Chapter 20 Bond Portfolio Management Strategies(投资分析与投资组合管理)
cfa词汇
cfa词汇CFA（Chartered Financial Analyst）是全球公认的金融计算机分析师资格认证，在金融界享有很高声誉。
CFA认证课程分3级，涵盖了三大基本核心领域：投资工具、投资价值、投资组合和风险管理。
这里将介绍一些CFA代表性词汇。
1. Equity（股票）2. Bond（债券）债券是一种债务工具，发行人以借贷的形式向投资者筹集资金。
债券有定期支付的利息和到期时返还本金的义务。
CFA课程将教授如何进行固定收益证券分析和债券投资分析。
3. Derivatives（衍生品）衍生品是一种从其他资产价值中衍生出来的金融工具，如期货、期权、掉期和互换等。
CFA课程中会详细讲解衍生品的种类、市场和投资策略。
4. Portfolio Management（投资组合管理）投资组合管理是一个将多种资产混合组成的投资组合，以实现长期财务目标、控制风险和最大化收益。
CFA课程的最终目标是培养合格的投资组合管理人才。
5. Risk Management（风险管理）风险管理是通过识别和评估不同形式的风险，制定合适的决策应对未来可能的损失和威胁。
CFA课程中将强调风险管理的重要性，并教授风险的类型和评估方法。
6. Valuation（估值）估值是通过分析一个公司或项目的财务和经济数据，评估其真实价值和潜在投资机会。
CFA课程将重点讲解公司估值和资产估值，包括估值方法、评估指标和估值工具的使用。
7. Ethics（道德）道德是金融行业中的重要问题，涉及到投资人和企业之间的责任、诚信和公正。
CFA课程将着重培养学员对道德和职业操守的重视和尊重，在实践工作中遵循道德原则。
以上是CFA课程中的一些代表性词汇，这些术语涉及到金融行业中的核心领域。
对于CFA认证的考生来说，熟悉这些词汇不仅对于通过考试有帮助，也会对于未来在金融领域的职业发展有所助益。
CFA 3 portfolio management 英文原版noteLecture 020
Chapter 1 Portfolio Management Process & IPS
2
Portfolio Management Process
PLANNING Capital Market Expectations E(r)/σ
LT/ST risks
PLANNING Investor Objective & Constraint IPS
3. What is investor’s ABILITY to take risk?
4. How much risk is investor BOTH willing & able to bear? 5. What are specific risk objectives? 6. How should investor allocate risk?
EXECUTION ST Tactical Asset Allocation Security Analysis Transaction Costs FEEDBACK Performance/Monitoring Performance measures Sp Attribution analysis REBALANCE
10tives (Risk & Return)
Risk Tolerance (t): capacity to accept risk
High
Risk Aversion (A): inability & unwillingness to take risk Low
Institutions (homogeneous)
Rational Objective measures
博迪的投资学第一章练习题(英)
11.Financial assets represent _____ of total assets of U.S. households.A. over 60%B. over 90%C. under 10%D. about 30%2.Real assets in the economy include all but which one of the following?A. LandB. BuildingsC. Consumer durablesD. Common stock worth represents _____ of the liabilities and net worth of commercial banks.A. about 50%B. about 90%C. about 10%D. about 30%4.According to the Flow of Funds Accounts of the United States, the largest single asset of U.S. householdsis ___.A. mutual fund sharesB. real estateC. pension reservesD. corporate equity5.According to the Flow of Funds Accounts of the United States, the largest liability of U.S. households is________.A. mortgagesB. consumer creditC. bank loansD. gambling debts6.____ is not a derivative security.A. A share of common stockB. A call optionC. A futures contractD. All of the above are derivative securities.7.According to the Flow of Funds Accounts of the United States, the largest financial asset of U.S.households is ____.A. mutual fund sharesB. corporate equityC. pension reservesD. personal trusts8.Active trading in markets and competition among securities analysts helps ensure that __________.I. security prices approach informational efficiencyII. riskier securities are priced to offer higher potential returnsIII. investors are unlikely to be able to consistently find under- or overvalued securitiesA. I onlyB. I and II onlyC. II and III onlyD. I, II and III9.The material wealth of society is determined by the economy's _________, which is a function of theeconomy's _________.A. investment bankers, financial assetsB. investment bankers, real assetsC. productive capacity, financial assetsD. productive capacity, real assets10.Which of the following is not a money market security?A. U.S. Treasury billB. Six month maturity certificate of depositC. Common stockD. Banker's acceptance11.__________ assets generate net income to the economy and __________ assets define allocation of incomeamong investors.A. Financial, financialB. Financial, realC. Real, financialD. Real, real12.Which of the following are financial assets?I. Debt securitiesII. Equity securitiesIII. Derivative securitiesA. I onlyB. I and II onlyC. II and III onlyD. I, II and III13.__________ are examples of financial intermediaries.A. Commercial banksB. Insurance companiesC. Investment companiesD. All of the above are financial intermediaries14.Asset allocation refers to the _________.A. allocation of the investment portfolio across broad asset classesB. analysis of the value of securitiesC. choice of specific assets within each asset classD. none of the answers define asset allocation15.Which one of the following best describes the purpose of derivatives markets?A. Transferring risk from one party to anotherB. Investing for a short time period to earn a small rate of returnC. Investing for retirementD. Earning interest income16.__________ was the first to introduce mortgage pass-through securities.A. Chase ManhattanB. CiticorpC. FNMAD. GNMA17.Security selection refers to the ________.A. allocation of the investment portfolio across broad asset classesB. analysis of the value of securitiesC. choice of specific securities within each asset classD. top down method of investing18._____ is an example of an agency problem.A. Managers engage in empire buildingB. Managers protect their jobs by avoiding risky projectsC. Managers over consume luxuries such as corporate jetsD. All of the answers provide examples of agency problems19._____ is a mechanism to mitigate potential agency problems.A. Tying income of managers to success of the firmB. Directors defending top managementC. Anti takeover strategiesD. Straight voting method of electing the board of directors20.__________ are real assets.A. BondsB. Production equipmentC. StocksD. Commercial paper21.__________ portfolio construction starts with selecting attractively priced securities.A. Bottom-upB. Top-downC. Upside-downD. Side-to-side22.In a capitalist system capital resources are primarily allocated by ____________.A. governmentsB. the SECC. financial marketsD. investment bankers23. A __________ represents an ownership share in a corporation.A. call optionB. common stockC. fixed-income securityD. preferred stock24.The value of a derivative security _________.A. depends on the value of other related securityB. affects the value of a related securityC. is unrelated to the value of a related securityD. can only be integrated by calculus professors25. A bond issue is broken up so that some investors will receive interest payments while others will receiveprincipal payments. This is an example of _________.A. bundlingB. credit enhancementC. securitizationD. unbundling26.__________ portfolio management calls for holding diversified portfolios without spending effort orresources attempting to improve investment performance through security analysis.A. ActiveB. MomentumC. PassiveD. Market timing27.Financial markets allow for all but which one of the following?A. Shift consumption through time from higher income periods to lowerB. Price securities according to their riskinessC. Channel funds from lenders of funds to borrowers of fundsD. Allow most participants to routinely earn high returns with low risk28.Financial intermediaries exist because small investors cannot efficiently _________.A. diversify their portfoliosB. gather informationC. monitor their portfoliosD. all of the answers provide reasons why29.Methods to encourage managers to act in shareholders' best interest includeI. Threat of takeoverII. Proxy fights for control of the Board of DirectorsIII. Tying managers' compensation to stock price performanceA. I onlyB. I and II onlyC. II and III onlyD. I, II and III30.Firms that specialize in helping companies raise capital by selling securities to the public are called_________.A. pension fundsB. investment banksC. savings banksD. REITs31.In securities markets, there should be a risk-return trade-off with higher-risk assets having _________expected returns than lower-risk assets.A. higherB. lowerC. the sameD. Can't tell from the information given32.__________ are an indirect way U.S. investors can invest in foreign companies.A. ADRsB. IRAsC. SDRsD. CPCs33.Security selection refers to _________.A. choosing specific securities within each asset-classB. deciding how much to invest in each asset-classC. deciding how much to invest in the market portfolio versus the riskless assetD. deciding how much to hedge34.An example of a derivative security is _________.A. a common share of General MotorsB. a call option on Intel stockC. a Ford bondD. a U.S. Treasury bond35.__________ portfolio construction starts with asset allocation.A. Bottom-upB. Top-downC. Upside-downD. Side-to-side36.Which one of the following firms falsely claimed to have a $4.8 billion bank account at Bank of Americaand vastly understated its debts, eventually resulting in the firm's bankruptcy?A. WorldComB. EnronC. ParmalatD. Global Crossing37.Debt securities promise _________.I. a fixed stream of incomeII. a stream of income that is determined according to a specific formulaIII. a share in the profits of the issuing entityA. I onlyB. I or II onlyC. I and III onlyD. II or III only38.The Sarbanes-Oxley Act tightened corporate governance rules by requiring all but which one of thefollowing?A. Required corporations to have more independent directorsB. Required the CFO to personally vouch for the corporation's financial statementsC. Required that firms could no longer employ investment bankers to sell securities to the publicD. The creation of a new board to oversee the auditing of public companies39.The success of common stock investments depends on the success of _________.A. derivative securitiesB. fixed income securitiesC. the firm and its real assetsD. government methods of allocating capital40.The historical average rate of return on the large company stocks since 1926 has beenA. 5%B. 8%C. 12%D. 20%41.The average rate of return on U.S. Treasury bills since 1926 was _________.A. 0.5%B. 2.4%C. 3.8%D. 6.0%42.An example of a real asset is _________.I. a college educationII. customer goodwillIII. a patentA. I onlyB. II onlyC. I and III onlyD. I, II and III43.The 2002 law designed to improve corporate governance is titled theA. Pension Reform ActB. ERISAC. Financial Services Modernization ActD. Sarbanes-Oxley Act44.Which of the following is not a financial intermediary?A. a mutual fundB. an insurance companyC. a real estate brokerage firmD. a savings and loan company45.The combined liabilities of American households represent approximately __________ percent ofcombined assets.A. 11%B. 21%C. 25%D. 33%46.In 2008 real assets represented approximately __________ percent of the total asset holdings of Americanhouseholds.A. 37%B. 42%C. 48%D. 55%47.In 2008 mortgages represented approximately __________ percent of total liabilities and net worth ofAmerican households.A. 12%B. 15%C. 28%D. 42%48.Liabilities equal approximately _____ of total assets for nonfinancial U.S. businesses.A. 10%B. 25%C. 44%D. 75%49.Which of the following is not an example of a financial intermediary?A. Goldman SachsB. Allstate InsuranceC. First Interstate BankD. IBM50.Real assets represent about ____ of total assets for financial institutions.A. 1%B. 15%C. 25%D. 40%51.Money Market securities are characterized by ________.I. maturity less than one yearII. safety of the principal investmentIII. low rates of returnA. I onlyB. I and II onlyC. I and III onlyD. I, II and III52.After much investigation an investor finds that Intel stock is currently under priced. This is an example of______.A. asset allocationB. security analysisC. top down portfolio managementD. passive management53.After considering current market conditions an investor decides to place 60% of their funds in equities andthe rest in bonds. This is an example ofA. asset allocationB. security analysisC. top down portfolio managementD. passive management54.Suppose an investor is considering one of two investments which are identical in all respects except forrisk. If the investor anticipates a fair return for the risk of the security they invest in they can expect toA. earn no more than the Treasury bill rate on either securityB. pay less for the security that has higher riskC. pay less for the security that has lower riskD. earn more if interest rates are lower55.The efficient markets hypothesis suggests that _______.A. active portfolio management strategies are the most appropriate investment strategiesB. passive portfolio management strategies are the most appropriate investment strategiesC. either active or passive strategies may be appropriate, depending on the expected direction of the marketD. a bottom up approach is the most appropriate investment strategy56.In a perfectly efficient market the best investment strategy is probably a/anA. active strategyB. passive strategyC. asset allocationD. market timing57.An important trend that has changed the contemporary investment market is _________.A. financial engineeringB. globalizationC. securitizationD. all three of the other answers58.Securitization refers to the creation of new securities by _________.A. selling individual cash flows of a security or loanB. repackaging individual cash flows of a security or loan into a new payment patternC. taking an illiquid asset and converting it into a marketable securityD. selling financial services overseas as well as in the U.S.59.Brady bonds were an example of _________.A. securitizationB. mortgagizationC. bundlingD. pass through securities60.Individuals may find it more advantageous to purchase claims from a financial intermediary rather thandirectly purchasing claims in capital markets becauseI. intermediaries are better diversified than most individualsII. intermediaries can exploit economies of scale in investing that individual investors cannotIII. intermediated investments usually offer higher rates of return than direct capital market claimsA. I onlyB. I and II onlyC. II and III onlyD. I, II and III61.Surf City Software Company develops new surf forecasting software. It sells the software to Microsoft inexchange for 1000 shares of Microsoft common stock. Surf City Software has exchanged a _____ asset fora _____ asset in this transaction.A. real, realB. financial, financialC. real, financialD. financial, real62.Stone Harbor Products takes out a bank