CFA三级基础班讲义SS6 Capital Market Expectations in Portfoli

CFA三级基础班讲义SS6 Capital Market Expectations in Portfolio Management–pdf下载

Capital Market Expectation
Reading 23:
h. demonstrate the use of the Taylor rule to predict central bank
i. evaluate ( 1) the shape of the yield curve as an economic predictor
and (2) the relationship between the yield curve and fiscal and
monetary policy;
j. identify and interpret the components of economic growth trends and
demonstrate the application of economic growth trend analysis to the
formulation of capital market expectations;
k. discuss the risks faced by investors in emerging-market securities
and the country risk analysis techniques used to evaluate emerging
market economies;;
l. identify and interpret macroeconomic and interest and exchange rate
linkages between economies;
m. compare and contrast the major approaches to economic forecsting;
n. demonstrate the use of economic information in forecasting asset
class returns

Formulating Capital Market Expectations
Capital market expectations: macro-regarding classes of
assets or micro-regarding individual assets
Steps to formulate capital market expectations
i. Determine the specific capital market expectations according
to the investor’s status
ii. Investigate assets’ historical performance
iii. Identify the valuation model used and its requirements
iv. Collect the best data possible
v. Use experience and judgment to interpret investment
vi. Formulate capital market expectations
vii. Monitor performance and use it to refine the process
Ref. Page:209

Problems in Forecasting
Nine problems encountered in producing forecasts:
i. Limitations to using economic data
ii. Data measurement errors and biases
iii. Limitation of historical estimates
iv. Using ex post data
v. Biases in analyst’s methods

Economic Growth Trends
Economic growth can be partitioned into cyclical (ST) & trend components (LT)
i. Trends are determined in part by demographics, productivity and structural
changes in governmental policies
ii. Trend growth can be decomposed into 1) changes in employment levels, 2)
changes in productivity while former one can be further broken down into
population growth and rate of labor force participation
iii. productivity can be broken down into spending on new capital inputs and total
factor productivity growth
iv. 4 general guidelines regarding governmental policies that enhance growth
Provide the infrastructure needed for growth
Have a responsible fiscal policy
Have tax policies that are transparent, consistently applied, pulled from a wide
base, and not overly burdensome
Promote competition in the marketplace



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