CFA Level I 投资组合知识点整理

1. A diversified portfolio produces reduced risk. For a given level of expected return, compared to
investing in an individual security. Modern portfolio theory concludes that investors that do not take
a portfolio perspective Greater risk that is not rewarded with greater expected return.
一个分散化的投资组合可以降低风险。在一个特定的期望收益下，投资单个的股票风险会大
一些。MPT 理论强调投资者都是高风险预期高回报的。

2. Types of investment management clients and their characteristics:

对于各个机构对于风险忍耐度，投资期，流动性需求，和收入需求的不同点。

3. In a defined contribution plan, the employer contributes a certain sum each period to the
employee's retirement account. The employer makes no promise regarding the future value of the
plan assets; thus, the employee assumes all of the investment risk.
In a defined benefit plan, the employer promises to make periodic payments to the employee after
retirement. Because the employee's future benefit is defined, the employer assumes the investment
risk.
在确定缴付性的养老金计划中，雇主每一个阶段缴固定的费用给养老金账户中。雇主并没有
保证这个养老金资产的未来收益；因此，雇员承担所有投资风险。
在确定收益的养老金计划中，雇主答应在员工退休之后每个阶段应该给员工多少的退休工
资。所以雇员的未来收益是确定的，雇主承担所有投资风险。

4. The three steps in the portfolio management process are:

1) Planning: Determine client needs and circumstances, including the client's return objectives,
risk tolerance, constraints, and preferences. Create, and then periodically review and update,
an investment policy statement IPS that spells out these needs and circumstances.
2) Execution: Construct the client various asset classes based on the portfolio by determining
suitable allocations to IPS and on expectations about macroeconomic variables such as
inflation, interest rates, and GDP growth (top-down analysis). Identity attractively priced
securities within an asset class for client portfolios based on valuation estimates from security
 analysts (bottom-up analysis).
3) Feedback: Monitor and rebalance the portfolio to adjust asset class allocations and securities
holdings in response to market performance. Measure and report performance relative to the
performance benchmark specified in the IPS.
对于风险管理过程的三个阶段：
1. 计划阶段，确认顾客的需求和投资环境，包括顾客的投资目标，风险忍耐程度，投资限
制，以及偏好等等。制作完成之后要根据需要和市场环境进行阶段性的检验和更新。
2. 执行阶段，根据客户的宏观经济因素变量来确定资产池，一般用自上而下法。然后再用自下
而上法挑选出比较好的股票，也就是估值的方法。
3. 做好的投资组合之后要做在平衡，之后和 benchmark 对比一下自己组合的绩效怎么样。

5. Risk management is the process of identifying and measuring the risks an organization (or
portfolio manager or individual) faces, determining an acceptable level of overall risk (establishing
risk tolerance), deciding which risks should be taken and which risks should be reduced or avoided,
and putting the structure in place to maintain the bundle of risks that is expected to best achieve the
goals of the organization.
风险管理是确认和计算一个机构或者一个投资组合所面临风险的过程，确定所有可能会承担
的风险，建立风险的忍耐程度，决定哪些风险要留下，哪些风险要降低或者避免，来确保风险
维持在相对低的范畴下然后达到公司的最好目标。

6. An overall risk management framework should address the following activities:

Identifying and measuring existing risks.
Determining the organization's overall risk tolerance.
Establishing the processes and policies for risk governance.
Managing and mitigating risks to achieve the optimal bundle of risks.
Monitoring risk exposures over time.
Communicating across the organization.
Performing strategic risk analysis.
全面的风险管理框架应该强调以下哪些活动：
确定整个组织的风险忍耐程度
建立一个风险治理的流程和政策
管理和缓释风险以至于可以达到一个最优风险
时时监控风险暴露
组织内部之间的交流
全面战略化的风险分析

7. Risk governance refers to senior management's determination of the risk tolerance of the
organization, the elements of its optimal risk exposure strategy, and the framework for oversight of
the risk management function.
风险治理有关于高管对于风险忍耐程度的认定，最优风险暴露，风险管理的全面性框架

8. The risk tolerance for an organization is the overall amount of risk it will take in pursuing its
goals and is determined by top management.
一个公司的风险忍耐程度或者说是风险偏好是高管决定的，它是我们在追求公司目标是能够
承担的最大风险。

