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

《CFA三级知识点必备：Equity Portfolio Management 标准版.docx》由会员分享，可在线阅读，更多相关《CFA三级知识点必备：Equity Portfolio Management 标准版.docx（23页珍藏版）》请在第壹文秘上搜索。

1、OTCOT n-0一鼠法wallt:I君臣W+灵车8吧皿肾一Rgf藤三ThirdBuildingBlock:SizingPositionsPositionsizingbalancesmanagersconfidenceintheiralphaandfactorinsightswhilemitigatingidiosyncraticriskscomingfromconcentratedpositions.Positionsizingwillaffectallthreesourcesofactiverisk,butthemostdramaticimpactwillbeonidiosyncratic

2、risk./Thegeneralruleisthatsmallerpositionsinagreaternumberofsecuritieswilldiversifyawayidiosyncraticriskandleadtolowerportfoliovolatility.Afactor-orientatedmanagerwhospreadstheirportfolioacrossmanyassetsislikelytominimizetheimpactofidiosyncraticrisk.Astock-pickerislikelytoholdmoreconcentratedpositio

3、nsbasedontheirinsightsintoindividualsecurities,andhence,deliberatelyassumeaHgheFegFeef4disyGFatie44sk2ActiveShareandActiveRiskAActiveSharemeasuresthedegreetowhichthenumberandsizingofthepositionsinamanager,sportfolioaredifferentfromthoseofabenchmark,andisgivenbythefollowingequation:liNActiveShare=2IW

4、eightPOrtfoliO/-Weightbenchmark,!IActiveSharetakesavaluebetweenOand1.IfaportfoliohasanActiveShareof0.5,wecanconcludethat50%oftheportfolioisidenticaltothatofthebenchmarkand50%isnot.Iftwoportfolioswiththesamebenchmarkinvestonlyinbenchmarksecurities,theportfoliowiththefewersecuritiesandthereforehigherd

5、egreeofconcentrationinpositionswillhaveahigherlevelofActiveShare.AActiverisk,alsocalledtrackingerror,isthestandarddeviationofactivereturns(portfolioreturnsminusbenchmarkreturns).Asanequation:AResearchconclusionsonthecompositionofactivereturninclude:Highnetexposuretoariskfactorleadstohighlevelofactiv

6、erisk.AportfoliowithnonetfactorexposurewillhaveactiveriskattributedentirelytoActiveShare.ActiveriskattributabletoActiveShareisinverselyproportionaltothenumberofsecuritiesintheportfolio.Activeriskincreasesasfactorandidiosyncraticrisklevelsincrease.InvestmentStyleDescriptionActiveShareandActiveRiskPur

7、eindexingNoactivepositions:portfolioisequaltothebenchmarkZeroActiveShareandzeroactiveriskFactorneutralNoactivefactorbetsidiosyncraticrisklowifdiversifiedLowactiveriskActiveSharelowifdiversifiedFactordiversifiedBalancedexposuretoriskfactorsandminimizedidiosyncraticriskthroughhighnumberofsecuritiesinp

8、ortfolioReasonablylowactiveriskhighActiveSharefromlargeamountofsecuritiesusedthatareunlikelytobeinthebenchmarkConcentratedfactorbetsTargetedfactorbetsidiosyncraticrisklikelytobehighHighActiveShareandhighactiveriskConcentratedstockpickerTargetedindividualstockbetsHighestActiveShareandhighestactiveris

9、k巨业创新憎值一UJBqS SA-OVLowActiveShareandActiveRiskInvestmentStyles,ActiveShare,andActiveRiskHighConcentrated泪NConcentratedstockPicksDiversifiedFactorBetsFactorNeutralandIactorBetsDiversifiedStockPicksClosetIndexing*PureIndexingHighActiveRiskAManagerstylescanalsobeidentifiedthroughobservingtheirsectorand

10、securityspecificconstraints.Forexample:Asectorrotatorwouldneedtohavelargepermitteddeviationsinsectorweights;Astockpickerwouldneedtohavelargepermitteddeviationsinindividualsecurityweights;Adiversifiedmulti-factorinvestorwouldnotneedsuchlargedeviationsfromindexweights,butwouldstillneedsomeflexibilityinordertogenerateamoderatelevelofactiveriskandreturn.3.AllocatingtheRiskBudgetingAllocatingtheRiskBudgetingRiskbudgetingisaprocessbywhichthetotalriskofaportfolioisallocatedtoconstituentsoftheportfoliointhemostefficientmanner.Itisanintegralparto