loan. It receives $100,000 and signs a promissory note to pay backthe loan over 5 years.A. A new financial asset was created in this transaction.B. A financial asset was traded for a real asset in this transaction.C. A financial asset was destroyed in this transaction.D. A real asset was created in this transaction.63.Which of the following firms was not engaged in a major accounting scandal between 2000 and 2005?A. General ElectricB. ParmalatC. EnronD. WorldCom64.Accounting scandals can often be attributed to a particular concept in the study of finance known as theA. agency problemB. risk - return trade - offC. allocation of riskD. securitization65.An intermediary that pools and manage funds for many investors is called a/an ______.A. investment companyB. savings and loanC. investment bankerD. ADR66.Financial institutions that specialize in assisting corporations in primary market transactions are called_______.A. mutual fundsB. investment bankersC. pension fundsD. globalization specialists67.WEBS allow investors to _______.A. invest in U.S. mortgage backed securitiesB. invest in an individual foreign stockC. invest in a portfolio of foreign stocksD. avoid any exposure to foreign exchange risk68.In 2008 the largest corporate bankruptcy in the U.S. history involved the investment banking firm of______.A. Goldman SachsB. Lehman BrothersC. Morgan StanleyD. Merrill Lynch69.The inability of shareholders to influence the decisions of managers, despite overwhelming shareholdersupport, is a breakdown in what process or mechanism?A. AuditingB. Public financeC. Corporate governanceD. Public reporting70.Real assets are ______.A. are assets used to produce goods and servicesB. always the same as financial assetsC. always equal to liabilitiesD. claims on company's income71. A major cause of mortgage market meltdown in 2007 and 2008 was linked to ________.A. globalizationB. securitizationC. negative analyst recommendationsD. online trading72.In recent years the greatest dollar amount of securitization occurred for which type loan?A. Home mortgagesB. Credit card debtC. Automobile loansD. Equipment leasing73.The process of securitizing poor quality bank loans made to developing nations resulted in the creation of__________.A. Pass-throughsB. Brady bondsC. WEBSD. FHLMC participation certificates74.U.S. Treasury bonds pay interest every six months and repay the principal at maturity. The U.S.Treasury routinely sells individual interest payments on these bonds to investors. This is an example of ___________.A. unbundlingB. bundlingC. securitizationD. security selection75.An investment advisor has decided to purchase gold, real estate, stocks, and bonds in equal amounts. Thisdecision reflects which part of the investment process?A. Asset allocationB. Investment analysisC. Portfolio analysisD. Security selection1 Key1.Financial assets represent _____ of total assets of U.S. households.A. over 60%B. over 90%C. under 10%D. about 30%Bodie - Chapter 01 #1Difficulty: Easy2.Real assets in the economy include all but which one of the following?A. LandB. BuildingsC. Consumer durablesD. Common stockBodie - Chapter 01 #2Difficulty: Easy worth represents _____ of the liabilities and net worth of commercial banks.A. about 50%B. about 90%C. about 10%D. about 30%Bodie - Chapter 01 #3Difficulty: Medium 4.According to the Flow of Funds Accounts of the United States, the largest single asset of U.S.households is ___.A. mutual fund sharesB. real estateC. pension reservesD. corporate equityBodie - Chapter 01 #4Difficulty: Medium 5.According to the Flow of Funds Accounts of the United States, the largest liability of U.S. households is________.A. mortgagesB. consumer creditC. bank loansD. gambling debtsBodie - Chapter 01 #5Difficulty: Medium6.____ is not a derivative security.A. A share of common stockB. A call optionC. A futures contractD. All of the above are derivative securities.Bodie - Chapter 01 #6Difficulty: Easy 7.According to the Flow of Funds Accounts of the United States, the largest financial asset of U.S.households is ____.A. mutual fund sharesB. corporate equityC. pension reservesD. personal trustsBodie - Chapter 01 #7Difficulty: Medium8.Active trading in markets and competition among securities analysts helps ensure that __________.I. security prices approach informational efficiencyII. riskier securities are priced to offer higher potential returnsIII. investors are unlikely to be able to consistently find under- or overvalued securitiesA. I onlyB. I and II onlyC. II and III onlyD. I, II and IIIBodie - Chapter 01 #8Difficulty: Hard 9.The material wealth of society is determined by the economy's _________, which is a function of theeconomy's _________.A. investment bankers, financial assetsB. investment bankers, real assetsC. productive capacity, financial assetsD. productive capacity, real assetsBodie - Chapter 01 #9Difficulty: Medium10.Which of the following is not a money market security?A. U.S. Treasury billB. Six month maturity certificate of depositC. Common stockD. Banker's acceptanceBodie - Chapter 01 #10Difficulty: Medium11.__________ assets generate net income to the economy and __________ assets define allocation ofincome among investors.A. Financial, financialB. Financial, realC. Real, financialD. Real, realBodie - Chapter 01 #11Difficulty: Medium12.Which of the following are financial assets?I. Debt securitiesII. Equity securitiesIII. Derivative securitiesA. I onlyB. I and II onlyC. II and III onlyD.I, II and IIIBodie - Chapter 01 #12Difficulty: Hard13.__________ are examples of financial intermediaries.A. Commercial banksB. Insurance companiesC. Investment companiesD. All of the above are financial intermediariesBodie - Chapter 01 #13Difficulty: Easy14.Asset allocation refers to the _________.A.allocation of the investment portfolio across broad asset classesB. analysis of the value of securitiesC. choice of specific assets within each asset classD. none of the answers define asset allocationBodie - Chapter 01 #14Difficulty: Easy15.Which one of the following best describes the purpose of derivatives markets?A.Transferring risk from one party to anotherB. Investing for a short time period to earn a small rate of returnC. Investing for retirementD. Earning interest incomeBodie - Chapter 01 #15Difficulty: Medium16.__________ was the first to introduce mortgage pass-through securities.A. Chase ManhattanB. CiticorpC. FNMAD. GNMABodie - Chapter 01 #16Difficulty: Easy17.Security selection refers to the ________.A. allocation of the investment portfolio across broad asset classesB. analysis of the value of securitiesC.choice of specific securities within each asset classD. top down method of investingBodie - Chapter 01 #17Difficulty: Medium18._____ is an example of an agency problem.A. Managers engage in empire buildingB. Managers protect their jobs by avoiding risky projectsC. Managers over consume luxuries such as corporate jetsD. All of the answers provide examples of agency problemsBodie - Chapter 01 #18Difficulty: Easy19._____ is a mechanism to mitigate potential agency problems.A. Tying income of managers to success of the firmB. Directors defending top managementC. Anti takeover strategiesD. Straight voting method of electing the board of directorsBodie - Chapter 01 #19Difficulty: Hard20.__________ are real assets.A. BondsB. Production equipmentC. StocksD. Commercial paperBodie - Chapter 01 #20Difficulty: Easy21.__________ portfolio construction starts with selecting attractively priced securities.A. Bottom-upB. Top-downC. Upside-downD. Side-to-sideBodie - Chapter 01 #21Difficulty: Easy22.In a capitalist system capital resources are primarily allocated by ____________.A. governmentsB. the SECC. financial marketsD. investment bankersBodie - Chapter 01 #22Difficulty: Easy23. A __________ represents an ownership share in a corporation.A. call optionmon stockC. fixed-income securityD. preferred stockBodie - Chapter 01 #23Difficulty: Easy24.The value of a derivative security _________.A.depends on the value of other related securityB. affects the value of a related securityC. is unrelated to the value of a related securityD. can only be integrated by calculus professorsBodie - Chapter 01 #24Difficulty: Easy 25. A bond issue is broken up so that some investors will receive interest payments while others willreceive principal payments. This is an example of _________.A. bundlingB. credit enhancementC. securitizationD.unbundlingBodie - Chapter 01 #25Difficulty: Easy 26.__________ portfolio management calls for holding diversified portfolios without spending effort orresources attempting to improve investment performance through security analysis.A. ActiveB. MomentumC.PassiveD. Market timingBodie - Chapter 01 #26Difficulty: Easy27.Financial markets allow for all but which one of the following?A. Shift consumption through time from higher income periods to lowerB. Price securities according to their riskinessC. Channel funds from lenders of funds to borrowers of fundsD. Allow most participants to routinely earn high returns with low riskBodie - Chapter 01 #27Difficulty: Moderate28.Financial intermediaries exist because small investors cannot efficiently _________.A. diversify their portfoliosB. gather informationC. monitor their portfoliosD. all of the answers provide reasons whyBodie - Chapter 01 #28Difficulty: Easy29.Methods to encourage managers to act in shareholders' best interest includeI. Threat of takeoverII. Proxy fights for control of the Board of DirectorsIII. Tying managers' compensation to stock price performanceA. I onlyB. I and II onlyC. II and III onlyD. I, II and IIIBodie - Chapter 01 #29Difficulty: Easy 30.Firms that specialize in helping companies raise capital by selling securities to the public are called_________.A. pension fundsB.investment banksC. savings banksD. REITsBodie - Chapter 01 #30Difficulty: Easy 31.In securities markets, there should be a risk-return trade-off with higher-risk assets having _________expected returns than lower-risk assets.A. higherB. lowerC. the sameD. Can't tell from the information givenBodie - Chapter 01 #31Difficulty: Easy32.__________ are an indirect way U.S. investors can invest in foreign companies.A. ADRsB. IRAsC. SDRsD. CPCsBodie - Chapter 01 #32Difficulty: Easy33.Security selection refers to _________.A. choosing specific securities within each asset-classB. deciding how much to invest in each asset-classC. deciding how much to invest in the market portfolio versus the riskless assetD. deciding how much to hedgeBodie - Chapter 01 #33Difficulty: Easy34.An example of a derivative security is _________.A. a common share of General MotorsB. a call option on Intel stockC. a Ford bondD. a U.S. Treasury bondBodie - Chapter 01 #34Difficulty: Easy35.__________ portfolio construction starts with asset allocation.A. Bottom-upB. Top-downC. Upside-downD. Side-to-sideBodie - Chapter 01 #35Difficulty: Easy 36.Which one of the following firms falsely claimed to have a $4.8 billion bank account at Bank ofAmerica and vastly understated its debts, eventually resulting in the firm's bankruptcy?A. WorldComB. EnronC. ParmalatD. Global CrossingBodie - Chapter 01 #36Difficulty: Medium37.Debt securities promise _________.I. a fixed stream of incomeII. a stream of income that is determined according to a specific formulaIII. a share in the profits of the issuing entityA. I onlyB.I or II onlyC. I and III onlyD. II or III onlyBodie - Chapter 01 #37Difficulty: Medium 38.The Sarbanes-Oxley Act tightened corporate governance rules by requiring all but which one of thefollowing?A. Required corporations to have more independent directorsB. Required the CFO to personally vouch for the corporation's financial statementsC. Required that firms could no longer employ investment bankers to sell securities to the publicD. The creation of a new board to oversee the auditing of public companiesBodie - Chapter 01 #38Difficulty: Medium39.The success of common stock investments depends on the success of _________.A. derivative securitiesB. fixed income securitiesC. the firm and its real assetsD. government methods of allocating capitalBodie - Chapter 01 #39Difficulty: Easy40.The historical average rate of return on the large company stocks since 1926 has beenA. 5%B. 8%C.12%D. 20%Bodie - Chapter 01 #40Difficulty: Medium41.The average rate of return on U.S. Treasury bills since 1926 was _________.A. 0.5%B. 2.4%C. 3.8%D. 6.0%Bodie - Chapter 01 #41Difficulty: Medium42.An example of a real asset is _________.I. a college educationII. customer goodwillIII. a patentA. I onlyB. II onlyC. I and III onlyD. I, II and IIIBodie - Chapter 01 #42Difficulty: Medium43.The 2002 law designed to improve corporate governance is titled theA. Pension Reform ActB. ERISAC. Financial Services Modernization ActD. Sarbanes-Oxley ActBodie - Chapter 01 #43Difficulty: Easy44.Which of the following is not a financial intermediary?A. a mutual fundB. an insurance companyC. a real estate brokerage firmD. a savings and loan companyBodie - Chapter 01 #44Difficulty: Medium 45.The combined liabilities of American households represent approximately __________ percent ofcombined assets.A. 11%B.21%C. 25%D. 33%Bodie - Chapter 01 #45Difficulty: Medium 46.In 2008 real assets represented approximately __________ percent of the total asset holdings ofAmerican households.A. 37%B. 42%C. 48%D. 55%Bodie - Chapter 01 #46Difficulty: Medium。
【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。
滋维博迪投资学Chap016
the duration of a coupon bond is higher when the bond’s yield to maturity is
14
lower
Rules 5 The duration of a level perpetuity is equal to: (1+y) / y
Figure 16.2 Bond Duration versus Bond Maturity
Figure 16.7 Cash Flows to Whole Mortgage Pool; Cash Flows to Three Tranches
27
Passive Management
• Two passive bond portfolio strategies:
1. Indexing
28
6
Duration
• A measure of the effective maturity of a bond
• The weighted average of the times until each payment is received, with the weights proportional to the present 7 value of the payment
