分类: 注册金融分析师(CFA)资格认证考试

  • CFA三级原版书(非划线版)(共6本教材扫描PDF)

    CFA三级原版书(非划线版)(共6本教材扫描PDF)

    CFA 3级 第1本.pdf
    CFA 3级 第2本.pdf
    CFA 3级 第3本.pdf
    CFA 3级 第4本.pdf
    CFA 第三级 第五本.pdf
    CFA 3级 第6本.pdf

  • CFA三级基础班Portfolio management for institutional investor

    CFA三级基础班Portfolio management for institutional investors–pdf下载

    1.养老基金(Pension funds)
    –界定利益计划
    界定利益计划:由养老金资产支付养老金负债。计划发起人的精算师需要根
    据未来劳动力变化、薪酬水平及变化、提前退休人数比例、雇员预期寿命等
    因素估算养老金负债金额以及这些负债的现值。养老金负债也等于已退休
    (retired)和在职(active)员工的负债之和。
    养老金盈亏状态(funded status):养老金资产的市场价值(market
    value)与养老金负债的现值(present value)的关系。当资产市场价值大
    于等于负债现值的时候称为资金充足计划(Fully funded plan),当资产市
    场价值小于负债现值的时候称为资金不足计划(under-funded plan)。

    1.养老基金(Pension funds)
    –界定利益计划
    养老金负债共有三个定义:
    累计利益负债(accumulated benefit obligation):假设养老金计划现在
    立即终止,所有已累计利益负债的现值,不考虑未来薪酬的增长因素。
    预计利益负债(projected benefit obligation):考虑未来薪酬的增长因素
    情况下估算的利益负债现值。通常盈亏状态的计算要用预计利益负债。
    总体未来负债(total future obligation):最全面但也最不确定的方法,包
    括累计利益和预计未来利益的现值。
    说明:简单公式:

    1.养老基金(Pension funds)
    –界定供款计划
    界定供款计划的两个关键问题:
    第一,分散化(diversification),即计划发起人需要为计划受益人提供一个
    分散化的投资选项列表。
    第二,公司股票(company stock),即养老金计划投资于发起人公司股票
    的比例须有所限制。
    界定供款计划的投资策略书(IPS)与界定利益计划的很不一样,前者发起
    人只需提供一个分散化的投资列表并对受益人提供投资教育,具体的投资是
    由受益人自己负责的。因此,DC的IPS仅规定投资、运作的基本原则,没有
    具体的收益率、风险容忍度等指标,请参见reading 2—p280 。

    –混合计划及其它
    混合计划及其它(hybrid and other plans)
    混合养老金计划包括现金余额计划(cash balance plan)、养老金股权计划
    (pension equity plan)、目标利益计划(target benefit plan)和最低限计划(floor
    plan)
    共同的特点是把DC计划好的方面(比如,可转移(portability)、管理方便
    (administrative ease)等)和DB计划好的方面(比如,利益保障(benefit
    guarantees)、服务年限回报(years of service rewards)、与薪酬挂钩(link
    retirement pay to a percentage of salary)等)结合起来,其中以现金余额计
    划和员工持股计划(employee stock ownership plan, ESOP)最普遍。

  • CFA Level III GIPS highlighted–pdf下载

    CFA Level III GIPS highlighted–pdf下载

    Table of Content
    Preface: background of the GIPs standards
    I. Introduction
    A. Preamble – Why Is a Global Standard Needed?
    B. Vision Statement
    C. Objectives
    D. Overview
    E. Scope
    F. Compliance
    G. Implementing a Global Standard

    II. Provisions of the global investment performance standard
    0. Fundamentals of compliance
    1. Input data
    2. Calculation methodology
    3. Composite construction
    4. Disclosures
    5. Presentation and reporting
    6. Real estate
    7. Private equity

    GIPS Characteristics
    GIPS Characteristics
    ? The GIPS are not a complete set of rules for performance calculation and
    presentation, and will evolve over
    ? Within the GIPS are supplemental real estate and private equity provisions
    that must be applied to these asset classes
    The GIPS must be applied on a firm wide basis in order for a firm to claim compliance
    A firm must state how it defines itself as a firm when claiming compliance with GIPS
    A firm is defined as “an investment firm, subsidiary, or division held out to clients or potential
    clients as a distinct business entity
    The definition of the firm establishes the boundaries for what constitutes firm assets and the set
    of portfolios that must be included in at least one composite

