周教授CFA金融课程：2019 CFA Level 2 Portfolio Management

STUDY SESSION 16 Portfolio Management (1)

This study session begins by examining portfolio management as a process, including its three steps (planning, execution, feedback) and related investment objectives and constraints. Multifactor models including the arbitrage pricing theory (APT) and Carhart (4 factor) model are introduced as alternatives to the capital asset pricing model (CAPM). Considerations and applications of the three multifactor model types (macroeconomic, fundamental, statistical) are presented. The session ends with a discussion on value at risk (VaR) and its use in measuring and managing market risk. The three VaR approaches (parametric, historical simulation, Monte Carlo) along with the advantages and limitations of each are examined.

READING ASSIGNMENTS

Reading 46 The Portfolio Management Process and the Investment Policy Statement

Reading 47 An Introduction to Multifactor Models

Reading 48 Measuring and Managing Market Risk

STUDY SESSION 16 Portfolio Management (2)

This study session begins by identifying and explaining the ties between the real economy and financial markets, including effects on asset values. The “fundamental pricing equation” is presented as a basic pricing framework for financial instruments. The asset prices of risk-free debt, risky debt, public equities, and real estate are shown to be affected via the business cycle’s impact on risk-free rates, the yield curve, inflation, and risk premiums. Analysis of active portfolio management follows, including a dis- cussion of active risk and active return (Sharpe, information ratios). The fundamental law of active management is presented along with several investment applications. The session concludes with an overview of algorithmic and high-frequency trading. The two main types (execution, high-frequency trading) along with examples, key drivers, benefits, and dangers are considered.

READING ASSIGNMENTS

Reading 49 Economics and Investment Markets

Reading 50 Analysis of Active Portfolio Management 

Reading 51 Algorithmic Trading and High-Frequency Trading

Exam Weight: 5-10%

Portfolio Management 投资组合管理