CHAPTER 16
Managing Bond Portfolios
Bond Pricing Relationships
1. Bond prices and yields are inversely related.
2. An increase in a bond’s yield to maturity 2 results in a smaller price change than a decrease of equal magnitude.
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。
新编剑桥商务英语中级词汇-精选
BEC 中级考试词汇必备Aabsenteeism n. (经常性)旷工，旷职account executive n.(广告公司)客户经理*accruals n. 增值，应计*acquisition n. 收购，被收购的公司或股份agenda n. 议事日程allocate v. 分配，配给amalgamation n. 合并，重组*amortise v. 摊还annual general meeting (AGM ) 股东年会anticipate v.期望anticipated adj.期待的appointee n. 被任命人appraisal n. 估量，估价*appropriate v.拨出(款项)aptitude n. 天资，才能*arbitrage n. 套利arbitration n. 仲裁*arrears n. 欠帐current asset n. 流动资产fixed asset n. 固定资产frozen asset n. 冻结资产intangible assets n. 无形资产liquid assets n. 速动资产tangible assets n. 有形资产assist v. 援助，协助，出席audit n. 查账，审计automate v. 使某事物自动操作awareness n. 意识；警觉Bbacking n. 财务支持，赞助backhander n.贿赂*backlog n. 积压(工作或订货)balance sheet n. 资产负债表bar chart n. 条形图，柱状图benchmark n. 衡量标准fringe benefits n. 附加福利bid n. 出价，投标takeover bid n.盘进(一个公司)的出价billboard n. (路边)广告牌，招贴板blue chips n. 蓝筹股，绩优股books n. 公司帐目book value n. 账面价值， (公司或股票)净值bookkeeper n. 簿记员，记帐人boost v. 提高，增加，宣扬bottleneck n. 瓶颈，窄路，阻碍bounce v. 支票因签发人无钱而遭拒付并退回brainstorm n./v. 点子会议，献计献策 , 头脑风暴brand leader n. 占市场最大份额的品牌，名牌break even v. 收支相抵，不亏不盈breakthrough n. 突破bulk n. 大量(货物)adj. 大量的bust adj. 破了产的Ccanvass v. 征求意见，劝说capture v. 赢得catastrophe n. 大灾难，大祸CIF, c.i.f. 成本保险费加运费circular n. 传阅的小册子(传单等)circulate v. 传阅commercialise v. 使商品化commission n. 佣金commodity n. 商品，货物limited (liability) company (ltd.) 股份有限公司public limited company (plc) n. 股票上市公司compensate v. 补偿，酬报compensation n. 补偿，酬金concentrated marketing n.集中营销策略*conglomerate n. 综合商社，多元化集团公司*consolidate v. 帐目合并*consortium n. 财团constant adj. 恒定的，不断的，经常的consumables n. 消耗品consumer durables n. 耐用消费品(如：洗衣机)*contingency n. 意外事件contractor n. 承办商，承建人conversion n. 改装，改造conveyor n. 运送，传递，转让core time n.(弹性工作制的)基本上班时间(员工于此段时间必须上班，弹性只对除此以外的时间有效)cost n. 成本fixed costs 固定成本running costs 日常管理费用variable costs 可变成本cost-effective adj. 合算的，有效益的credit n. 赊购，赊购制度creditor n. 债权人，贷方*creditworthiness n. 信贷价值，信贷信用*critical path analysis n. 关键途径分析法Current account 往来帐户，活期(存款)户current assets n. 流动资产current liabilities n. 流动负债customise v. 按顾客的具体要求制造(或改造等)；顾客化cut-throat adj. 残酷的，激烈的cut-price a.削价(出售)的CV(=curriculum vitae) n. 简历，履历Ddebit n. 借方，欠的钱v. 记入帐户的借方debtor n. 债务人aged debtors 长期债务人deduct v. 扣除，减去default n. 违约，未履行defer v. 推迟deferred payments n. 延期支付*demand management n.需求规化demotivated adj. 消极的，冷谈的deposit n. 储蓄，预付(定金)depot n. 仓库depreciate v. 贬值， (对资产)折旧deputy n. 代理人，副职，代理devalue v. 货币贬值(相对于其它货币)dismissal n. 打发走dispatch n./v. 调遣dispose v. 安排，处理(事务)dispose of 去掉，清除*diversify v. 从事多种经营；多样化divest v. 剥夺dividend n. 股息，红利，年息*dog n. 滞销品down-market a./ad. 低档商品的*down-time/downtime n. 设备闲置期DP(=Data Processing) n. 计算机数据处理，计算机数据处理部门dynamic adj. 有活力的Eendorse v. 背书，接受engage v. 雇用equity n. 股东权益equity capital n. 股本equities 普通股，股票eventual adj. 最终的exhibit n. 展览，表现expenditure n. 花费，支出额expertise n. 专长，专门知识和技能*exposure n. 公众对某一产品或公司的知悉；广告所达到的观众总数Ffacilities n. 用于生产的设备、器材facilities layout n. 设备的布局规化、计划facilities location n. 设备安置*factoring n. 折价购买债券*fail-safe system n. 安全系统feasibility study n. 可行性研究fiscal adj. 国库的，财政的*flagship n. 同类中最成功的商品，佼佼者flier(=flyer) n. 促销传单float v. 发行股票flop n. 失败flow shop n. 车间fluctuate v. 波动，涨落，起伏FOB, f.o.b n. 离岸价*follow-up n. 细节落实，接连要做的事*franchise n. 特许经销权v. 特许经销，给予特许经销权franchiser n. 授予特许经营权者fraud n. 欺骗*freebie n. (非正式的)赠品，免费促销的商品futures n. 期货交易G*gearing n. 配称(即定息债务与股份资本之间的比率) *gimmick n. 好主意，好点子goodwill n. 声誉*go public v. 首次公开发行股票grapple with v. 与……搏斗，尽力解决grievance n. 申诉，抱怨gross margin n. 毛利率gross profit n. 毛利gross yield n. 毛收益H*hedge n. 套期保值hierarchy n. 等级制度，统治集团，领导层hostile adj. 不友好的，恶意的*hype n. 天花乱坠的(夸张)广告宣传Iimplement v. 实施，执行incentive n. 刺激；鼓励earned income 劳动收入，劳动所得unearned income 非劳动收入，投资所得increment v. 定期增加incur v 招致，承担*indemnity n. 偿还，赔偿retail price index 零售价格指数induction n. 就职industrial action n. (罢工、怠工等)劳工行动industrial relations n. 劳资关系inflate v.抬高(物价)，使通货等)膨胀inflation n. 通货膨胀*infringe v. 违法，违章insolvent adj. 无清偿力的installment n. 部分，分期付款interim n. 中期，过渡期间intermittent production n. 阶段性生产*inventory n. 库存buffer inventory n. 用于应付突发性需求的存货capacity inventory n. 用于将来某时使用的存货cycle inventory n. 循环盘存decoupling inventory n. 保险性存货(以应付万一)finished goods inventory n. 制成品存货(盘存)pipeline inventory n. 在途存货raw materials inventory n. 原材料存货work-in-progress inventory n. 在制品盘存(存货)invoice n. 发票v.给(某人)开发票irrevocable adj. 不可撤消的，不能改变的issue n. 发行股票* rights issue n. 优先认股权J*job lot n. 一次生产的部分或少数产品job mobility 工作流动job rotation 工作轮换*job shop n. 专门车间jobbing n. 为一次性的或小的订货需求而特设的生产制度*jurisdiction n. 管辖(权)junk bonds n. 低档(风险)债券，垃圾债券*just-in-time n. 无库存制度Kknockdown adj. (价格)很低的know-how n. 专门技术Llayout n. 工厂的布局lead time n. 完成某项活动所需的时间leaflet n. 广告印刷传单lease n. 租借，租赁物lessee n. 承租人lessor n. 出租人*ledger n. 分类帐nominal ledger n. 记名帐purchase ledger n. 进货帐sales ledger n. 销货帐*leverage n. 杠杆比率liability n. 负债liabilities n. 债务liquid adj. 易转换成现款的liquidate v. 清算*liquidity n. 拥有变现力liquidation n. 清理(关闭公司)，清算liquidator n. 清算人，公司资产清理人literature n. (产品说明书之类的)印刷品，宣传品litigate v. 提出诉讼Mmajority shareholding 绝对控股make n. 产品的牌子或型号make-to-order adj. 根据订货而生产的产品make-to-stock adj. 指那些在未收到订货时就已生产了的产品matrix management n. 矩阵管理manning n. 人员配备margin n. 利润gross margin n. 毛利率net margin n. 净利润mark-up v. 标高售价，加价down market adv./adj. 低档商品/地的*market niche n. 小摊位，专业市场的一个小部分market penetration n. 市场渗入market segmentation 市场划分*materials handling n. 材料管理，材料控制maximise v. 使增至最大限度、最大化merchandising n. (在商店中)通过对商品的摆放与促销进行经营merge v. 联合，合并merger n. (公司，企业等的)合并merit n. 优点，值得，应受middleman n. 中间人，经纪人full milk n. 全脂牛奶skimmed milk n. 脱脂乳minimise v. 使减至最小限度，最小化moderately adv. 中等地，适度地monopoly n. 垄断，独占mortgage n./v. 抵押N*niche n. 专业市场中的小摊位Oobsolete adj. 过时的，淘汰的，废弃的offer n. 报价，发盘offer v. 开价off-season adj./adv. 淡季的off-the-shelf adj. 非专门设计的off-the-peg adj. 标准的，非顾客化的opening n. 空位*operations scheduling n. 生产经营进度表*optimize v. 优化organigram n. 组织图outlay n. 开销，支出，费用*outlet n. 商店*outsource v. 外购产品或由外单位制做产品*overhead costs n. 营业成本*overheads n. 企业一般管理费用Pp.a. (=per annum) n. 每年participate v. 参加，分享 (in)take-home pay 实得工资payroll n. 雇员名单，工资表peak n. 峰值，顶点penetrate v.渗透，打入(市场)penetration n. 目标市场的占有份额pension n. 养老金，退休金performance appraisal n.工作情况评估perk n. 额外待遇(交通、保健、保险等)*petty cash n. 零用现金phase out n. 分阶段停止使用*pick v. 提取生产用零部件或给顾客发货* picking list n. 用于择取生产或运输订货的表格pie chart n. 饼形图pilot n. 小规模试验plot v. 标绘，策划*plough back n. 将获利进行再投资*portfolio n. (投资)组合*portfolio management n. 组合证券管理probation n. 试用期production schedule n. 生产计划product life cycle n. 产品生命周期product mix n. 产品组合(种类和数量的组合)*profile n. 简介形象特征prospectus n. 计划书，说明书prosperity n. 繁荣，兴隆prototype n. 原型，样品public sector 公有企业publicity n. 公开场合，名声，宣传punctual adj. 准时的punctuality n. 准时purchaser n. 买主，采购人QQC(=Quality Circle) n. 质检人员questionnaire n. 调查表，问卷quote n. 报价，股票牌价quotation n. 报价，股票牌价Rradically adv. 根本地，彻底地rapport n. 密切的关系，轻松愉快的气氛fixed rate 固定费用，固定汇率rationalise v. 使更有效，使更合理receipt n. 收据accounts receivable 应收帐receivership n. 破产管理recession n. 萧条reckon v. 估算，认为reconcile v. 使……相吻合，核对，调和recoup v. 扣除，赔偿in the red 赤字，负债redundant adj. 过多的，被解雇的redundancy n. 裁员，解雇*reimburse v. 偿还，报销reject n./v. 拒绝remuneration n. 酬报，酬金reputation n. 名声，声望reputable adj. 名声/名誉好的reserves n. 储量金，准备金*retained earnings n. 留存收益酬revenue n. 岁入，税收risk capital n. 风险资本rival n. 竞争者，对手adj. 竞争的ROI Return on Investment 投资利润round trip 往返的行程royalty n. 特许权，专利权税Ssack v. 解雇*saturation n.(市场的)饱和(状态)saturate v. 饱和scale n. 刻度，层次*scrap n. 废料或废品*securities n. 债券及有价证券closed shop 限制行业(只允许本工会会员)open shop 开放行业(非会员可从事的工作)shop steward 工会管事shop floor 生产场所shortlist n. …… 供最后选择的候选人名单v. 把…… 列入最后的候选人名单sick leave 病假sick note 病假条sick pay 病假工资slogan n. 销售口号slump n. 暴跌a slump in sales 销售暴跌soft-sell n. 劝诱销售(术)，软销售(手段)sole distributor 独家分销商solvent adj. 有偿付能力的*sourcing n. 得到供货spare part n. 零部件specification n. 产品说明sponsor n. 赞助者(为了商品的广告宣传)stag n. 投机认股者v. 炒买炒卖stagnant adj. 停滞的，萧条的*statute n. 成文法statutory adj. 法定的*subcontract v. 分包(工程项目)，转包subordinate n. 下级adj. 下级的subsidise v. 补贴，资助subsidy n. 补助金substantially adv. 大量地，大幅度地*SWOT analysis n. SWOT 分析是分析一个公司或一个项目的优点、弱点、机会和风险*synergy n. 协作Ttactic n. 战术，兵法tailor v. 特制产品tailor made products 特制产品take on 雇用tariff n. 关税；价目表capital gains tax n. 资本收益税corporation tax n. 公司税，法人税income tax n. 所得税value added tax 增值税tax allowance 免减税tax avoidance 避税taxable 可征税的taxation 征税tax-deductible 在计算所得税时予以扣除的tender n./v. 投标territory n. (销售)区域throughput n. 工厂的总产量TQC(=Total Quality Control) n. 全面质量管理*track record n. 追踪记录，业绩trade union 工会*transaction n. 交易，业务transparency n. (投影用)透明胶片*treasury n. 国库，财政部staff turnover 人员换手率Uundertake v. 从事、同意做某事undifferentiated marketing n. 无差异性营销策略unemployment benefit n. 失业津贴USP 唯一的销售计划BEC 中级词汇-精选VVAT Value Added Tax 增值税vendor n. 卖主(公司或个人)vision n. 设想，公司的长期目标Wwage n.(周)工资wage freeze n. 工资冻结white goods n. 如冰箱和洗衣机等用在厨房中的产品wholesale n./adj./adv.批发*wind up v. 关闭公司withdrawal n. 拿走，收回，退出wholesale n./a. 批发；批发的wholesaler n. 批发商workload n. 工作量work order n. (包括原料、半成品、成品的)全部存货总量work station 工作位置*working capital n. 营运资本，营运资金write off v. 取消write-off n. 债务的取消Y*yield n. 有效产量Z*zero defect n. 合格产品*zero inventory n. 零存货。
《金融市场学》习题