  • CFA Level3三级复习策略–pdf下载

    CFA Level3三级复习策略–pdf下载

    Analiste was an analyst under Heade. One day he told Heade that he had
    some private information suggesting that an unnamed South American oil
    service stock was “ready to pop” and asked for his guidance on whether the
    stock could be widely owned by the company’s clients. Heade said “You are
    one of our most experienced analysts. Do what you think is right.”
    Which of the following most accurately describes whether Heade fulfilled his
    supervisory responsibilities under the CFA Standards?
    A. Heade was entitled to delegate responsibility to senior analysts with broad
    experience such as Analiste, and is not required to approve each stock
    selection.
    B. Heade should have been sensitive to several “warning flags” presented by
    Analiste’s state of mind, choice of investment and sources of information, and
    brevity of disclosure. Heade should have taken a careful look at the situation.

    ECONOMICS—level two?
    16. Given the two stage FCFE for stock market index, FCFE for 2007 is
    60, the growth rate from 2008-2010 is 12.4%, the growth rate after 2010 is
    9%, the cost of equity is 12.4% (the same to first stage growth rate, easy
    for discount the first 3 year FCFE), calculate the value of the index. (Use
    the two stage DCF model)
    17. Given the Dividend, EPS for 2007 and 2008, given risk free rate and
    risk-premium, given ROE, calculate P/E for 2008 under DDM mode

    Risk management:
    How can a trader produce a short vega, long gamma position?
    A. buy short-maturity options, sell long-maturity options.
    B. buy long-maturity options, sell short-maturity options.
    C. buy and sell options of long maturity.
    D. buy and sell options of short maturity.

  • CFA Level3三级 Private Wealth Management–pdf下载

    CFA Level3三级 Private Wealth Management–pdf下载

  • CFA三级全景班讲义Fixed Income Analysis–pdf下载

    CFA三级全景班讲义Fixed Income Analysis–pdf下载

    Benchmark & Bond Index

    Bond Portfolio Benchmark
    1.Using Bond Index as benchmark
    Agree with the market forecast
    Passive management
    A superior ability to forecast or identify the under-value securities
    Active management
    2.Using Liabilities as benchmark
    Against a single liability
    Against a set of liabilities

    Bond Indexing Strategy 1
    1.Increasing active management
    2.Increasing expected return
    3.Increasing tracking error
    Pure Indexing Full-blown active management
    Active managing
    Tracking error
    Expected return

    Bond Indexing Strategy 2
    1.Pure bond indexing
    Difficult and costly
    2.Enhanced indexing by matching primary risk factors
    Sampling
    3.Enhanced indexing by small risk factors mismatches
    Tilting
    4.Active management by larger risk factors mismatches
    5.Full-blown active management
    Advantages:
    Related to the index
    Tracking and Restrictions
    Fees and returns
    Disadvantages:
    Risk
    Cost
    Tracking error

    Early Retirement Structures 1 – Callable Bond
    Negative convexity
    Under-perform when the rates fall
    Early Retirement Structures 2 – Sinking Funds
    Just like a kind of call
    Sell in discount
    In discount, when the rates fall, the price has the potential to increase
    Not fall as much when the rates rise, due to repurchase each year
    Early Retirement Structures 3 – Put-able Bond
    When there is a strong belief that rates will rise, the put-able bond can be
    considered

  • CFA考试三级培训Ethics and GIPS–pdf下载

    CFA考试三级培训Ethics and GIPS–pdf下载

    Main Topics
    Code of Ethics
    Standards of Professional Conducts
    Asset Manager Code of Professional Conduct
    Global Investment Performance Standards

    Reading 4: The Consultant
    Reading 5: Pearl Investment Management (A), (B), and (C)
    a. evaluate professional conduct and formulate an appropriate response to
    actions which violate the CFA Institute Code of Ethics and Standards of
    Professional Conduct;
    b. prepare appropriate policy and procedural changes needed to assure
    compliance with the Code of Ethics and Standards of Professional Conduct.

    Reading 6: Asset Manager Code of Professional Conduct
    a. summarize the ethical responsibilities required by the six components
    of the Asset Manager Code;
    b. interpret the Asset Manager Code in situations presenting issues of
    compliance, disclosure, or professional conduct;
    c. recommend practices and procedures designed to prevent violations of
    the Asset Manager Code.

