X. PORTFOLIO MANAGEMENT
К оглавлению1 2 3 4 5 6 7 8 9 10 11A. Capital Market Theory
1. Markowitz Portfolio Theory
a. Assumptions
b. Inputs
c. Implications
d. Efficient Frontier
2. Asset pricing models
a. Single factor
b. Multi-factor
3. Efficient Market Hypothesis
B. Management of Individual Investor Portfolios
1. Investor characteristics
a. Life cycle and age influences
b. Behavioral finance issues
2. Objectives
a. Establishing return requirements
b. Risk tolerance (e.g., ability, willingness)
3. Constraints
a. Liquidity
b. Time horizon
c. Tax exposure
d. Legal and regulatory
e. Unique circumstances
4. Investment policy statement
5. Investment strategy and asset allocation
a. Portfolio construction
b. Influence of taxes on investment strategy
c. Tax managed asset strategies
6. Investment vehicles and asset class exposures
a. Equities
b. Debt
c. Alternative assets
d. Tax-deferred or tax-exempt savings vehicles
e. Influence of risk and taxes in retirement products
f. Comparison of retirement savings vehicles
7. Wealth transfer, estate planning, and personal trusts
C. Management of Institutional Investor Portfolios
1. Objectives
a. Return targets
b. Risk tolerance
2. Constraints
a. Liquidity
b. Time horizon
c. Tax exposure
d. Legal and regulatory
e. Unique circumstances
3. Investment policy statement
4. Selection of investment managers/advisors
5. Fiduciary responsibility
D. Pension Plan and Employee Benefit Funds
1. Defined benefit plans
a. Legal principles
b. Corporate finance implications
2. Defined contribution plans
a. Investment policy development
b. Participant education
c. Legal responsibilities
d. Investment strategies
3. Other employee benefit plans
a. Money purchase
b. Cash balance plans
c. Cafeteria plans
d. Employee stock ownership plans
4. Investment policy statement
E. Endowment Funds and Foundations
1. Spending policy
2. Investment policy statement
F. Insurance Companies
1. Asset/liability management
2. Investment policy statement
G. Other Corporate Investors (investment policy considerations)
1. Banks (e.g., spread management)
2. Non-financial corporations (e.g., cash management)
H. Capital Market Expectations
1. Key macroeconomic factors affecting asset returns
a. Sources of data and analysis
b. Real (non-financial) economy role in security returns
c. Economic variables relevant to security prices
d. Impact of monetary policy
e. Impact of fiscal policy
2. Macro valuation model
3. Developing macroeconomic expectations
a. Industrialized economies
b. Emerging markets
4. Macroeconomic forecasts in determining asset class/security return expectations
a. Using economic forecasts for asset allocation
b. Using market forecasts for sector rotation
5. Relationship of economic activity to the investment process
I. Asset Allocation
1. Determination of asset mix
a. Strategic
b. Tactical
2. Assessment of opportunities
a. Framework for allocating assets globally
b. Global asset allocation strategy
3. Selection of asset classes
4. Issues in multiple manager environment
J. Portfolio Construction and Revision
1. Inputs to portfolio construction and revision
2. Diversification issues
a. Diversification types (e.g., asset, time)
b. Sector and industry selection
c. International
3. Implementation issues
a. Global custody
b. Transactions costs (e.g., measurement, impact, foreign exchange translation)
c. Constraints
4. Portfolio monitoring and rebalancing
a. Approaches to portfolio rebalancing
b. Issues in portfolio rebalancing (e.g., frequency, extensiveness)
K. Equity Portfolio Management Strategies
1. Active management
a. Benchmark selection
b. Style
(1) Types (e.g., value, growth, size)
(2) Style weights
(3) Style drift
(4) Limitations
2. Passive management (e.g., indexing)
3. Semi-active strategies
a. Enhanced indexing
b. Core plus active
4. Cross-border strategies
a. Sector/industry
