CFA三级基础段：交易、绩效评估和经理选择（打印版）.docx

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1、.Trading,PerformanceEvaluation,and)ManagerSelection/.CFAn井J条高军人Jcy映ShX向m加悔士乞StudySession1-2StudySession3TopicinCFALevelIIIContentETHICS&PROFESSIONALSTANDARDS(1)&(2)BEHAVIORALFINANCEStudySession4StudySession5StudySession6StudySession78StudySession9-10StudySession11StudySession1213StudySession14StudyS

2、eSSiOn15StudySession1CAPITALMARKETEXPECTATIONSASSETALLOCATIONANDRELATEDDECISIONSINPORTFOLIOMANAGEMENTDERIVATIVESANDCURRENCYMANAGEMENTFIXED-INCOMEPORTFOUOMANAGEMEM(1)&(2)EQUITYPORTFOUOMANAGEMENT&(2)ALTERNATIVEINVESTMEMSFORPORTFOUOMANAGEMENTPRIVATEWEALTHMANAGEMENT&(2)Portfouomanagementforinstitutional

3、investorsTRADING,PERFORMANCEEVALUATION,ANDMANAGERSELECTIONcasesinPortfouomanagementandriskmanagement2-207 Framework专业因断nI1ISS15:Trading,PerformanceEvaluation,andManagerSelectionTrading,PerformanceEvaluation,andManagerSeIectionR34TradeStrategyandExecutionR35PortfolioPerformanceEvaluationR36Investment

4、ManagerSeIectionM亚金斯!SUTradeStrategyandExecution4-207专业国新muFramework1.MotivationstoTrade2.TradingStrategiesandStrategySelectionTradeStrategyInputsReferencePricesTradeStrategies3.TradeExecution(StrategyImplementation)TradeImplementationChoicesAlgorithmicTradingComparisonOfMarkets4.ImplementationShort

5、fall5.EvaIuatingTradeExecution6.TradeGovernance5-207M业Hfjmn1.MotivationstoTradePortfoliomanagersneedtotradeIheirportfolioholdingstoensurealnmentwiththefund,sunderlyinginvestmentstrategyandobjectives.ProfitseekingRiskmanagement/hedgingneedsCashflowneedsCorporateactionsindereconstitutions/margincalls1

6、.1ProfitseekingProfitseekingTheprimaryaddedvaluethatmostactivemanagersseektoprovideisriskadiustedOUtDerformarKerelativetotheirbenchmark.Tradeurgency&alphadecayTradeurgencyreferstohowquickly(aggressively)orslowly(patiently)theorderisexecutedoverthetradingtimehorizon.AlphadecayreferstotheerosionOrdete

7、riorationinshort-termalphaonceaninvestmentdecisionismade.ManagersfolIowingashort-termalpha-drivenstrategywilltradewithgreaterurgencytoreaIizeaIphabeforeitdissipates(decays).Managersfollowingalonger-termstrategywilltradewithlessurgencyifalphadecayisexpectedtobeslower.VaIuemanager(long-termprofitseeki

8、ng)727坊业&新moi1.2Riskmanagement/hedgingneedsRiskmanagement/hedgingneedsAsthemarketandtheriskenvironmentchange,portfoliosneedtobetradedorrebalancedtoremainattargetedrisklevelsorriskexposures.Durationmatch,Betamanagement.PortfoliomanagersmayalsotradetohedgeriskswhentheydoNOThaveaninvestmentviewonthespe

9、cificriskinquestion.Currencyhedging,CDSs,optionstrategies.M业色断n111.3CashflowneedsCashflowneedsThistypeoftradingisoftenclientdriven,arisingfromfundinflows(orders,mandates)andoutflows(redemptions,liquidations).CashflowneedsmayinvolvehighorIowtradeurgencyhightradeurgency:collateral/margincallslowtradeu

10、rgency:longer-termclientasseta!locationchangesTominimizeCaShdrdRonaDortfoliO,fundinflowsmaybeequitizedusingfuturesorETFsuntilthenextportfoliorebalanceorpositionsintheunderlyingcanbetraded.EquitizationreferstoastrategyoftemporariIyinvestingcashusingfuturesorETFstogainthedesiredRQlIitVRXPoSUrebeforein

11、vestingintheunderlyingsecuritieslongerterm.EquitizationmayberequiredIflargeinflowsintoaportfolioarehinderedbvlackOfliQUiditVintheunderlyingsecurities.1.4OthersCorporateactions/indexreconstitutions/margincallsTradingmaybeIiquiditydrivenresultingfromclientactivityoridereconstitutions.Tradingmayalsoben

