM亚&新1值一Returns-BasedStyleAnalysisAreturns-basedstyleanalysisaimstoidentifythestyleofafundthroughregressionofthefundsreturnsagainstase

7、tofpassivestyleindicesByimposingaconstraintontheregressionthatthesumoftheslopecoefficientsshouldsumtoavalueofI1theslopecoefficientscanbeinterpretedasthemanagersallocationtothatstyleduringtheperiod.Forexample,areturn-basedstyleanalysismightconductaregressionoffundreturnsversusfourpassiveindicesasfoll

8、ows:mt=a+ZSS&+RSt=thereturnofstyleindexsinthesameperiods=thefundexposuretostyles(withconstraintsEmS=Q=1ands0foralong-onlyportfolio)=aconstantofteninterpretedasthevalueaddedbythefundmanager产theresidualreturnthatcannotbeexplainedbythestylesusedintheanalysis6-14HB巨业.色新！811_ManagerSelf-IdentificationThe

9、fund,sinvestmentstrategyisusuallyself-describedbythemanager.Comparingthatself-descriptionwithreturns-basedandholdings-basedstyleanalysiswilleitherconfirmaconsistentidentificationorindicateaneedforfurtherinvestigationandanalysistoexplainthediscrepancy.Somestylessuchasequitylong/short,equitymarketneut

10、ralandshortbiasdonotfittraditionalstylecategoriesandthemanagersdescriptionandfundprospectusbecomesthekeysourceofinformationonstyleofsuchfunds.7-14HM亚鼻新.t1l_Equitystyleanalysis-Comparisonof2tech.AdvantagesDisadvantagesReturn-basedRequiresminimalinformationCanbeexecutedquicklyCosteffectiveMorewidelyap

11、pliedMaybeineffectiveincharacterizingcurrentstyleDifficulttodetectmoreaggressivepositionsHolding-basedMoreaccuratethanreturns-basedFacilitatescomparisonsofindividualpositionsCapturechangesinstylemorequicklyMoredataintensivethanreturns-basedanalysisLesseffectiveforfundswithsubstantialpositionsinderiv

12、atives.2.PortfolioConstructionPortfolioConstructionPassively-managedindex-basedequityportfolioscanbeconstructedby:FullReplication:fullreplication(holdallofthesecuritiesintheindex)StratifiedSampling:holdasampleofthesecuritiesbasedonstratifiedsamplingOptimization:usemorecomplexoptimizationtomaximizede

13、sirablecharacteristicswhileminimizingundesirablecharacteristics.10-14BlendedApproach:inpracticeablendoftheseapproachesmaybeused.行业&iwitriPortfolioConstructionFullreplicationcanbecostlywhentherearelargenumbersofstockandliquidityislimited.Theportfoliomustberegularlyreconstitutedandrebalanced.Number of

14、 Secut) HeM11-14TheadvantageoffullreplicationisthatitcloselymatchestheindexM亚&新！Tl_PortfolioConstructionToavoidthehighcostoffullreplication,itoftenmakesmoresenseforthemanagertousestratifiedsampling,inwhichheholdsasubsetoftheconstituentstocks,withthesampleselectedinsuchawayastoreplicatetheindexreturn

15、/riskcharacteristics.Toimplementstratifiedsampling,themanagercreatesstrataacrosstheconstituentstocksthataremutuallyexclusiveandexhaustiveThemanagermustconsidersizeofthesampleused.Asmorestocksareaddedandtheportfolioapproachesfullreplication;lessliquidstocksareadded,increasingtransactioncostandtrackingerror.PortfolioConstructionOptimizationusesthetoolsofmodernportfoliotheorytoaddresstheproblemofminimizingtrackingerror.Theoptimizerseeksthecombinationofstocksthatwouldhaveminimized