b. Country
5. Derivatives-enabled strategies
L. Debt Portfolio Management Strategies
1. Active management
a. Benchmark selection
b. Yield curve positioning
c. Duration-altering strategies based on level, slope and curvature of yield curves
d. Riding the yield curve
e. Corporate bond strategies (including investment grade and high yield)
f. Mortgage-backed strategies
g. Asset-backed strategies
h. Trading strategies and constraints
2. Passive management
3. Semi-active strategies (e.g., enhanced indexing)
4. Immunization strategies
a. Liability funding strategies
b. Contingent immunization
c. Single-liability immunization
d. Multiple-liability immunization
e. Cash flow matching (e.g., dedication)
5. Derivatives-enabled strategies
a. Controlling yield curve risks
b. Controlling interest rate risks
c. Controlling credit risk
d. Currency hedged portfolios
6. Cross border issues
a. Currency risk management
b. Country risk analysis
M. Real Estate and Alternative Investments in Portfolio Management
1. Traditional diversification in real estate portfolios
a. Within real estate strategies
b. Use and comparison of direct investment portfolios (DIPs), stock investment
portfolios (SIPs), and various forms of real estate investment trusts (e.g., EREITs,
MREITs, hybrid REITs)
2. Analysis of critical attributes
a. Systematic factors analysis
b. Transaction costs and clientele effects
c. Number and size of properties
3. Factors influencing real estate returns
a. Leverage
b. Type of vehicle
4. Real estate in a multiple asset class portfolio
a. Contribution to portfolio diversification
b. Inflation hedging attributes
c. Limitations of real estate data
N. Risk Management
1. Firm wide risk management
a. Fundamental framework
(1) Investment vs. operational
(2) Model risk vs. input risk
b. Developing risk management policy and programs
(1) Fiduciary duties
(2) Plan sponsor role
(3) Behavioral factors
c. Sources of risk
(1) Sovereign and political risks
(2) Economic and financial risks
(3) Regulatory and fiscal risks
(4) Currency risk
(5) Factor risks
(6) Option positions
(7) Credit risk
d. Managing market, credit, and other risk
(1) Managing market risk
(2) Managing credit risk
(3) Managing other risks
e. Value at risk (VAR) and other approaches to risk measurement and management
(1) Analytical/variance-covariance/delta-normal method
(2) Historical method
(3) Monte Carlo simulation
(4) Uses and limitations of VAR
(5) Stress testing
(6) Scenario analysis
(7) Extreme value theory and analysis
(8) Sources of information (e.g., RiskMetrics)
f. Capital adequacy
2. Portfolio Risk Management
a. Mechanics of hedging
(1) Estimating the hedge ratio
(2) Results of the hedge
(3) Managing the hedge
(4) Tax considerations
(5) Hedging option positions
b. Managing interest rate risk with derivatives
(1) Managing to a target duration
(2) Hedging with interest rate futures
(3) Determining the number of futures contracts
(4) Monitoring and evaluating the hedge
c. Managing risk for embedded-risk securities (e.g., hedging mortgage-backed
securities (MBS))
d. Managing currency risk
(1) Strategies
(2) Time horizon
(3) Market integration implications
O. Performance Measurement
1. Return measures (arithmetic, geometric, time weighted, dollar weighted) including
derivatives-enhanced positions
2. Risk-adjusted measures
a. Sharpe Ratio
b. Treynor Ratio
c. Jensen’s Alpha
d. Information Ratio
e. Effect of expenses
f. Role in benchmark selection
g. Effect of random events
h. Effect of long horizons
i. After-tax vs. Pre-tax
3. Benchmark selection
4. Performance attribution
a. Asset class analysis (e.g., equity, debt)
b. Style analysis
5. Peer group comparisons (i.e., distinguished from benchmark comparisons)
a. Universe construction
b. Issue of non-investability
c. Survivorship bias
P. Presentation of Performance Results