12、ecessitatedbysuchactivityasCorDOQteactionsandODeQtiOnalneeds.Dividend/couponreinvestment,distributions,margincalIszandexpirationOfderivativecontractsForindextrackingportfolios,suchindexchan&esasadditions,deletions,andConStitUentWeiRhtChangeSaregenerallytradedinthemanagersportfoliotoreflectbenchmarke

13、xposure.MarginOrcollateralcallsmavdrivehimhlevelsoftradeUrRenCTgivenaneedfortheimmediatesaleofportfolioholdings.Inthesecases,managerstypicalIytradeusingend-of-dayclosingpricesbecausethesepricesareusedforfundandbenchmarkvaluation.17与业.efi.18102.TradingStrategiesandStrategySeIectionTradeStrategyInputs

14、OrderCharacteristicsSecurityCharacteristicsMaFketConditionsUser-BasedConsiderations:TradingCostRiskAversionMarketImpactandExecutionRiskReferencePricesPre-TradeBenchmarksIntradayBenchmarksPost-TradeBenchmarksPriceTargetBenchmarksTradeStrategiesShort-TermAlphaTradeLong-TermAlphaTradeRiskRebaIanceTrade

15、ClientRedemptionTradeNewMandateTrade11-207M业&断HBfI2.1TradeStrategyInputsOrderCharacteristicsSide:thesideortradedirectionoftheorderforexample,buyorsell.Ifpricesarerising,executingabuyordermaytakelongerthanexecutingasellorder,giventhepresenceofmorebuyers(Iiquiditydemanders)thansellers(Iiquiditysupplie

16、rslinthemarketTradingaIistthatconsistsofonlybuysOronlysellswillhavegreatermarketriskexposurethanalistofbuysandsellsinwhichthesecuritieshaveoffsettingmarketriskexposures.Size:thetotalamountorqUantityofthesecuritybeingtransacted.Relativesize(%OfADVJzordersizeasapercentageofthesecurit/saveragedailvvolu

17、me(ADV).2.1TradeStrategyInputsSecurityCharacteristicsSecuritytype:thetypeofsecuritybeingtraded(underlying,ETF,Americandepositaryreceipt,globaldepositaryreceipt).Short-termalpha：(tradingalphaOrtradealpha)mayarisefromanappreciation,adepreciation,orareversion(i.e.,reversal)insecurityprice.Highratesofal

18、phadecay,oraIphaloss,requirefaster,ormoreaccelerated,tradingtorealizealphabeforeitistradedonbyothermarketparticipants.PriceVolatilityitheannualizedpriceVolatilityofthesecurity.ThepriceVolatilityofasecurityprimarilyaffectstheexecutionriskofthetrade.EXeCUtiOnriskistheriskOfanadverseDriCeFnoVenIentQCCU

19、rrinEOVerthetradinghorizonOWinatoachangeinthefundamentalvalueoftheSecurityorbecauseoftrading-inducedvolatility.SecuritieswithhigherIeVeISOfprirevoIatiIZhave-reaterexpowretoexecutionriskthansecuritieswithlowerpricevolatility.SecurityIiquidityztheliquidityprofileofthesecurity(e.g.fADV,bid-askspread；av

20、eragetradesize).Allelsebeingequal,greaterliquidityreducesexecutionriskandtradingcosts,suchasmarketimpact27与业.QMfi10.2.1TradeStrategyInputsMarketConditions1.iquiditycrises:deviationsfromexpectedIiuidilvDatternSduetoperiodsofcrisis.Duringmarketeventsorcrises,thevolatilityandliquidityofthemarketandtheS

21、ecuritywillbecriticItoconsiderasConditiOnSresultinsuddenandsignificantdeviationsfromnormaltradepattems.Duringnormalmarketenvironment,someCompanieswillreachmarketvalue4whichmayresultinthembeinaddedorremovedfromthewidelyUSedStoCkindex.WhenthishappenszliquidityintheirstockstendstoimproveOrdeteriorateas

22、theirstocksbecomebroaderornarrower.MarketvolatilityandIiquidityaredynamic.Theyarealsogenerallynegativelyrelated,whichbecomesapparentespeciallyduringperiodsofcrisis,whenvolatilityincreasesandIiquiclitydecreases.14-207M业.0H.an2.1TradeStrategyInputsUser-BasedConsiderations:TradingCostRiskAversionAportf

23、oliomanagerortraderwithahighlevelofriskaversionisIikelytobemoreconcernedaboutmarketrisktendtotradewithgreatertradeurgencytoavoidthegreatermarketexposureassociatedwithXradingmorepatiently.2.1TradeStrategyInputsMarketImpactandExecutionRiskMarketimpactistheadversepriceimpactinasecuritycausedfromtrading