9. Risk budgeting is the process of allocating the total risk the firm will take (risk tolerance) to assets
or investments by considering the risk characteristics of each and how they can be combined to best
meet the organization's goals. The budget can be a single risk measure or the sum of various risk
factors.
风险预算是把风险做一个配置，从而来确定哪些项目应该配备有多少的资产和投资。预算是
一个简单的风险计算或者是一个风险因素的加总。

10. Financial risks are those that arise from exposure to financial markets, including credit risk,
liquidity risk, and market risk. Non-financial risks are the risks from the operation of the
organization and from sources external to the organization. Individuals face mortality and longevity
risk, in addition to financial risks.
Interactions among risks are frequent and can be especially significant during periods of stress in
financial markets.
金融风险是那些与金融市场有关的风险，包括信用风险，流动性风险，和市场风险。非金融
风险是公司流程中的风险，这些风险都是来源于公司外部的。个人面对于死亡风险和长寿风
险，包括金融风险。
风险与风险之间的相关性很紧密而且会在金融市场面临风险与压力是产生巨大变化。

11. Risk of assets is measured by standard deviation, beta, or duration. Derivatives risk measures
include delta, gamma, vega, and rho. Tail risk is measured with value at risk (VaR) or Conditional
VaR. Some risks must be measured subjectively.
An organization may decide to bear a risk (self-insurance), avoid or take steps to prevent a risk,
efficiently manage a risk through diversification, transfer a risk with insurance or a surety bond, or
shift a risk (change the distribution of uncertain outcomes) with derivatives
Organizations may use multiple methods of risk modification after considering the costs and
benefits of the various methods. The end result is a risk profile that matches the organization's risk
tolerance and includes the risks that top management has determined match the organization's goals.
资产的风险被定义为标准差，贝塔，或者久期。衍生产品的风险计算包括 delta , gamma, vega
和 rho. 尾部风险用 Var 衡量或者是条件 Var. 一些风险的衡量可能具有主观性。
一般风险的管理方法有避免风险，转移风险，缓释风险，保留风险。
在考虑到不同方法的收益和成本之后，公司可能会使用多种风险调整的方法。最后的结果是
风险的框架要和公司的风险偏好匹配以及包括高管确认的风险要和企业的目标相一致。
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13.
14. Risk and return for different values of correlation

Correlation = +1 → an upward-sloping straight line，diversification has no potential benefits.

Correlation from +1 to 0.5 → bows out to the left, in the direction of smaller standard deviation
Correlation of 0.5, 0 and -1 → we can get more expected return with less risk. As we lower
correlation, holding all other values constant, there are increasingly larger potential benefits to
diversification.
Correlation = -1 → has two linear segments. Portfolio risk can be reduced to zero, if desired.

15.

16. The Markowitz assumptions

1) All investors are risk averse; they prefer less risk to more for the same level of expected return;
2) Expected returns for all assets are known;
3) The variance and covariance of all asset returns are known;
4) Investors need only know the expected returns, variances, and covariance of returns to
determine optimal portfolios. They can ignore skewness, kurtosis and other attributes of a
distribution;
5) There are no taxes or transaction costs.

16.

17. Indifference Curve for various types of investors

Indifference curve: plots combinations of risk(standard deviation) and expected return among which
an investor is indifferent.

18.

19.
20. Risky Portfolios and Their Associated Capital Allocation Lines for Differentinvestors

If each investor has different expectations about the expected returns of, standard deviations of, or
correlations between risky asset returns, each investor will have a different optimal risky asset
portfolio and a different CAL

21. When investors share identical expectations about the mean returns, variance of returns, and
correlations of risky assets, the CAL for all investors is the same and is known as the capital market
line (CML):

Investment using CML follow a passive investment strategy (i.e., invest in an index of risky assets
that serves as a proxy for the market portfolio and allocate a portion of their investable assets to a
risk-free asset.)
Difference between the CML and the CAL

22.

23.

The equations for the two lines are given below.

24. Unsystematic risk (or unique, diversifiable, firm-specific risk):
The risk that disappears in the portfolio construction process
Systematic risk (or market risk):
The risk that is left cannot be diversified away.
Total risk = systematic risk + unsystematic risk
Since unsystematic risk can be eliminated through diversification, only systematic risk is
compensated.
Risk vs. Number of portfolio Assets

25. Assumptions of capital market theory:

Risk averse investors
Unlimited risk-free lending and borrowing
Homogeneous expectations
One-period horizon
Divisible assets
Frictionless markets
No inflation and constant interest
Equilibrium

26. Capital Asset Pricing Model

27.

