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1、.sesjj(Case:RobertHardingRobertHardingisaportfoliomanageratVaIIeyRisezahedgefundbasedintheUnitedStates.HardingmonitorstheportfolioalongsideAndreaYellow,ajunioranalyst.VaIIeyRiseonlyinvestsinequities,butHardingisconsideringotherassetclassestoaddtotheportfolio,namelyderivatives,fixedincome；andcurrenci
2、es.HardingandYellowmeettodiscusstheirtradingstrategiesandpricebenchmarks.HardingbeginsthemeetingbyaskingYellowaboutfactorsthataffecttheselectionofanappropriatetradingstrategy.YellowtellsHarding:HStatement1Tradingwithgreaterurgencyresultsinlowerexecutionrisk.Statement2Tradinglargersizeorderswithhighe
3、rtradeurgencyreducesmarketimpact.Statement3Securitieswithhighratesofalphadecayrequirelessaggressivetradingtorealizealpha.AfterfurtherdiscussionaboutYellow,sstatements,HardingprovidesYellowalistoftradesthathewantstoexecute.HeasksYellowtorecommendapricebenchmark.Hardingwantstouseabenchmarkwheretherefe
4、rencepriceforthebenchmarkiscomputedbasedonmarketpricesthatoccurduringthetradingperiod,excludingtradeoutliers.Case:RobertHardingEarlierthatdaybeforethemeeting,Yellowbelievedthatthemarkethadunderreactedduringthepre-markettradingsessiontoastrongearningsannouncementfromABCCorp.,acompanythatYellowandHard
5、inghavebeenthoroughlyresearchingforseveralmonths.Theirresearchsuggestedthestock*sfairvaluewas$90pershare,andthestrongearningsannouncementreinforcedtheirbeliefintheirfairvalueestimate.Case:RobertHarding因Rightaftertheearningsannouncementthepre-marketpriceofABCwas$75.Concernedthattheunderreactionwouldb
6、eshort-lived,HardingdirectedYellowtobuy30,000sharesofABCstock.YellowandHardingdiscussedatradingstrategy,knowingthatABCsharesareveryliquidandtheorderwouldrepresentonlyabout1%oftheexpecteddailyvolume.Theyagreedontradingaportionoftheorderattheopeningauctionandthenfillingtheremainderoftheorderaftertheop
7、eningauction.Thestrategyforfillingtheremainingportionoftheorderwastoexecutetradesatpricesclosetothemarketpriceatthetimetheorderwasreceived.HHardingandYellowthenshifttheirconversationtoXYZCorp.HardingtellsYellowthat,afterextensiveresearch,hewouldliketoutilizeanalgorithmtopurchasesomesharesthatarerela
8、tivelyliquid.WhenbuildingtheportfoliospositioninXYZ,Harding,spriorityistominimizethetrade,smarketimpacttoavoidconveyinginformationtomarketparticipants.Additionally,Hardingdoesnotexpectadversepricemovementsduringthetradehorizon.Case:RobertHardingHardingandYellowconcludetheirmeetingbycomparingtradeimp
9、lementationforequitieswiththetradeimplementationforthenewfixed-income,exchange-tradedderivatives,andcurrencyinvestmentsunderconsideration.YellowtellsHarding:Statement4Smallcurrencytradesandsmallexchange-tradedderivativestradesaretypicallyimplementedusingthedirectmarketaccess(DMA)approach.Statement5T
10、hehigh-touchagencyapproachistypicallyusedtoexecutelarge,non-urgenttradesinfixed-incomeandexchange-tradedderivativesmarkets.Case:RobertHarding因Thenextday,HardinginstructsYellowtorevisittheirresearchonBYYP,Inc.Yellowsresearchleadshertobelievethatitssharesareundervalued.ShesharesherresearchwithHarding,
11、andat10a.m.heinstructshertobuy120,000shareswhenthepriceis$40.00usingalimitorderof$42.00.Thebuy-sidetraderreleasestheorderformarketexecutionwhenthepriceis$40.50.Theonlyfeeisacommissionof$0.02pershare.Bytheendofthetradingday,90,000sharesoftheorderhadbeenpurchased,andBYYPclosesat$42.50.Thetradewasexecu
12、tedatanaveragepriceof$41.42.DetailsabouttheexecutedtradesarepresentedinExhibit1.HExhibit 1 BYYP Trade Execution DetailsCase:RobertHardingWhilethebuy-sidetraderexecutestheBYYPtrade,HardingandYellowreviewVaIIeyRiserStradepolicydocument.Afterreviewingthedocument,Yellowrecommendsseveralchanges:1)addapol
