CFA 3 biji

SS6 CAPITAL MARKET EXPECTATIONSIN PORTFOLIO MANAGEMENT指路：整体而言，CFA三级的经济学部分考试难度较小，考察点比较集中。

定性分析的内容考察较少，即使出现，难度也不大；定量分析则是考试的主要内容，需要认真掌握。

本章笔记也侧重于主要的定量模型和方法的讲解；对于篇幅很长但结论不明的定性分析内容则以点带面，不讲究其逻辑完整性。

Reading 23 Capital Market ExpectationsManaging Investment Portfolios: A Dynamic Process, ThirdEdition, John L. Maginn, CFA, Donald L. Tuttle, CFA,Dennis W. McLeavey, CFA, and Jerald E. Pinto, CFA, editors1. 进行资本市场预测的框架包含以下步骤（A framework for developing capital market expectations）：1). Specify the final set of expectations that are needed, including the time horizon to which they apply2). Research the historical record.3). Specify the methods and/or models that will be used and their information requirements4). Determine the best sources for information needs5). Interpret the current investment environment using the selected data and methods applying experience and judgment6). Provide the set of expectations that are needed, documenting conclusions7). Monitor actual outcomes and compare them to expectations, providing feedback to improve the expectations-setting process.资本市场预测主要分为两种方法：第一种Beta research: research related to systematic risk and returns to systematic risk；另一种Alpha research: research related to capturing excess risk-adjusted returns by a particular strategy好预测（good forecasts）的判断标准是：Unbiased, objective, and well researchedEfficient, in the sense of reducing the magnitude of forecast errors to a minimumInternally consistent2.2. 预测面临的挑战challenges in forecasting1). Limitations of economic dataTime lag 当经济数据每年或每两年（比如，IMF的报告）才统计一次的时候，用这些数据来分析当前经济形势、预测未来市场走向可能会有问题。

Frequent revisions 很多经济统计报告发布以后还会进行（多次）修正，所以建立在初次发布的数据基础之上的预测是有问题的。

Changes in definition and calculation methodsRe-base 当统计基期变化时，统计数据的含义也相应发生变化。

2). Data measurement errors and biasesTranscription errors 指收集和记录数据（gathering and recording data）的错误 Survivorship bias 只有幸存下来的公司经营数据才被记录，使得这些数据反映的收益偏高、风险偏低。

Appraisal (smoothed) data 当某些时段的数据缺失时，通常通过线性推导等方法获得估算数据，这些数据反映的波动性通常偏低。

3). Limitations of historical estimates未来不是历史的简单外推（Past cannot be simply extrapolated to produce future），特别是当体制变动的时候（Changes in regime）。

所谓体制变动，指技术、政治、法律和监管环境的变化，以及战争和其他灾难的扰动会改变风险—收益关系，导致统计学上所谓的非平稳性问题（changes in the technological, political, legal, and regulatory environments, as well as disruptions such as wars and othercalamities can alter risk-return relationships. It gives rise to the statistical problem of nonstationarity）。

表面上看，所选样本数据跨度越长，或许能够降低参数估计对样本起止日期的敏感性（reduce the sensitivity of parameter estimates to the starting and ending dates of the sample），但是，使用长跨度数据样本会带来以下问题：数据覆盖多个体制（Regime）的风险增加要求的长跨度数据或许不可得为得到长跨度数据，很容易倾向使用每周/月的高频数据（high-frequency data），而高频数据对数据间的异步性（asynchronism across variables）更加敏感。

结果，高频数据产生的相关系数估计容易偏低。

4). Ex Post risk can be a biased measure of Ante Post risk只有事先估算的风险溢价才对决策有用（Only the ante post risk premium is important in decision making），以事后计算的风险来事先估算风险可能存在偏差。

5). Biases in analyst’s methodsData-mining bias 数据挖掘指的是分析师重复进行数据抽取，直至找到统计上显著的规律为止。

显然，这样的规律的预测价值是十分有限的。

Time-period bias 指所得分析结论仅适用于某个具体时间段。

一旦超出该时间段范围，结论就不再适用。

6). The failure to account for conditioning information假设经济衰退时期的beta值为1.2，扩张时期的beta值为0.8（称为条件信息conditional information，即beta值的大小取决于经济所处状态），则beta平均值为1.0。

