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

rEquityPortfolio'Management/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.Thesethreebuildingblocksareintegratedintoasuccessfulportfolioconstructionprocessthroughafourthcomponent:breadthofexpertiseBuildingBlocksUsedinPortfolioConstructionFirstBuildingBlock:Overweight/UnderweightRewardedFactorsThisrelatestothemanagertakingexposurestorewardedrisksthatdifferfromthoseofthebenchmark.Thiscanbethoughtofasactivereturnduetodifferencesinbeta.Withexposurestorewardedfactorsincreasinglyaccessibleviarules-basedindexproducts,simplestaticexposuretorewardedfactorsisnoIongerwidelyconsideredasourceofalpha.Irrespectiveofthemanager'sapproach,whethertheyexplicitlytargetfactorexposuresortargetindividualsecurities,theirperformancecaninpartbeattributedtosensitivitytothesebetafactors.Thisbuildingblockrelatesprimarilytoactivereturnsourcenumberone:differencesinexposurestolong-termrewardedfactors.4-21MH巨亚盅新ten_BuildingBlocksUsedinPortfolioConstmcxionSecondBuildingBlock:AlphaSkillsAlphaskillsareexcessreturnsrelatedtotheuniqueskillsandstrategiesofthemanager.Amanagercangeneratealphathroughfactortiming,whichisskillinidentifyingwhenafactormightoutperform/underperformitsaveragereturn.Thiscouldapplytoarewardedfactor,butitcouldalsoapplytounrewardedfactors,suchascorrectlytiminggeographicalorindustrysectorexposures,commodityprices,orevensecurityselection(adiscretionarymanagermightrefertotheseasthematicexposures).5-21Thisbuildingblockrelatesprimarilytoactivereturnsourcenumbertwo:identifyingmispricings.M亚&新mu_BuildingBlocksUsedinPortfolioConslSct!oTl1ThirdBuildingBlock:SizingPositionsPositionsizingbalancesmanagers'confidenceintheiralphaandfactorinsightswhilemitigatingidiosyncraticriskscomingfromconcentratedpositions.Positionsizingwillaffectallthreesourcesofactiverisk,butthemostdramaticimpactwillbeonid沁SynCratiCrisk.Thegeneralruleisthatsmallerpositionsinagreaternumberofsecuritieswilldiversifyawayidiosyncraticriskandleadtolowerportfoliovolatility.Afactor-orientatedmanagerwhospreadstheirportfolioacrossmanyassetsislikelytominimizetheimpactofidiosyncraticrisk.Astock-pickerislikelytoholdmoreconcentratedpositionsbasedontheirinsightsintoindividualsecurities,andhence,deliberatelyassumeahigherdegreeofidiosyncraticrisk.7-212.ActiveShareandActiveRisk写亚自新tin.ActiveShareandActiveRiskActiveSharemeasuresthedegreetowhichthenumberandsizingofthepositionsinamanager'sportfolioaredifferentfromthoseofabenchmark,andisgivenbythefollowingequation:ActivShare=WeightPOrtfOliOj-VeightTenchmarklIActiveSharetakesavaluebetweenOand1.IfaportfoliohasanActiveShareof0.5,wecanconcludethat50%oftheportfolioisidenticaltothatofthebenchmarkand50%isnot.Iftwoportfolioswiththesamebenchmarkinvestonlyinbenchmarksecurities,theportfoliowiththefewersecuritiesandthereforehigherdegreeofconcentrationinpositionswillhaveahigherlevelofActiveShare.HH雪业&«1111.ActiveShareandActiveRiskActiverisk,alsocalledtrackingerror,isthestandarddeviationofactivereturns(portfolioreturnsminusbenchmarkreturns).Asanequation:Researchconclusionsonthecompositionofactivereturninclude:Highnetexposuretoariskfactorleadstohighlevelofactiverisk.AportfoliowithnonetfactorexposurewillhaveactiveriskattributedentirelytoActiveShare.ActiveriskattributabletoActiveShareisinverselyproportionaltothenumberofsecuritiesintheportfolio.Activeriskincreasesasfactorandidiosyncraticrisklevelsincrease.921HHM目欢鼻新m僵.ActiveShareandActiveRiskInvestmentStyleDescriptionActiveShareandActiveRiskPureindexingNoactivepositions:portfolioisequaltothebenchmarkZeroActiveShareandzeroactiveriskFactorneutralNoactivefactorbetsidiosyncraticrisklowifdiversifiedLowactiveriskActiveSharelowifdiversifiedFactordiversifiedBalancedexposuretoriskfactorsandminimizedidiosyncraticriskthroughhighnumberofsecuritiesinportfolioReasonablylowactiveriskhighActiveSharefromlargeamountofsecuritiesusedthatareunlikelytobeinthebenchmarkConcentratedfactorbetsTargetedfactorbetsidiosyncraticrisklikelytobehighHighActiveShareandhighactiveriskConcentratedstockpickerTargetedindividualstockbetsHighestActiveShareandhighestactiverisk巨业&IWitillActiveShareandActiveRiskInvestmentStylesrActiveShare,andActiveRiskHighQuUVl'actor Neutral and 6、CrSifIcd Sl<k PicksDhrcnifiedFaCtor BctsConcentratedConcentrated Stock Picks Factor BetsClosetIndexing*HighPureIndexing11-21ActiveRiykM亚色新！B1|_ActiveShareandActiveRiskManagerstylescanalsobeidentifiedthroughobservingtheirsectorandsecurityspecificconstraints.Forexample:Asectorrotatorwouldneedtohavelargepermitteddeviationsinsectorweights;Astockpickerwoul