分类： （三区）注册金融分析师（CFA）资格认证证书考试资料试题

CFA三级基础班Execution of Portfolio Decisions：Monitoring and Rebalancing–pdf下载

Framework of Reading 45
1. The Context of Trading: Market Microstructure
2. Quote-Driven (dealer) Market
3. Order-Driven Market
4. Brokered Markets
5. Roles of Brokers and Dealers
6. Market Quality
7. Execution Cost
8. WWAP VS. Implementation Shortfall
9. Pre-trade Analysis: Econometric Models For Costs
10. Types of Traders and Their Preferred Order Types
11. Algorithmic Trading
12. Serve The Clients’ Interests-Best Execution

The Context of Trading: Market
Microstructure—Orders
Market-not-held order
Participate (do not initiate) order
Best efforts order
Undisclosed limit (reserve/hidden) order
Market on open/close order

Roles of Brokers and Dealers
1. Represent the order
2. Find the opposite side of a trade
3. Supply market information
4. Provide discretion and secrecy
5. Provide other supporting investment services
6. Support the market mechanism

Market Quality
Liquidity
Small bid ask spread
Market Depth
Resilience
Many buyers and sellers
Diversity of opinions, information and needs
Convenience
Market integrity
Transparent
Information availability to investors; pre-trade and post-trade
Assurity of Completion
The counterparty will uphold their side of the trade agreement

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

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

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

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 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 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