CFA L1 组合管理权威讲义,通关宝典(Portfolio & Alternative-Part Time) -2010
CFA 一级考试分析串讲
CFA一级考试分析串讲1-综合分析CFA第一级考试最重要的四个科目的准备重点及方向，这四个科目加起来的比重超过三分之二，所以考生一定要将准备时间的三分之二花在这四科上面。
FSA and Corporate Finance财报分析所占的比重约在23%，从单一科目来讲，这部分是最大科目，考生不仅不能忽略，更要精通。
要想在财报分析中拿高分，就必须对考试的范围每一点都下工夫。
了解每一项财务比率，了解每一个会计处理原则的改变对相关比率的影响，了解分析师重新调整会计科目以符合公司的真实价值或营运状况，对相关财务比率的影响。
公司财务管理与大学修的差不多，要掌握三大决策：投资、融资及股利。
如何计算资金成本，并运用净现值、内部报酬率及回收期选择投资案为一大重点。
融资对公司之利弊及最适资本结构的几派理论、股利政策与公司成长率之关系及股利变动对股价之影响等主题务必了解。
Asset Valuation证券市场部份比较零碎，但不困难，常考的内容包括各种指数之计算及成份、三种效率市场假说的理论及代表的含意、信心指数及融资余额等技术指针。
股票评价则以现金流量折现法去计算股票价值是必考的题型，其中又以固定成长率的Gordon成长模型及多阶段成长模型题目最为常见，考生只要多加练习，在这部份得分并不难。
Quantitative Methods这部分考30题，是最好拿分的部分。
CFA的数量分析考的比大学的统计学还简单，而且多了一些和统计学比较没有关系的观念，如连续复利的观念，随机变量分配的型态，有效年利率(Effective Annual Rate)的计算方式，夏普指数(Sharpe Ratio)、罗伊获利保本指数等(Roy’s Safety First Criterion)。
当然大部分的考题还是会集中在机率概念、平均数及标准差，分配型态(二项式分配或常态分配等)、信赖区间、假设检定及回归分析等。
其中常态分配的应用是数量分析的核心，而善用计算器的统计及时间价值的功能是统计拿高分的二大法门。
CFAL1一级公式汇总
CFAL1一级公式汇总CFA一级考试包含许多公式和概念，这些公式和概念涉及财务报表分析、投资组合管理、估值模型、公司财务等方面。
以下是一级考试中常见的一些公式的汇总：1.资本预算公式：净现值(Net Present Value, NPV) = 初始投资 + 现金流量的现值2.资本预算指标：报酬率(Return on Investment, ROI) = (净利润/投资额) × 100%财务杠杆(Financial Leverage) = 总资产/股东权益盈利杠杆(Earnings Leverage) = 净利润/营业利润财务杠杆乘以盈利杠杆(Financial Leverage × Earnings Leverage) = 杠杆系数(Leverage Factor)3.财务报表分析公式：流动比率(Current Ratio) = 流动资产/流动负债速动比率(Quick Ratio) = (流动资产 - 存货)/流动负债现金比率(Cash Ratio) = 现金/流动负债利息保障倍数(Interest Coverage Ratio) = 息税前利润/利息开支股东权益比率(Equity Ratio) = 股东权益/总资产股东权益报酬率(Return on Equity, ROE) = 净利润/股东权益4.会计公式：利润总额=营业收入-营业成本-营业税金-利润分享给优先股东-利润分享给普通股东净利润=利润总额-所得税总资产=股东权益+负债股东权益=资产-负债5.宏观经济指标公式：国内生产总值(Gross Domestic Product, GDP) = 消费者支出 + 投资 + 净出口通货膨胀率(Inflation Rate) = (物价指数现值 - 物价指数上期值)/物价指数上期值×100%6.估值模型公式：股票估值=(股票股利/折现率)+终值折现债券估值=公允价值-未来现金流量的现值现金流估值(Cash Flow Valuation) = 现金流量/折现率7.风险管理公式：标准差(Standard Deviation) = [(X1 - μ)^2 + (X2 - μ)^2 + (X3 - μ)^2 + ... + (Xn - μ)^2/(n-1)]^(1/2)协方差(Covariance) = [(X1 - μx)(Y1 - μy) + (X2 - μx)(Y2 - μy) + (X3 - μx)(Y3 - μy) + ... + (Xn - μx)(Yn - μy)]/(n-1)以上是CFA一级考试中一些常见的公式。
2018 CFA level 1 知识点——Portfolio Management
Portfolio ManagementPortfolio Management: An OverviewDescribe the portfolio approach to investing1.The portfolio perspective refers to evaluating individual investments by theircontribution on the risk and return of an investor’s portfolio.投资组合视角指的是通过投资组合对风险和回报的贡献来评估个人投资。
2.把所有钱用于买一只股票并不是一种portfolio perspective，把钱分散在多只证券中才能降低风险，增加收益。
3.One measure of the benefits of diversification is the diversification ratio. It iscalculated as the ratio of the risk of an equally weighted portfolio of n securities to the risk of a single security selected at random from the n securities.衡量多样化的好处之一是多样化比率。
它计算的是n证券等加权组合的风险与随机从n证券中选择的单一证券的风险之比。
4.If the average standard deviation of returns for the n stocks is 25%, and thestandard deviation of returns for an equally weighted portfolio of the n stocks is 18%, the diversification ratio is 18/25=0.72.Describe types of investors and distinctive characteristics and needs of each1.Individual investor个人投资者就是个人为了满足生活目标而进行理财的投资者，是牺牲当前消费以期获得未来更高水平消费的个人。
新版CFA一级notes教材中文版特许注册金融分析师一级中文教材
阅读感受
这本书的开篇就对金融分析师的考试做了全面的概述，让我对这个考试有了 更清晰的认识。它详细地介绍了考试的要求、内容、形式以及如何准备这样的考 试。这不仅为我提供了一个宏观的视角，被书中的内容所吸引。这本书并非简单地罗列知识 点，而是通过生动的案例、详尽的解释以及实用的图解，让我对金融世界有了更 加深入的了解。它不仅仅介绍了各种金融产品、市场运作，还对金融分析师的角 色、职责以及职业道德做了深入的探讨。
目录分析
《新版CFA一级notes教材中文版特许注册金融分析师一级中文教材》的目录 结构清晰，按照CFA考试的大纲进行编排，分为几个主要部分。每个部分下面又 细分为若干章节，章节设置合理，符合知识点的逻辑关系。每个章节都配有一定 数量的习题，方便读者巩固所学知识。
目录分析
从知识点的分布来看，这本书几乎涵盖了CFA一级考试的所有内容。从金融市 场的运行机制，到资产评估和投资组合管理，再到经济学和财务报表分析等，都 有详细的阐述。书中还涉及了一些实务性的内容，如投资策略、风险管理等，有 助于读者全面了解金融分析师的工作内容和所需技能。
精彩摘录
“金融市场并非孤立存在，而是与实体经济紧密相连。理解这一点，对于我 们分析投资机会和风险至关重要。”
精彩摘录
“投资不仅是一种经济行为，更是一种风险管理。成功的投资者不仅需要掌 握投资的技巧，更需要学会如何管理风险。”
精彩摘录
“资产定价是金融市场的核心。理解资产定价的原理，能够帮助我们更好地 理解市场动态，从而做出更加明智的投资决策。”
精彩摘录
这本教材不仅涵盖了CFA一级考试的全部内容，而且采用中文编写，使得中国 的考生能够更加轻松地理解和吸收其中的知识。在深度和广度上，它都达到了一 个极高的标准，为考生提供了全面的学习资源。
金融工程讲义 第三讲 投资组合(portfolio)理论基础
第三讲 投资组合(portfolio)理论基础一．单个资产的收益和风险 1．期望收益(expected return)数学期望(mathematical expectation)的定义：若离散型随机变量X 的可能值为),2,1( =i x i ，其概率分布为{}i i p x X P ==， ,2,1=i则当：∞<∑∞=i i ip x1时，称X 的数学期望存在，并且其数学期望记作EX ，定义为：i i i p x EX ∑∞==1对于风险资产而言，其未来的收益是一个随机变量。
在不同的经济条件下，这个随机变量将取不同的值，而每一种经济条件的出现都有其概率。
把资产收益的不同取值乘以不同经济条件出现的概率，就能够对该资产未来的收益做出估计。
用公式表示为：i ni i i i r p p p r E ∑=---=111)( 式中，i r 为该资产收益的第i 状态的取值；i p 为资产收益取值i r 的概率；)(r E 为该资产的期望收益。
例题：已知某种证券在市场状况较好的情况下的投资收益率为45%，在市场状况较差的情况下的投资收益率为-15%，又已知未来市场状况转好的可能性为60%，市场状况转坏的可能性为40%，则该证券的期望收益为多少？%2121.006.027.0%)40%15(%60%45)r (E ==-=⨯-+⨯=练习题：假设某种证券资产在A 情况下的收益率为35%，在B 情况下的投资收益率为15%，在C 情况下的投资收益率为-20%。
A 、B 、C 三种情况发生的概率分别为20%，50%和30%，求这种证券资产的预期收益。
2．收益的方差(Variance)方差(variance)和标准差(standard deviation)的定义：设X 为一个随机变量(random variable)，其数学期望EX 存在，则称EX X -为X 的离差(deviation)，进一步，如果2)(EX X E -也存在，则称2)(EX X E -为随机变量X 的方差，记作DX 或VarX ，并称DX 为X 的标准差。
【CFA笔记】portfolio_management（7％）_
