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1、.Trading,PerformanceEvaluation,and)ManagerSelection/.CFAn井J条高军人Jcy映ShX向m加悔士乞StudySession1-2StudySession3TopicinCFALevelIIIContentETHICS&PROFESSIONALSTANDARDS(1)&(2)BEHAVIORALFINANCEStudySession4StudySession5StudySession6StudySession78StudySession9-10StudySession11StudySession1213StudySession14StudyS
2、eSSiOn15StudySession1CAPITALMARKETEXPECTATIONSASSETALLOCATIONANDRELATEDDECISIONSINPORTFOLIOMANAGEMENTDERIVATIVESANDCURRENCYMANAGEMENTFIXED-INCOMEPORTFOUOMANAGEMEM(1)&(2)EQUITYPORTFOUOMANAGEMENT&(2)ALTERNATIVEINVESTMEMSFORPORTFOUOMANAGEMENTPRIVATEWEALTHMANAGEMENT&(2)Portfouomanagementforinstitutional
3、investorsTRADING,PERFORMANCEEVALUATION,ANDMANAGERSELECTIONcasesinPortfouomanagementandriskmanagement2-207 Framework专业因断nI1ISS15:Trading,PerformanceEvaluation,andManagerSelectionTrading,PerformanceEvaluation,andManagerSeIectionR34TradeStrategyandExecutionR35PortfolioPerformanceEvaluationR36Investment
4、ManagerSeIectionM亚金斯!SUTradeStrategyandExecution4-207专业国新muFramework1.MotivationstoTrade2.TradingStrategiesandStrategySelectionTradeStrategyInputsReferencePricesTradeStrategies3.TradeExecution(StrategyImplementation)TradeImplementationChoicesAlgorithmicTradingComparisonOfMarkets4.ImplementationShort
5、fall5.EvaIuatingTradeExecution6.TradeGovernance5-207M业Hfjmn1.MotivationstoTradePortfoliomanagersneedtotradeIheirportfolioholdingstoensurealnmentwiththefund,sunderlyinginvestmentstrategyandobjectives.ProfitseekingRiskmanagement/hedgingneedsCashflowneedsCorporateactionsindereconstitutions/margincalls1
6、.1ProfitseekingProfitseekingTheprimaryaddedvaluethatmostactivemanagersseektoprovideisriskadiustedOUtDerformarKerelativetotheirbenchmark.Tradeurgency&alphadecayTradeurgencyreferstohowquickly(aggressively)orslowly(patiently)theorderisexecutedoverthetradingtimehorizon.AlphadecayreferstotheerosionOrdete
7、riorationinshort-termalphaonceaninvestmentdecisionismade.ManagersfolIowingashort-termalpha-drivenstrategywilltradewithgreaterurgencytoreaIizeaIphabeforeitdissipates(decays).Managersfollowingalonger-termstrategywilltradewithlessurgencyifalphadecayisexpectedtobeslower.VaIuemanager(long-termprofitseeki
8、ng)727坊业&新moi1.2Riskmanagement/hedgingneedsRiskmanagement/hedgingneedsAsthemarketandtheriskenvironmentchange,portfoliosneedtobetradedorrebalancedtoremainattargetedrisklevelsorriskexposures.Durationmatch,Betamanagement.PortfoliomanagersmayalsotradetohedgeriskswhentheydoNOThaveaninvestmentviewonthespe
9、cificriskinquestion.Currencyhedging,CDSs,optionstrategies.M业色断n111.3CashflowneedsCashflowneedsThistypeoftradingisoftenclientdriven,arisingfromfundinflows(orders,mandates)andoutflows(redemptions,liquidations).CashflowneedsmayinvolvehighorIowtradeurgencyhightradeurgency:collateral/margincallslowtradeu
10、rgency:longer-termclientasseta!locationchangesTominimizeCaShdrdRonaDortfoliO,fundinflowsmaybeequitizedusingfuturesorETFsuntilthenextportfoliorebalanceorpositionsintheunderlyingcanbetraded.EquitizationreferstoastrategyoftemporariIyinvestingcashusingfuturesorETFstogainthedesiredRQlIitVRXPoSUrebeforein
11、vestingintheunderlyingsecuritieslongerterm.EquitizationmayberequiredIflargeinflowsintoaportfolioarehinderedbvlackOfliQUiditVintheunderlyingsecurities.1.4OthersCorporateactions/indexreconstitutions/margincallsTradingmaybeIiquiditydrivenresultingfromclientactivityoridereconstitutions.Tradingmayalsoben
