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CFA Institute is the global association of investment professionals that sets the standard for professional excellence and credentials. The organization is a champion for ethical behavior in investment markets and a respected source of knowledge in the global financial community. The end goal: to create an environment where investors' interests come first, markets function at their best, and economies grow. CFA Institute has more than 155,000 members in 165 countries and territories, including 150,000 CFA® charterholders, and 148 member societies. For more information, visit www.cfainstitute.org.
Contenu
Preface xiii
Acknowledgments xv
About the CFA Institute Investment Series xvii
Chapter 1 Basics of Portfolio Planning and Construction 1
Introduction 1
Portfolio Planning 2
2.1. The Investment Policy Statement 2
2.2. Major Components of an IPS 3
2.3. Gathering Client Information 17
3.1. Capital Market Expectations 20
3.2. The Strategic Asset Allocation 20
3.3. Steps Toward an Actual Portfolio 28
3.4. ESG Considerations in Portfolio Planning and Construction 32
3.5. Alternative Portfolio Organizing Principles 33
References 35
Practice Problems 36
Chapter 2 Security Market Indexes 41
Introduction 41
Index Definition and Calculations of Value and Returns 42
2.1. Calculation of Single-Period Returns 43
2.2. Calculation of Index Values over Multiple Time Periods 45
3.1. Target Market and Security Selection 46
3.2. Index Weighting 47
3.3. Index Management: Rebalancing and Reconstitution 56
4.1. Gauges of Market Sentiment 58
4.2. Proxies for Measuring and Modeling Returns, Systematic Risk, and Risk-Adjusted Performance 58
4.3. Proxies for Asset Classes in Asset Allocation Models 58
4.4. Benchmarks for Actively Managed Portfolios 59
4.5. Model Portfolios for Investment Products 59
5.1. Broad Market Indexes 59
5.2. Multi-Market Indexes 60
5.3. Sector Indexes 61
5.4. Style Indexes 62
6.1. Construction 63
6.2. Types of Fixed-Income Indexes 63
7.1. Commodity Indexes 66
7.2. Real Estate Investment Trust Indexes 66
7.3. Hedge Fund Indexes 67
Practice Problems 71
Chapter 3 Capital Market Expectations, Part 1: Framework and Macro Considerations 77
Introduction 78
Framework and Challenges 78
2.1. A Framework for Developing Capital Market Expectations 79
2.2. Challenges in Forecasting 82
3.1. The Role of Economic Analysis 90
3.2. Analysis of Economic Growth 91
3.3. Approaches to Economic Forecasting 96
3.4. Business Cycle Analysis 100
3.5. Analysis of Monetary and Fiscal Policy 108
3.6. International Interactions 117
References 124
Practice Problems 125
Chapter 4 Capital Market Expectations, Part 2: Forecasting Asset Class Returns 131
Introduction 132
Overview of Tools and Approaches 132
2.1. The Nature of the Problem 132
2.2. Approaches to Forecasting 133
3.1. Applying DCF to Fixed Income 134
3.2. The Building Block Approach to Fixed-Income Returns 136
3.3. Risks in Emerging Market Bonds 142
4.1. Historical Statistics Approach to Equity Returns 145
4.2. DCF Approach to Equity Returns 146
4.3. Risk Premium Approaches to Equity Returns 148
4.4. Risks in Emerging Market Equities 153
5.1. Historical Real Estate Returns 154
5.2. Real Estate Cycles 155
5.3. Capitalization Rates 156
5.4. The Risk Premium Perspective on Real Estate Expected Return 157
5.5. Real Estate in Equilibrium 158
5.6. Public vs. Private Real Estate 158
5.7. Long-Term Housing Returns 160
6.1. Focus on Goods and Services, Trade, and the Current Account 162
6.2. Focus on Capital Flows 164
7.1. Estimating a Constant VCV Matrix with Sample Statistics 170
7.2. VCV Matrices from Multi-Factor Models 170
7.3. Shrinkage Estimation of VCV Matrices 172
7.4. Estimating Volatility from Smoothed Returns 173
7.5. Time-Varying Volatility: ARCH Models 174
8.1. Macro-Based Recommendations 175
8.2. Quantifying the Views 178
References 181
Practice Problems 183
Chapter 5 Overview of Asset Allocation 191
Introduction 191
Asset Allocation: Importance in Investment Management 193
The Investment Governance Background to Asset Allocation 194
3.1. Governance Structures 195
3.2. Articulating Investment Objectives 195
3.3. Allocation of Rights and Responsibilities 197
3.4. Investment Policy Statement 198
3.5. Asset Allocation and Rebalancing Policy 199
3.6. Reporting Framework 199
3.7. The Governance Audit 199
The Economic Balance Sheet and Asset Allocation 201
Approaches to Asset Allocation 205
5.1. Relevant Objectives 207
5.2. Relevant Risk Concepts 208
5.3. Modeling Asset Class Risk 209
6.1. Asset Only 217
6.2. Liability Relative 222
6.3. Goals Based 225
7.1. Passive/Active Management of Asset Class Weights 230
7.2. Passive/Active Management of Allocations to Asset Classes 231
7.3. Risk Budgeting Perspectives in Asset Allocation and Implementation 235
8.1. A Framework for Rebalancing 238
8.2. Strategic Considerations in Rebalancing 239
References 242
Practice Problems 244
Chapter 6 Principles of Asset Allocation 247
Introduction 248
Developing Asset-Only Asset Allocations 249
2.1. Mean-Variance Optimization: Overview 249
2.2. Monte Carlo Simulation 262
2.3. Criticisms of Mean-Variance Optimization 265
2.4. Addressing the Criticisms of Mean-Variance Optimization 267
2.5. Allocating to Less Liquid Asset Classes 279
2.6. Risk Budgeting 280
2.7. Factor-Based Asset Allocation 283
3.1. Characterizing the Liabilities 287
3.2. Approaches to Liability-Relative Asset Allocation 290
3.3. Examining the Robustness of Asset Allocation Alternatives 302
3.4. Factor Modeling in Liability-Relative Approaches 304
4.1. The Goals-Based Asset Allocation Process 306
4.2. Describing Client Goals 308
4.3. Constructing Sub-Portfolios 310
4.4. The Overall Portfolio 314
4.5. Revisiting the Module Process in Detail 315
4.6. Periodically Revisiting the Overall Asset Allocation 319
4.7. Issues Related to Goals-Based Asset Allocation 320
5.1. The "120 minus your age" rule 321
5.2. The 60/40 stock/bond heuristic 323
5.3. The endowment model 323
5.4. Risk parity 324
5.5. The 1/N rule 326
Portfolio Rebalancing in Practice 326
Conclusions 331
References 332
Practice Problems 335
Chapter 7 Asset Allocation with Real-World Constraints 345
Introduction 345
Constraints in Asset Allocation 346
2.1. Asset Size 346
2.2. Liquidity 352
2.3. Time Horizon 355
2.4. Regulatory and Other External Constraints 359
3.1. After-Tax Portfolio Optimization 365
3.2. Taxes and Portfolio Rebalancing 369
3.3. Strategies to Reduce Tax Impact 370
Revising the Strategic Asset Allocation 374
Short-Term Shifts in Asset Allo…