Portfolio Management: An OverviewOne measure of the benefits of diversification is the diversification ratio. It is calculated as the ratio of the risk of an equally weighted portfolio of n securities (measured by its standard deviation of returns) to the risk of a single security selected at random from the n securities.例子：If the average standard deviation of returns for the n stocks is 25%, and the standard deviation of returns for an equally weighted portfolio of the n stocks is 18%, the diversification ratio is 18 / 25 = 0.72.Foundations and endowments typically have long investment horizons, high risk tolerance, and, aside from their planned spending needs, little need for additional liquidity.Banks seek to keep risk low and need adequate liquidity to meet investor withdrawals as they occur.Insurance companies invest customer premiums with the objective of funding customer claims as they occur. Life insurance companies have a relatively long-term investment horizon, while property and casualty财产和意外保险(P&C) insurers have a shorter investment horizon because claims are expected to arise sooner than for life insurers.Sovereign wealth funds refer to pools of assets owned by a government.A defined contribution pension plan is a retirement plan in which the firm contributes a sum each period to the employee’s retirement account.In a defined benefit pension plan, the firm promises to make periodic payments to employees after retirement.There are three major steps in the portfolio management process:Step 1: The planning step begins with an analysis of the investor’s risk tolerance, return objectives, time horizon, tax exposure, liquidity needs, income needs, and any unique circumstances or investor preferences.This analysis results in an investment policy statement (IPS)that details the investor’s investment objectives and constraints.Step 2: The execution step involves an analysis of the risk and return characteristics of various asset classes to determine how funds will be allocated to the various asset types.in what is referred to as a top-down analysis, a portfolio manager will examine current economic conditions and forecasts of such macroeconomic variables as GDP growth, inflation, and interest rates, in order to identify the asset classes that are most attractive.Step 3: The feedback step is the final step. Over time, investor circumstances will change, risk and return characteristics of asset classes will change, and the actual weights of the assets in the portfolio will change with asset prices.Mutual funds are one form of pooled investments (i.e., a single portfolio that contains investment funds frommultiple investors). Each investor owns shares representing ownership of a portion of the overall portfolio. The total net value of the assets in the fund (pool) divided by the number of such shares issued is referred to as the net asset value (NA V) of each share.With an open-end fund, investors can buy newly issued shares at the NA V. Newly invested cash is invested by the mutual fund managers in additional portfolio securities. Investors can redeem their shares (sell them back to the fund) at NA V as well. All mutual funds charge a fee for the ongoing management of the portfolio assets, which is expressed as a percentage of the net asset value of the fund. No-load funds免佣基金do not charge additional fees for purchasing shares (up-front fees) or for redeeming shares (redemption fees). Load funds charge either up-front fees, redemption fees, or both.Closed-end funds are professionally managed pools of investor money that do not take new investments into the fund or redeem investor shares. The shares of a closed-end fund trade like equity shares (on exchanges or over-the-counter). As with open-end funds, the portfolio management firm charges ongoing management fees.T ypes of Mutual Funds：Money market funds invest in short-term debt securities and provide interest income with very low risk of changes in share value.Bond mutual funds invest in fixed-income securities. They are differentiated by bond maturities, credit ratings, issuers, and types.A great variety of stock mutual funds are available to investors. Index funds are passively managed; that is, the portfolio is constructed to match the performance of a particular index, such as the Standard & Poor’s 500 Index. Actively managed funds refer to funds where the management selects individual securities with the goal of producing returns greater than those of their benchmark indexes.Other Forms of Pooled Investments：Exchange-traded funds (ETFs) are similar to closed-end funds in that purchases and sales are made in the market rather than with the fund itself.【相同之处】【ETFs和close end fund不同之处】While closed-end funds are often actively managed, ETFs are most often invested to match a particular index (passively managed). With closed-end funds, the market price of shares can differ significantly from their NA V due to imbalances between investor supply and demand for shares at any point in time. Special redemption provisions for ETFs are designed to keep their market prices very close to their NA Vs.