24、anorderandcanrepresentoneoftheIarReStCoStSintrading.TominimizeinformationIeaka*portfoliomanagersmayattempttohidetheirtradingactivitybyexecutingordersacrossdifferentvenuesandusingamixofordertypes,suchasmarketandlimitorders.Executionriskistheadversepriceimpactresultingfromachangeinthefundamentalvalueo

25、ftheSecurityandisoftenDrQXiedbvoricevolatility.Trader,sdilemma.Tradingtoofastresultsintoomuchmarketimpact,buttradingtooslowresultsintoomuchmarketrisk.Thegoalinselectingatradingstrategyistochoosethebestprice-timetrade-offgivencurrentmarketconditionsandtheuniquecharacteristicsoftheorder.1627与业.QMfi102

26、.2ReferencePricesReferenceprices,aIsoreferredtoaspricebenchmarks,areusedindeterminingtradepricesforexecutionStrategyandincalculatingactualtradecostsforposttradeevaluationpurposes.CategoriesofreferencepricesPre-tradebenchmarksIntradaybenchmarksPost-tradebenchmarksPricetargetbenchmarksM业色断n112.2Refere

27、ncePricesPre-tradebenchmarks,wherethereferencepriceforthebenchmarkisknownbeforetradingbegins.DecisionpriceQuantitativeportfoliomanagerswilloftenhaverecordsoftheirdecisionpricebecausethesepricesmaybeinputsintotheirquantitativemodels.PreviouscloseApreviousclosebenchmarkIsoftenspecifiedbyquantitativepo

28、rtfoliomanagersWhoincorporatethepreviouscloseinaquantitativemodel,portfoliooptimizer,Orscreeninwmodel.Thepreviouscloseisoftenusedasaproxyforthedecisionpricebyquantitativeportfoliomanagers.2.2ReferencePricesPre-tradebenchmarks,wherethereferencepriceforthebenchmarkisknownbeforetradingbegins.Openingpri

29、ceThisbenchmarkpriceismostoftenspecifiedbyportfoliomanagerswhobegintradingatthemarketopenandwishtominimizetradingcosts.TheopeningPriceisoftenusedasaProxyforthedecisionpricebyfundamentalportfoliomanagerswhoareinvestinginaSecurityforlong-termalphaorgrowthpotential.Theopeningpricedoesnothaveassociatedo

30、vemightrisk,ortheriskthatpriceswilladjustatmarketopentoincorporateinformationreleasedaftertheClOSaofthePreViolJSbusinessdav.Ifthetradeistobeexecutedintheopeningauction,thenUSingtheopeningpriceasareferencebenchmarkisnotappropriatebecausethetradeitselfcaninfluencethereferencebenchmark.-207M业QMfi102.2R

31、eferencePricesPre-tradebenchmarks,wherethereferencepriceforthebenchmarkisknownbeforetradingbegins.Arrivalprice.ThearrivalpriceisthepriceoftheSecurityatthetimetheorderisenteredintothemarketforexecution.Inthesecases,theportfoliomanagersgoalistotransactatorclosetocurrentmarketprices.Portfoliomanagerswh

32、oarebUyingorsellingonthebasisofalphaexpectationsoracurrentmarketmispricingwilloftenspecifyanarrivalpricebenchmarkIgreatertradeurgency).PortfoliomanagersIoOkinatOminimizetradinecostwillalsousearrivalpriceasbenchmark.2g7M业&断HBfl.2.2ReferencePricesIntradaybenchmarks,wherethereferencepriceforthebenchmar

33、kiscomputedonthebasisofmarketpricesthatOCClJrdIJrinRthetradingperiod.Managerswithoutviewsonshort-termpricemovementswhowishtoparticipateinVolumesovertheexecutionhorizontypicallyuseanintradaybenchmark,suchasVWAPorlWAP.2.2ReferencePricesVolume-weightedaverageprice(VWAP)TheVWAPbenchmarkpriceisthevolume-

34、weightedaverageDriCeOfalltradesexecutedOVerthedavorthetadin又horizon.PortfoliomanagersmayspecifytheVWAPbenchmarkwhentheywishtoparticipateWithvolumepatternsovertheda.PortfoIiomanagerswhoarerebalancingtheirportfoliosoverthedayandhavebothbuyandsellordersmayselecttheVWAPasapricebenchmark.Portfoliomanager

35、swhoarerebalancingandusingcashfromsellorderstopurchasebuyordersWillalsooftenselectanintradaybenchmark,suchasVWAP.DoingsoallowstheportfoliomanagerstostructuretheirexecutionsovertimetoensurecashreceivedfromsellordersisSufficienttofundremainingbuyorders,Doingsoallowstheportfoliomanagerstostructuretheir

