復習筆記cfa l二分類前三種是傳統(tǒng)return

AlternativeRA25AlternativeInvestmentPortfolio共同點：lowliquiditydiversification,duediligencecosts,difficultperformanceIssuesforprivatewealths：taxes,suitability,communication,decisionrisk,concentrated（一）Realdirect：residences,commercialrealestate,agricultureindirect：持有房地產公司，REITs,CREF(私募REITs),Infrastructureadvantagei.deductibletax;ii.Abilitytousemoreleverage;iii.Moredirectcontrolthanstocks;iv.Diversification(地理上);v.lowervolatilitythanstocks.disadvantage:i.alargepartoftheinvestor’sportfolio;ii.Highinformationcost;iii.成Highcommissionsiv.highoperatingandmaintenancecosts;v.Specialgeographicalrisk;vi.politicalrisk,suchastaxeschange.（二）非公開Private(1)earlystage:seed,startup,firstBuyout:middle-capbuyoutfunds,mega-capbuyoutDividendrecapitalization：成熟公司，暫時，PE投一筆錢，占（一般控股，公司過dividendPEPE所占股權比例不變。fees：Managementfee+Incentivefee:hurdlerateclaw-back（其他項目虧損要取把已經拿到缺點：illiquid,long-term,higherriskhigherRR,limited7-10diversificationportfolio（三directcommodity和特點：lowcorrelationwithstocksandbonds,businesssensitivity,positivecorrelationwithnon-假設有全額，但用做投資，因此有collalreturnreturn=spotreturn+collalreturn+rollreturn lreturn：持有現(xiàn)金獲得的收益rollreturntermstructure:要做長期投資，但使用流動性較強的短期合約，roll貼水（backwardation：rollyield是正的，即轉倉時越來越貴升水（contango）:rollyield（四）HedgeEquitymarketneutral：long–short★Convertiblearbitrage：convertiblebonds,warrantsorconvertiblepreferredstock：一般普通股被高估，可轉換股被低估?？梢?。eDistressed★Mergerarbitrageordealarbitragetarget漲，acquirer(并購方)Hedgedequityglobalmacroemerging場整體。但investor（出資人）因為FOF的diversificaton反而可能失去自己portfolio的diversification。②多次，extralayeroffees。③moreliquidity。④cashdrag（keeextracash（體現(xiàn)其他的對稱基金。⑧sufferfromstyledrift。⑨morehighcorrelationwithequityrelativevaluestrategies★event-drivenmergerorequityglobalassetshort經驗表明，sharp不適合Hedgefund，因為sharpratioassumenormaldistribution,hedgedisynegativeskewnessandpositivekurtosistimedependence(higherforlongerperiods)littlepowerforhedge（五）ManagedFutures：只做的基focusonmacro，hedgefundfocusonindividual類型：systematictradingstrategies,discretionarytrading衍生品是“zero-sum”gamesnotavailabletoallinvestors，原因二市場中有人對沖風險；portfolio里的角色：diversification，原因：abilitytoshort（六）distressed公開流通：Hedgefundstructure，主要方法，流動性非公開上市：PEfundstructuredistressed①publiclytradeddebtand②orphanequity③bankdebtandtradeclaims④“l(fā)endoflastresortnotes①below-investment-gradeIPS②oldequityclaimsmaybewipedoutina③dependonspecialistskillsanddeep④illiquid,negativeskewnessandpositive①long-only：high-yieldinvesting,orphanequity②distresseddebtarbitrage：longbond,short如果公司轉好，bond漲的多，equitybond優(yōu)先償還；如果公司繼續(xù)差，bond跌的少，equityequity③Privateequity：vulturefunds,④variationofactive①Eventrisk;②liquidityrisk;③Marketrisk；④Jfactorrisk（Judgefactorrisk：法律三、業(yè)績基準Ben realestate：volatilitydownsidecommodityindex的兩種權重方式：根據全球產值，根據重要Hedgefundben ark的問題（1）popularitybias：好的ben ark吸引很多人買，導致好的fund權重大，導致upwardbias（2）survivorshipbias，upwardbias（3）stalepricebias：隔一段時間才更新一次，導致volatilitydownwardbias（4）backfillbiasorinclusionbias：hedgefund是自愿報告，所以表現(xiàn)好的傾向于報告，upwardbias。