如果不区分具体情况，用1.0的beta均值（称为无条件信息unconditional information）进行预测，所得预期收益是有偏的。

具体而言，如果发生经济衰退，1.0的beta均值偏低，风险偏低，预期收益偏低；如果发生经济扩张，1.0的beta 均值偏高，风险偏高，预期收益偏高。

7). Misinterpretation of correlations不分析背后的关联，相关关系本身不能用于预测模型。

举例说明：当A与B 显著相关时，原因可能不止A能预测B这么简单，相反，可能有三种关系存在：A predicts BB predicts Aa third variable C predicts A and B甚至还有更微妙的关系：当A与B存在很强的非线性关系时，它们的相关系数甚至可以是零（比如，）！8). Psychological traps分析师的预测准确度还收到下列心理因素的影响。

说明：为方便考试，以下概念直接英文表达。

The anchoring trap is the tendency of the mind to give disproportionate weight to the first information it receives on a topic. The analyst can try to address this trap by consciously attempting to avoid premature conclusions.The status quo trap is the tendency for forecast to perpetuate recent observations—that is to predict no change from the recent past. This trap may be overcome with rational analysis used within a decision-making process.The confirming evidence trap is the bias that leads individuals to give greater weight to information that supports an existing or preferred point of view than to evidence that contracts it.Several steps may be taken to avoid this trap:✧Examine all evidence with equal rigor✧Enlist an independent-minded person to argue against your preferred conclusionor decision✧Be honest about your motives.The overconfidence trap is the tendency of individuals to overestimate the accuracy of their forecasts. A good practice to prevent this trap is to widen the range of possibilities around the primary target forecast.The prudence trap is the tendency to temper forecasts so that they do not appear extreme, or the tendency to be overly cautious in forecasting. To avoid this trap, a good way is again to widen the range of possibilities around the target forecast.The recallability trap is the tendency of forecasts to be overly influenced by events that have left a strong impression on a person’s memory. To minimize the distort ions, analysts should ground their conclusions on objective data and procedures rather than on personal emotions and memories.Example （摘自CFA 2007真题Question 3）：John Nultione was recently hired as a portfolio manager with Equity Advisors (EA). As part o f his responsibilities, Nultione prepares market forecasts for the firm’s chief investment officer, Walt Hyatt. The U.S. equity market declined by 20 percent last year. After constructing a model of factors affecting the market, Nultione becomes convinced that U.S. market returns will be 13.47 percent for the first half of this year followed by an 11.21 percent return for the second half of this year.Nultione remembers similar conditions several years ago when his forecast was too pessimistic and he missed a significant buying opportunity. He does not want to miss another market low. Nultione proposes a large increase in EA’s portfolio allocation to U.S. equities, which will move his position from underweight to overweight. By contrast, Hyatt believes the recent downward trend in the market will continue, and any gains from restructuring EA’s portfolio allocation would not be worth the risk of relative underperformance.After preparing his forecast, Nultione reads reports by several respected analysts,inc luding Harinder Singh. Nultione disagrees with Singh’ s forecast of a continued decline in the market. Hyatt, however, attended a conference where Singh presented his market forecast. Hyatt found Singh’ s analysis convincing and agreed with his forecast.N ultione points out that since the conference, several key variables in Singh’s analysishave changed. Despite this evidence, Hyatt remains convinced that Singh’s forecast is correct.Hyatt believes that Nultione’s proposed portfolio allocation could resul t in a significant underperformance of EA’s portfolio compared to its peers. Hyatt believes such underperformance could harm his own position at the firm. As a result, Hyatt asks Nultione to review the work of the top 20 equity analysts and reassess his forecast. Nultione presents his review of the 20 analysts to Hyatt, focusing on the views of three analysts who agree with Nultione’ s optimistic market view.For each Nultione and Hyatt:A. Identify two psychological traps they have fallen into.B. Justify your position by stating evidence from the information provided.Note: Four different psychological traps must be identified.CFA协会提供的参考答案：Template for Question 2 (continued)yatt .Anchoring trap- the tendencyto givedisproportionateweight to thefirst (or early)informationreceived on atopic. Initialimpressions,estimates, ordata “anchor”subsequentjudgments.Hyatt has fallen into the anchoring trap in that he is unable to take an objective view of Nultione’s work. This is becausehe has familiarity with Singh’s work from hearing him at a conference. AlthoughNultione points out that some of the key variables used in Singh’s analysis havechanged since the conference, Hyatt’s views do not change. Also, Nultione hasonly recently been hired by EA.2. Status quo trap -the tendency forforecasts toperpetuate recentobservations. Topredict nochange fromrecent past. Hyatt has fallen into the status quo trap in that he is convinced that the current weak performance of the U.S. market will continue. A trend itself is not sufficient evidence to predict that it will continue. Acting to change the status quo may lead to regret if the decision is wrong, as is evidenced by Hyatt’s concern about the performance impact if Nultione is wrong.知加拿大和美国股票市场收益的协方差的收缩估计值为：0.3（230）+0.7（190）=202。