E(Ri): expected return on risky asset E(Rm)

- Rf : market portfolio risk premium βi :
systematic risk of asset i
βi×[E(Rm) - Rf ]: beta-adjusted market risk premium

28.

29. Asset characteristic line (regression of asset excess returns against market asset returns)
30. Return generating models are used to estimate the expected returns on risky securities based on
specific factors.
Market model
Ri=αi+βiRm+εi
Ri = Return on Asset i
Rm = Market return
βi = Slope coefficient
αi = Intercept
εi = Abnormal return on Asset i

31. How to judge if a stock is properly valued

How to judge if a stock is properly valued

1) Undervalued
Estimated return > Required return from the SML
Investors should buy.
2) Overestimated
Estimated return < Required return from the SML
Investors should sell.
3) Properly valued
Estimated return = Required return from the SML
Investors are indifferent between buying or selling
32. You invest 20 percent of your money in the risk-free asset, 30 percent in the market portfolio,
and 50 percent in RedHat, a US stock that has a beta of 2.0. Given that the risk-free rate is 4 percent
and the market return is 16 percent, what are the portfolio’s beta and expected return?
The beta of the risk-free asset = 0, the beta of the market = 1, and the beta of RedHat is 2.0. The
portfolio beta is
βp = w1β1 + w2β2 + w3β3 = (0.20 × 0.0) + (0.30 × 1.0) + (0.50 × 2.0) = 1.30
E(Rp) = Rf + βp[E(Rm) – Rf] = 0.04 + 1.30 × (0.16 – 0.04) = 0.196 = 19.6%
The portfolio beta is 1.30, and its expected return is 19.6 percent.

33. Differences between the SML and the CML

34.

35.
36.

37. Comparison of four measures

Jensen’s alpha 和 M-squared 是可以根据大小来判断投资业绩
we are not only able to determine the rank of a portfolio but also which, if any, of our portfolios beat
the market on a risk-adjusted basis
Sharpe ratio 和 Treynor measure 需要再和其他的组合的指标进行比较
to rank portfolios, the Sharpe ratio or Treynor ratio of one portfolio must be compared with the
Sharpe ratio or Treynor ratio of another portfolio
For non-diversified portfolio，Sharpe ratio and M-squared are appropriate
For fully diversified portfolio，Jensen Alpha and Treynor are appropriate

38. The Decision to Add an Investment to an Existing Portfolio

Three inputs needed:
the Sharpe ratio of the new investment;
the Sharpe ratio of the existing portfolio; and
the correlation between the new investment's return and portfolio p's return, Corr(Rnew, Rp).
Adding the new asset to your portfolio is optimal if the following condition is met.

39. Investment objectives: risk and return

Risk objective
The risk objective limits how high the investor can set the return objective
Risk measurement:
1) Absolute: variance or standard deviation
2) Relative: relate risk relative to one or more benchmarks perceived to represent appropriate risk
standards (tracking risk),
3) Downside risk: VAR
Risk tolerance: willingness and ability

40. Investment constraints

1) Liquidity—for cash spending needs (anticipated or unexpected)
2) Time horizon—the time between making an investment and needing the funds
3) Tax concerns—the tax treatments of various accounts, and the investor’s marginal tax bracket
4) Legal and regulatory factors—restrictions on investments in retirement, personal, and trust
accounts
5) Unique needs and preferences—constraints because of investor preferences or other factors not
already considered

41. Strategic asset allocation:

combine the IPS and capital market expectations to formulate weightings on acceptable asset classes
Specify the percentage allocations to the included asset classes
Correlations within the class & correlations between asset classes
Active portfolio management
Tactical asset allocation: a manager who varies from strategic asset allocation weights in order to
take advantage of perceived short-term opportunities. Depend on:
The manager’s ability to identify shot-term opportunities in specific asset classes;
The existence of such short-term opportunities.
Security selection: deviation from index weights on individual securities within an asset class.
Depend on:
The manager’s skill
The opportunities with in a particular asset class.