CFA二级基础段培训讲义：投资组合管理（打印版）.docx

'Portfolio'卜Management/.&)$e漂口笺亩苦,UHQH1-201IreneAta®.«婿信;累笑婿蛹K果制7上制G外外?8滓回算跳U升跑饷汁：|««&)$n«D2(i&嬉-一盾.i.麓?一躁奥ifi%豳口口a:僧L:0i-跑您外Ul.'#?弓卜方.口口捺：k果皱口亩口口口、口魏口桐嚣嚼埼喇漩3吻巡存能询fT1M觎猴口口口能MMVennraSTopicWeightingsinCFALevelIISessionNO.ContentWeightings.StudySession1Ethical&ProfessionalStandardsIO-ISStudySession2-3QuantitativeMethods5-10StudySession4Economics5-10StudySession5-6FinancialReportingandAnalysis10-15StudySession7-8CorporateFinance5-10StudySession9-11Equity10-15StudySession12-13FixedIncome10-15StudySession14Derivatives5-10StudySession15AlternativeInvestments5-10StudySession16-17PortfolioManagement10-153-201号眼国an!tn FrameworkPortfolioManagement4 201S1即(fukgMare11½nt1)MechanicsandApplicationsR44UsingMultifactorModelsR45MeasuringandManagingMarketRiskSS17:PortfolioManagement(2)R46EconomicsandInvestmentmarketsR47AnalysisofActivePortfolioManagementR48TradingCostsandElectronicMarketsM亚SUR”Exchange-TradedFunds:MechanicsandApplications5-2011.ETFMechanicsFrameworkCreation/redemptionprocessTradingandsettlementArbitrageAdvantageoftheETFmechanics2.UnderstandingETFExpenseratioTrackingErrorTradingcostsTaxissuesTotalCostsofETFOwnershipTypesofETFrisks3.ETFsinPortfolioManagementSWa*ETF外1.ETFMechanicsInvestor 1ETFtransactionstakeplaceintwointerrelatedmarkets.PrimaryMarketSecuritiesnPortfolioSecurities1Securities2Investor2IIInvestor3Buy&Sell8-201SecondaryMarketMUV.SUR.!*1.1TheCreation/RedemptionProcessTheprimarymarketforETFtradingisthatwhichexistsonanover-the-counterbasisbetweenauthorizedparticipants(APs),andtheETFissuer,orsponsor.TheonlyinvestorswhocancreateorredeemnewsharesofanETFareaspecialgroupofinstitutionalinvestorscalledAPsAPsarelargebroker/dealers,oftenmarketmakers,whoareauthorizedbytheETFissuertoparticipateintheprocess.TheAPcreatesnewETFsharesbytransactingin-kindwiththeETFissuer.Thisin-kindswaphappensofftheexchange,intheprimarymarketfortheETF1whereAPstransfersecuritiesto(forcreations)orreceivesecuritiesfrom(forredemptions)theETFissuer,inexchangeforETFshares.1.1.1CreationProcessEachbusinessday,theETFmanagerpublishesalistofrequiredin-kindsecurities(creationbasket)foreachETF.Tocreatenewshares,anAPacquiresthesecuritiesinthecreationbasketinthespecifiedshareamounts(generallybytransactinginthepublicmarketsorusingsecuritiestheAPhappenstohaveininventory).TheAPthendeliversthisbasketofsecuritiestotheETFmanagerinexchangeforanequalvalueinETFshares.ThepricetheAPmighthavepaidtoacquirethatstockorwhatitspricehappenstobeattheendofthedayisnotrelevanttotheexchangetakingplace.10-201ThesetransactionsbetweentheAPandtheETFmanageraredoneinlargeblockscalledcreationunits,usuallybutnotalwaysequalto50z000sharesoftheETF.=WSuR!ttt1.1.2RedemptionProcessTheprocessalsoworksinreverse:theAPpresentsthesesharesforredemptiontotheETFmanagerandreceivesinreturnthebasketofunderlyingsecurities.ThebasketofsecuritiestheAPreceiveswhenitredeemstheETFsharesiscalledtheredemptionbasketThisbasketoftenhasthesamesecuritycompositionasthecreationbasket,butitmaybedifferentiftheETFportfoliomanageristryingtosellparticularsecuritiesfortax,compliance,orinvestmentreasons.11-201AlthoughactualprocessofexchangingbasketsandblocksofETFshareshappensafterthemarketsareclosed,theAPisabletoexecuteETFtradesthroughoutthetradingdaybecausetheAPknowsthesecuritycompositionofthebasketneededforETFsharecreationorredemption.SIW*UR*IM1.2ArbitrageBecausepricesoftheETFandthebasketsecuritiesarecontinuouslychangingonthebasisofmarketconditions,APsmonitorbothfordiscrepancies,lookingforopportunitiestomakearbitrageprofits.Thearbitragegaptheprice(s)atwhichitmakessenseforETFmarketmakerstostepinandcreateorredeemsharesvarywiththeliquidityoftheunderlyingsecuritiesandavarietyofrelatedcosts.* 1.2 Arbitrage$25.10Exhibit 1 An ETF Share Price ata Premium to NAV13-201SUV - Ufi * M1.2ArbitrageArbitragekeepstheETFtradingatornearitsfairvalue.Ifthecurrentper-sharemarketvalueofthebasketofunderlyingsecuritiesisgreaterthanthequotedpriceoftheETFshares,theAPcansimultaneouslysell(orshort)thebasketofsecuritiesandbuyETFshares,tomakeaprofitInthissituation,wheretheETFshareisunden/alued,theETFissaidtobetradingatdiscount14-201IfsharesoftheETFarequotedatahigherpricethantheper-sharemarketvalueofthebasketofsecurities,theETFistradingatpremium,andtheAPcanmakeaprofitbysimultaneouslysellingtheETFsharesinthemarketandbuyingthebasketofsecurities.MUV.SUR.!B1.3AdvantageoftheETFMechanics1.LowercostAsignificantadvantageoftheETFcreation/redemptionprocessisthattheAPabsorbsallcostsoftransactingthesecuritiesforthefund,sportfolio.ETFstructureismorefair.FrequentETFtradersbearthecostoftheiractivity,whereasbuy-and-holdETFshareholdersareshieldedfromthosecosts.