《金融市场学》复习题1. Common stock is an example of a(n) ______.A) debt security. B) money market security. C) equity security. D) a and b2. The required return to implement a given business project will be ______ if interestrates are lower. This implies that businesses will demand a ______ quantity of loanablefunds when interest rates are lower.A) greater; lower B) lower; greater C) lower; lower D) greater;greater3. The federal government demand for loanable funds is __________. If the budget deficitwas expected to increase, the federal government demand for loanable funds would ________.A) interest elastic; decrease B) interest elastic; increaseC) interest inelastic; increase D) interest inelastic; decrease4. If the real interest rate was negative for a period of time, thenA) inflation is expected to exceed the nominal interest rate in the future.B) inflation is expected to be less than the nominal interest rate in the future.C) actual inflation was less than the nominal interest rate.D) actual inflation was greater than the nominal interest rate.5. If inflation turns out to be lower than expectedA) savers benefit.B) borrowers benefit while savers are not affected.C) savers and borrowers are equally affected.D) savers are adversely affected but borrowers benefit.6. Assume that foreign investors who have invested in . securities decide to increasetheir holdings of . securities. This should cause the supply of loanable funds in theUnited States to _____ and should place ______ pressure on . interest rates.A) decrease; upward B) decrease; downward C) increase; downward D) increase; upward7. If economic expansion is expected to decrease, the demand for loanable funds should______ and interest rates should ______.A) increase; increase B) increase; decrease C) decrease; decrease D) decrease; i8. When Japanese interest rates rise, and if exchange rate expectations remainunchanged, the most likely effect is that the supply of loanable funds provided by Japaneseinvestors to the United States will ______, and the . interest rates will _______.A) increase; increase B) increase; decrease C) decrease; decrease D) decrease; i9. Assume that annualized yields of short-term and long-term securities are equal. Ifinvestors suddenly believe interest rates will increase, their actions may cause the yield curve toA) become inverted. B) become flat. C) become upward sloping. D) be unaffected.10. I f the liquidity premium exists, a flat yield curve would be interpreted as the marketexpecting ______ in interest rates.A) no changes B) a slight decrease C) a slight increase D) a large increase11. According to the segmented markets theory, if most investors suddenly preferredto invest in short-term securities and most borrowers suddenly preferred to issue long-term securities there would beA) upward pressure on the price of long-term securities.B) upward pressure on the price of short-term securities.C) downward pressure on the yield of long-term securities.D) a and c12. O ther things equal, the yield required on non-callable bonds should be ______ theyield required on callable bonds whose other characteristics are exactly the same.A) greater than B) equal to C) less thanD) All of the above are possible, depending on the size of the call premium.13. A ccording to expectations theory, the sudden expectation of lower interest ratesin the future will cause a ______ supply of short-term funds provided by investors, anda ______ supply of long-term funds.A) large; large B) large; small C) small; small D) small; large14. Assume that the Treasury experiences a large decrease in the budget deficit andpurchases a large number of T-bills. This action will _________________ the supply of T-bills in the market and places __________________ pressure on the yield of T-bills.A) decrease; downward B) decrease; upward C) increase; upward D) increase;downward15. A firm plans to issue 30-day commercial paper for $9,900,000. Par value is$10,000,000. What is the firm’s cost of borrowingA) % B) % C) % D) % E) %16. A repurchase agreement calls for an investor to buy securities for $4,925,000 andsell them back in 60 days for $5,000,000. What is the yieldA) % B) % C) % D) %17. Robbins Corp. frequently invests excess funds in the Mexican money market. One yearago, Robbins invested in a one-year Mexican money market security that provided a yield of 25%. At the end of the year, when Robbins converted the Mexican pesos to dollars, the peso had depreciated from $.12 to $.11. What is the effective yield earned by RobbinsA) % B) % C) % D) none of the above18. Bullock Corp. purchases certain securities for $4,921,349, with an agreement to sell them back at a price of $4,950,000 at the end of a 30-day period. The repo rate is ________ %.A) B) C) D) E) none of the above19. A ssume . interest rates are significantly higher than German rates. A . firm wanting to issue bonds could achieve a lower financing rate, without exchange rate risk by denominating the bonds inA) dollars.B) marks（德国马克）and making payments from . headquarters.C) marks and making payments from a German subsidiary.D) dollars and making payments from a German subsidiary.20. I f interest rates suddenly ____________, those existing bonds that have a call feature are __________ likely to be called.A) decline; more B) decline; less C) increase; more D) none of the above21. W hen financial institutions expect interest rates to ______, they may ______.A) increase; sell bonds and buy short term securitiesB) increase; sell short term securities and buy bondsC) decrease; sell bonds and buy short term securitiesD) B and C22. I f the coupon rate ______ the required rate of return, the price of a bond _____ par value.A) equals; equals B) exceeds; is less thanC) is less than; is greater than D) B and CE) none of the above23. A s interest rates consistently rise over a specific period, the market price of a bond you own would likely ______ over this period. (Assume no major change in the bond’s default risk.)A) consistently increase B) consistently decrease C) remainunchangedD) change in a direction that cannot be determined with the above information24. I f analysts expect that the demand for loanable funds will increase, and the supply of loanable funds will decrease, they would most likely expect interest rates to ______ and prices of existing bonds to ______.A) increase; increase B) increase; decrease C) decrease; decrease D)decrease; increase25. I f bond portfolio managers expect interest rates to increase in the future, they would likely ______ their holdings of bonds now, which could cause the prices of bonds to ______ as a result of their actions.A) increase; increase B) increase; decrease C) decrease; decrease D)decrease; increase26. I f the United States announces that it will borrow an additional $10 billion, this announcement will normally cause the bond traders to expectA) higher interest rates in the future, and will buy bonds now.B) higher interest rates in the future, and will sell bonds now.C) stable interest rates in the future, and will buy bonds now.D) lower interest rates in the future, and will buy bonds now.E) lower interest rates in the future, and will sell bonds now.27. I f the level of inflation is expected to __________, there will be _______________ pressure on interest rates and ____________ pressure on the required rate of return on bonds.A) increase; upward; downward B) decrease; upward; downwardC) decrease; upward; upward D) increase; downward; upwardE) increase; upward; upward28. U sing a(n) _____________ strategy, investors allocate funds evenly to bonds in each of several different maturity classes.A) matching B) laddered C) barbell D) interest rate E)none of the above29. M anagers of firms may consider a stock repurchase or even a leveraged buyout when they believe their stock is ____________ by the market, or a secondary stock offering when they believe their stock is ____________ by the market.A) undervalued; undervalued B) overvalued; overvaluedC) undervalued; overvalued D) overvalued; undervalued E) none ofthe above30. A stock’s average return is 10%. The average risk-free rate is 7%. The standard deviation of the stock’s return is 4%, and the stock’s beta is . What is the Treynor Index for the stockA) .03 B) .75 C) D) .02 E) 5031. A higher beta of an asset reflectsA) lower risk.B) lower covariance between the asset’s returns and market returns.C) higher covariance between the asset’s returns and the market returns.D) none of the above.32.The arbitrage pricing theory (APT) differs from the capital asset pricing model (CAPM)in that it suggests that stock pricesA) are influenced only by the market itself.B) can be influenced by a set of factors in addition to the market.C) are not influenced at all by the market.D) cannot be influenced at all by the industry factors.33. If the returns of two stocks are perfectly correlated, thenA) their betas should each equal .B) the sum of their betas should equal .C) their correlation coefficient should equal .D) their portfolio standard deviation should equal .34. T he risk of a short sale is that the stock priceA) may decrease over time. B) will remain the same.C) may increase over time. D) none of the above.35. S ellers (writers) of call options can offset their position at any point in time byA) selling a put option on the same stock. B) buying identical calloptions.C) selling additional call options on the same stock. D) A and B E) allof the above36. S peculators purchase currency ______ on currencies they expect to ______ against the dollar.A) call options; weaken B) put options; strengthenC) futures; weaken D) put options; weaken37. T he premium on an existing call option should ______ when the underlying stock price decreases.A) be negative B) decline C) increase D) be unaffected E)A and B计算题：1. Sorvino Co. is expected to offer a dividend of $ per share per year forever. The required rate of return on Sorvino stock is 13%. According to the dividend discount model, what is the price of a share of Sorvino stock习题答案：选择题：1-5 CBCDA 6-10 CCDCB 11-15 BCDBA 16-20 CCCCA21-25 AABBC 26-30 BDBCD 31-35 CBCCB 36-37 DB计算题：1.。
资产负债管理
资产负债管理)大纲资产负债管理考试时间:3小时考试形式:主观问答题本考试科目是中国精算师资格考试高级阶段的选考课程之一，在学习本课程前，考生应具备会计和投资方面的基础知识。
本课程包括：资产负债管理基础、投资组合理论、股权风险管理、利率风险管理、案例分析和资产负债管理在中国的应用六个方面。
通过这门课程的学习，考生应掌握有关资产负债管理的基本理论与应用的框架，熟悉资产负债管理的主要方法和主要工具的特点，并能运用资产负债管理体系对保险公司的负债评估和投资进行评价和建议，同时，能够从资产负债管理的角度对保险公司的经营管理提出建议。
在掌握了利率风险管理和资产负债匹配管理的基础上，能够建立适于公司业务特点的资产负债管理体系和模式。
最终，能够综合运用本课程中的理论与方法进行案例分析。
一、资产负债管理基础资产负债管理是商业经营管理实践活动的一个重要组成部分，企业进行资产负债管理的核心目的是协调企业的资产和负债，以实现预期的商业目标。
从狭义上看，可将资产负债管理理解为对金融机构的风险采取套期保值策略。
从广义上看，资产负债管理是一种不断进行的过程，这个过程包括针对企业资产负债所进行的分析设计、管理实施、以及相关政策实施后的跟踪监测和检查，这一系列的活动将使得在满足可接受的风险程度和一定的约束条件下，保证实现企业既定的财务目标。
这里的风险可接受程度和具体财务目标是由企业自身设定的。
如果企业投资活动的主要目的是为了满足负债的需求，那么资产负债管理就意味着有效彻底的财务管理过程，当然是至关重要的部分。
考试要求：掌握资产负债管理的基本概念，以及在企业经营活动中的位置和作用，了解不同的业务形式下的资产负债管理的体系，以及现代金融理论在资产负债管理中的基本应用.考试内容：1.1 资产负债管理寿险公司的风险背景资产负债管理的基本原则利率风险股权投资市场风险资产负债管理的挑战资产负债管理的方法传统方法/现代方法当今保险行业中使用的衍生工具监管和评级机构方面的考虑资产负债管理的实务资产负债管理的挑战和机遇1.2 投资策略投资风险的类型投资的监管环境投资策略资产负债管理过程主要寿险产品的保险负债分析主要年金产品的保险负债分析养老金体系的负债和投资策略分析竞争环境和组织机构因素1.3 现代金融理论的应用负债特性在投资管理中的重要性负债的市场价值传统的免疫方法期权定价理论资产组合保险动态资产分配债务期权的定价理论再讨论免疫方法衍生产品套期保值工具阅读材料：1.1 Anson J. Glacy, Jr. and Andres E. Vilms, “Asset / Liability Management,” 2001, SOA Course 8 study note 8V-315-02.1.2 R.H. Stapleford and K.W. Stewart, “Introduction to the formation of investment strategy for life insurance companies and pension plans,” 1991, SOA Course 6 study note 6-28-00.1.3 J.A. Tilley, “The Application of Modern Techniques to theInvestment of Insurance and Pension Funds,” Transactions of the 23rd International Congress of Actuaries, Helsinki (1988) R, 301-326.二、投资组合理论考试要求：掌握Markowitz的均值方差法组合分析理论及其在养老金资产负债管理中的应用。
ManagementStrategies(投资分析与投资组合管理)
Chapter 17 - Equity Portfolio Management Strategies
• What techniques are used by active managers in an attempt to outperform their benchmark?
• What are differences between the integrated, strategic, tactical, and insured approaches to asset allocation?