【ETFs和open end fund不同之处】ETFs can be sold short, purchased on margin, and traded at intraday盘中交易价prices, whereas open-end funds are typically sold and redeemed only daily, based on the share NA V calculated with closing asset prices.Investors in ETFs must pay brokerage commissions when they trade, and there is a spread between the bid price at which market makers will buy shares and the ask price at which market makers will sell shares.With most ETFs, investors receive any dividend income on portfolio stocks in cash, while open- end funds offer thealternative of reinvesting dividends in additional fund shares.One final difference is that ETFs may produce less capital gains liability compared to open- end index funds. This is because investor sales of ETF shares do not require the fund to sell any securities. If an open-end fund has significant redemptions that cause it to sell appreciated portfolio shares, shareholders incur a capital gains tax liability.A separately managed account is a portfolio that is owned by a single investor and managed according to that investor’s needs and preferences. No shares are issued, as the single investor owns the entire account.Portfolio Risk and Return: Part IHolding period return (HPR) is simply the percentage increase in the value of an investment over a given time period:The geometric mean return is a compound annual rate. When periodic rates of return vary from period to period, the geometric mean return < the arithmetic mean return:The money-weighted rate of return is the internal rate of return on a portfolio based on all of its cash inflows and outflows.Gross return refers to the total return on a security portfolio before deducting fees for the management and administration of the investment account. Net return refers to the return after these fees have been deducted.Note that commissions on trades and other costs that are necessary to generate the investment returns are deducted in both gross and net return measures.Pretax nominal return refers to the return prior to paying taxes.After-tax nominal return refers to the return after the tax liability is deducted.year when inflation is 2%. The investor’s approximate real return is simply 7 - 2 = 5%. The investor’s exact real return is slightly lower, 1.07 / 1.02 - 1 = 0.049 = 4.9%.A leveraged return refers to a return to an investor that is a multiple of the return on the underlying asset.The leveraged return is calculated as the gain or loss on the investment as a percentage of an investor’s cash investment. An investment in a derivative security, such as a futures contract, produces a leveraged return because the cash deposited is only a fraction一小部分of the value of the assets underlying the futures contract. Leveraged investments in real estate are very common: investors pay for only part of the cost of the property with their own cash, and the rest of the amount is paid for with borrowed money.small-capitalization stocks have had the greatest average returns and greatest risk over the period.Covariance measures the extent to which two variables move together over time. A positive covariance means that the variables (e.g., rates of return on two stocks) tend to move together. Negative covariance means that the two variables tend to move in opposite directions.Here we will focus on the calculation of the covariance between two assets’ returns using historical data.The covariance of the returns of two securities can be standardized by dividing by the product of the standard deviations of the two securities. This standardized measure of co-movement is called correlation and is computed as:A risk-averse investor is simply one that dislikes risk (i.e., prefers less risk to more risk). Given two investments that have equal expected returns, a risk-averse investor will choose the one with less risk (standard deviation).A risk-seeking (risk-loving) investor actually prefers more risk to less and, given equal expected returns, willchoose the more risky investment. A risk-neutral investor has no preference regarding risk and would be indifferent between two such investments.The variance of returns for a portfolio of two risky assets is calculated as follows:Note that portfol io risk falls as the correlation between the assets’ returns decreases. This is an important result of the analysis of portfolio risk: The lower the correlation of asset returns, the greater the risk reduction (diversification) benefit of combining assets in a portfolio. If asset returns were perfectly negatively correlated, portfolio risk could be eliminated altogether for a specific set of asset weights.For each level of expected portfolio return, we can vary the portfolio weights on the individual ass ets to determine the portfolio that has the least risk. These portfolios that have the lowest standard