2016年cfa考試大綱變動(dòng)分析level ii考綱

1、2016 CFA level II 考綱變動(dòng)分析2016 年 CFA level II 考綱變動(dòng)的科目為：數(shù)量、經(jīng)濟(jì)、財(cái)報(bào)、固收、衍生和組合；變動(dòng)較大的科目為：數(shù)量、固收和組合；其中，數(shù)量新增一個(gè) reading；固收刪除一個(gè) reading，組合刪除三個(gè) reading，新增兩個(gè) reading.具體變動(dòng)情況如下：1、數(shù)量SS3，R10.Multiple Regresand Ies in RegresysisSS3，Reading 12. Exct from “Probabilistic appraoches: scenarioysis,decitrees, andsimulations”（

2、新增考點(diǎn)）2、經(jīng)濟(jì)學(xué)SS4，Reading 13: Currency Exchange Rates: Determination and Forecasting3、財(cái)報(bào)SS6，Reading 20: Multinational Operations4、固收SS14，Reading 43. The term structure anderest rate dynamicsSS14，Reading 45. Valuation andysis: Bonds with Embedded OptionsSS15，Reading46.roduction to Asset-Backed Securities

3、（刪除）m. calculate the value of a capped or floored floating-rate bond;（刪除）g calculate andret the swap spread for a given maturity;（修改）c. describe how zero-coupon rates (spot rates) may be obtained from the par curve by bootstrap;（新增）i. explain how changeshe components of sales affect the sustainabili

4、ty of sales growth;（修改）n. describe objectives of central bervention and capital controls and describe the effectiveness ofervention and capital controls;（新增）a. describe steps in running a simulation;b. explahree ways to define the probability distributions for a simulations variables;c. describe how

5、 to treat correlation across variables in a simulation;d. describe advantages of using simulations in decimaking;e. describe some common constra sroducedo simulations;f. describe ies in using simulations in risk assessment;g. compare scenarioysis, decitrees, and simulations.a. formulate a multiple r

6、egresequation to describe the relation betn a dependent variable and several independent variables, determine the sistical significance of each independent variable, andret the estimated coefficients and their p-values;5、衍生SS17，Reading 52: Credit Default Swap6、組合2015，SS18，Reading 53: Portfolio Conce

7、pts（刪除）SS18，Reading 53. Anroduction to Multifactor Ms2015，Reading 54. Residual Risk And Return: The Information Ratio（刪除）2015，Reading 55. The Fundamental Law Of Active Management（刪除）2016，Reading 54.ysis of Active Portfolio Management（新增）2016，Reading 55. Economics and Investment Markets（新增）a. explahe

8、 notiont to affect market values, economic factors must affect one or more of the following: (1) default-freeerest rates across maturities, (2) the timing and/or magnitude of expected cash flows, and (3) riskpremiums;a. describe how value added by active management is measured;b. calculate andret th

9、e information ratio (ext and ex ante) and contrast it to the Sharpe ratio;c. se andret the fundamental law of active portfolio management including its component termstransfer coefficient, information coefficient, breadth, and active risk (aggressiveness);d. explain how the information ratio may be

10、useful in investment manager selection and choosing the level of active portfolio risk;e. compare active management strategies (including market timing and security selection) and evaluate strategy changeserms of the fundamental law of active management;f. describe the practical strengths and limiio

11、ns of the fundamental law of active management.f. describe uses of multifactor ms andret the output ofyses based on multifactor ms;（新增）g. describe the potential benefits for investors in considering multiple risk dimens when ming assetreturns.（新增）n. compare underlying amptions ands of the CAPM and A

12、PT m,and explain why an investor can sibly earn a substantial premium forexure to dimens of risk unrelated to market movements.（刪除）m. explain sourof active risk,ret tracking error, tracking risk, and theinformation ratio, and explain factorportfolio and tracking portfolio（刪除）d. describe and compare

13、macroeconomic factor ms, fundamental factor ms, and sistical factor ms;（新增）e describe the use of CDS to take advantage of valuation disparities among separate markets, such as bonds, loans,equities, and equity-linked instruments.（新增）：CFA-CHNb. explahe role of expecions and changes in expecionsarket

14、valuation;c. explahe relationship betn the long-term growth rate of the economy, the volatility of the growth rate, and the average level of real short-termerest rates;d. explain how the phase of the business cycle affects policy and short-termerest rates, the slope of the term structure oferest rat

15、es, and the relative performance of bonds of differing maturities;e. describe the factorst affect yield spreads betn non-inflation-adjusted and inflation-indexed bonds;f. explain how the phase of the business cycle affects credit spreads and the performance of credisitive e instruments;g. explain ho

16、w the characteristics of the markets for a companys products affect the companys credit quality;h. explain how the phase of the business cycle affects short-term and long-term earnings growth expecions;i. explahe relationship betn the consumption-hedging properties of equity and the equity risk premium;j. describe cyclical effects on valuation multiples;k. describe the impl