12、ecessitatedbysuchactivityasCorDOQteactionsandODeQtiOnalneeds.Dividend/couponreinvestment,distributions,margincalIszandexpirationOfderivativecontractsForindextrackingportfolios,suchindexchan&esasadditions,deletions,andConStitUentWeiRhtChangeSaregenerallytradedinthemanagersportfoliotoreflectbenchmarke
13、xposure.MarginOrcollateralcallsmavdrivehimhlevelsoftradeUrRenCTgivenaneedfortheimmediatesaleofportfolioholdings.Inthesecases,managerstypicalIytradeusingend-of-dayclosingpricesbecausethesepricesareusedforfundandbenchmarkvaluation.17与业.efi.18102.TradingStrategiesandStrategySeIectionTradeStrategyInputs
14、OrderCharacteristicsSecurityCharacteristicsMaFketConditionsUser-BasedConsiderations:TradingCostRiskAversionMarketImpactandExecutionRiskReferencePricesPre-TradeBenchmarksIntradayBenchmarksPost-TradeBenchmarksPriceTargetBenchmarksTradeStrategiesShort-TermAlphaTradeLong-TermAlphaTradeRiskRebaIanceTrade
15、ClientRedemptionTradeNewMandateTrade11-207M业&断HBfI2.1TradeStrategyInputsOrderCharacteristicsSide:thesideortradedirectionoftheorderforexample,buyorsell.Ifpricesarerising,executingabuyordermaytakelongerthanexecutingasellorder,giventhepresenceofmorebuyers(Iiquiditydemanders)thansellers(Iiquiditysupplie
16、rslinthemarketTradingaIistthatconsistsofonlybuysOronlysellswillhavegreatermarketriskexposurethanalistofbuysandsellsinwhichthesecuritieshaveoffsettingmarketriskexposures.Size:thetotalamountorqUantityofthesecuritybeingtransacted.Relativesize(%OfADVJzordersizeasapercentageofthesecurit/saveragedailvvolu
17、me(ADV).2.1TradeStrategyInputsSecurityCharacteristicsSecuritytype:thetypeofsecuritybeingtraded(underlying,ETF,Americandepositaryreceipt,globaldepositaryreceipt).Short-termalpha：(tradingalphaOrtradealpha)mayarisefromanappreciation,adepreciation,orareversion(i.e.,reversal)insecurityprice.Highratesofal
18、phadecay,oraIphaloss,requirefaster,ormoreaccelerated,tradingtorealizealphabeforeitistradedonbyothermarketparticipants.PriceVolatilityitheannualizedpriceVolatilityofthesecurity.ThepriceVolatilityofasecurityprimarilyaffectstheexecutionriskofthetrade.EXeCUtiOnriskistheriskOfanadverseDriCeFnoVenIentQCCU
19、rrinEOVerthetradinghorizonOWinatoachangeinthefundamentalvalueoftheSecurityorbecauseoftrading-inducedvolatility.SecuritieswithhigherIeVeISOfprirevoIatiIZhave-reaterexpowretoexecutionriskthansecuritieswithlowerpricevolatility.SecurityIiquidityztheliquidityprofileofthesecurity(e.g.fADV,bid-askspread；av
20、eragetradesize).Allelsebeingequal,greaterliquidityreducesexecutionriskandtradingcosts,suchasmarketimpact27与业.QMfi10.2.1TradeStrategyInputsMarketConditions1.iquiditycrises:deviationsfromexpectedIiuidilvDatternSduetoperiodsofcrisis.Duringmarketeventsorcrises,thevolatilityandliquidityofthemarketandtheS
21、ecuritywillbecriticItoconsiderasConditiOnSresultinsuddenandsignificantdeviationsfromnormaltradepattems.Duringnormalmarketenvironment,someCompanieswillreachmarketvalue4whichmayresultinthembeinaddedorremovedfromthewidelyUSedStoCkindex.WhenthishappenszliquidityintheirstockstendstoimproveOrdeteriorateas