deviation of all portfolios with a given expected return are known as minimum-variance portfolios. T ogether they make up the minimum-variance frontier. On a risk versus return graph, the portfolio that is farthest to the left (has the least risk) is known as the global minimum-variance portfolio整体最小方差投资组合.Assuming that investors are risk averse, investors prefer the portfolio that has the greatest expected return when choosing among portfolios that have the same standard deviation of returns. Those portfolios that have the greatest expected return for each level of risk (standard deviation) make up the efficient frontier.An investor’s utility function效用函数represents the investor’s preferences in terms of risk and return (i.e., his degree of risk aversion).An indifference curve is a tool from economics that, in this application, plots combinations of risk (standard deviation) and expected return among which an investor is indifferent.a more risk-averse investor will have steeper indifference curves, reflecting a higher risk aversion coefficient. Combining a risky portfolio with a risk-free asset is the process that supports the two- fund separation theorem, which states that all investors’ optimum portfolios will be made up of some combination of an optimal portfolio of risky assets and the risk-free asset. The line representing these possible combinations of risk-free assets and theoptimal risky asset portfolio is referred to as the capital allocation line.Now that we have constructed a set of the possible efficient portfolios (the capital allocation line) Portfolio Risk and Return: Part IIThe line of possible portfolio risk and return combinations given the risk-free rate and the risk and return of a portfolio of risky assets is referred to as the capital allocation line (CAL).A simplifying assumption underlying modern portfolio theory (and the capital asset pricing model, which is introduced later in this topic review) is that investors have homogeneous expectationsDepending on their preferences for risk and return (their indifference curves), investors may choose different portfolio weights for the risk-free asset and the risky (tangency) portfolio. Every investor, however, will use the same risky portfolio. When this is the case, that portfolio must be the market portfolio of all risky assets because all investors that hold any risky assets hold the same portfolio of risky assets.只有与有效边界相切的那条才是CML。
CFA一级中文精讲
精彩摘录
《CFA一级中文精讲》是一本专注于CFA（注册金融分析师）考试学习的中文 教材，它不仅为考生提供了全面的考试知识覆盖，同时也以中文的语境和表达 方式，帮助考生更好地理解和掌握CFA考试的核心内容。在这本教材中，有许 多精彩的摘录，不仅具有知识性，也具有启发性。
是关于金融市场的部分。书中提到：“金融市场是资金的汇聚之地，它连接着 储蓄和投资，是国家经济活动的枢纽。”这句话简洁明了地概括了金融市场的 核心功能，即资金的有效配置。这不仅是金融市场的本质，也是CFA考试的重 点之一。
是关于投资策略的部分。书中写道：“投资策略的选择需要根据个人的风险承 受能力、投资期限、财务目标等因素来定制。没有一种通用的投资策略能够适 合所有人。”这告诉我们在制定投资策略时，需要充分了解自己的需求和状况， 同时也要认识到市场环境的复杂性和多变性。
再者，是关于风险管理的内容。书中有一句话：“风险管理不是消除风险，而 是通过合理的资产配置和风险管理工具的使用，将风险控制在可承受的范围 内。”这意味着风险管理不是追求零风险，而是要在可承受的风险下追求最大 的收益。
这本书深入浅出地介绍了CFA一级考试的核心内容，从基本的金融概念到复杂 的投资策略，无一不包，为读者提供了一个全面的金融知识框架。然而，学习 的过程并不轻松，尤其是在涉及一些数学公式和模型时，我曾一度感到困惑。 但正是这种挑战，让我更加坚定了成为一名合格金融分析师的决心。
书中特别强调了道德和专业性在金融领域的重要性。这让我深有感触。在金融 市场这样一个充满诱惑和复杂性的环境中，保持清醒的头脑和坚定的道德立场 是每一位金融从业人员必备的品质。而CFA考试之所以如此严格，正是因为它 要求考生不仅在知识上要精通，更要在道德上达到高标准。
阅读感受
CFA知识点丨Portfolio Management(投资组合)详解
CFA知识点丨Portfolio Management（投资组合）详解Portfolio Management，投资组合管理，这部分内容在CFA一级的考试中占比并不是很大，只占5%左右，但在二级三级的考试中占比不断扩大，三级中甚至达到了45%--55%。
所以这门课的学习并不能掉以轻心。
那么，CFA一级考试中，Portfolio Management讲了些什么呢？一、Overview概述在投资中，组合的概念是很重要的，它不仅可以分散风险，并且通过不同的组合方法，可以满足不同投资者的不同资金需求。
教材在这里首先介绍了投资组合的重要性，接着介绍了两种不同的投资者：个人投资者和机构投资者的不同特征与需求。
在这当中有两个概念需要理解并掌握：defined contribution pension plan(固定缴款养老金计划)和defined benefit pension plan(固定受益养老金计划)。
并且一个投资组合管理流程是怎样的也需要了解。
二、Risk and Return风险与收益（一）建立一个最优的投资组合对投资者来说很重要。
而想要建立这个最优的投资组合，我们首先需要了解每支证券的风险与收益水平，然后用它们创造可能的组合，接着找到有效的组合，最后，为不同的投资需要寻找最优的投资组合。
在这个过程中，有几个因素是需要考虑的。
首先是拿来构建投资组合的每个证券的风险与收益水平，所以，单个证券以及组合的收益与风险的计算是最基础、最需要掌握的内容。
同时，也需要了解单支证券之间的相关性（correlation）在分散组合风险中的作用。
尽管教材并不要求掌握如何量化投资者的风险厌恶程度，但由于它在选择最优投资组合过程中的必要性，投资者无差异曲线(indifferent curve)的相关知识也是必须掌握的。
最后如何从投资者面对的大量可用的风险资产组合中筛选出有效的组合(有效边界efficient frontier)，并且从有效组合中，结合投资者风险偏好得到最优投资组合，教材都有详细的解释。
16周轻松搞定CFA LEVEL 1 (第1~16周 全)(保罗时报)
《保罗时报》推出CFA Level 1考试准备计划今年6月的CFA考试离现在还有三个半月的时间，相信有很多考生已经报名，但有些还不确定自己对即将来临的考试是否能从容以对。
《保罗时报》根据以往很多考生的丰富经验，特地为准备参加今年6月CFA Level I考试的考生定做了一套详细的复习计划。
只要根据《保罗时报》的复习计划按部就班的复习，考生在考试前一定能做到胸有成竹。
《保罗时报》复习计划要求考生每周一至周五能抽出2到3个小时学习，周末能抽出3到5个小时学习，非金融专业，无相关背景的考生同样适用。
《保罗时报》复习计划讲究稳扎稳打、熟能生巧，考生面对最后考试时自然就能手到擒来。
《保罗时报》复习计划从2010年2月15日开始正式复习，至2010年6月5日考试，一共16个星期。
我们将把这16个星期分作三个大部分。
一、前6个星期，即2月15日至3月28日。
我们要求考生按照《保罗时报》复习计划的每周任务安排，逐渐完成对notes的第一遍学习，并完成notes后面每个session的练习题，第6本模拟题先不要做。
Notes的学习主要依据2010年6月CFA 考试大纲而来，大家可参考《保罗时报》公布的大纲。
二、中间6个星期，即3月29日至5月9日。
我们要求考生按照《保罗时报》复习计划的任务安排，逐渐完成对notes的第二遍学习，等大家熟知内容后，再将重点放在习题上面。
务必使考生对计算等烂熟于心。
三、后4个星期，即5月10日至6月4日。
我们要求考生按照《保罗时报》复习计划的任务安排，进行分板块大量习题训练及模拟考试的练习。
训练考生在考试时达到最佳状态，帮助让考生一战必胜。
从2月15日起，《保罗时报》每周都将公布给考生制定的准备计划，该计划十分灵活，可根据考生的个人时间调配掌握。
大家亦可根据自己的学习状态自我调控，不必过于死板的按照计划行事。
