BT学院 120考点Portfolio(7个考点)

Portfolio Management 2017王老师和贾老师的CFA课堂考点Reading 考点R40 Portfolio Management: An Overview •投资者类别，不同投资者特点。

•三步走plan-execution -feedback。

R41 Risk Management: An Introduction •risk budgeting•the categorization of types of risks•methods of risk mitigationR42 Portfolio Risk and Return: Part I •Major return measurement and Theportfolio standard deviation formula•Minimum variance and efficient frontier•CAL•CAPM公式+假设+应用。

•SML和CML的特点及对比R43 Portfolio Risk and Return: Part IIR44 Basic of Portfolio Planning andConstruction•IPS中的Objective and constraints•SAA和TAA考点一投资者类别，不同投资者特点□Portfolio perspective□The types of investment management clients □Characteristics of different types of investors•Characteristics of different types of investorsInvestor Type Risk Tolerance Investment Horizon Liquidity Needs Income NeedsIndividuals Depends on individual Depends on individual Depends on individual Depends on individualDB pensions High Long Low Depends on age Banks Low Short High Pay interest Endowments High Long Low Spending levelInsurance Low Long—life;Short—P&CHigh LowMutual funds Depends on fund Depends on fund High Depends on fund✐Which of the following types of institutions is most likely to have a long investment time horizon and a higher level of risk tolerance?A.A bankB.An endowmentC.An insurance companyAnswer=B✐Which of the following institutional investors are most likely to have a low tolerance for investment risk and relatively high liquidity needs?A.Insurance companyB.Charitable foundationC.Defined benefit pension planAnswer=AA is correct because insurance companies need to be relatively conservative and liquid given the necessity ofpaying claims when due.考点二Three steps in the portfolio management资产管理三步走□Planning step □Execution step □Feedback step考点二资产管理三步走2Three steps in the portfolio management资产管理三步走●Planning stepDetermine client needs and circumstance,including investor’s risk tolerance,return objectives,time horizon,tax exposure,liquidity needs,income needs,unique circumstances.Create and then periodically review and update an investment policy statement(IPS).IPS:details about the investor’s needs and circumstance;specify an objective benchmark;update at least every few years and anytime the investor’s objectives or constraints change significantly.●Execution step:asset allocation;top-down analysis and bottom-up analysis;portfolio construction●Feedback step:monitor and rebalance the portfolio;Measure portfolio performance.常考点：security analysis是execution过程中的一步Which of the following is least likely a part of the execution step of the portfolio management process?A.Security analysisB.Portfolio constructionC.Performance measurementAnswer=CC is correct.Performance measurement is a part of the feedback step of the portfolio management process.The execution step includes asset allocation,security analysis,and portfolio construction考点三risk budgeting□Risk and risk management□Financial risks and non-financial risks □Measure of risk□Methods of risk modification➢Risk management is most likely the process by which an organization:A.minimizes its exposure to potential losses.B.adjusts its risk to a predetermined level.C.maximizes its risk-adjusted return.B is correct.➢A major benefit of employing a risk budgeting process is that it most likely :A. allows the organization to determine its enterprise risk tolerance.B. forces risk tradeoffs across the organization.C.eliminates the need for hedging within the organization.B is correct.Adding a risk budgeting process causes the organization to consider how its total risk tolerance will be allocated across its subsidiaries. Either the total current risks the subsidiaries are engaging in will exceed the risk tolerance and subsidiaries will have to compete for risk by demonstrating highest returns per unit of risk or the total current risks will be less than the risk tolerance and a search will be underway for the subsidiaries that can best utilize the remaining risk budget. The risk tolerance is determined and then sets the risk budget, rather than being determined by it. Hedging can be a part of risk budgeting if hedging produces the superior risk adjusted returns.A is incorrect because the risk tolerance of the organization defines its risk budget, not the other way around.C is incorrect because hedging can be a part of risk budgeting if it produces the best returns per unit of the risk budget.考点三risk budgeting3Financial risks and non-financial risks●Financial risksFinancial risks refer to the risks that arise from events occurring in the financial markets,including credit risk,liquidity risk and market risk.•Credit riskThe risk that a counterparty will not pay an amount owed.交易对手方无法还钱。