• Over time value stocks have offered somewhat higher returns than growth stocks
Value versus Growth
• Growth-oriented investor will:
– focus on EPS and its economic determinants
• Replicate the performance of an index • May slightly underperform the target index
due to fees and commissions • Costs of active management (1 to 2 percent)
level
Style
• Construct a portfolio to capture one or more of the characteristics of equity securities
• Small-capitalization stocks, low-P/E stocks, etc…
历年CFA考试真题及答案解析
历年CFA考试真题及答案解析1、The nominal (quoted) annual interest rate on an automobile loan is 10%. The effective annual rate of the loan is 10.47%. The frequency of compounding periods per year for the loan is closest to:【单选题】A.weekly.B.monthly.C.quarterly.正确答案:B答案解析:“The Time Value of Money,” Richard A. DeFusco, CFA, Dennis W. McLeavey, CFA, Jerald E. Pinto, CFA, and David E. Runkle, CFA2013 Modular Level I, Vol. 1, Reading 5, Section 3.3Study Session 2–5–c, dCalculate and interpret the effective annual rate, given the stated annual interest rate and the frequency of compounding. Solve time value of money problems for different frequencies of compounding:B is correct. Use the formula for effective annual rate:Iteratively substitute the possible frequency of compounding until the EAR is 10.47%.Thus, the correct answer is monthly compounding.2、Which of the following is a constraint as defined in the International Financial Reporting Standards (IFRS) Framework for the Preparation and Presentation of Financial Statements?【单选题】A.NeutralityB.TimelinessC.Going concern正确答案:B答案解析:“Financial Reporting Standards,” Thomas R. Robinson, CFA, Jan Hendrik van Greuning, CFA, Karen O’Connor Rubsam, CFA, R. Elaine Henry, CFA, and Michael A. Broihahn, CFATimeliness is a constraint in the IFRS Framework. Neutrality is a factor that contributes to reliability and going concern is an assumption of the Framework.3、Which method of calculating the firm’s cost of equity is most likely to incorporate the long-run return relationship between the firm's stock and the market portfolio?【单选题】A.Dividend discount modelB.Capital asset pricing modelC.Bond-yield-plus risk-premium正确答案:B答案解析:“Cost of Capital” Yves Courtois, CFA, Gene C. Lai, and Pamela Peterson Drake, CFAThe capital asset pricing model uses the firm’s equity beta, which is computed from a market model regression of the company's stock returns against market returns.4、For a 90-day U.S. Treasury bill selling at a discount, which of the following methods most likely results in the highest yield?【单选题】A.Money market yieldB.Discount-basis yieldC.Bond equivalent yield正确答案:C答案解析:“Working Capital Management,” Edgar Norton, Jr., Kenneth L. Parkinson, and Pamela Peterson Drake5、An investor gathers the following data.To estimate the stock's justified forward P/E, the investor prefers to use the compounded annual earnings growth and the average of the payout ratios over the relevant period (i.e., 2008–2011). If the investor uses 11.5% as her required rate of return, the stock's justified forward P/E is closest to:【单选题】A.10.B.12.C.21.正确答案:C答案解析:“Equity Valuation: Concepts and Basic Tools,” John J. Nagorniak and Stephen E.Wilcox6、A bond portfolio manager is considering three Bonds – A, B, and C – for his portfolio. Bond A allows the issuer to call the bond before stated maturity, Bond B allows the investor to put the bond back to the issuer before stated maturity, and Bond C contains no embedded options. The bonds are otherwise identical. The manager tells his assistant, “Bond A and Bond B should have larger nominal yield spreads to a U.S. Treasury than Bond C to compensate for their embedded options.”Is the manager most likely correct?【单选题】A.Yes.B.No, Bond A’s nominal yield spread should be less than Bond C’s.C.No, Bond B’s nominal yield spread should be less than Bond C’s.正确答案:C答案解析:“Understanding Yield Spreads,” Frank J. Fabozzi, CFAC is correct because Bond B’s embedded put option benefits the investor and the yield spread willtherefore be less than the yield spread of Bond C, which does not contain this benefit.7、Which of the following characteristics is best described that the information in financialstatements can influence user's economic decisions or affect user's evaluationof past events or forecasts of future events in accordance with the IFRSframework's definitions and recognition criteria?【单选题】A.Relevance.parability.C.Faithful representation.正确答案:A答案解析:根据IFRS的条款，财务报表的两个基本特性使得这些财务信息有用，这两个特性包括相关性（relevance）和公允陈述（faithful representation）。
金融工程相关习题及答案
⾦融⼯程相关习题及答案Chapter 1 Market Organization and Structure PRACTICE PROBLEMS FOR CHAPTER 11. Akihiko Takabe has designed a sophisticated forecasting model, which predicts the movements in the overall stock market, in the hope of earning a return in excess of a fair return for the risk involved. He uses the predictions of the model to decide whether to buy, hold, or sell the shares of an index fund that aims to replicate the movements of the stock market. Takabe would best be characterized as a (n):A. hedger.B. investor.C. information-motivated trader.2. James Beach is young and has substantial wealth. A significant proportion of his stock portfolio consists of emerging market stocks that offer relatively high expected returns at the cost of relatively high risk. Beach believes that investment in emerging market stocks is appropriate for him given his ability and willingness to take risk. Which of the following labels most appropriately describes Beach?A. Hedger.B. Investor.C. Information-motivated trader.3. Lisa Smith owns a manufacturing company in the United States. Her company has sold goods to a customer in Brazil and will be paid in Brazilian real (BRL) in three months. Smith is concerned about the possibility of the BRL depreciating more than expected against the U.S. dollar (USD). Therefore, she is planning to sell three-month futures contracts on the BRL. The seller of such contracts generally gains when the BRL depreciates against the USD. If Smith were to sell these future contracts, she would most appropriately be described as a (n):A. hedger.B. investor.C. information-motivated trader.4. Which of the following is not a function of the financial system?A. To regulate arbitrageurs’ profits (excess returns).B. To help the economy achieve allocational efficiency.C. To facilitate borrowing by businesses to fund current operations.5. An investor primarily invests in stocks of publicly traded companies. The investor wants to increase the diversification of his portfolio. A friend has recommended investing in real estate properties. The purchase of real estate would best be characterized as a transaction in the:A. derivative investment market.B. traditional investment market.C. alternative investment market.6. A hedge fund holds its excess cash in 90-day commercial paper and negotiable certificates of deposit. The cash management policy of the hedge fund is best described as using:A. capital market instruments.B. money market instruments.C. intermediate-term debt instruments.7. An oil and gas exploration and production company announces that it is offering 30 million shares to the public at $45.50each. This transaction is most likely a sale in the:A. futures market.B. primary market.C. secondary market.8. Consider a mutual fund that invests primarily in fixed-income securities that have been determined to be appropriate given the fund’s investment goal. Which of the following is least likely to be a part of this fund?A. Warrants.B. Commercial paper.C. Repurchase agreements.9. A friend has asked you to explain the differences between open-end and closed-end funds. Which of the following will you most likely include in your explanation?A. Closed-end funds are unavailable to new investors.B. When investors sell the shares of an open-end fund, they can receive a discount or a premium to the fund’s net asset value.C. When selling shares, investors in an open-end fund sell the shares back to the fund whereas investors in a closed-end fund sell the shares to others in the secondary market.10. The usefulness of a forward contract is limited by some problems. Which of the following is most likely one of those problems?A. Once you have entered into a forward contract, it is difficult to exit from the contract.B. Entering into a forward contract requires the long party to deposit an initial amount with the short party.C. If the price of the underlying asset moves adversely from the perspective of the long party, periodic payments must be made to the short party.11. Tony Harris is planning to start trading in commodities. He has heard about the use of futures contracts on commodities and is learning more about them. Which of the following is Harris least likely to find associated with a futures contract?A. Existence of counterparty risk.B. Standardized contractual terms.C. Payment of an initial margin to enter into a contract.12. A German company that exports machinery is expecting to receive $10 million in three months. The firm converts all its foreign currency receipts into euros. The chief financial officer of the company wishes to lock in a minimum fixed rate for converting the $10 million to euro but also wants to keep the flexibility to use the future spot rate if it is favorable. What hedging transaction is most likely to achieve this objective?A. Selling dollars forward.B. Buying put options on the dollar.C. Selling futures contracts on dollars.13. A book publisher requires substantial quantities of paper. The publisher and a paper producer have entered into an agreement for the publisher to buy and the producer to supply a given quantity of paper four months later at a price agreed upon today. This agreement is a:A. futures contract.B. forward contract.C. commodity swap.14. The Standard & Poor’s Depos itary Receipts (SPDRs) is an investment that tracks the S&P 500 stock market index. Purchases and sales of SPDRs during an average trading day are best described as:A. primary market transactions in a pooled investment.B. secondary market transactions in a pooled investment.C. secondary market transactions in an actively managed investment.15. The Standard & Poor’s Depositary Receipts (SPDRs) is an exchange-traded fund in the United States that is designed to track the S&P 500 stock market index. The current price of a share of SPDRs is $113. A trader has just bought call options on shares of SPDRs for a premium of $3 per share. The call options expire in five months and have an exercise price of $120 per share. On the expiration date, the trader will exercise the call options (ignore any transaction costs) if and only if the shares of SPDRs are trading:A. below $120 per share.B. above $120 per share.C. above $123 per share.16. Which of the following statements about exchange-traded funds is most correct?A. Exchange-traded funds are not backed by any assets.B. The investment companies that create exchange-traded funds are financial intermediaries.C. The transaction costs of trading shares of exchange-traded funds are substantially greater than the combined costs of trading the underlying assets of the fund.17. Jason Schmidt works for a hedge fund and he specializes in finding profit opportunities that are the result of inefficiencies in the market for convertible bonds—bonds that can be conver ted into a predetermined amount of a company’s common stock. Schmidt tries to find convertibles that are priced inefficiently relative to the underlying stock. The trading strategy involves the simultaneous purchase of the convertible bond and the short sale of the underlying common stock. The above process could best be described as:A. hedging.B. arbitrage.C. securitization.18. Pierre-Louis Robert just purchased a call option on shares of the Michelin Group.A few days ago he wrote a put option on Michelin shares. The call and put options have the same exercise price, expiration date, and number of shares underlying. Considering both positions, Robert’s exposure to the risk of the stock of the Michelin Group is:A. long.B. short.C. neutral.19. An online brokerage firm has set the minimum margin requirement at 55 percent. What is the maximum leverage ratio associated with a position financed by this minimum margin requirement?A. 1.55.B. 1.82.C. 2.22.20. A trader has purchased 200 shares of a non-dividend-paying firm on margin at a price of $50 per share. The leverage ratio is 2.5. Six months later, the trader sells these shares at $60 per share. Ignoring the interest paid on the borrowed amount and the transaction costs, what was the return to the trader during the six-month period?A. 20 percent.B. 33.33 percent.C. 50 percent.21. Jason Williams purchased 500 shares of a company at $32 per share. The stock was bought on 75 percent margin. One month later, Williams had to pay interest on the amount borrowed at a rate of 2 percent per month. At that time, Williams receiveda dividend of $0.50 per share. Immediately after that he sold the shares at $28 per share. He paid commissions of $10 on the purchase and $10 on the sale of the stock. What was the rate of return on this investment for the one-month period?A. ?12.5 percent.B. –15.4 percent.C. –50.1 percent.22. Caroline Rogers believes the price of Gamma Corp. stock will go down in the near future. She has decided to sell short 200 shares of Gamma Corp. at the current market price of €47. The initial margin requirement is 40 percent. Which of the following is an appropriate statement regarding the margin requirement that Rogers is subject to on this short sale?A. She will need to c ontribute €3,760 as margin.B. She will need to contribute €5,640 as margin.C. She will only need to leave the proceeds from the short sale as deposit and does not need to contribute any additional funds.23. The current price of a stock is $25 per share. You have $10,000 to invest. You borrow an additional $10,000 from your broker and invest $20,000 in the stock. If the maintenance margin is 30 percent, at what price will a margin call first occur?A. $9.62.B. $17.86.C. $19.71.24. You have placed a sell market-on-open order—a market order that would automatically be submitted at the market’s open tomorrow and would fill at the market price. Your instruction, to sell the shares at the market open, is a(n):A. execution instruction.B. validity instruction.C. clearing instruction.25. A market has the following limit orders standing on its book for a particular stock. The bid and ask sizes are number of shares in hundreds.What is the market?A. 9.73 bid, offered at 10.14.B. 9.81 bid, offered at 10.10.C. 9.95 bid, offered at 10.02.26. Consider the following limit order book for a stock. The bid and ask sizes are number of shares in hundredsA new buy limit order is placed for 300 shares at ￥123.40. This limit order issaid to:A. take the market.B. make the market.C. make a new market.27. Currently, the market in a stock is "$54.62 bid, offered at $54.71." A new sell limit order is placed at $54.62. This limit order is said to:A. take the market.B. make the market.C. make a new market.28. Jim White has sold short 100 shares of Super Stores at a price of$42 per share. He has also simultaneously placed a "good-till-cancelled, stop 50, limit 55 buy" order. Assume that if the stop condition specified by White is satisfied and the order becomes valid, it will get executed. Excluding transaction costs, what is the maximum possible loss that White can have?A. $800.B. $1,300.C. Unlimited.29. You own shares of a company that are currently trading at $30 a share. Your technical analysis of the shares indicates a support level of $27.50. That is, if the price of the shares is going down, it is more likely to stay above this level rather than fall below it. If the price does fall below this level, however, you believe that the price may continue to decline. You have no immediate intent to sell the shares but are concerned about the possibility of a huge loss if the share price declines below thesupport level. Which of the following types of orders could you place to most appropriately address your concern?A. Short sell order.B. Good-till-cancelled stop sell order.C. Good-till-cancelled stop buy order.30. In an underwritten offering, the risk that the entire issue may not be sold to the public at the stipulated offering price is borne by the:A. issuer.B. investment bank.C. buyers of the part of the issue that is sold.31 . A British company listed on the Alternative Investment Market of the London Stock Exchange, announced the