13、icyforthetreatmentoftradeerrors;2)addapolicythatensuresover-the-counterderivativesaretradedonvenueswithrulesthatensureminimumpricetransparency;and3)alterthelistofeligiblebrokerstoincludeonlythosethatprovideexecutionatthelowestpossibletradingcost.Case:RobertHardingWhichofYellow*sstatementsregardingth
14、efactorsaffectingtheselectionofatradingstrategyiscorrect?HGreatertradeurgencyresultsinlowerexecutionriskbecausetheorderisexecutedoverashorterperiodoftime,whichdecreasesthetimethetradeisexposedtopricevolatilityandchangingmarketconditions.Incontrastlowertradeurgencyresultsinhigherexecutionriskbecauset
15、heorderisexecutedoveralongerperiodoftime,whichincreasesthetimethetradeisexposedtopricevolatilityandchangingmarketconditions.Case:RobertHardingGiventheparametersforthebenchmarkgivenbyHarding,Yellowshouldrecommendabenchmarkthatisbasedonthe:A.arrivalprice.B.time-weightedaverageprice.C.volume-weightedav
16、erageprice.Case:RobertHardingSolution:B.HardingaskedYellowtoexecutealistoftrades,andhewantstouseapricebenchmarkwherethereferencepriceforthebenchmarkiscomputedbasedonmarketpricesthatoccurduringthetradingperiod,excludingtradeoutliers.Portfoliomanagersoftenspecifyanintradaybenchmarkforfundsthataretradi
17、ngpassivelyovertheday,seekingliquidity,andforfundsthatmayberebalancing,executingabuy/selltradeIist1andminimizingrisk.Anintradaypricebenchmarkisbasedonapricethatoccursduringthetradingperiod.Themostcommonintradaybenchmarksusedintradingarevolume-weightedaverageprice(VWAP)andtime-weightedaverageprice(TW
18、AP).PortfoliomanagerschooseTWAPwhentheywishtoexcludepotentialtradeoutliers.三B.aTWAPparticipationstrategy.C.aVWAPparticipationstrategy.Case:RobertHardingSolution:A.Giventhetradeurgencyoftheorder,theveryliquidmarketforABCshares,andthesmallordersizerelativetoABC,sexpectedvolume,Yellowisusinganarrivalpr
19、icetradingstrategythatwouldattempttoexecutetheremainingsharesclosetomarketpricesatthetimetheorderisreceived,cfafrmcpacmavideo,weiin:804283381Case:RobertHardingWhattypeofalgorithmshouldbeusedtopurchasetheXYZsharesgivenHarding*spriorityinbuildingtheXYZpositionandhisbeliefaboutpotentialpricemovements?A
20、.ScheduledalgorithmB.ArrivalpricealgorithmC.OpportunisticalgorithmHSolution:A.XYZsharesarerelativelyliquid,andHardinghasprioritizedminimizingthetradesmarketimpacttoavoidconveyinginformationtomarketparticipants.Hardingalsodoesnotexpectadversepricemovementsduringthetradehorizon.Scheduledalgorithmsarea
21、ppropriateforordersinwhichportfoliomanagersortradersdonothaveexpectationsforadversepricemovementduringthetradehorizon.ThesealgorithmsarealsousedbyportfoliomanagersandtraderswhohavegreaterrisktoleranceforlongerexecutiontimeperiodsandaremoreconcernedwithminimizingmarketimpactScheduledalgorithmsareofte
22、nappropriatewhentheordersizeisrelativelysmall(e.g.,nomorethan5%-10%ofexpectedvolume),thesecurityisrelativelyliquid,ortheordersarepartofarisk-balancedbasketandtradingallordersatasimilarpacewillmaintaintheriskbalance.Case:RobertHardingWhichofYellow,sstatementsregardingthetradeimplementationofnon-equit
23、yinvestmentsiscorrect?A.OnlyStatement4B.OnlyStatement5C.BothStatement4andStatement5Case:RobertHardingSolution:A.Smallcurrencytradesareusuallyimplementedusingdirectmarketaccess(DMA).Buy-sidetradersgenerallyuseDMAforexchange-tradedderivatives,particularlyforsmallertrades.HBasedonExhibit1ztheexecutionc
24、ostforpurchasingthe90,000sharesCase:RobertHardingSolution:C.Executioncostiscalculatedasthedifferencebetweenthecostoftherealportfolioandthepaperportfolio.Itreflectstheexecutionprice(s)paidforthenumberofsharesintheorderthatwereactuallyfilledorexecuted.Theexecutioncostiscalculatedas:Executioncost=SjPj-