    2.Guidance
    Member should seek advice of counsel or their compliance
    when in doubt
    Member should document any violations when they
    disassociate themselves from prohibited activity and
    encourage their employers to bring an end to such activity.
    There is no requirement under Standards to report
    violations to governmental authorities, but this may be
    advisable in some circumstances and required by law in
    others.

  • CFA三级基础班讲义SS3 Behavioral Finance–pdf下载

    CFA三级基础班讲义SS3 Behavioral Finance–pdf下载

    Reading 7:
    The candidate should be able to evaluate the impact of
    heuristic-driven biases on investment decision making
    including representativeness, overconfidence, anchoringand-
    adjustment, and aversion to ambiguity.

    Reading 8
    Reading 8:
    a. explain how loss aversion can result in investors’
    willingness to hold on to deteriorating investment
    positions;
    b. evaluate the impacts that the emotional frames of selfcontrol,
    regret minimization, and money illusion have on
    investor behavior;

    Reading 12:
    a. explain how the illusions of knowledge and control lead
    expert forecasters to be overconfident in their forecasting
    skills;
    b. explain the ego defense mechanisms that forecasters
    rely on as justification for inaccurate forecasts;
    c. explain why forecasts may continue to be used when
    previous forecasts have been inaccurate.

    Reading 13:
    a. contrast chronic market inefficiencies with accurate
    inefficiencies and describe the behavioral factors (such as
    convoy behavior, Bayesian rigidity, price-target
    revisionism, and the ebullience cycle) that may give rise to
    chronic inefficiencies;
    b. explain the portfolio rebalancing behavior of holders,
    rebalancers, valuators, and shifters, and evaluate the
    impact these rebalancing behaviors have on market
    efficiency.

    Alpha Hunters and Beta Grazers
    Chronic market inefficiencies
    i. Structural: frictions on trading, organization barriers and capital flow
    imbalances
    ii. Behavioral
    Process versus outcome
    Herding (convoy)
    Rigid views (Bayesian Rigidity)
    Price target revisions
    Correlating emotions with market (The Ebullience Cycle)

  • 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
    behavior;
    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
    conditions
    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

  • CFA三级基础班讲义SS7 Economic Concepts for Asset Valuation i

    CFA三级基础班讲义SS7 Economic Concepts for Asset Valuation in Portfolio Management–pdf下载

    Dreaming with BRICs: The Path to 2050
    Reading 25
    Reading 25:
    a. contrast the economic potential of Brazil, Russia, India, and China
    (BRICs) to that of the current G6 (U.S., Japan, U.K., Germany, France,
    and Italy) in terms of economic size and growth, demographics and per
    capita income, growth in global spending, and trends in real exchange
    rates;
    b. explain why certain developing economies may have high returns
    on capital, rising productivity, and appreciating currencies;
    c. evaluate the importance of technologic progress, employment
    growth, and growth in capital stock in estimating the economic
    potential of an emerging market;
    d. discuss the conditions necessary for sustained economic growth,
    including the core factors of macro-economic stability, institutional
    efficiency, open trade, and worker education;
    e. evaluate the investment rational for allocating part of a well
    diversified portfolio to emerging markets in countries with above
    average economic potential.

    Microvaluation
    DDM approach
    Measures of equity risk premium
    Historical returns
    Dividend yield
    Credit risk premium
    Expected growth rate
    g = (retention rate) (ROE)
    FCFE approach (two-stage FCFE)
    FCFE is the cash available to stockholders after funding capital
    requirements, working capital needs, and debt financing requirements

    Economic Potential of the BRICs
    Potential economic size and growth
    by 2050 the BRIC economies could be larger in size
    Demographics and per capita income
    will experience a decline in working age population but later than that in
    the G6
    per capita income is expected to be lower than G6, with the exception of
    Russia
    Growth in global spending
    much higher increases in annual spending
    Trends in real exchange rates
    could strengthen by 300% by 2050

  • CFA三级基础班讲义Risk Management Application of Derivatives-

    CFA三级基础班讲义Risk Management Application of Derivatives–pdf下载

    Risk Management Application of
    Derivatives
    Study Session 15
    Estimated weights in exam: 5%
    Topics include:
    Risk management applications of forward and
    futures strategies
    Risk management applications of option strategies
    Risk management applications of swap strategies