sale of 6,686,665 shares to a small group of qualified investors at ￡0.025 per share. Which of the following best describesA. Shelf registration.B. Private placement.C. Initial public offering.32. A German publicly traded company, to raise new capital, gave its existing shareholders the opportunity to subscribe for new shares. The existing shareholders could purchase two new shares at a subscription price of €4.58 per share for every 15 shares held. This is an example of a(n):A. rights offering.B. private placement.C. initial public offering.33. Consider an order-driven system that allows hidden orders. The following four sell orders on a particular stock are currently in the system's limit order book. Based on the commonly used order precedence hierarchy, which of these orders will have precedence over others?A. Order I (time of arrival of 9:52:01 ).B. Order II (time of arrival of 9:52:08).C. Order III (time of arrival of 9:53:04)34. Zhenhu Li has submitted an immediate-or-cancel buy order for 500 shares of a company at a limit price of CNY 74.25. There are two sell limit orders standing in that stock's order book at that time. One is for 300 shares at a limit price of CNY74.30 and the other is for 400 shares at a limit price of CNY 74.35. How many shares in Li's order would get cancelled?A. None (the order would remain open but unfilled).B. 200 (300 shares would get filled).C. 500 (there would be no fill).35. A market has the following limit orders standing on its book for a particular stock:Ian submits a day order to sell 1,000 shares, limit ￡19.83. Assuming that no more buy orders are submitted on that day after Ian submits his order, what would be Ian's average trade price?A. ￡19.70.36. A financial analyst is examining whether a country's financial market is well functioning. She finds that the transaction costs in this market are low and trading volumes are high. She concludes that the market is quite liquid. In such a market:A. traders will find it hard to make use of their information.B. traders will find it easy to trade and their trading will make the market less informationally efficient.C. traders will find it easy to trade and their trading will make the marketmore informationally efficient.37. The government of a country whose financial markets are in an early stage of development has hired you as a consultant on financial market regulation. Your first task is to prepare a list of the objectives of market regulation. Which of the following is least likely to be included in this list of objectives?A. Minimize agency problems in the financial markets.B. Ensure that financial markets are fair and orderly.C. Ensure that investors in the stock market achieve a rate of return that is at least equal to the risk-free rate of return. Chapter 2 Portfolio Management: An Overview PRACTICE PROBLEMS FOR CHAPTER 21. Investors should use a portfolio approach to:A. reduce risk.B. monitor risk.C. eliminate risk.2. Which of the following is the best reason for an investor to be concerned with the composition of a portfolio?A. Risk reduction.B. Downside risk protection.C. Avoidance of investment disasters.3. With respect to the formation of portfolios, which of the following statements is most accurate?A. Portfolios affect risk less than returns.B. Portfolios affect risk more than returns.C. Portfolios affect risk and returns equally.4. Which of the following institutions will on average have the greatest need for liquidity?A. Banks.B. Investment companies.C. Non-life insurance companies.5. Which of the following institutional investors will most likely have the longest time horizon?A. Defined benefit plan.B. University endowment.C. Life insurance company.6. A defined benefit plan with a large number of retirees is likely to have a high need forA. income.7. Which of the following institutional investors is most likely to manage investmentsin mutual funds?A. Insurance companies.B. Investment companies.C. University endowments.8. With respect to the portfolio management process, the asset allocation is determined in the:A. planning step.B. feedback step.C. execution step9. The planning step of the portfolio management process is least likely to include an assessment of the client'sA. securities.B. constraints.C. risk tolerance.10. With respect to the portfolio management process, the rebalancing of a portfolio's composition is most likely to occur in the:A. planning step.B. feedback step.C. execution step.11. An analyst gathers the following information for the asset allocations of three portfolios:Which of the portfolios is most likely appropriate for a client who has a high degree of risk tolerance?A. Portfolio 1.B. Portfolio 2.C. Portfolio 3.12. Which of the following investment products is most likely to trade at their net asset value per share?A. Exchange traded funds.B. Open-end mutual funds.C. Closed-end mutual funds.13. Which of the following financial products is least likely to have a capital gain distribution?A. Exchange traded funds.B. Open-end mutual funds.C. Closed-end mutual funds.14. Which of the following forms of pooled investments is subject to the least amount of regulation?A. Hedge funds.B. Exchange traded funds.C. Closed-end mutual funds.15. Which of the following pooled investments is most likely characterized by a few large investments?A. Hedge funds.B. Buyout funds.C. Venture capital funds.Chapter 3 Portfolio Risk and Return: Part I PRACTICE PROBLEMS FOR CHAPTER 31. An investor purchased 100 shares of a stock for $34.50 per share at the beginning of the quarter. If the investor sold all of the shares for $30.50 per share after receiving a $51.55 dividend payment at the end of the quarter, the holding period return is closest to:A. - 13.0%.B. - 11.6%.C. - 10.1%.2. An analyst obtains the following annual rates of return for a mutual fund:The fund's holding period return over the three-year period is closest to:A. 0.18%.B. 0.55%.C. 0.67%.3. An analyst observes the following annual rates of return for a hedge fund:The hedge fund's annual geometric mean return is closest to:A. 0.52%.B. 1.02%.C. 2.67%.4. Which of the following return calculating methods is best for evaluating the annualized returns of a buy-and-hold strategy of an investor who has made annual deposits to an account for each of the last five years?A. Geometric mean return.B. Arithmetic mean return.C. Money-weighted return.5. An investor evaluating the returns of three recently formed exchange-traded funds gathers the following information:The ETF with the highest annualized rate of return is:A. ETF 1.B. ETF 2.C. ETF 3.6. With respect to capital market theory, which of the following asset characteristics is least likely to impact the variance of an investor's equally weighted portfolio?A. Return on the asset.B. Standard deviation of the asset.C. Covariances of the asset with the other assets in the portfolio.7. A portfolio manager creates the following portfolio:If the correlation of returns between the two securities is 0.40, the expected standard deviation of the portfolio is closest to:A. 10.7%.B. 11.3%.C. 12.1%.8. A portfolio manager creates the following portfolio:If the covariance of returns between the two securities is - 0.0240, the expectedstandard deviation of the portfolio is closest to:A. 2.4%.B. 7.5%.C. 9.2%.The following information relates to Questions 9-10A portfolio manager creates the following portfolio:9. If the standard deviation of the portfolio is 14.40%, the correlation between the two securities is equal to:A. - 1.0.B. 0.0.C. 1.0.10. If the standard deviation of the portfolio is 14.40%, the covariance between the two securities is equal to:A. 0.0006.B. 0.0240.C. 1.0000.The following information relates to Questions 11-14An analyst observes the following historic geometric returns:11 . The real rate of return for equities is closest to:A. 5.4%.B. 5.8%.C. 5.9%.12. The real rate of return for corporate bonds is closest to:A. 4.3%.B. 4.4%.C. 4.5%.13. The risk premium for equities is closest to:A. 5.4%.B. 5.5%.C. 5.6%.14. The risk premium for corporate bonds is closest to:A. 3.5%.B. 3.9%.C. 4.0%.15. With respect to trading costs, liquidity is least likely to impact the:A. stock price.B. bid-ask spreads.C. brokerage commissions.16. Evidence of risk aversion is best illustrated by a risk-return relationship that is:A. negative.B. neutral.C. positive.17. With respect to risk-averse investors, a risk-free asset will generate a numerical utility that is:A. the same for all individuals.B. positive for risk-averse investors.C. equal to zero for risk seeking investors18. With respect to utility theory, the most risk-averse investor will have an indifference curve with the:A. most convexity.B. smallest intercept value.C. greatest slope coefficient.19. With respect to an investor's utility function expressed as:21=E(r)-2u A , whichof the following values for the measure for risk aversion has the least amount of risk aversion?A. - 4.B. 0.C. 4.The following information relates to Questions 20-23A financial planner has created the following data to illustrate the application of utility theory to portfolio selection:20. A risk-neutral investor is most likely to choose:A. Investment 1.B. Investment 2.C. Investment 3.ExpectedStandard Deviation (% )28153021. If an investor's utility function is expressed as U = E(r) ~A& and the measure for risk aversion has a value of- 2, the risk-seeking investor is most likely to choose:A. Investment 2.B. Investment 3.C. Investment 4.22. If an investor's utility function is expressed as U = E(r) - ~A& and the measure for risk aversion has a value of2, the risk-averse investor is most likely to choose:A. Investment 1.B. Investment 2.C. Investment 3.23. If an investor's utility function is expressed as U =E(r) - ~A& and the measure for risk aversion has a value of4, the risk-averse investor is most likely to choose:A. Investment 1.B. Investment 2.C. Investment 3.24. With respect to the mean-variance portfolio theory, the capital allocation line, CAL, is the combination of the risk-free asset and a portfolio of all:A. risky assets.B. equity securities.C. feasible investments.25. Two individual investors with different levels of risk aversion will have optimal portfolios that are:A. below the capital allocation line.B. on the capital allocation line.C. above the capital allocation line.The following information relates to Questions 26-28A portfolio manager creates the following portfolio:26. If the portfolio of the two securities has an expected return of15%, the proportion invested in Security 1 is:A. 25%.B. 50%.C. 75%.27. If the correlation of returns between the two securities is - 0.15, the expected standard deviation of an equal-weighted portfolio is closest to:A. 13.04%.B. 13.60%.C. 13.87%.28. If the two securities are uncorrelated, the expected standard deviation of anequal-weighted portfolio is closest to:A. 14.00%.B. 14.14%.C. 20.00%.29. As the number of assets in an equally-weighted portfolio increases, the contribution of each individual asset's variance to the volatility of the portfolio:A. increases.B. decreases.C. remains the same.30. With respect to an equally-weighted portfolio made up of a large number of assets, which of the following contributes the most to the volatility of the portfolio?A. Average variance of the individual assets.B. Standard deviation of the individual assets.C. Average covariance between all pairs of assets.31. The correlation between assets in a two-asset portfolio increases during a market decline. If there is no change in the proportion of each asset held in the portfolio or the expected standard deviation of the individual assets, the volatility of the portfolio is most likely to:A. increase.B. decrease.C. remain the same.The following information relates to Questions 32-34An analyst has made the following return projections for each of three possible outcomes with an equal likelihood of occurrence:32. Which pair of assets is perfectly negatively correlated?A. Asset 1 and Asset 2.B. Asset 1 and Asset 3.C. Asset 2 and Asset 3.33. If the analyst constructs two-asset portfolios that are equally-weighted, which pair of assets has the lowest expected standard deviation?A. Asset 1 and Asset 2.B. Asset 1 and Asset 3.C. Asset 2 and Asset 3.34. If the analyst constructs two-asset portfolios that are equally weighted, which pair of assets provides the least amount of risk reduction?A. Asset 1 and Asset 2.B. Asset 1 and Asset 3.C. Asset 2 and Asset 3.35. Which of the following statements is least accurate? The efficient frontier is the set of all attainable risky assets with the:A. highest expected return for a given level of risk.B. lowest amount of risk for a given level of return.C. highest expected return relative to the risk-free rate.36. The portfolio on the minimum-variance frontier with the lowest standard deviation is:A. unattainable.。
投资分析与投资组合管理ppt课件
6
Passive Portfolio Strategies
• Buy and hold
– A manager selects a portfolio of bonds based on the objectives and constraints of the client with the intent of holding these bonds to maturity
2
Chapter 20 - Bond Portfolio Management Strategies
• What are the five alternative strategies available within the active management category?
• What is meant by care-plus bond management and what are some plus strategies?
Lecture Presentation Software
to accompany
Investment Analysis and Portfolio Management
Seventh Edition by
Frank K. Reilly & Keith C. Brown
Chapter 20
1
Chapter 20 - Bond Portfolio Management Strategies
– Involves detailed analysis of the bond issuer to determine expected changes in its default risk
金融方面的英语单词(1篇)
金融方面的英语单词(1篇)金融方面的英语单词 1division of labor 劳动分工modity money 商品货币legal tender 法定货币fiat money 法定通货a medium of exchange交换媒介legal sanction法律制裁face value面值liquid assets流动资产illiquidl assets非流动资产the liquidity scale 流动性指标real estate 不动产checking accounts,demand deposit,checkable deposit 活期存款time deposit 定期存款negotiable order of withdrawal accounts 大额可转让提款单money market mutual funds 货币市场互助基金repurchase agreements 回购协议certificate of deposits存单bond 债券stock股票travelers'checks 旅行支票small-denomination time deposits小额定期存款large-denomination time deposits大额定期存款bank overnight repurchase agreements 银行隔夜回购协议bank long-term repurchase agreements 银行长期回购协议thrift institutions 存款机构financial institution 金融机构mercial banks商业银行a means of payment 支付手段a store of value储藏手段a standard of value价值标准reserve 储备note 票据discount贴现circulate流通central bank 中央银行the Federal Reserve System联邦储备系统credit union 信用合作社paper currency 纸币credit creation 信用创造branch banking 银行分行制unit banking 单一银行制out of circulation 退出流通capital stock股本at par以票面价值计electronic banking电子银行banking holding pany 公司银行the gold standard金本位the Federal Reserve Board 联邦储备委员会the stock market crash 股市风暴reserve ratio 准备金比率deficit 亏损roll展期wholesale批发default不履约auction拍卖collateralize担保markup价格的涨幅dealer交易员broker经纪人pension funds 养老基金face amount面值merical paper商业票据banker's acceptance银行承兑汇票Fed fund 联邦基金eurodollar欧洲美元treasury bills 国库券floating-rate 浮动比率fixed-rate 固定比率default risk 拖欠风险credit rating信誉级别tax collection税收money market货币市场capital market资本市场original maturity 原始到期期限surplus funds过剩基金syndication辛迪加underwrite包销，认购hedge对冲买卖、套期保值innovation到期交易spread利差principal本金swap掉期交易eurobond market 欧洲债券市场euronote欧洲票据Federal Reserve Bank (FRB)联邦储备银行unsecured credit无担保贷款fixed term time deposit定期支付存款lead bank牵头银行neogotiable time deposit议付定期存款inter-bank money market银行同业货币市场medium term loan 中期贷款syndicated credit银团贷款merchant bank商业银行portfolio management 有价债券管理lease financing租赁融资note issurance facility票据发行安排bearer note不记名票价underwriting facility包销安排floating-rate note 浮动利率票据bond holder债券持持有者London Interbank Offered Rate(LIBOR)伦敦同业优惠利率back-up credit line备用信贷额promissory note(P.N.p/n)本票revolving cerdit 循环信用证，即revolving letter of credit non interest-bearing reserves无息储备金。
Bond：Indexing
Learning Objectives
After reading this chapter, you will understand the objectives and motivation for bond indexing the advantages and disadvantages of bond indexing
Objective of and Motivation for Bond Indexing (conindexing point out that although an indexing strategy matches the performance of some index, the performance of that index does not necessarily represent optimal performance. Moreover, matching an index does not mean that the manager will satisfy a client’s return requirement objective. Matching an index means that a money manager is restricted to the sectors of the bond market that are in the index, even though there may be attractive opportunities in market sectors excluded from the index.