此外，《保罗时报》还会为考生准备热心小贴士，全力为考生打造愉快高效、科学系统的考试准备环境。
CFA一级中文精讲①(第3版)
有效年利率（effective annual return，EAR）是一种计算投资产品年度复合收益的方法，即在本期收益 基础上将利息记入本金再投资的年度收益率。它是考虑了复利因素的收益概念。
目录分析
1投资行业的道德和 信任
2道德规范
读书笔记
其实有报名一级班，但是我本身英语水平不大好，所以还是买了这个中文精讲，考试的时候真的是帮了我太 多。
在其他机构备考二级，才发现这里还有这么好的资料。
想要系统的学习金融知识就打算考cfa，但英语实在是太渣渣啦，参加工作五年都没用上英文，中文书简直 就是我的福音，检索理解可方便了[强]。
今年毕业刚刚准备入坑cfa，网上保存了不少资源都没有动力打开看。
CFA小白一枚，一堆英文材料让我无从下手，中文精讲真的太棒了，看完一遍中文精讲再看教材，结构就清 晰了很多，内容写的也很详细易懂。
英文一直是很头疼的地方，有的时候意思大概明白，但就是捉摸不清。
因为工作需要想了解CFA相关内容，对于一个没有考过试的人来说，这本书能快速带我理解学习CFA内容，点 个赞！。
7.1外汇汇率概述 7.2外汇汇率的分类★★ 7.3外汇牌价★★★ 7.4交叉汇率★★ 7.5利率平价理论★ 7.6汇率制度★ 7.7汇率对国际收支平衡的影响
作者介绍
谢谢观看
3.1概率、期望、方差 3.2概率的表达形式以及计算法则 3.3组合的期率分布的介绍 4.2离散分布 4.3连续分布 4.4蒙特卡罗模拟
5.1推断性统计 5.2抽样 5.3估计
6.1假设检验的基本原理 6.2假设检验的步骤★★★ 6.3置信区间和假设检验★ 6.4 p值法★★ 6.5第一类错误和第二类错误★★ 6.6假设检验的分类 6.7参数与非参数检验
(完整版)CFAL1考试重点总结Book1Ethics
✓InquiryCircumstance:-Self-disclosure-Written complaints by members-Evidence of misconduct-考试作弊方法：①interview被告②interview 原告，第三方③收集证据Decision:-No disciplinary sanctions-Issue a cautionary letter-Discipline the member or candidate 处分✓Codes of ethics1.Act with integrity, competence, diligence, respect and in an ethical manner with the public,clients, prospective clients, employees, employers, colleagues in the investment profession and other participants in the global capital markets.对利益相关者正直道德2.Place the integrity of the investment profession and the interests of clients above their ownpersonal interest.客户利益高于自己利益e reasonable care and exercise independent professional judgment when conductinginvestment analysis, making investment recommendations, taking investment actions and engaging in other professional activities.做决策时专业、尽职4.Practice and encourage others to practice in a professional and ethical manner that willreflect credit on themselves and the profession.鼓励他人正直5.Promote the integrity of, and uphold the rules governing capital markets.维护资本市场的诚信、威严6.Maintain and improve their professional competence and strive to maintain and improve thecompetence of other investment professionals巩固提升自己和同行的专业能力✓The standards of professional conduct1.Professionalisma.Knowledge of law- 从严不从宽- CFA不要求对政府机构汇报违法行为，但建议这样做b.Independence and objectivity: no present- 将IPO超额认购的股票分配到个人账户- 不要迫于sell-side pressure, 去发行有利于投行客户的研究报告，ensure effective firewall between research mgt and investment banking activities- 不应撰写有利于上市公司的报告，不应局限于管理层调研，还有供应商客户研究等- 去对目标公司进行研究的时候，尽量自己出差旅费- 发行人支付酬金的研究报告，研究结论应与酬金无关- 建立一个限制名单，名单上的公司只出具事实类的信息，而不出具意见（当有关联关系时）c.Misrepresentation: 故意做投资分析的不当陈述- 鼓励公司检验提供给客户的第三方信息- 合理引用不抄袭d.Misconduct: 不诚实、欺诈的行为2.Integrity of capital marketa.Material nonpublic information: 不能利用非公开信息盈利- 马赛克理论：分析员根据非重大nonpublic information得出的投资结论，不违反准则- 先判断是否material, 再判断是否public, 若为public 则不违反准则b.Market manipulation：不得进行误导市场、扭曲股价的行为- client brokerage or soft dollars or soft commissions 客户佣金必须用来为客户谋利3.Duties to clientsa.Loyalty, prudence and careb.Fair dealing: 公平对待所有客户- 服务水平的差别要披露- 若客户不知道recommendation的变化时，应告知- 由于minimum lot size restriction导致没有pro rata allocation 不算违反道德，因为有reasonc.Suitability1.When providing advisory, CFA must①make a reasonable inquiry in investment experience, risk and return objectives andfinancial constraints了解客户- IPS investment policy statement, 投资需求应写入IPS- 主要看投资建议和IPS以及客户需求是否相符，是否让客户知晓相关风险- 客户情况改变，随时更新IPS- high income mutual fund不适合购买zero-dividend stock- large cap 大盘股- small cap大盘股Large cap share，一般流通股本在一个亿以上的个股称为大盘股。
CFA一级典型例题 Portfolio Management 投资组合管理
Portfolio Management1.In general, which of the following institutions will most likely have a high need for liquidity and a short investment time horizon?A. BanksB. EndowmentsC. Defined benefit pension plansAnswer: ABanks have a short term horizon and high liquidity needs.2.Which of the following is least likely a part of the execution step of the portfolio management process?A. Security analysisB. Portfolio constructionC. Performance measurementAnswer: CPerformance measurement is a part of the feedback step of the portfolio management process. The execution step includes asset allocation, security analysis, and portfolio construction.3. Selected information about shares of two companies is provided below:Stock Standard Deviation Correlation of Returns Portfolio WeightsCable Incorporated 30% 0 68%GPTA Company 20% 32%The standard deviation of returns of the portfolio formed with these two stocks is closest to:A. 25.04%.B. 26.80%.C. 32.85%.Answer: APortfolio standard deviation =√(0.682)(0.32)+(0.322)(0.22)+2(0.68)(0.32)(0.65)(0.3)(0.2) = 0.2504.4.Which of the following statements is least likely to be an assumption about investor behavior underlying the Markowitz model?A. Investors maximize one-period expected returnB. Investors base their decisions solely on expected return and riskC. Investors have utility curves that are a function of expected returns and variance.Answer: AInvestors maximize one-period expected utility, and their utility curves demonstrate diminishing marginal utility of wealth.