    10. Interest Rate Options P59
    For interest rate options, the exercise price is an interest
    rate, and payoffs depend on a reference rate such as
    LIBOR
    The combination of a long interest rate call option plus
    a short interest rate put option has the same payoff as
    an FRA. One difference is that interest rate option
    payoffs are made after the option expiration date at a
    date corresponding to the end of the loan period
    specified in the contract (30-day, 60-day, 90-day LIBOR,
    etc.). Recall that FRAs pay the present value of this
    interest difference at settlement.

    12. Delta Hedging P73
    Delta hedging a derivative position means combining
    the option position with a position in the underlying
    asset to form a portfolio, whose value does not change
    in reaction to changes in the price of the underlying
    over a short period of time
    Delta-hedged portfolio: long n stocks and short n/delta calls
    The delta-neutral hedging is a dynamic process, since the
    delta is constantly changing

    13. The Second-Order Gamma Effect
    P79
    The gamma defines the sensitivity of the option delta
    to a change in the price of the underlying asset
    gamma = (delta1?delta0)/(S1?S0) = Δdelta/ΔS
    Three things to remember about Gamma:
    Call and put options on the same stock with the same T and
    X have equal gammas
    A long position in calls or puts will have a positive gamma
    Gamma is largest when the option is at-the-money. If the
    option is deep in- or out-of-the-money, gamma approaches
    zero

  • CFA三级基础班讲义Ethics–pdf下载

    CFA三级基础班讲义Ethics–pdf下载

    A. Knowledge of law

    Standard I :Professionalism
    A. Knowledge of law
    2.指南
    如果你感觉(feel) 有人违法,你必须consult for advice.
    如果你知道(know)有人在违法,你必须向公司里的适当人员汇报(
    report);如果汇报后仍没有改进,则你必须与违法行为划清界限、
    脱离关系(disassociate),同时,要进一步咨询以便进一步采取行
    动。
    当发现有违法行为时,CFA Institute并不要求你向政府管理机构汇
    报。最后汇报与不汇报给政府机关完全取决于你个人的判断。但是,
    CFA协会又说:such disclosure may be prudent in certain
    circumstances.

    Standard I :Professionalism
    3.程序
    keep up with the currently applicable laws, rule and regulations;
    should be reviewed on an ongoing basis;
    when in doubt, should consult;
    should state 违法行为,从违法行为中脱离开来(dissociate),并建议雇
    主终止违法行为;
    CFA协会不要求向当地的政府机关揭露违法行为,要不要报告违法
    行为取决于当地的法律和个人的判断。
    A. Knowledge of law

    Standard I :Professionalism
    4.案例研究
    在有疑问的情况下,向法律顾问咨询,如果法律顾问的意见不对,
    个人并不能免责;
    发现违法行为,要从违法行为及团体中脱离,并建议公司终止违法
    行为
    A. Knowledge of law

    Guidance ─Investment Banking Relationships
    Do not be pressured by sell-side firms to issue favorable
    research on current or prospective investment-banking clients.
    It is appropriate to have analysts work with investment
    bankers in “road show” only when the conflicts are
    adequately and effectively managed and disclosed.
    Be sure there are effective “firewall” between
    research/investment management and investment banking
    activities. (研究与自营和投行之间)
    指南─与投行的关系:
    只有当充分披露利益冲突时,分析师可以与投行人员参加上市公司的
    “路演”;
    在研究部门和投行部门之间要建立“防火墙”;
    不能强迫sell-side分析师做出对投行部门的客户有利的分析报告。

    2.指南
    Guidance─ Public Companies
    Analysts should not be pressured to issue favorable
    research by the companies they follow.
    Do not confine research to discussions with company
    management, but rather use a variety of sources, including
    suppliers, customers, and competitions.
    指南─与上市公司的关系
    分析师不可因上市公司强迫而作出“有利”的分析及推荐;
    研究报告不能仅限于与公司管理层讨论,还要与供应商、客户和竞
    争者进行讨论;

  • CFA三级Notes–2010 cfa level 3 study notes book

    CFA三级Notes–2010 cfa level 3 study notes book

    book0~book5,共6本书,影印版!