1. Global Investment Performance Standards™ (GIPS™ )
A. Capital Market Theory
1. Markowitz Portfolio Theory
a. Assumptions
b. Inputs
c. Implications
d. Efficient Frontier
2. Asset pricing models
a. Single factor
b. Multi-factor
3. Efficient Market Hypothesis
B. Management of Individual Investor Portfolios
1. Investor characteristics
a. Life cycle and age influences
b. Behavioral finance issues
2. Objectives
a. Establishing return requirements
b. Risk tolerance (e.g., ability, willingness)
3. Constraints
a. Liquidity
b. Time horizon
c. Tax exposure
d. Legal and regulatory
e. Unique circumstances
4. Investment policy statement
5. Investment strategy and asset allocation
a. Portfolio construction
b. Influence of taxes on investment strategy
c. Tax managed asset strategies
6. Investment vehicles and asset class exposures
a. Equities
b. Debt
c. Alternative assets
d. Tax-deferred or tax-exempt savings vehicles
e. Influence of risk and taxes in retirement products
f. Comparison of retirement savings vehicles
7. Wealth transfer, estate planning, and personal trusts
C. Management of Institutional Investor Portfolios
1. Objectives
a. Return targets
b. Risk tolerance
2. Constraints
a. Liquidity
b. Time horizon
c. Tax exposure
d. Legal and regulatory
e. Unique circumstances
3. Investment policy statement
4. Selection of investment managers/advisors
5. Fiduciary responsibility
D. Pension Plan and Employee Benefit Funds
1. Defined benefit plans
a. Legal principles
b. Corporate finance implications
2. Defined contribution plans
a. Investment policy development
b. Participant education
c. Legal responsibilities
d. Investment strategies
3. Other employee benefit plans
a. Money purchase
b. Cash balance plans
c. Cafeteria plans
d. Employee stock ownership plans
4. Investment policy statement
E. Endowment Funds and Foundations
1. Spending policy
2. Investment policy statement
F. Insurance Companies
1. Asset/liability management
2. Investment policy statement
G. Other Corporate Investors (investment policy considerations)
1. Banks (e.g., spread management)
2. Non-financial corporations (e.g., cash management)
H. Capital Market Expectations
1. Key macroeconomic factors affecting asset returns
a. Sources of data and analysis
b. Real (non-financial) economy role in security returns
c. Economic variables relevant to security prices
d. Impact of monetary policy
e. Impact of fiscal policy
2. Macro valuation model
3. Developing macroeconomic expectations
a. Industrialized economies
b. Emerging markets
4. Macroeconomic forecasts in determining asset class/security return expectations
a. Using economic forecasts for asset allocation
b. Using market forecasts for sector rotation
5. Relationship of economic activity to the investment process
I. Asset Allocation
1. Determination of asset mix
a. Strategic
b. Tactical
2. Assessment of opportunities
a. Framework for allocating assets globally
b. Global asset allocation strategy
3. Selection of asset classes
4. Issues in multiple manager environment
J. Portfolio Construction and Revision
1. Inputs to portfolio construction and revision
2. Diversification issues
a. Diversification types (e.g., asset, time)
b. Sector and industry selection
c. International
3. Implementation issues
a. Global custody
b. Transactions costs (e.g., measurement, impact, foreign exchange translation)
c. Constraints
4. Portfolio monitoring and rebalancing
a. Approaches to portfolio rebalancing
b. Issues in portfolio rebalancing (e.g., frequency, extensiveness)
K. Equity Portfolio Management Strategies
1. Active management
a. Benchmark selection
b. Style
(1) Types (e.g., value, growth, size)
(2) Style weights
(3) Style drift
(4) Limitations
2. Passive management (e.g., indexing)
3. Semi-active strategies
a. Enhanced indexing
b. Core plus active
4. Cross-border strategies
a. Sector/industry
b. Country
5. Derivatives-enabled strategies