-1-5.Relative to an investor with a steeper indifference curve, the optimal portfolio for an investor with a flatter indifference curve will most likely have:A. a lower level of risk and returnB. a higher level of risk and returnC. the same level of risk and returnAnswer = BBecause a less risk-averse investor’s highest utility, given the low slope of his indifference curve, is likely to touch the capital allocation line at a point which would represent a portfolio with higher risk and more expected return.6. Which of the following statements is least accurate? An investor may construct a portfolio located on the capital market line (CML) by:A. investing a portion of his capital in the risk-free asset and the balance in a fully diversified portfolio of all equitiesB. investing a portion of his capital in the risk-free asset and the balance in a fully diversified portfolio of all risky assetsC. borrowing capital at the risk-free rate and investing all his capital plus all borrowed capital in a fully diversified portfolio of all risky assetsAnswer: AThis statement is incorrect. Portfolios located on the CML may be constructed by: 1) investing a portion of an investor’s capital in the risk-free asset and the balance in the market portfolio which consists of all risky assets, or 2) borrowing capital at the risk-free rate and investing all of an investor’s capital plus all borrowed capital in the market portfolio.7.A completely diversified portfolio will most likely result in the elimination of:A. systematic varianceB. unsystematic varianceC. both systematic and unsystematic varianceAnswer: BA completely diversified portfolio, such as the market portfolio, will eliminate all unsystematic risk. Systematic risk cannot be diversified away.8.The slope of the security market line (SML) represents the portion of an asset’s expected return attributable to:A. total risk.B. market risk.C. diversifiable risk.-2-Answer: BThe slope of the SML is the market risk premium, E(Rm) – Rf. It represents the return of the market less the return of a risk-free asset. Thus, the slope represents the portion of expected return that reflects compensation for market or systematic risk.9. The following table shows data for the stock of JKU and a market-index.Expected return of JKU: 15%Expected return of market index:12%Risk free rate: 5%Standard deviation of JKU returns: 20%Standard deviation of market index returns: 15%Correlation of JKU and market index returns: 0.75Based on the capital asset pricing model (CAPM), JKU is most likely:A. overvalued.B. undervalued.C. fairly valued.Answer = BβJKU= ρJKU,M×σJKU/ σM = 0.75×0.2/0.15 = 1.0 E(R JKU) = RFR + βJKU x (R M– RFR) = 0.05 +1 x (0.12 – 0.05) = 0.12 The required rate of return of JKU is 12% and the expected return of JKU is 15% therefore JKU is undervalued relative to the Security Market Line (SML). The risk-return relationship lies above the SML.10. Which of the following factors is least likely to impact an individual’s ability to take risk?A. Time horizonB. Personality typeC. Expected incomeAnswer = BAn individual’s ability to take risk is impacted by such factors as time horizon and expected income. Personality type is most likely to impact an individual’s willingness to take risk.-3-。
CFA Level 1-3官方指定参考书目
BOOK6 Derivatives and Alternative Investment
一级相对简单，如果是经济或金融背景的学生或者是管院财务管理方向的同学，都可以在仅仅阅读Schweser Note的情况下通过考试。如果是非专业的学生，可以参加辅导班或者旁听 校内的经济学类课程就可以了
Fixed Income Readings for the Chartered Financial Analyst Program, 2nd Ed（固定收益分析阅读教材）
International Investments, 5th ed. (Solnik and Mcleavey) （国际投资）
Fixed Income Readings for the Chartered Financial Analyst Program,2nd ed
International Investments, 5th ed. (Solnik and McLeavey)
Quantitative Methods for investment Analysis,2nd ed(CFA Institute)
Standards of Practice Handbook,9th ed.(CFA Institute)
三级相对专业较难，不仅仅考察选择题了。这样的话，最好是能从事该方向的工作有一定的经验。没有经验也没有特别的关系，就是在书本中寻找必要的知识了。此时不但需要开始 看时新的财务，这个需要经常浏览CFA官网、金融方面的论文，也需要实务操作的案例或者是过去的总结，比如上海远东出版社引进的《财务骗局》。
BOOK2 Financial Statement Analysis（财务报表分析）
金程CFA一级冲刺宝典-组合管理SAMPLE
专业·经验·增值
组合管理 Study Session 12 组合管理
一、知识框架图
The four-step portfolio management (investment) process Investment policy statement
The Asset Allocation Decision
The characteristic line
Regress the return of security against that of market, and then we get the characteristic line. Rstock,t = alpha + Beta (Rmarket,t) +e
2 2
The term (ERM-Rf) is called the market risk premium
Capital asset pricing model (CAPM)
The equation of the SML is called the capital asset pricing model. The CAPM is an equilibrium model that predicts the expected return on a stock given the expected return on the market, the stock’s beta coefficient and the risk-free.
Efficient frontier
Portfolios on the efficient frontier are efficient in that there is no other combination of stocks that offer that high a return for the risk taken, or offer that low risk for a given level of return.