Learning Objectives
(continued)
After reading this chapter, you will understand the difficulties associated with implementing a bond indexing strategy the objectives and motivation for enhanced bond indexing the strategies used in enhanced indexing
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。
(完整word版)投资学题库Chap011
CHAPTER 11MANAGING BOND PORTFOLIOS 1.Duration can be thought of as a weighted average of the ‘maturities’ of the cash flowspaid to holders of the perpetuity, where the weight for each cash flow is equal to the present value of that cash flow divided by the total present value of all cash flows. For cash flows in the distant future, present value approaches zero (i.e., the weight becomes very small) so that these distant cash flows have little impact, and eventually, virtually no impact on the weighted average.2. A low coupon, long maturity bond will have the highest duration and will, therefore,produce the largest price change when interest rates change.3. A rate anticipation swap should work. The trade would be to long the corporate bondsand short the treasuries. A relative gain will be realized when rate spreads return to normal.4.-25 = -(D/1.06)x.0025x1050…solving for D = 10.095. d.6.The increase will be larger than the decrease in price.7.While it is true that short-term rates are more volatile than long-term rates, the longerduration of the longer-term bonds makes their rates of return more volatile. The higher duration magnifies the sensitivity to interest-rate savings. Thus, it can be true that rates of short-term bonds are more volatile, but the prices of long-term bonds are morevolatile.putation of duration:a.YTM = 6%(1) (2) (3) (4) (5)Time untilPayment (Years) PaymentPaymentDiscounted at6%WeightColumn (1)×Column (4)1 60 56.60 0.0566 0.05662 60 53.40 0.0534 0.10683 1060 890.00 0.8900 2.6700Column Sum: 1000.00 1.0000 2.8334 Duration = 2.833 yearsb. YTM = 10%(1) (2) (3) (4) (5) Time until Payment (Years) Payment Payment Discounted at 10% Weight Column (1) × Column (4) 1 60 54.55 0.0606 0.0606 2 60 49.59 0.0551 0.1101 3 1060 796.39 0.8844 2.6531Column Sum: 900.53 1.0000 2.8238Duration = 2.824 years, which is less than the duration at the YTM of 6%9. The percentage bond price change is:– Duration ⨯0327.010.10050.0194.7y 1y -=⨯-=+∆ or a 3.27% decline10. Computation of duration, interest rate = 10%:(1) (2) (3) (4) (5) Time until Payment (Years) Payment (in millions of dollars) Payment Discounted At 10% Weight Column (1) × Column (4) 1 1 0.9091 0.2744 0.2744 2 2 1.6529 0.4989 0.9977 3 1 0.7513 0.2267 0.6803Column Sum: 3.3133 1.0000 1.9524Duration = 1.9524 years11. The duration of the perpetuity is: (1 + y)/y = 1.10/0.10 = 11 yearsLet w be the weight of the zero-coupon bond. Then we find w by solving:(w ⨯ 1) + [(1 – w) ⨯ 11] = 1.9523 ⇒ w = 9.048/10 = 0.9048Therefore, your portfolio should be 90.48% invested in the zero and 9.52% in the perpetuity.12. The percentage bond price change will be:– Duration ⨯00463.008.10010.00.5y 1y =-⨯-=+∆ or a 0.463% increase13.a. Bond B has a higher yield to maturity than bond A since its coupon payments andmaturity are equal to those of A, while its price is lower. (Perhaps the yield is higher because of differences in credit risk.) Therefore, the duration of Bond B must be shorter.b. Bond A has a lower yield and a lower coupon, both of which cause it to have alonger duration than that of Bond B. Moreover, Bond A cannot be called. Therefore, the maturity of Bond A is at least as long as that of Bond B, which implies that the duration of Bond A is at least as long as that of Bond B.14. Choose the longer-duration bond to benefit from a rate decrease.a. The Aaa-rated bond has the lower yield to maturity and therefore the longerduration.b. The lower-coupon bond has the longer duration and more de facto call protection.c. The lower coupon bond has the longer duration.15.a. The present value of the obligation is $17,832.65 and the duration is 1.4808 years,as shown in the following table:Computation of duration, interest rate = 8%(1) (2) (3) (4) (5) Time until Payment (Years) Payment Payment Discounted at 8% Weight Column (1)×Column (4) 1 10,000 9,259.26 0.5192 0.51923 210,000 8,573.39 0.4808 0.96154 Column Sum: 17,832.651.0000 1.48077b. To immunize the obligation, invest in a zero-coupon bond maturing in 1.4808 years.Since the present value of the zero-coupon bond must be $17,832.65, the face value (i.e., the future redemption value) must be: $17,832.65 ⨯ (1.08)1.4808 = $19,985.26c. If the interest rate increases to 9%, the zero-coupon bond would fall in value to:92.590,17$)09.1(26.985,19$4808.1=The present value of the tuition obligation would fall to $17,591.11, so that the net position changes by $0.19.If the interest rate falls to 7%, the zero-coupon bond would rise in value to:99.079,18$)07.1(26.985,19$4808.1=The present value of the tuition obligation would increase to $18,080.18, so that the net position changes by $0.19.The reason the net position changes at all is that, as the interest rate changes, so does the duration of the stream of tuition payments.16.a. PV of obligation = $2 million/0.16 = $12.5 millionDuration of obligation = 1.16/0.16 = 7.25 yearsCall w the weight on the five-year maturity bond (with duration of 4 years). Then:(w ⨯ 4) + [(1 – w) ⨯ 11] = 7.25 ⇒ w = 0.5357 Therefore:0.5357 ⨯ $12.5 = $6.7 million in the 5-year bond, and 0.4643 ⨯ $12.5 = $5.8 million in the 20-year bond.b. The price of the 20-year bond is:[60 ⨯ Annuity factor(16%,20)] + [1000 ⨯ PV factor(16%, 20)] = $407.12 Therefore, the bond sells for 0.4071 times its par value, so that:Market value = Par value ⨯ 0.4071$5.8 million = Par value ⨯ 0.4071 ⇒ Par value = $14.25 million Another way to see this is to note that each bond with par value $1000 sells for $407.11. If total market value is $5.8 million, then you need to buy:$5,800,000/407.11 = 14,250 bonds Therefore, total par value is $14,250,000.17.a. The duration of the perpetuity is: 1.05/0.05 = 21 yearsLet w be the weight of the zero-coupon bond, so that we find w by solving: (w ⨯ 5) + [(1 – w) ⨯ 21] = 10 ⇒ w = 11/16 = 0.6875Therefore, the portfolio will be 11/16 invested in the zero and 5/16 in the perpetuity.b. The zero-coupon bond will then have a duration of 4 years while the perpetuitywill still have a 21-year duration. To have a portfolio with duration equal to nine years, which is now the duration of the obligation, we again solve for w:(w ⨯ 4) + [(1 – w) ⨯ 21] = 9 ⇒ w = 12/17 = 0.7059So the proportion invested in the zero increases to 12/17 and the proportion inthe perpetuity falls to 5/17.18.Macaulay Duration and Modified Duration are calculated using Excel as follows:19.Macaulay Duration and Modified Duration are calculated using Excel as follows:Generally, we would expect duration to increase when the frequency of paymentdecreases from one payment per year to two payments per year, because more of the bond’s payments are made further in to the future when payments are made annually.However, in this example, duration decreases as a result of the timing of the settlement date relative to the maturity date and the interest payment dates. For annual payments, the first payment is $70 paid on November 15, 2010. For semi-annual payments, the first $70 is paid as follows: $35 on November 15, 2010 and $35 on May 15, 2010, so the weighted average “maturity” these payments is shorter than the “maturity” of the $70 payment on November 15, 2010 for the annual payment bond.20.a.The duration of the perpetuity is: 1.10/0.10 = 11 yearsThe present value of the payments is: $1 million/0.10 = $10 millionLet w be the weight of the five-year zero-coupon bond and therefore (1 – w) isthe weight of the twenty-year zero-coupon bond. Then we find w by solving:(w ⨯ 5) + [(1 – w) ⨯ 20] = 11 ⇒ w = 9/15 = 0.60So, 60% of the portfolio will be invested in the five-year zero-coupon bond and40% in the twenty-year zero-coupon bond.Therefore, the market value of the five-year zero is:$10 million ⨯ 0.60 = $6 millionSimilarly, the market value of the twenty-year zero is:$10 million ⨯ 0.40 = $4 millionb.Face value of the five-year zero-coupon bond is:$6 million ⨯ (1.10)5 = $9.66 millionFace value of the twenty-year zero-coupon bond is:$4 million ⨯(1.10)20 = $26.91 million21.Convexity is calculated using the Excel spreadsheet below:Time (t)Cash flow PV(CF)t + t^2(t + t^2) x PV(CF) Coupon616 5.556211.111YTM0.0826 5.144630.864Maturity736 4.7631257.156Price$89.5946 4.412088.20456 4.08330122.50566 3.78142158.803710661.85563463.59980072090090010001100Sum:89.587263932.242Convexity:37.63105722.a.Interest rate = 12%Time untilPayment (Years) PaymentPaymentDiscountedat 12%WeightTime×Weight8% coupon 1 80 71.429 0.0790 0.07902 80 63.776 0.0706 0.14113 1080 768.723 0.8504 2.5513Sum: 903.927 1.0000 2.7714Zero-coupon 1 0 0.000 0.0000 0.0000 2 0 0.000 0.0000 0.0000 3 1000711.780 1.0000 3.0000Sum:711.7801.00003.0000At a higher discount rate, the weights of the later payments of the coupon bond fall and those of the earlier payments rise. So duration falls. For the zero, the weight of the payment in three years remains at 1.0, and duration therefore remains at 3 years.b. Continue to use a yield to maturity of 12%:Time until Payment (Years) Payment PaymentDiscountedat 12%Weight Time × Weight 8% coupon 1 120 107.143 0.1071 0.1071 2 120 95.663 0.0957 0.1913 3 1120 797.1940.7972 2.3916Sum: 1000.0001.00002.6901The weights of the earlier payments are higher when the coupon increases. Therefore, duration falls.23.a. Time until Payment (Years) Payment PaymentDiscountedat 10%t 2 + t t 2 + t × PV 1 80 72.727 2 145.455 2 80 66.116 6 396.694 3 1080 811.420129737.040Sum: 950.26310279.189Convexity = [10,279.189/(950.263 ⨯ (1.10)2] = 8.939838b. At a YTM of 10%, the zero-coupon bond with three-year maturity sells for751.315 (see Spreadsheet 10.1). Its convexity is:917353.9)33(10.1000,110.1315.7511t)(t y)(11,000y)(1P 12322t 2=+⨯⨯⨯=+⨯+⨯+⨯24. Using a financial calculator, we find that the price of the bond is:For yield to maturity of 7%: $1,620.45 For yield to maturity of 8%: $1,450.31 For yield to maturity of 9%: $1,308.21Using the Duration Rule, assuming yield to maturity falls to 7%:Predicted price change = – Duration 0P y1y⨯+∆⨯= –11.54 97.154$31.450,1$08.101.0=⨯-⨯Therefore: Predicted price = $154.97 + $1,450.31 = $1,605.28 The actual price at a 7% yield to maturity is $1,620.45. Therefore: % error %94.00094.045.620,1$28.605,1$45.620,1$==-=(too low)Using the Duration Rule, assuming yield to maturity increases to 9%: Predicted price change = – Duration 0P y1y⨯+∆⨯ = –11.54 97.154$31.450,1$08.101.0-=⨯+⨯Therefore: Predicted price = –$154.97 + $1,450.31 = $1,295.34 The actual price at a 9% yield to maturity is $1,308.21. Therefore: % error %98.00098.021.308,1$34.295,1$21.308,1$==-=(too low)Using Duration-with-Convexity Rule, assuming yield to maturity falls to 7%:Predicted price change ()02P )y (Convexity 5.0y 1y Duration ⨯⎥⎦⎤⎢⎣⎡∆⨯⨯+⎪⎪⎭⎫ ⎝⎛+∆⨯-=()()92.168$31.450,1$01.04.1925.008.101.054.112=⨯⎥⎦⎤⎢⎣⎡-⨯⨯+⎪⎭⎫ ⎝⎛-⨯-=Therefore: Predicted price = $168.92 + $1,450.31 = $1,619.23 The actual price at a 7% yield to maturity is $1,620.45. Therefore: % error %075.000075.045.620,1$23.619,1$45.620,1$==-=(too low)Using Duration-with-Convexity Rule, assuming yield to maturity rises to 9%:Predicted price change ()02P )y (Convexity 5.0y 1y Duration ⨯⎥⎦⎤⎢⎣⎡∆⨯⨯+⎪⎪⎭⎫ ⎝⎛+∆⨯-=()()02.141$31.450,1$01.04.1925.008.101.054.112-=⨯⎥⎦⎤⎢⎣⎡⨯⨯+⎪⎭⎫ ⎝⎛+⨯-=Therefore: Predicted price = –$141.02 + $1,450.31 = $1,309.29 The actual price at a 9% yield to maturity is $1,308.21. Therefore: % error %083.000083.021.308,1$21.308,1$29.309,1$==-=(too high)Conclusion : The duration-with-convexity rule provides more accurateapproximations to the actual change in price. In this example, the percentage error using convexity with duration is less than one-tenth the error using duration only to estimate the price change.25. You should buy the three-year bond because it will offer a 9% holding-period return over the next year, which is greater than the return on either of the other bonds, as shown below:26. The maturity of the 30-year bond will fall to 25 years, and the yield is forecast to be 8%. Therefore, the price forecast for the bond is:$893.25 [n = 25; i = 8; FV = 1000; PMT = 70] At a 6% interest rate, the five coupon payments will accumulate to $394.60 after five years. Therefore, total proceeds will be:$394.60 + $893.25 = $1,287.85 The five-year return is therefore: ($1,287.85/867.42) – 1 = 1.48469 – 1 = 48.469% The annual rate of return is: (1.48469)(1/5) –1 = 0.0822 = 8.22%The maturity of the 20-year bond will fall to 15 years, and its yield is forecast to be 7.5%. Therefore, the price forecast for the bond is:$911.73 [n = 15; i = 7.5; FV = 1000; PMT = 65] At a 6% interest rate, the five coupon payments will accumulate to $366.41 after five years. Therefore, total proceeds will be:$366.41 + $911.73 = $1,278.14 The five-year return is therefore: ($1,278.14/$879.50) – 1 = 1.45326 – 1 = 45.326% The annual rate of return is: 1.45326(1/5) – 1 = 0.0776 = 7.76% The 30-year bond offers the higher expected return.27.a. Using a financial calculator, we find that the price of the zero-coupon bond(with $1000 face value) is:For yield to maturity of 8%: $374.84 For yield to maturity of 9%: $333.28 The price of the 6% coupon bond is: For yield to maturity of 8%: $774.84 For yield to maturity of 9%: $691.79 Zero coupon bond Actual % loss 1109.084.374$84.374$28.333$-=-=, an 11.09% lossThe percentage loss predicted by the duration-with-convexity rule is: Predicted % loss = [( –11.81) ⨯ 0.01] + [0.5 ⨯ 150.3 ⨯ (0.01)2]= –0.1106, an 11.06% lossCoupon bond Actual % loss 1072.084.774$84.774$79.691$-=-=, a 10.72% lossThe percentage loss predicted by the duration-with-convexity rule is: Predicted % loss = [( –11.79) ⨯ 0.01] + [0.5 ⨯ 231.2 ⨯ (0.01)2]= –0.1063, a 10.63% lossb. Now assume yield to maturity falls to 7%. The price of the zero increases to$422.04, and the price of the coupon bond increases to $875.91. Zero coupon bondActual % gain 1259.084.374$84.374$04.422$=-=, a 12.59% gain The percentage gain predicted by the duration-with-convexity rule is:Predicted % gain = [( –11.81) ⨯ (–0.01)] + [0.5 ⨯ 150.3 ⨯ (–0.01)2]= 0.1256, a 12.56% gainCoupon bondActual % gain 1304.084.774$84.774$91.875$=-=, a 13.04% gain The percentage gain predicted by the duration-with-convexity rule is:Predicted % gain = [(–11.79) ⨯ (–0.01)] + [0.5 ⨯ 231.2 ⨯ (–0.01)2]= 0.1295, a 12.95% gainc. The 6% coupon bond (which has higher convexity) outperforms the zeroregardless of whether rates rise or fall. This is a general property which can be understood by first noting from the duration-with-convexity formula that theduration effect resulting from the change in rates is the same for the two bonds because their durations are approximately equal. However, the convexity effect, which is always positive, always favors the higher convexity bond. Thus, if the yields on the bonds always change by equal amounts, as we have assumed inthis example, the higher convexity bond always outperforms a lower convexity bond with the same duration and initial yield to maturity.d. This situation cannot persist. No one would be willing to buy the lowerconvexity bond if it always underperforms the other bond. The price of thelower convexity bond will fall and its yield to maturity will rise. Thus, thelower convexity bond will sell at a higher initial yield to maturity. That higher yield is compensation for the lower convexity. If rates change only slightly, the higher yield-lower convexity bond will perform better; if rates change by agreater amount, the lower yield-higher convexity bond will do better.CFA 1C:Highest maturity, zero coupon D:Highest maturity, next-lowest coupon A:Highest maturity, same coupon as remaining bonds B:Lower yield to maturity than bond E E:Highest coupon, shortest maturity, highest yield of all bonds.CFA 2a. Modified duration = YTM 1duration Macaulay + If the Macaulay duration is 10 years and the yield to maturity is 8%, then the modified duration is: 10/1.08 = 9.26 yearsb.For option-free coupon bonds, modified duration is better than maturity as ameasure of the bond’s sensitivity to chan ges in interest rates. Maturity considersonly the final cash flow, while modified