加入房地產，sharpratiodiversificationsharpratio更好加入PE，長期看超過，短期看不一定比好Commodity作為單獨投資，return少，standarddeviation大，sharpratio小，沒有價值。Commodity，sharpratio得到提升。Hedgefund：長期好，短期meanreturn和sharpratio比好，差于債券RiskRA26RiskRA是企業(yè)的風險管理，RA27-29是如何使用衍生品對沖投資風險。一、Risktypes+IdentifyRisk注意：1.（一）FinancialRisk（主要考點Marketrisk★：最大的風險。由于利率、匯率、股價、大宗商品等價格發(fā)生變化帶來的風CreditriskLiquidityrisk注意：1.marketrisk；2.OTC，bond（公司債）creditrisk。3.手上資產value>0的信用風險？？？。4.房地產、Hedgefund、藝術品、OTCliquidityrisk。（二）NonFinancialoperationalrisksettlementrisk★：OTC產品、ForeignExchangesettlementmodelrisk;4.sovereignrisk;5.regulatoryrisk;6.tax,accountingandlegal/contract（三）other1.ESG(Environmental,social,ernance)risk;2.performancenettingrisk;3.settlementnettingMeasuring（一）marketstandarddeviation:price,surplusfirst/second-orderRisk)（1）（2）（3）（4）切分位點。1.37%/1.37VARatthe5%probability1001.37萬的概率5%95%1.37以內。再如：考試會讓解釋：The1-day,1%VARofaportfoliois$2.6million:Thismeantthatthereisa1%chancetheportfoliowilllosemorethan$2.6millioninoneday.ORthereisa99%chancetheportfoliowillloselessthan$2.6millioninoneday.n（1）percentage（3）timeperiod（4）同樣的分布，1%VAR5%的大（x軸負值，左邊比右邊絕對值大（5）0，題目可能不給出；長期一般（6）standarddeviationvariance（7）VARn

(假設波動之間沒有關系)n=12n=52，日=252分析法（yticalMethod）優(yōu)缺點，考試中可能描述一個場景，要求寫出優(yōu)缺點。優(yōu)點：①easytocalculateandeasilytounderstood；②allowsmodelingthecorrelationsofrisks；③canberepliedtoshorterorlongertimeperiods.缺點①assumesnormaldistribution;②manyassetsexhibitleptokurtosis;③difficulttoestimatestandarddeviationinverylargeHistoricalVARMethod:根據歷史數(shù)據的分布計算。優(yōu)點：①easytocalculateandeasilytounderstood；②doesnotassumeareturndistribution；③canbeappliedtodifferenttimeperiodsaccordingtoindustrycustom.缺點：①assumethepatternofhistoricalreturnswillrepeatinthefuture.MonteCarloVARMethod：計算方法和yticalMethod一樣（路徑多了就是正態(tài)分布。優(yōu)點：①incorporateanyassumptionsregardingreturnpatterns,correlations,andotherfactorsthe ystbelievesarerelevant.缺點：theoutputisonlyasgoodastheinputassumptions. etheindustrystandard；②不同風險整合成一個aggregatesallriskintoonesingle,easytounderstandnumber；③用作資本分配canbeusedincapital缺點：①Somemetheds（MonteCarlo）aredifficultandexpensive；②differentcomputationmethodscangeneratedifferentestimatesofVAR；③Itcangenerateafalsesenseofsecurity；④★★★Itisone-sided,focusingonthelefttailinthereturndistribution,andignoresanyupsidepotential.Scenarioysis★：缺點inabilitytoaccuraymeasureby-productsofmajorfactormovements（factorbu-products）①stylizedscenarios：定義9種情況，theystchangeoneormoreriskfactorstomeasuretheeffectontheportfolio;②actualextremeevents：the ystmeasurestheimpactofmajorpasteventsontheportfolio③hypotheticalevents：neverhappenbutmightmodels（08①factorpushysis：將情況不斷變②umlossoptimization：求極③worst-casescenario：情④缺點：i.incorrectinputsandassumptions;ii.userbias;iii.somefactorshavedifferingorevenoppositeeffectsonvalues（二）bond兩個維度：probabilityofevent(ProbabilityofDefaultamountofloss(LossGiven考試重點：OTC產品forward,option,andswaps，所的衍生品creditvalue0creditriskoption都是long方creditrisk，金額是optionpremium。Europeanoptioncreditrisk只creditrisk。currentcreditrisk（jumptodefaultrisk）Potentialcreditriskswapcreditriskcurrencyswap，中間和到期之間最大三、管理風險ManageRiskManageMarket（1）RiskbudgetManageCreditRisk：limitingexposure,markingtomarket,collal,paymentnetting,closeoutnetting(某一方bankruptcy時)minimumcreditstandardsSPVenhancedderivatives四、衡量風險調整后的表現(xiàn)：MeasuringRisk-adjusted