25、SjPd=(10,000shares40.75)+(30,000shares41.25)(20,000shares41.50)+(30l000shares41.75)-(90,00040.00)=3,727,500一3,600,000=127,500Case:RobertHardingBasedonExhibit1,theopportunitycostforpurchasingthe90,000sharesofBYYPis:HOpportunitycostisbasedonthenumberofsharesleftunexecutedintheorderandreflectsthecostof
26、notbeingabletoexecuteallsharesatthedecisionprice.Theopportunitycostiscalculatedas:nCase:RobertHardingThearrivalcostforpurchasingthe90,000sharesofBYYPis:Case:RobertHardingSolution:B.Thearrivalcostiscalculatedas:ArrivalcostQ=Side4x 10 bp = 227.2 bp($41.42一$40.50)=+1X$40.50HAsitrelatestothetradepolicyd
27、ocument,VaIIeyRiseshouldimplementA.thelistofeligiblebrokers.Case:RobertHardingSolution:B.Firmsshouldhaveapolicyinplaceforthetreatmentoftradeerrors.Errorsfromtradingandanyresultinggains/lossesneedtobedisclosedtoafirmscompliancedepartmentanddocumentedinatradeerrorlog.Thetradeerrorlogshouldincludeanyre
28、lateddocumentationandevidencethattradeerrorsareresolvedinawaythatavoidsadverseimpacttotheclient.Reading35PortfolioPerformanceEvaluation.HAlexandraJones,asenioradviseratFederalistInvestors(Fl),meetswithErinBragg,ajunioranalyst.BraggjustcompletedamonthlyperformanceevaluationforanFlfixed-incomemanager.
29、Bragg,sreportaddressesthethreeprimarycomponentsofperformanceevaluation:measurementattribution,andappraisal.JonesasksBraggtodescribeaneffectiveattributionprocess.Braggrespondsasfollows:Response1:Performanceattributiondrawsconclusionsregardingthequalityofaportfoliomanagersinvestmentdecisions.Response2
30、:Performanceattributionshouldhelpexplainhowperformancewasachievedbybreakingapartthereturnorriskintodifferentexplanatorycomponents.Case:AlexandraJonesBraggnotesthatthefixed-incomeportfoliomanagerhasstrongviewsabouttheeffectsofmacroeconomicfactorsoncreditmarketsandfollowsatop-downinvestmentprocess.Jon
31、esreviewsthemonthlyperformanceattributionandasksBraggwhetheranyrisk-adjustedhistoricalperformanceindicatorsareavailable.Braggproducesthefollowingdata:Exhibit 1 IO-YearTraiIing Risk-Adjusted PerformanceAverage annual returnMinimum acceptable return (MAR)Sharpe ratioSortino ratio0.87Upside capture0.66
32、Case:AlexandraJonesA.OnlyResponse1B.OnlyResponse2Case:AlexandraJonesSolution:B.Performanceattributionhelpsexplainhowperformancewasachieved;itbreaksapartthereturnorriskintodifferentexplanatorycomponents.Effectiveperformanceattributionmustaccountforalloftheportfoliosreturnorriskexposure,reflecttheinve
33、stmentdecision-makingprocess,quantifytheactivedecisionsoftheportfoliomanager,andprovideacompleteunderstandingoftheexcessreturn/riskoftheportfolio.Case:AlexandraJonesThemostappropriateriskattributionapproachforthefixed-incomemanageristo：cfafrmcpacmavideo,weixin:804283381A.decomposehistoricalreturnsin
34、toatop-downfactorframework.B.evaluatethemarginalcontributiontototalriskforeachposition.C.attributetrackingrisktorelativeallocationandselectiondecisions.HTheportfolioismanagedagainstabenchmark,whichindicatesarelative-risktypeofriskattributionanalysis.Foratop-downinvestmentapproach,theanalysisshouldat
35、tributetrackingrisktoallocationandselectiondecisionsrelativetothebenchmark.Case:AlexandraJonesBasedonExhibit1,thetargetsemideviationfortheportfolioisclosestto:Case:AlexandraJonesSolution:B.Thetargetsemi-standarddeviationortargetsemideviationisthedenominatoroftheSortinoratio.ThenumeratoroftheSortinor
36、atioistheaverageportfolioreturnminusthetargetrateofreturn(minimumacceptablereturn,orMAR).TargetsemideviationSubstitutingthevaluesprovidedinExhibit3,thetargetsemideviationisasfollows:18.20%-5.00%Targetsemideviation=3.678%=3.68%B.positiveasymmetryofreturns.C.thattheportfoliogenerateshigherreturnsthant