  • CFA二级原版教材(共六本,原书扫描)

    CFA二级原版教材(共六本,原书扫描)

  • 2010 CFA level 2 study notes book(共5本,原书扫描)

    2010 CFA level 2 study notes book(共5本,原书扫描)

  • CFA三级基础班Risk Management–pdf下载

    CFA三级基础班Risk Management–pdf下载

    Framework of Reading 40: Risk Management
    Risk management process & governance
    Risk types
    Evaluate risk management system
    Risk measurement—VAR
    Additional types of VARs
    Stressing models
    Evaluate active risk (tracking error)
    Credit risk
    Manage risk
    Manage credit risk
    Measure risk-adjusted performance
    Set capital requirements

    Evaluate risk management system
    1. Senior management allocates capital on a risk-adjusted basis
    2. The ERM system properly identifies all relevant risk factors
    3. The ERM system utilizes an appropriate model
    4. Risks are properly managed
    5. There is a committee in place to oversee the entire system
    6. The ERM system has built-in checks and balances

    VAR-Monte Carlo method
    A Monte Carlo output specifies the expected 1-week portfolio
    return and standard deviation as 0.00188 and 0.0125,
    respectively.
    Calculate the 1-week value at risk at 5% significance.
    Advantage: the ability to incorporate any returns distribution or
    asset correlation .
    Disadvantage: The analyst must make thousands of
    assumptions about the returns distributions for all inputs as
    well as their correlations . The seeming sophistication of the
    method can also lead to a false sense of securities (garbage in,
    garbage out)

    Assume we calculate a one-week VaR for a natural gas
    position by rescaling the daily VaR using the square-root rule.
    Let us now assume that we determine the “true” gas price
    process to be mean reverting and recalculate the VaR. Which
    of the following statements is true?
    A. The recalculated VaR will be less than the original VaR.
    B. The recalculated VaR will be equal to the original VaR
    C. The recalculated VaR will be greater than the original VaR
    D. There is no necessary relation between the recalculated VaR
    and the original VaR

  • CFA三级写作班讲义-Morning Session写作技巧讲座下载

    CFA三级写作班讲义-Morning Session写作技巧讲座下载

    Essay writing in level 3
    Essay writing in CFA level 3
    Introduction to essay writing
    Individual IPS writing
    Institution IPS writing
    Beyond the IPS writing
    Part 1
    Part 2
    Part 3
    Part 4
    Conclusions

    Introduction to essay writing
    Topic Area Weights for
    the CFA Exam for
    Level Ⅲ
    Asset
    Classes
    (23%-35%)
    Part 3
    Ethical and Professional Standards
    GIPS
    Part 2
    Fixed Income Analysis
    Equity Investments
    Alternative Investments
    Derivative Investments
    Risk Management
    Part 1
    Behavioral Finance
    Individual Portfolio IPS
    Institutional Portfolio IPS
    Asset Allocation
    Execution
    Monitoring & rebalancing
    Evaluation & attribution
    Portfolio
    Management and
    Wealth Planning
    (55%-65%)
    Ethical and
    Professional
    Standards (total)

    Investor 2’s IPS – 8
    3. Tax
    They held a large portion of low basis stock-
    Rebalancing the portfolio will create a tax liability
    Their tax treatments of income and capital are different, so they prefer -to –
    4. Regulations
    The -need a legal counsel to create a trust to –
    Post retirement, they are still firm’s insider, they need follow the disclosure requirement
    5. Unique
    As the property will be donated, so it is not included in the total asset base
    The – say they do not want to invest in –
    The -want to donate – to local charity
    Investment constraints –

  • CFA-吴轶手写笔记(PDF版)下载

    CFA-吴轶手写笔记(PDF版)下载

    包括:
    Economics 1-10.pdf
    Corporate Finance 11-17.pdf
    Portfolio Management 18-20.pdf
    Financial Statement 21-49.pdf
    Equity Valuation 50-62.pdf
    Debt Valuation 63-72.pdf
    Derivative Investment 73-82.pdf
    Quantitative Methods 83-84.pdf

  • CFALevel3讲义上册:2010年CFA三级培训项目SS1&2

    CFALevel3讲义上册:2010年CFA三级培训项目:SS1&2 Code of Ethics and Professional Standards

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