36、executionsovertimetoensureCaShreceivedfromSellOrderSisSuffiCienttofundremainingbuvorders.2227坊业.&新.tt1B2.2ReferencePricesIntradaybenchmarkTime-weightedaverageprice(TWAP)Anequal-weightedaveragepriceofalltradesexecutedovertheday.PortfoliomanagersmaychooseTWAPwhentheywishtoexcludepotentialtradeoutliers

37、.TradeoutliersmaybecausedbytradingalargebuyOrderatthedaUsIoWoraIareeSelIe)rderatthedayshieh.IfITiarketpartidpantsarenotabletofullyparticipateinthesetrades,thenTWAPmaybeamoreappropriatechoice.TheTWAPbenchmarkisusedbyportfoliomanagersandtraderstoevaluatefairandreasonabletradingpricesinmarketenvironmen

38、tswithhighvolumeuncertaintyandforsecuritiesthataresubjecttospikesintradingvolumethroughouttheday.7M业&好11Bf.2.2ReferencePricesPost-tradebenchmarks,wherethereferencepriceforthebenchmarkisestablishedaftertradingisCOmDleted.Closingprice.PortfoliomanagersforfundsValuedattheclosingpriceonthedayorwhowishto

39、minimizeIrackingerrortoanUnderlyingbenchmarkprice,suchasindexfundszoftenselectapost-tradereferenceprice,suchastheofficialdosingprice.Advantage:Fninimizespotentialtraclangerror.Disadvantage:notknownuntilaftertradingiscompleted.2.2ReferencePricesPricetargetbenchmarks,wherethereferencepriceforthebenchm

40、arkisspecifiedasapricetomeetorbeat(transactmorefavorably).Portfoliomanagersseekingshort-termalphamayselectanalternativebenchmarkknownasapricetargetbenchmark.25-207Inthiscase,aportfoliomanagerwouldIiketotransactinasecuritybelievedtobeundervaluedOrovervalued-atamorefavorableprice.M业回新it值2.3TradeStrate

41、giesTheprimarygoalOfatradingstrategyistobalancetheexpectedcosts,risks,andalphaassociatedwithtradingtheorderinamannerconsistentwiththeportfoliomanagerstradingobjectives,riskaversion,andotherknownconstraints.TradingStrategiesinvolvingequities,fixedincome,currency,andderivativesareexplainedasfollows:Sh

42、ort-termalpha：short-termalpha-drivenequitytrade(hightradeurgency).1.ong-termalpha:Iong-termalpha-drivenfixed-incometrade(Iowtradeurgency).Riskrebalance:buy/sellbaskettradetorebalanceafund,sriskexposure.Cashflowdriven:clientredemptiontradetoraiseproceeds.26-207NewMandateTrade:CaSheqUitjZatjon(derivat

43、ives)tradetoinvestanewclientmandate.M业色断n113.TradeExecution(StrategyImplementation)TradeImplementationChoicesAIgorithmicTradingExecutionAlgorithmClassificationsScheduled(POVzVWAPfTWAP)LiquidityseekingArrivaIpriceDarkstrategies/liquidityaggregatorsSmartorderroutersComparisonofMarketsEquitiesFixedlnco

44、meExchange-TradedDerivativesOver-the-CounterDerivativesSpotForeignExchange(Currency)3.1TradeImplementationChoicesAvarietyofimplementationchoicesareavailablebasedonthespecificorder,market,andtradestrategyinvolved.Thehigher-touchapproachesinvolvegreaterdegreesofhumaninteractionforordercompletion.Inpri

45、ncipaltrades,the-XecutinRbrokKrassumesaIIorDartoftheriskrelatedtotradingtheorder,PriCin-itintoherCiuotedspread.Inagencytrades,thebrokerisengagedtofindtheothersideofthetradebutactsasanagentOnkandriSkfortradingtheorderremainswiththebuy-sideportfoliomanagerortrader.Tradinginlargeblocksofsecuritiesrequi

46、resahigher-touchapproach.Avanationofquote-drivenmarketsoftenusedtotradeIeSSliQUidSecuritiesisarequestforquote(RFQ).2827与皿.QMfi.1B3.1TradeImplementationChoicesForstraightforwardtradesinliquidsecurities,Iow-touchautomatedexecutionStrategiesareoftenpreferred.AltemabVetradi11RSvrtcmS(ATS)mtffurrdiccjes(

47、MTF)Non-echangeIradingvenuesthatbringtogetherbuyersandsellerstofindtransactioncounterparties.DireCtmarketaccess(DMA)givesallmarketparticipantsawaytointeractdirectlywiththeorderbkofanexchange,Usuallythroughabrokersexchangeconnectivity.29-207Darkpools.M业色断nn3.2AlgorithmicTradingAlgorithmictradingisthecomputerizedexecutionoftheinvestmentdecisionfollowingsspeciedsetOftradinginstructions.Tradingalgorithms