CFA一级组合管理高频错题精选
CFA一级组合管理高频错题精选Portfolio risk and return：这道题是数量与组合两个学科的结合。
首先要注意题干给的信息是geometric return，题目要求的是risk premium for equities。
易错点分析：这道题很多同学没有注意到题干给的信息是geometric return，亦或者看到了，对如何用几何法求收益率不熟悉，所以这个推导过程大家可以记忆一下。
切记读题目的时候要对一些关键词保持敏感。
Portfolio risk and return:首先要看懂题干的表格，一共有3个资产。
根据题意，一共有三种情况，每种情况发生概率相同，即发生概率都是1/3。
每个资产在不同情况下会产生不同的收益。
比如资产1，在第一种情况下，产生的收益率为12%；资产2，在第一种情况下，产生的收益率也是12%；资产3，在第一种情况下，产生的收益率是0%。
观察表格发现，三种资产产生的收益率不外乎12%，6%，0%，这正是题目巧妙的地方，所以正如表格最后一列所示，这三种资产的预期收益率都是6%（=1/3*12%+1/3*6%+1/3*0%）。
题目问的是哪对资产是完全负相关，即要找哪两对资产收益率的相关性系数= -1。
解答这道题有两种方法：一是定性分析。
相关性系数反映的是两组数据变化的同步性。
如果一组数据逐渐变大，同时另一组数据逐渐变小，那么这两组数据相关性就是负的。
观察表格中的数字，比较明显可以看出的是资产2和资产3的收益率是完全负相关的。
outcome 1→outcome 2→outcome 3时，资产2的收益率12%→6%→0，逐渐变小；outcome 1→outcome 2→outcome 3时，资产3的收益率0→6%→12%，逐渐变大。
二是利用计算器求两组资产之间的相关系数。
以A选项资产1 &资产2的收益率相关性系数计算为例，打开金融计算器：【2nd】【7】进入data模式，首先清除历史记录【2nd】【CLR WORK】依次输入两组数据：X01=12【↓】Y01=12【↓】X02=0【↓】Y02=6【↓】X03=6【↓】Y03=0【↓】；然后[2nd][8]进入STAT模式，一直按向下的箭头，直到出现r，r=0.5。
CFA一、二、三级考纲LOS对照表(2014-2015年)
CFA一、二、三级考纲LOS对照表(2014-2015年)CFA一级考纲LOS变化对比（2014-2015）相对于2014年的CFA一级的考纲LOS，2015年CFA一级的考点变化还是比较大的。
首先，各科目的考试比重发生了一些变化：公司金融（Corporate Finance）从8%降到7%，固定收益投资（Fixed Income）从12%降到10%，投资组合（Portfolio Management）从5%升到7%，其他类投资（Alternative Investments）从3%升到4%。
具体到每一个科目，也有很大的变化，特别是衍生品这一部分内容，整个框架都发生了改变。
1. 伦理道德与专业准则（Ethical and Professional Standards）考纲内容与2014年相比基本没有变化，但是Handbook由第10版本更新为第11版本，其中IV(C) Responsibility of supervisor这一条款变动较大。
2. 数量方法（Quantitative Methods）、公司金融（Corporate Finance）、权益投资（Equity）、投资组合（Portfolio Management）、其他类投资（Alternative Investments）考纲内容与2014年相比基本没有变化3. 经济学（economics）增加了三个考点，具体内容没有发生改变，增加了考察内容，不会产生较大影响。
4. 财务报表分析（FSA）reading 26删除一个考点，删除对分析资产负债表和权益变动表的要求，section 10中删除了reading 34, reading 33财务报表质量部分考纲内容变化很大。
5. 固定收益投资（Fixed Income）新增了reading 54资产支持型证券的介绍（ INTRODUCTION TO ASSET-BACKED SECURITIES）,reading 55新增一个考点，增加了key rate duration的定义和应用。
2018-CFA-level-1-知识点——Portfolio-Management
Portfolio ManagementPortfolio Management: An OverviewDescribe the portfolio approach to investing1.The portfolio perspective refers to evaluating individual investments by theircontribution on the risk and return of an investor’s portfolio.投资组合视角指的是通过投资组合对风险和回报的贡献来评估个人投资。
2.把所有钱用于买一只股票并不是一种portfolio perspective，把钱分散在多只证券中才能降低风险，增加收益。
3.One measure of the benefits of diversification is the diversification ratio. It iscalculated as the ratio of the risk of an equally weighted portfolio of n securities to the risk of a single security selected at random from the n securities.衡量多样化的好处之一是多样化比率。
它计算的是n证券等加权组合的风险与随机从n证券中选择的单一证券的风险之比。
4.If the average standard deviation of returns for the n stocks is 25%, and thestandard deviation of returns for an equally weighted portfolio of the n stocks is 18%, the diversification ratio is 18/25=0.72.Describe types of investors and distinctive characteristics and needs of each1.Individual investor个人投资者就是个人为了满足生活目标而进行理财的投资者，是牺牲当前消费以期获得未来更高水平消费的个人。
CFA一级典型例题 Portfolio Management 投资组合管理
Portfolio Management1.In general, which of the following institutions will most likely have a high need for liquidity and a short investment time horizon?A. BanksB. EndowmentsC. Defined benefit pension plansAnswer: ABanks have a short term horizon and high liquidity needs.2.Which of the following is least likely a part of the execution step of the portfolio management process?A. Security analysisB. Portfolio constructionC. Performance measurementAnswer: CPerformance measurement is a part of the feedback step of the portfolio management process. The execution step includes asset allocation, security analysis, and portfolio construction.3. Selected information about shares of two companies is provided below:Stock Standard Deviation Correlation of Returns Portfolio WeightsCable Incorporated 30% 0 68%GPTA Company 20% 32%The standard deviation of returns of the portfolio formed with these two stocks is closest to:A. 25.04%.B. 26.80%.C. 32.85%.Answer: APortfolio standard deviation =√(0.682)(0.32)+(0.322)(0.22)+2(0.68)(0.32)(0.65)(0.3)(0.2) = 0.2504.4.Which of the following statements is least likely to be an assumption about investor behavior underlying the Markowitz model?A. Investors maximize one-period expected returnB. Investors base their decisions solely on expected return and riskC. Investors have utility curves that are a function of expected returns and variance.Answer: AInvestors maximize one-period expected utility, and their utility curves demonstrate diminishing marginal utility of wealth.-1-5.Relative to an investor with a steeper indifference curve, the optimal portfolio for an investor with a flatter indifference curve will most likely have:A. a lower level of risk and returnB. a higher level of risk and returnC. the same level of risk and returnAnswer = BBecause a less risk-averse investor’s highest utility, given the low slope of his indifference curve, is likely to touch the capital allocation line at a point which would represent a portfolio with higher risk and more expected return.6. Which of the following statements is least accurate? An investor may construct a portfolio located on the capital market line (CML) by:A. investing a portion of his capital in the risk-free asset and the balance in a fully diversified portfolio of all equitiesB. investing a portion of his capital in the risk-free asset and the balance in a fully diversified portfolio of all risky assetsC. borrowing capital at the risk-free rate and investing all his capital plus all borrowed capital in a fully diversified portfolio of all risky assetsAnswer: AThis statement is incorrect. Portfolios located on the CML may be constructed by: 1) investing a portion of an investor’s capital in the risk-free asset and the balance in the market portfolio which consists of all risky assets, or 2) borrowing capital at the risk-free rate and investing all of an investor’s capital plus all borrowed capital in the market portfolio.7.A completely diversified portfolio will most likely result in the elimination of:A. systematic varianceB. unsystematic varianceC. both systematic and unsystematic varianceAnswer: BA completely diversified portfolio, such as the market portfolio, will eliminate all unsystematic risk. Systematic risk cannot be diversified away.8.The slope of the security market line (SML) represents the portion of an asset’s expected return attributable to:A. total risk.B. market risk.C. diversifiable risk.