2014年CFAIII必背知识点权益.pdf

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1、2014年CFAIII必背知识点SS11、12Equity1.3typesofapproachesvs.beliefsconcerningmarketefficiencyPassiveActiveSemi-activeBetween;Marketisefficient;Inefficientmarket;ExtractinformationnotResearchwillnotprovideResearchwillleadtoembeddedinstockprices;sufficientreturntocove

2、routperformthemarketIndoingthatwithlimitedcost.netofallcoststrackingrisks.2.Approachestoconstructanindexportfolioi.(1)Fullreplication;a.Itismoreappropriatefor:i.smallerindices(lessthan1,000stocks);ii.whentheindexstocksareliquid;iii.andwhenthemanagerhasmorefundsto

3、invest.b.Theadvantagei.lowtrackingriskandii.theportfolioonlyneedstoberebalancedwhentheindexstockschangeorpaydividends.Ifthereplicationisbasedonvalue-weightedindex,itwillbeself-rebalanced.ii.(2)Stratifiedsampling;a.Stratifiedsamplingismoreappropriatewhen:i.thenumbe

4、rofstocksintheindexislarge;orii.thestocksareilliquid.b.Canbeusedtomimictheperformanceofconcentratedpositionwithinanindexwithouttakingtheactualconcentratedpositions.iii.(3)Optimization.a.Drawbacks:i.Imperfectlyspecified:itaccountsforthecovariancesbetweentheriskfact

5、orsbuttherisksensitivitiesmaychangethroughtimeoroptimizationprocedure.ii.Itmayalsoprovidemisleadingmodeljustreflectsamplingerror.iii.leadtofrequentrebalancing.b.Anoptimizationapproach,however,leadstolowertrackingriskthanstratifiedsampling.3.Stylei.Valueinvestments

6、tylea.Valueinvestorsfocusonlowpricemultiplestocksbecausetheybelievethatearningswillrevertupwardorthatthesestocksaresaferthanexpensivegrowthstocks.b.Avalueinvestormustrealizethattheremaybeagoodreasonwhythestockispricedsocheaplyandhaveanunderstandingofhowandwhenthes

7、tockmightrecover.c.Themainriskforvalueinvestorsisthattheperceivedundervaluationwillnotbecorrectedwithintheinvestor’sinvestmenttimehorizon.d.Thesubstylesare:i.HighDividendYield.ii.LowP/EorP/B;iii.Contrarian;ii.Growthinvestmentstylea.Growthinvestorsfocusonstockswith

8、highexpectedearningsgrowth.b.Theriskforgrowthinvestorsisthatearningsgrowthdoesnotmaterializeandtheprice-multiplefalls.c.Substylesare:i.Consistentgrowth;