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

OTCOT n-0一鼠法'wallt:I君臣W+灵车8吧皿肾一Rgf藤三<ZDCOEOCraO=OJtOd 三1BuildingBlocksUsedinPortfolioConstructionAThethreemainbuildingblocksofportfolioconstructionare:Factorweightings.Alphaskills.Positionsizing.AThesethreebuildingblocksareintegratedintoasuccessfulportfolioconstructionprocessthroughafourthcomponent:breadthofexpertise.AFirstBuildingBlock:Overweight/UnderweightRewardedFactorsThisrelatestothemanagertakingexposurestorewardedrisksthatdifferfromthoseofthebenchmark.Thiscanbethoughtofasactivereturnduetodifferencesinbeta.Withexposurestorewardedfactorsincreasinglyaccessibleviarules-basedindexproducts,simplestaticexposuretorewardedfactorsisnolongerwidelyconsideredasourceofalpha.Irrespectiveofthemanager'sapproach,whethertheyexplicitlytargetfactorexposuresortargetindividualsecurities,theirperformancecaninpartbeattributedtosensitivitytothesebetafactors.Thisbuildingblockrelatesprimarilytoactivereturnsourcenumberone:differencesinexposurestolong-termrewardedfactors.ASecondBuildingBlock:AlphaSkillsAlphaskillsareexcessreturnsrelatedtotheuniqueskillsandstrategiesofthemanager./Amanagercangeneratealphathroughfactortiming,whichisskillinidentifyingwhenafactormightoutperform/underperformitsaveragereturn./Thiscouldapplytoarewardedfactor,butitcouldalsoapplytounrewardedfactors,suchascorrectlytiminggeographicalorindustrysectorexposures,commodityprices,orevensecurityselection(adiscretionarymanagermightrefertotheseasthematicexposures).Thisbuildingblockrelatesprimarilytoactivereturnsourcenumbertwo:identifyingmispricings.>ThirdBuildingBlock:SizingPositionsPositionsizingbalancesmanagers'confidenceintheiralphaandfactorinsightswhilemitigatingidiosyncraticriskscomingfromconcentratedpositions.Positionsizingwillaffectallthreesourcesofactiverisk,butthemostdramaticimpactwillbeonidiosyncraticrisk./Thegeneralruleisthatsmallerpositionsinagreaternumberofsecuritieswilldiversifyawayidiosyncraticriskandleadtolowerportfoliovolatility.Afactor-orientatedmanagerwhospreadstheirportfolioacrossmanyassetsislikelytominimizetheimpactofidiosyncraticrisk.Astock-pickerislikelytoholdmoreconcentratedpositionsbasedontheirinsightsintoindividualsecurities,andhence,deliberatelyassumeaHgheFegFeef4disy÷GFatie44sk2ActiveShareandActiveRiskAActiveSharemeasuresthedegreetowhichthenumberandsizingofthepositionsinamanager,sportfolioaredifferentfromthoseofabenchmark,andisgivenbythefollowingequation:liNActiveShare=2IWeightPOrtfoliO/-Weightbenchmark,!IActiveSharetakesavaluebetweenOand1.IfaportfoliohasanActiveShareof0.5,wecanconcludethat50%oftheportfolioisidenticaltothatofthebenchmarkand50%isnot.Iftwoportfolioswiththesamebenchmarkinvestonlyinbenchmarksecurities,theportfoliowiththefewersecuritiesandthereforehigherdegreeofconcentrationinpositionswillhaveahigherlevelofActiveShare.AActiverisk,alsocalledtrackingerror,isthestandarddeviationofactivereturns(portfolioreturnsminusbenchmarkreturns).Asanequation:AResearchconclusionsonthecompositionofactivereturninclude:Highnetexposuretoariskfactorleadstohighlevelofactiverisk.AportfoliowithnonetfactorexposurewillhaveactiveriskattributedentirelytoActiveShare.ActiveriskattributabletoActiveShareisinverselyproportionaltothenumberofsecuritiesintheportfolio.Activeriskincreasesasfactorandidiosyncraticrisklevelsincrease.InvestmentStyleDescriptionActiveShareandActiveRiskPureindexingNoactivepositions:portfolioisequaltothebenchmarkZeroActiveShareandzeroactiveriskFactorneutralNoactivefactorbetsidiosyncraticrisklowifdiversifiedLowactiveriskActiveSharelowifdiversifiedFactordiversifiedBalancedexposuretoriskfactorsandminimizedidiosyncraticriskthroughhighnumberofsecuritiesinportfolioReasonablylowactiveriskhighActiveSharefromlargeamountofsecuritiesusedthatareunlikelytobeinthebenchmarkConcentratedfactorbetsTargetedfactorbetsidiosyncraticrisklikelytobehighHighActiveShareandhighactiveriskConcentratedstockpickerTargetedindividualstockbetsHighestActiveShareandhighestactiverisk巨业创新憎值一UJBqS SA-OVLowActiveShareandActiveRisk>InvestmentStyles,ActiveShare,andActiveRiskHighConcentrated泪NConcentratedstockPicksDiversifiedFactorBetsFactorNeutralandIactorBetsDiversifiedStockPicksClosetIndexing*PureIndexingHighActiveRiskAManagerstylescanalsobeidentifiedthroughobservingtheirsectorandsecurityspecificconstraints.Forexample:Asectorrotatorwouldneedtohavelargepermitteddeviationsinsectorweights;Astockpickerwouldneedtohavelargepermitteddeviationsinindividualsecurityweights;Adiversifiedmulti-factorinvestorwouldnotneedsuchlargedeviationsfromindexweights,butwouldstillneedsomeflexibilityinordertogenerateamoderatelevelofactiveriskandreturn.3.AllocatingtheRiskBudgetingAllocatingtheRiskBudgeting>Riskbudgetingisaprocessbywhichthetotalriskofaportfolioisallocatedtoconstituentsoftheportfoliointhemostefficientmanner.Itisanintegralparto