-2-Answer: BThe slope of the SML is the market risk premium, E(Rm) – Rf. It represents the return of the market less the return of a risk-free asset. Thus, the slope represents the portion of expected return that reflects compensation for market or systematic risk.9. The following table shows data for the stock of JKU and a market-index.Expected return of JKU: 15%Expected return of market index:12%Risk free rate: 5%Standard deviation of JKU returns: 20%Standard deviation of market index returns: 15%Correlation of JKU and market index returns: 0.75Based on the capital asset pricing model (CAPM), JKU is most likely:A. overvalued.B. undervalued.C. fairly valued.Answer = BβJKU= ρJKU,M×σJKU/ σM = 0.75×0.2/0.15 = 1.0 E(R JKU) = RFR + βJKU x (R M– RFR) = 0.05 +1 x (0.12 – 0.05) = 0.12 The required rate of return of JKU is 12% and the expected return of JKU is 15% therefore JKU is undervalued relative to the Security Market Line (SML). The risk-return relationship lies above the SML.10. Which of the following factors is least likely to impact an individual’s ability to take risk?A. Time horizonB. Personality typeC. Expected incomeAnswer = BAn individual’s ability to take risk is impacted by such factors as time horizon and expected income. Personality type is most likely to impact an individual’s willingness to take risk.-3-。
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Assumptions of capital market theory:
Markowitz efficient frontier + A risk-free asset
Markowitz investors. All investors select portfolios that lie along the efficient frontier, based on their utility functions. Unlimited risk-free lending and borrowing. Homogeneous expectations of risk/return distribution. All investors have the same one-period time horizon. All investments are infinitely divisible. Frictionless markets. There are no taxes or transaction costs. There is no inflation, and interest rates do not change. The capital markets are in equilibrium.
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Example : A portfolio was created by investing 25% of the funds in asset A (standard deviation =15%) and the balance of the funds in asset B (standard deviation = 10%). I. If the correlation coefficient is 0.75, what is the portfolio's standard deviation?
Risk-Return Tradeoff Curve
As Sparklin' is added to Caffeine Plus, the frontier "bulges" up and to the left. The minimum risk is 13.57% with 69.67% Caffeine Plus.
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The introduction of a risk-free asset changes the Markowitz efficient frontier from a curve into a straight line.
Capital Market Line (CML)
E(RM ) RFR E ( RP ) RFR + P M
WCaffeine Plus WSparklin' Expected return Standard deviation 100% 0% 80% 20% 60% 40% 40% 60% 20% 80% 0% 100%
11% 15%
13.8% 16.6% 19.4%
22.2%
25% 20 3%
13.74% 13.72% 14.9% 17.1%
Portfolio expected value:
E ( RP ) wi E ( Ri ) w1 E ( R1 ) w2 E ( R2 ) wN E ( RN )
i 1
N
Portfolio variance:
Var ( RP ) wi w j Covi , j
A. 10.6% B. 12.4 % . 15 %II. If the correlation coefficient is -0.75, what is the portfolio's standard deviation?
A. 2.8% B. 4.2 % C. 5.3 %
III. If the correlation coefficient is -1, what is the portfolio's standard deviation?
systematic risk
(non-diversifiable risk or market risk)
The risk that is left cannot be diversified away.
Totalrisk risk= =systematic systematicrisk risk+ +unsystematic unsystematicrisk risk Total
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Example : Which of the following portfolios falls below the Markowitz efficient frontier? Expected Expected standard Portfolio return deviation A. A 7% 14%
Expected return
A. B. C. 6.0% 8.0% 10.0%
Standard deviation
6.8% 4.8% 6.6%
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unsystematic risk
(unique, diversifiable, or firm-specific risk)
The risk that disappears in the portfolio construction process.
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Efficient frontier
the set of portfolios that will give you the highest return at each level of risk (or, alternatively, the lowest risk for each level of return).
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Capital asset pricing model (CAPM)
• Given that the only relevant systematic risk for an individual asset i is the covariance between the asset's returns and the rerurn on the market portfolio.
Example :
An investor put 60% of his money into a risky asset offering a 10% return with a standard deviation of returns of 8%, and he put the balance of his funds in the risk-free asset offering 5%. What is the expected return and standard deviation of his portfolio?
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•Point A represents a high-beta stock or portfolio, •Point B represents a stock or portfolio with a beta of one. •Point C represents a low-beta stock or portfolio (not necessarily low-risk).
All investors will hold some combination of the risk-free asset and Portfolio M. Portfolio M must be the Market portfolio, which theoretically includes all risky assets and is completely diversified. 11
i 1 j 1
N
N
Covi , j i , j i j
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Example : The risk and return characteristics for two stocks, Sparklin' and Caffeine Plus. Caffeine Plus Sparklin' Expected return 11% 25% Standard deviation 15% 20% Correlation 0.3 Compute the risk and expected return for portfolios.
Security market line (SML)
E ( Ri ) RFR + i E(Rmkt ) RFR
i
Covi , mkt
2 mkt
Beta (standardized systematic risk) measures the sensitivity of a security's returns to changes in the market return.
Portfolio Management
Risk aversion
indifference curves
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Expected value, Variance of returns on a portfolio
The weight of portfolio asset i is
wi
market value of investmen in asset i market value of the portfolio
A. 2.5% B. 3.75 % C. 4.25 %
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The lower the correlation between the returns of the stocks in the portfolio, all else equal, the greater the diversification benefits.