RiskManagementApplicationsofforwardorfuturedurationbeta，forwardorfuturepriceportfolio，portfolioforwardorfutureRA27RiskManagementofForwardandFutures一、用遠期或調整手中的（一）

betacontracts(TP PfHedgeisrarelybasisrisk：用合約hedge現(xiàn)貨，兩種不是一種主體原因①分子與分母不是基于同一主體。thenumeratoranddenominatorarenotbasedonthesameitem。②beta和久期不能反應市值變化。thebetasanddurationsusedinthehedgecalculationdonotreflecttheactualsubsequentmarketvaluechangesoftheportfolioorcontract.③thehedgeresultsaremeasuredpriortocontractexpirationand/orthehedgeisclosedpriortocontractexpiration.④四舍五入。thenumberofcontractsis⑤定價。thefutureandspotpricearenotfairly（二）SyntheticPositions：要用risk-rate計syntheticequity=longrisk-asset+stockindexsyntheticrisk-asset=longstock-stockindexfutures：手里有的合約和hedge所用標的一致。仍然使用調整beta的。如果題中描述是syntheticcash，期限更明確，用risk-rate。如果僅調整beta，沒有考慮期限，沒給risk-rate，不用考慮risk-rate。（三）equitytobondsbeta0durationbondstoequityduration0betabetaequitybeta0（四）preinvestingfutures模擬一段時間之后手中的頭寸（一）transactionexposureeconomicexposure：匯率變動帶來的變化對經濟的影translationexposure：子公司財報處理時的風（二）hedginghedgehedge。precisevalueofequityposition①hedgingaminimumfuturevaluebelowwhichtheyfeeltheportfoliowillnot②hedgingtheestimated③hedgingtheinitial（三）futuresorforwards？bondandequity用interestpaymentsorreceiptRA28RiskManagementofOptionOption主要掌握三個內容：構建策略及背后的意圖、max&min、如果畫圖，畫草圖即可；shortoption都是為了賺費，但有風險；longoption會帶cost一、CoveredcallandProtective（一）Coveredcall，會漲到call的執(zhí)行價格X。如果價格沒有漲到X，賺取漲的價格和calloption的premium。如果價格下降，則判斷錯誤會導致?lián)p失。profit=ST–S0+c–max(0,ST–ST>X時，profitST–S0+cSTXX+cST<X時，profitSTS0+（二）Protective基本思想：買，longput。已經買了，看好繼續(xù)上漲，但害怕下跌。如果繼續(xù)漲，則不執(zhí)行Put，損失putpremium；如果下跌超過X，能夠維持已經在X獲得的。profitSTS0pmax(0,XST)ST>X時，profit=ST–S0-pST<X時，profitSTS0pXSTXS0-二、OptionSpread（一）BullBullSpreadusing（1）基本思想：牛市看漲，LonglowX的call，能賺錢但花了費，所以shorthigh的call，賺費（2）profitcLmax(0,STXLcHmax(0,STXH)ST<XL時，profitcL+cH<0XL<ST<XH時，profitcLST–XLcXH<ST時，profitcLST–XL+cHSTXHcLXLcH+XBullSpreadusing（1）基本思想：牛市看漲，賺費，shorthighXput賺費；但萬一跌了會賠錢，所Longput，降低風險。（2）profit（二）BearBearSpreadusing（1）基本思想：熊市看跌，shortlowX的call，賺費，但害怕上漲，所以longhigh（2）profitBearSpreadusing（1）基本思想：熊市看跌，longhighXput賺錢，但花了費；所以要short一個low（2）profit=-pH+max(0,XH-ST)+pH-max(0,XL-（三）Butterfly都是賣middle，買一高一低兩份。蝴蝶尖向上（maxprofit）是longButterflySpreadwith（1）基本思想：shortmiddleXcall，longcalllowXhigh（2）profit=2cM-2max(0,ST–XM)-cL+max(0,ST–XL)-cH+max(0,ST–ButterflySpreadwith基本思想：shortmiddleXput，longputlowXhighprofit=2pM-2max(0,XM-ST)-pL+max(0,XL-ST)-pH+max(0,XH-（四基本思想（1）longstraddle判斷可能大漲或（betonvolatility，同時long一個call,一個put，執(zhí)行價格都一樣，無論漲跌都賺錢（2）shortstraddle判斷一段時間內股價不變，賺費。但風險很大，如果股價有較大變動，虧損很大。profit=-c+max(0,ST–X)-p+max(0,X-（五）Collar（和Bullspread，但Collar持有，應用場景和目的不同基本思想：可以看做（1）coveredcalllongput（2）pro