37、hebenchmarkduringallmarketconditions.Case:AlexandraJonesSolution:B.Theupside/downsidecapture,orsimplythecaptureratio(CR),istheupsidecaptureratiodividedbythedownsidecaptureratio.(Upsidecapture)(Downsidecapture)=0.66/0.50=1.32.Acaptureratiogreaterthan1indicatespositiveasymmetryofreturns,oraconvexretur
38、nprofile.Case:AlexandraJonesThemaximumdrawdownanddrawdowndurationinExhibit1indicatethat:A.theportfoliorecoveredquicklyfromitsmaximumloss.B.overthe10-yearperiod,theaveragemaximumlosswas-24.00%.HMaximumdrawdownisthecumulativepeak-to-troghlossduringacontinuousperiod.Drawdowndurationisthetotaltimefromth
39、estartofthedrawdownuntilthecumulativedrawdownrecoverstozero,whichcanbesegmentedintothedrawdownphase(starttotrough)andtherecoveryphase(troughtozerocumulativereturn).Themaximumdrawdownwas-24.00%zwithadrawdownperiodoffourmonths.Giventhe10-yeartimeframe,theportfoliorecoveredquicklyfromitsmaximumloss.Cas
40、e:StephanieTolmachStephanieTolmachisaconsultanthiredtocreateaperformanceattributionreportonthreefundsheldbyadefinedbenefitpensionplan(thePlan).Fund1isadomesticequitystrategy,Fund2isaglobalequitystrategy,andFund3isadomesticfixed-incomestrategy.Tolmachusesthreeapproachestoattributionanalysis:thereturn
41、-based,holdings-based,andtransaction-basedapproaches.ThePlansinvestmentcommitteeasksTolmachto(1)applytheattributionmethodthatusesonlyeachfund,stotalportfolioreturnsoverthelast12monthstoidentifyreturn-generatingcomponentsoftheinvestmentprocessand(2)includetheimpactofspecificactiveinvestmentdecisionsa
42、ndtheattributioneffectsofallocationandsecurityselectioninthereport.Case:StephanieTolmachTolmachfirstevaluatestheperformanceofFund1byconstructingaFactorSensitivityContributiontoActiveReturnFactor*PortfolioBenchmark2)DifferenceFactorReturnAbsoluteh5.06%029%2.02%-0.41%A.FactorTiltReturn:6.96%B.Security
43、Selection:-10.95%C.ActiveReturn(A+B):-399%*RMRFisthereturnonavalue-weightedequityindexinexcessoftheone-monthT-billrate,SMBisthesmallminusbigmarketcapitalizationfactor,HMListhehighminuslowfactor,andWMListhewinnersminuslosersfactor.HTolmachturnsherattentiontoFund2tconstructingaregion-basedmicroattribu
44、tionanalysistoevaluatetheactivedecisionsoftheportfoliomanager.TheresultsarepresentedinExhibit2.Exhibit2Fund2PerformanceAllocationbyRegionPortfolioBenchmarkGreaterEurope42.35%23.16%25.43%DevelopedAsiaandAustralasia29.86%31.16%11.33%12.85%SouthAmerica20.38%18.82%20.00%35.26%Total100.00%100.00%18.26%22
45、.67%Case:StephanieTolmachNext,TolmachevaluatesFund3andtheappropriatenessofitsbenchmark.Thebenchmarkisacap-weightedbondindexwithdailyreportedperformance;theindexisrebalancedfrequently,makingitdifficulttoreplicate.Thebenchmarkhasameaningfulinvestmentinforeignbonds,whereasFund3investsonlyindomesticbond
46、s.Inthefinalsectionofthereport,TolmachreviewstheentirePlanscharacteristics,assetallocation,andbenchmark.TolmachobservesthatthePlansbenefitsarenolongerindexedtoinflationandthattheworkforceis,onaverage,youngerthanitwaswhenthecurrentfundallocationswereapproved.TolmachrecommendsachangeinthePIan1Sassetal
47、locationpolicy.Case:StephanieTolmach司OfthethreeattributionapproachesreferencedbyTolmach,themethodrequestedbythecommittee:A.istheleastaccurate.B.usestheunderlyingholdingsoftheactualportfolio.C.isthemostdifficultandtimeconsumingtoimplement.HThecommitteedescribedareturn-basedattribution,whichistheleastaccurateofthethreeapproaches(thereturn-based,holdings-basedztransaction-basedapproaches).Return-basedattributionusesonlythetotalportfolioreturnsoveraperiodtoidentifythecomponentsoftheinvestmentprocessthathave