L. Debt Portfolio Management Strategies
1. Active management
a. Benchmark selection
b. Yield curve positioning
c. Duration-altering strategies based on level, slope and curvature of yield curves
d. Riding the yield curve
e. Corporate bond strategies (including investment grade and high yield)
f. Mortgage-backed strategies
g. Asset-backed strategies
h. Trading strategies and constraints
2. Passive management
3. Semi-active strategies (e.g., enhanced indexing)
4. Immunization strategies
a. Liability funding strategies
b. Contingent immunization
c. Single-liability immunization
d. Multiple-liability immunization
e. Cash flow matching (e.g., dedication)
5. Derivatives-enabled strategies
a. Controlling yield curve risks
b. Controlling interest rate risks
c. Controlling credit risk
d. Currency hedged portfolios
6. Cross border issues
a. Currency risk management
b. Country risk analysis
M. Real Estate and Alternative Investments in Portfolio Management
1. Traditional diversification in real estate portfolios
a. Within real estate strategies
b. Use and comparison of direct investment portfolios (DIPs), stock investment
portfolios (SIPs), and various forms of real estate investment trusts (e.g., EREITs,
MREITs, hybrid REITs)
2. Analysis of critical attributes
a. Systematic factors analysis
b. Transaction costs and clientele effects
c. Number and size of properties
3. Factors influencing real estate returns
a. Leverage
b. Type of vehicle
4. Real estate in a multiple asset class portfolio
a. Contribution to portfolio diversification
b. Inflation hedging attributes
c. Limitations of real estate data
N. Risk Management
1. Firm wide risk management
a. Fundamental framework
(1) Investment vs. operational
(2) Model risk vs. input risk
b. Developing risk management policy and programs
(1) Fiduciary duties
(2) Plan sponsor role
(3) Behavioral factors
c. Sources of risk
(1) Sovereign and political risks
(2) Economic and financial risks
(3) Regulatory and fiscal risks
(4) Currency risk
(5) Factor risks
(6) Option positions
(7) Credit risk
d. Managing market, credit, and other risk
(1) Managing market risk
(2) Managing credit risk
(3) Managing other risks
e. Value at risk (VAR) and other approaches to risk measurement and management
(1) Analytical/variance-covariance/delta-normal method
(2) Historical method
(3) Monte Carlo simulation
(4) Uses and limitations of VAR
(5) Stress testing
(6) Scenario analysis
(7) Extreme value theory and analysis
(8) Sources of information (e.g., RiskMetrics)
f. Capital adequacy
2. Portfolio Risk Management
a. Mechanics of hedging
(1) Estimating the hedge ratio
(2) Results of the hedge
(3) Managing the hedge
(4) Tax considerations
(5) Hedging option positions
b. Managing interest rate risk with derivatives
(1) Managing to a target duration
(2) Hedging with interest rate futures
(3) Determining the number of futures contracts
(4) Monitoring and evaluating the hedge
c. Managing risk for embedded-risk securities (e.g., hedging mortgage-backed
securities (MBS))
d. Managing currency risk
(1) Strategies
(2) Time horizon
(3) Market integration implications
O. Performance Measurement
1. Return measures (arithmetic, geometric, time weighted, dollar weighted) including
derivatives-enhanced positions
2. Risk-adjusted measures
a. Sharpe Ratio
b. Treynor Ratio
c. Jensen’s Alpha
d. Information Ratio
e. Effect of expenses
f. Role in benchmark selection
g. Effect of random events
h. Effect of long horizons
i. After-tax vs. Pre-tax
3. Benchmark selection
4. Performance attribution
a. Asset class analysis (e.g., equity, debt)
b. Style analysis
5. Peer group comparisons (i.e., distinguished from benchmark comparisons)
a. Universe construction
b. Issue of non-investability
c. Survivorship bias
P. Presentation of Performance Results
1. Global Investment Performance Standards™ (GIPS™ )