CFA三級(jí)基礎(chǔ)：資本市場(chǎng)預(yù)期-打印版

BusinessCyclePhases,Thebusinesscyclecanbeintofivephases:?5.Contraction1218adInflationtoppingout?short-terminterestrates?43-115虧業(yè)．創(chuàng)新·ImplicationsInflationl,ifCPI105,5%.I.DeflationCPI108106,44-115虧業(yè)．創(chuàng)新·讒值InflationImplicationsaa$100,000a$95,000;$5,000.5%45-115虧業(yè)．創(chuàng)新·讒值A(chǔ)dkinsbelievestheequ小1marketonetheemergingmarketsthatshemodelshasbecomefullyintegratedwiththemarket.Asaresult,sheexpectsittomorehighlycorrelatedthemarket.Howeveshethinksitsoverallvolatilitywilldecline.Heroldandnewestimatesareasfollows:?2021CAMun888sCorrelationwith0.500.55..75DegreeintegrationSharperatio(globalandfusestheSinger-Terhaarmodel,whattheimpactofthesechangesherpremiumestimateforthismarket?88-115日orrectAnswer:?Thesegmentedmarketriskpremiumw仆declinefrom6.6%(calculated22.0%x=6.6%)to5.4%(=18%x0.30).?Thefullyintegratedpremiumwillincreasefrom3.30%0.50x22.0%X0.30).78%0.70X?Theweightedaveragepremiumwillecli4.79%(0.55x3.30%)+(0.45X6.60%)]4.19%(0.75X.78%)+(0.25X5.40%)],sotheeffectadeclineof60bps.89-115虧業(yè)．創(chuàng)新·ForecastingReturnsCalculatingreturnsoftenth「oughappraisals,whichsub丿ecttotimelagsanddatasmoothinggiventhattheydoneinf「equently,soappraisedmaydiffersignifica1itlymarketvalues.90-115虧業(yè)．創(chuàng)新·讒但EquityPortfolio?Registrationfees:?CFAFRM?s18-146虧業(yè)．創(chuàng)新·EquityPortfolio?Explicitcosts.rver:19-146虧業(yè)．創(chuàng)新·讒值EquityPortfolio?provideliquidity20-146虧業(yè)．創(chuàng)新·讒值ValaanInvalValVaasedlandalConsistentlatareasonableca,巾ca1"三;氣li三{三三?acaFactor-BasedStrategiesActivistStrategiesDthe,St,ateg;es{nga63-146虧業(yè)．創(chuàng)新·ofMana1gementStrategiesfundamentalandmanagerscanbecategorizedaseitherbottom-uportop-downstrategies.?Bottom-upstrategiesuseaboutlcompaniessuchaslormomentumbuildliosselectingbestindividualinvestments.?-downstrategiesuseinformationaboutlesaffectmanycompaniessuchasthemacroeconomicenvironmentandgovernmentliciesbuildliosbyselectingbestorsectors.Managerscanuseablendofbottom-upandtop-downapproaches.?Atop-downstrategistsetstargetcountryorsectorandthenbottom-uplmanagersselectthebestinvestmentsconsistenttheseweights.?Themanagerscouldlconstructionprocessselectingbestindividualinvestmentsatop-down-basedderivativesoverlayaddedremoveunntendedexposures.64-146虧業(yè)．創(chuàng)新·讒值Bottom-Up;Quantitativebottom-upmanagers;lookforquantifiablelationshipsbetweencompanylevel(e.g.andexpectedlpersistfuture.Fundamentalbottom-upmanagersincorporatebothquantifiableandqualcharacteristicsofindividualanalysis(e.g,businessmodelandbrandingadvantageandquacompanymanagementandcorporategovernance).lof65-146虧業(yè)．創(chuàng)新·讒值ExamplethedriversofforManagersAB.IMonthlyperformanceinexcessoftherisk-freerate"Alpha"(monthly)0.()0%。0.99Size。Value0.050.78108-146Example日?Aoutperformthefactor-0.45%).returncanbeattributedtothesignificant(0.25)factor(0tothefactorthe?ManagerB(20The?2021CFA&FRM更新通知虧業(yè)．創(chuàng)新·?微信：888sApproachesPortfolioConstruction109-146Themajorityofinvestmentapproachescanbeclassifiedas:?Systematicoredegreetowhichthe虧業(yè)．創(chuàng)新·讒但?Transactionalhighma/sfund.Aa·rsharesy