2017_cfa二级基础班_portfoio management_zq

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1、www.gfedu.netPortfolioManagement2017年CFA二级培训项目讲师：周琪1-145www.gfedu.netTopicWeightingsinCFALevelIISessionNO.ContentWeightingsStudySession1-2Ethics&ProfessionalStandards10-15StudySession3QuantitativeMethods5-10StudySession4EconomicAnalysis5-10StudySession5-6Fin

2、ancialStatementAnalysis15-20StudySession7-8CorporateFinance5-15StudySession9-11EquityAnalysis15-25StudySession12-13FixedIncomeAnalysis10-20StudySession14DerivativeInvestments5-15StudySession15AlternativeInvestments5-10StudySession16-17PortfolioManagement5-10

3、2-145www.gfedu.netSS16:PortfolioManagement:FrameworkProcess,AssetAllocation,andRiskManagementPortfolio•R47TheportfolioManagementManagementProcessandtheInvestmentPolicyStatement•R48Anintroductiontomultifactormodels•R49MeasuringandManagingMarketRiskSS17:Econ

4、omicAnalysis,ActiveManagement,andTrading•R50Economicsandinvestmentmarkets•R51Analysisofactiveportfoliomanagement•R52AlgorithmicTradingandHigh-FrequencyTrading3-145www.gfedu.netReading47TheportfolioManagementProcessandtheInvestmentPolicyStatement4-145www.gfed

5、u.net1.PortfolioPerspectiveFramework2.InvestmentObjectivesandConstrains3.IPS4.Managementinvestmentportfolios5-145www.gfedu.netPortfolioPerspectivePortfolioPerspective:focusontheaggregateofalltheinvestor’sholdingstheportfolioHarryMarkowitz→ModernPortfolioTh

6、eory(MPT)SomepricingmodelssuchasCAPM,APT,ICAPM,etc→thesepricingmodelsareallbasedontheprinciplethatsystematicriskispriced→shouldanalyzetherisk-returntradeoffoftheportfolio6-145www.gfedu.netPortfolioManagementStepstheplanningstepIdentifyingandSpecifyingth

7、eInvestor’sObjectiveandConstraintsCreatingtheInvestmentPolicyStatementFormingCapitalMarketsExpectationsCreatingtheStrategicAssetAllocationtheexecutionstepTacticalAssetAllocationSecuritySelection/CompositionthefeedbackstepMonitoringandRebalancePerfor

8、manceEvaluation7-145www.gfedu.netInvestmentObjectivesandConstrainsInvestmentobjectivesInvestmentobjectivesrelatetowhattheinvestorwantstoaccomplishwiththeportfolioObjectivesaremainlyconcernedw