duration includes other factors such asthe size and timing of coupon payments and the level of interest rates (yield tomaturity). Modified duration, unlike maturity, tells us the approximateproportional change in the bond price for a given change in yield to maturity.c.i. Modified duration increases as the coupon decreases.ii. Modified duration decreases as maturity decreases.CFA 3a.Scenario (i): Strong economic recovery with rising inflation expectations.Interest rates and bond yields will most likely rise, and the prices of both bondswill fall. The probability that the callable bond will be called declines, so that itwill behave more like the non-callable bond. (Notice that they have similardurations when priced to maturity.) The slightly lower duration of the callablebond will result in somewhat better performance in the high interest ratescenario.Scenario (ii): Economic recession with reduced inflation expectations. Interestrates and bond yields will most likely fall. The callable bond is likely to be called.The relevant duration calculation for the callable bond is now its modifiedduration to call. Price appreciation is limited as indicated by the lower duration.The non-callable bond, on the other hand, continues to have the same modifiedduration and hence has greater price appreciation.b.If yield to maturity (YTM) on Bond B falls by 75 basis points:Projected price change = (modified duration) ⨯ (change in YTM)= (–6.80) ⨯ (–0.75%) = 5.1%So the price will rise to approximately $105.10 from its current level of $100.c.For Bond A (the callable bond), bond life and therefore bond cash flows areuncertain. If one ignores the call feature and anal yzes the bond on a “tomaturity” basis, all calculations for yield and duration are distorted. Durationsare too long and yields are too high. On the other hand, if one treats thepremium bond selling above the call price on a “to call” basis, the durati on isunrealistically short and yields too low.The most effective approach is to use an option valuation approach. The callablebond can be decomposed into two separate securities: a non-callable bond and anoption.Price of callable bond = Price of non-callable bond – price of optionSince the option to call the bond always has a positive value, the price of thecallable bond is always less than the price of the non-callable security.CFA 4a.The Aa bond initially has the higher yield to maturity (yield spread of 40b.p.versus 31 b.p.), but the Aa bond is expected to have a widening spread relativeto Treasuries. This will reduce rate of return. The Aaa spread is expected to bestable. Calculate comparative returns as follows:Incremental return over Treasuries:Incremental yield spread - (Change in spread ⨯ duration)Aaa bond: 31 bp - (0 ⨯ 3.1) = 31 bpAa bond: 40 bp - (10 bp ⨯ 3.1) = 9 bpSo choose the Aaa bond.b.Other variables that one should consider:∙Potential changes in issue-specific credit quality. If the credit quality of the bonds changes, spreads relative to Treasuries will also change.∙Changes in relative yield spreads for a given bond rating. If quality spreads in the general bond market change because of changes in required riskpremiums, the yield spreads of the bonds will change even if there is nochange in the assessment of the credit quality of these particular bonds.∙Maturity effect. As bonds near maturity, the effect of credit quality onspreads can also change. This can affect bonds of different initial creditquality differently.CFA 5∆P/P = −D* ∆yFor Strategy I:5-year maturity: ∆P/P = −4.83 × (−0.75%) = 3.6225%25-year maturity: ∆P/P = −23.81 × 0.50% = −11.9050%Strategy I: ∆P/P = (0.5 × 3.6225%) + [0.5 × (−11.9050%)] = −4.1413%For Strategy II:15-year maturity: ∆P/P = −14.35 × 0.25% = −3.5875%CFA 6a.For an option-free bond, the effective duration and modified duration areapproximately the same. The duration of the bond described in Table 22Ais calculated as follows:Duration = (100.71 – 99.29)/(2 × 100 × 0.001) = 7.1b.The total percentage price change for the bond described in Table 22A isestimated as follows:Percentage price change using duration = –7.90 ×–0.02 × 100 = 15.80%Convexity adjustment = 1.66%Total estimated percentage price change = 15.80% + 1.66% = 17.46%CFA 7a.i. Duration = (116.887 – 100.00)/(2 × 100 × 0.01) = 15.26ii. Portfolio duration = (50/98.667) x 15.26 + (48.667/98.667) x 2.15 = 8.79b.The statement would only be correct if the portfolio consisted of only zero couponbonds.CFA 8a.The two risks are price risk and reinvestment rate risk. The former refers tobond price volatility as interest rates fluctuate, the latter to uncertainty in therate at which coupon income can be reinvested.b.Immunization is the process of structuring a bond portfolio in such a manner thatthe value of the portfolio (including proceeds reinvested) will reach a given targetlevel regardless of future changes in interest rates. This is accomplished bymatching both the values and durations of the assets and liabilities of the plan.This may be viewed as a low-risk bond management strategy.c.Duration matching is superior to maturity matching because bonds of equalduration -- not those of equal maturity -- are equally sensitive to interest ratefluctuations.d.Contingent immunization allows for active bond management unless and untilthe surplus funding in the account is eliminated because of investment losses, atwhich point an immunization strategy is implemented. Contingentimmunization allows for the possibility of above-market returns if the activemanagement is successful.CFA 9The economic climate is one of impending interest rate increases. Hence, we will wantto shorten portfolio duration.a.Choose the short maturity (2014) bond.b.The Arizona bond likely has lower duration. Coupons are about equal, but theArizona yield is higher.c.Choose the 9⅜ % coupon bond. Maturities are about equal, but the coupon is muchhigher, resulting in lower duration.d.The duration of the Shell bond will be lower if the effect of the higher yield tomaturity and earlier start of sinking fund redemption dominates the slightly lowercoupon rate.e.The floating rate bond has a duration that approximates the adjustment period,which is only six months.CFA 10a. 4b. 4c. 4d. 2CFA 11a. A manager who believes that the level of interest rates will change shouldengage in a rate anticipation swap, lengthening duration if rates are expected tofall, and shortening duration if rates are expected to rise.b. A change in yield spreads across sectors would call for an inter-market spread swap,in which the manager buys bonds in the sector for which yields are expected to falland sells bonds in the sector for which yields are expected to rise.c. A belief that the yield spread on a particular instrument will change calls for asubstitution swap in which that security is sold if its relative yield is expected to riseor is bought if its yield is expected to fall compared to other similar bonds.CFA 12a.This swap would have been made if the investor anticipated a decline in long-terminterest rates and an increase in long-term bond prices. The deeper discount, lowercoupon 2⅜% bond would provide more opportunity for capital gains, greater callprotection, and greater protection against declining reinvestment rates at a cost ofonly a modest drop in yield.b.This swap was probably done by an investor who believed the 24 basis point yieldspread between the two bonds was too narrow. The investor anticipated that, if thespread widened to a more normal level, either a capital gain would be experiencedon the Treasury note or a capital loss would be avoided on the Phone bond, or both.This swap might also have been done by an investor who anticipated a decline ininterest rates, and who also wanted to maintain high current coupon income andhave the better call protection of the Treasury note. The Treasury note would havemuch greater potential for price appreciation, in contrast to the Phone bond whichwould be restricted by its call price. Furthermore, if intermediate-term interest rateswere to rise, the price decline of the higher quality, higher coupon Treasury notewould likely be “cushioned” and the reinvestment return from the higher couponswould likely be greater.c.This swap would have been made if the investor were bearish on the bond market.The zero coupon note would be extremely vulnerable to an increase in interest rates since the yield to maturity, determined by the discount at the time of purchase, is locked in. This is in contrast to the floating rate note, for which interest is adjusted periodically to reflect current returns on debt instruments. The funds received in interest income on the floating rate notes could be used at a later time to purchase long-term bonds at more attractive yields.d.These two bonds are similar in most respects other than quality and yield. Aninvestor who believed the yield spread between Government and Al bonds was too narrow would have made the swap either to take a capital gain on the Government bond or to avoid a capital loss on the Al bond. The increase in call protection after the swap would not be a factor except under the most bullish interest rate scenarios.The swap does, however, extend maturity another 8 years and yield to maturitysacrifice is 169 basis points.e.The principal differences between these two bonds are the convertible feature of theZ mart bond, and, for the Lucky Duck debentures, the yield and coupon advantage, and the longer maturity. The swap would have been made if the investor believed some combination of the following:First, that the appreciation potential of the Z mart convertible, based primarilyon the intrinsic value of Z mart common stock, was no longer as attractive as ithad been.Second, that the yields on long-term bonds were at a cyclical high, causing bond portfolio managers who could take A2-risk bonds to reach for high yields and long maturities either to lock them in or take a capital gain when rates subsequentlydeclined.Third, while waiting for rates to decline, the investor will enjoy an increase incoupon income. Basically, the investor is swapping an equity-equivalent for a long- term corporate bond.。
ggbond英语作文
ggbond英语作文GGBond is a popular topic in the financial world. It is known for its high-quality service, innovative products, and strong customer base. In this paper, we will discuss the background of GGBond, its products and services, and its impact on the financial industry.Background of GGBondGGBond is a leading financial institution that specializes in providing bond investment services to individual and institutional investors. It was founded in 2009 and has since grown to become one of the most trusted and respected names in the financial industry.Products and ServicesGGBond offers a wide range of products and services to meet the needs of its clients. Some of the key offerings include:1. Bond Sales: GGBond provides a platform for investors to buy and sell bonds from a variety of issuers.2. Bond Management: GGBond offers portfolio management services to help clients build and maintain a diversified bond portfolio.3. Bond Research: GGBond conducts in-depth research on various bond issuers to help clients make informed investment decisions.4. Bond Trading: GGBond provides a platform for investors to trade bonds on the secondary market.Impact on the Financial IndustryGGBond has had a significant impact on the financial industry. Its innovative products and services have attracted a large number of investors, leading to increased competition in the bond market. Additionally, GGBond's strong customer base has helped it to become a trusted name in the industry, further solidifying its position as a market leader.In conclusion, GGBond is a key player in the financial industry, known for its high-quality service, innovative products, and strong customer base. Its impact on the industry has been significant, leading to increased competition and greater opportunities for investors.。
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Matched-Funding Techniques
• Dedicated Portfolios
Dedication refers to bond portfolio management techniques that are used to service a prescribed set of liabilities
• Indexing
– The objective is to construct a portfolio of bonds that will equal the performance of a specified bond index
Active Management Strategies
• Interest-rate anticipation
Immunization Strategies
• Components of Interest Rate Risk
– Price Risk – Coupon Reinvestment Risk
Classical Immunization
• Immunization is neither a simple nor a passive strategy • An immunized portfolio requires frequent rebalancing because the modified duration of the portfolio always should be equal to the remaining time horizon (except in the case of the zero-coupon bond)
• Valuation analysis
– The portfolio manager attempts to select bonds based on their intrinsic value
• Credit analysis
– Involves detailed analysis of the bond issuer to determine expected changes in its default risk
Classical Immunization
• Duration characteristics
– Duration declines more slowly than term to maturity, assuming no change in market interest rates – Duration changes with a change in market interest rates – There is not always a parallel shift of the yield curve – Bonds with a specific duration may not be available at an acceptable price
Contingent Procedures
• A form of structured active management
– Pure Cash-Matched Dedicated Portfolios • Most conservative strategy – Dedication With Reinvestment • Cash flows do not have to exactly match the liability stream
Alternative Bond Portfolio Strategies
1. Passive portfolio strategies 2. Active management strategies 3. Matched-funding techniques 4. Contingent procedure (structured active management)
Core-Plus Bond Portfolio Management
• This involves having a significant (core) part of the portfolio managed passively in a widely recognized sector such as the U.S. Aggregate Sector or the U.S. Government/Corporate sector. • The rest of the portfolio would be managed actively in one or several additional “plus” sectors, where it is felt that there is a higher probability of achieving positive abnormal rates of return because of potential inefficiencies
Chapter 20 - Bond Portfolio Management Strategies
• What are the major contingent procedure strategies that are also referred to as structured active management strategies? • What are the implications of capital market theory for those involved in bond portfolio management?
Matched-Funding Techniques
• Horizon matching
– Combination of cash-matching dedication and immunization – Important decision is the length of the horizon period
Chapter 20 - Bond Portfolio Management Strategies
• What are the five alternative strategies available within the active management category? • What is meant by care-plus bond management and what are some plus strategies? • What is meant by matched-funding techniques, and what are the four specific strategies available in this category?
Active Management Strategies
• Yield spread analysis
– Assumes normal relationships exist between the yields for bonds in alternative sectors
• Bond swaps
A Global Fixed-Income Investment Strategy
Factors to consider
– The local economy in each country including the effects of domestic and international demand – The impact of total demand and domestic monetary policy on inflation and interest rates – The effect of the economy, inflation, and interest rates on the exchange rates among countries
Questions to be answered: • What are the four major bond portfolio management strategies? • What are the two specific passive portfolio management strategies available?
Chapter 20 - Bond Portfolio Management Strategies
• What is the evidence on the efficient market hypothesis as it relates to bond markets? • What are the implications of efficient market studies for bond portfolio managers?
Matched-Funding Techniques
• Immunization Strategies
– A portfolio manager (after client consultation) may decide that the optimal strategy is to immunize the portfolio from interest rate changes – The immunization techniques attempt to derive a specified rate of return during a given investment horizon regardless of what happens to market interest rates
Bond Swaps
• Pure Yield Pickup Swap • Substitution Swap • Tax Swap