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

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1、rEquityPortfolioManagement/CFA货漂笺亩笛VBobHong2厘纱X十5%Prbe彗Uy2-211.BuildingBlocksUsedinPortfolioConstruction行业&新NI1I.BuildingBlocksUsedinPortfolioConstructionThethreemainbuildingblocksofportfolioconstructionare:Factorweightings.Alphaskills.Positionsizing.Thesethreebuildingblocksareintegratedintoasuccess

2、fulportfolioconstructionprocessthroughafourthcomponent:breadthofexpertiseBuildingBlocksUsedinPortfolioConstructionFirstBuildingBlock:Overweight/UnderweightRewardedFactorsThisrelatestothemanagertakingexposurestorewardedrisksthatdifferfromthoseofthebenchmark.Thiscanbethoughtofasactivereturnduetodiffer

3、encesinbeta.Withexposurestorewardedfactorsincreasinglyaccessibleviarules-basedindexproducts,simplestaticexposuretorewardedfactorsisnoIongerwidelyconsideredasourceofalpha.Irrespectiveofthemanagersapproach,whethertheyexplicitlytargetfactorexposuresortargetindividualsecurities,theirperformancecaninpart

4、beattributedtosensitivitytothesebetafactors.Thisbuildingblockrelatesprimarilytoactivereturnsourcenumberone:differencesinexposurestolong-termrewardedfactors.4-21MH巨亚盅新ten_BuildingBlocksUsedinPortfolioConstmcxionSecondBuildingBlock:AlphaSkillsAlphaskillsareexcessreturnsrelatedtotheuniqueskillsandstrat

5、egiesofthemanager.Amanagercangeneratealphathroughfactortiming,whichisskillinidentifyingwhenafactormightoutperform/underperformitsaveragereturn.Thiscouldapplytoarewardedfactor,butitcouldalsoapplytounrewardedfactors,suchascorrectlytiminggeographicalorindustrysectorexposures,commodityprices,orevensecur

6、ityselection(adiscretionarymanagermightrefertotheseasthematicexposures).5-21Thisbuildingblockrelatesprimarilytoactivereturnsourcenumbertwo:identifyingmispricings.M亚&新mu_BuildingBlocksUsedinPortfolioConslSct!oTl1ThirdBuildingBlock:SizingPositionsPositionsizingbalancesmanagersconfidenceintheiralphaand

7、factorinsightswhilemitigatingidiosyncraticriskscomingfromconcentratedpositions.Positionsizingwillaffectallthreesourcesofactiverisk,butthemostdramaticimpactwillbeonid沁SynCratiCrisk.Thegeneralruleisthatsmallerpositionsinagreaternumberofsecuritieswilldiversifyawayidiosyncraticriskandleadtolowerportfoli

8、ovolatility.Afactor-orientatedmanagerwhospreadstheirportfolioacrossmanyassetsislikelytominimizetheimpactofidiosyncraticrisk.Astock-pickerislikelytoholdmoreconcentratedpositionsbasedontheirinsightsintoindividualsecurities,andhence,deliberatelyassumeahigherdegreeofidiosyncraticrisk.7-212.ActiveSharean

9、dActiveRisk写亚自新tin.ActiveShareandActiveRiskActiveSharemeasuresthedegreetowhichthenumberandsizingofthepositionsinamanagersportfolioaredifferentfromthoseofabenchmark,andisgivenbythefollowingequation:ActivShare=WeightPOrtfOliOj-VeightTenchmarklIActiveSharetakesavaluebetweenOand1.IfaportfoliohasanActive

10、Shareof0.5,wecanconcludethat50%oftheportfolioisidenticaltothatofthebenchmarkand50%isnot.Iftwoportfolioswiththesamebenchmarkinvestonlyinbenchmarksecurities,theportfoliowiththefewersecuritiesandthereforehigherdegreeofconcentrationinpositionswillhaveahigherlevelofActiveShare.HH雪业&1111.ActiveShareandAct

11、iveRiskActiverisk,alsocalledtrackingerror,isthestandarddeviationofactivereturns(portfolioreturnsminusbenchmarkreturns).Asanequation:Researchconclusionsonthecompositionofactivereturninclude:Highnetexposuretoariskfactorleadstohighlevelofactiverisk.Aportfoliowithnonetfactorexposurewillhaveactiveriskatt

12、ributedentirelytoActiveShare.ActiveriskattributabletoActiveShareisinverselyproportionaltothenumberofsecuritiesintheportfolio.Activeriskincreasesasfactorandidiosyncraticrisklevelsincrease.921HHM目欢鼻新m僵.ActiveShareandActiveRiskInvestmentStyleDescriptionActiveShareandActiveRiskPureindexingNoactivepositi

13、ons:portfolioisequaltothebenchmarkZeroActiveShareandzeroactiveriskFactorneutralNoactivefactorbetsidiosyncraticrisklowifdiversifiedLowactiveriskActiveSharelowifdiversifiedFactordiversifiedBalancedexposuretoriskfactorsandminimizedidiosyncraticriskthroughhighnumberofsecuritiesinportfolioReasonablylowac

14、tiveriskhighActiveSharefromlargeamountofsecuritiesusedthatareunlikelytobeinthebenchmarkConcentratedfactorbetsTargetedfactorbetsidiosyncraticrisklikelytobehighHighActiveShareandhighactiveriskConcentratedstockpickerTargetedindividualstockbetsHighestActiveShareandhighestactiverisk巨业&IWitillActiveSharea

15、ndActiveRiskInvestmentStylesrActiveShare,andActiveRiskHighQuUVlactor Neutral and 6、CrSifIcd Slk PicksDhrcnifiedFaCtor BctsConcentratedConcentrated Stock Picks Factor BetsClosetIndexing*HighPureIndexing11-21ActiveRiykM亚色新！B1|_ActiveShareandActiveRiskManagerstylescanalsobeidentifiedthroughobservingtheirsectorandsecurityspecificconstraints.Forexample:Asectorrotatorwouldneedtohavelargepermitteddeviationsinsectorweights;Astockpickerwoul