22、theirstocksbecomebroaderornarrower.MarketvolatilityandIiquidityaredynamic.Theyarealsogenerallynegativelyrelated,whichbecomesapparentespeciallyduringperiodsofcrisis,whenvolatilityincreasesandIiquiclitydecreases.14-207M业.0H.an2.1TradeStrategyInputsUser-BasedConsiderations:TradingCostRiskAversionAportf
23、oliomanagerortraderwithahighlevelofriskaversionisIikelytobemoreconcernedaboutmarketrisktendtotradewithgreatertradeurgencytoavoidthegreatermarketexposureassociatedwithXradingmorepatiently.2.1TradeStrategyInputsMarketImpactandExecutionRiskMarketimpactistheadversepriceimpactinasecuritycausedfromtrading
24、anorderandcanrepresentoneoftheIarReStCoStSintrading.TominimizeinformationIeaka*portfoliomanagersmayattempttohidetheirtradingactivitybyexecutingordersacrossdifferentvenuesandusingamixofordertypes,suchasmarketandlimitorders.Executionriskistheadversepriceimpactresultingfromachangeinthefundamentalvalueo
25、ftheSecurityandisoftenDrQXiedbvoricevolatility.Trader,sdilemma.Tradingtoofastresultsintoomuchmarketimpact,buttradingtooslowresultsintoomuchmarketrisk.Thegoalinselectingatradingstrategyistochoosethebestprice-timetrade-offgivencurrentmarketconditionsandtheuniquecharacteristicsoftheorder.1627与业.QMfi102
26、.2ReferencePricesReferenceprices,aIsoreferredtoaspricebenchmarks,areusedindeterminingtradepricesforexecutionStrategyandincalculatingactualtradecostsforposttradeevaluationpurposes.CategoriesofreferencepricesPre-tradebenchmarksIntradaybenchmarksPost-tradebenchmarksPricetargetbenchmarksM业色断n112.2Refere
27、ncePricesPre-tradebenchmarks,wherethereferencepriceforthebenchmarkisknownbeforetradingbegins.DecisionpriceQuantitativeportfoliomanagerswilloftenhaverecordsoftheirdecisionpricebecausethesepricesmaybeinputsintotheirquantitativemodels.PreviouscloseApreviousclosebenchmarkIsoftenspecifiedbyquantitativepo
28、rtfoliomanagersWhoincorporatethepreviouscloseinaquantitativemodel,portfoliooptimizer,Orscreeninwmodel.Thepreviouscloseisoftenusedasaproxyforthedecisionpricebyquantitativeportfoliomanagers.2.2ReferencePricesPre-tradebenchmarks,wherethereferencepriceforthebenchmarkisknownbeforetradingbegins.Openingpri
29、ceThisbenchmarkpriceismostoftenspecifiedbyportfoliomanagerswhobegintradingatthemarketopenandwishtominimizetradingcosts.TheopeningPriceisoftenusedasaProxyforthedecisionpricebyfundamentalportfoliomanagerswhoareinvestinginaSecurityforlong-termalphaorgrowthpotential.Theopeningpricedoesnothaveassociatedo
30、vemightrisk,ortheriskthatpriceswilladjustatmarketopentoincorporateinformationreleasedaftertheClOSaofthePreViolJSbusinessdav.Ifthetradeistobeexecutedintheopeningauction,thenUSingtheopeningpriceasareferencebenchmarkisnotappropriatebecausethetradeitselfcaninfluencethereferencebenchmark.-207M业QMfi102.2R
31、eferencePricesPre-tradebenchmarks,wherethereferencepriceforthebenchmarkisknownbeforetradingbegins.Arrivalprice.ThearrivalpriceisthepriceoftheSecurityatthetimetheorderisenteredintothemarketforexecution.Inthesecases,theportfoliomanagersgoalistotransactatorclosetocurrentmarketprices.Portfoliomanagerswh
32、oarebUyingorsellingonthebasisofalphaexpectationsoracurrentmarketmispricingwilloftenspecifyanarrivalpricebenchmarkIgreatertradeurgency).PortfoliomanagersIoOkinatOminimizetradinecostwillalsousearrivalpriceasbenchmark.2g7M业&断HBfl.2.2ReferencePricesIntradaybenchmarks,wherethereferencepriceforthebenchmar
33、kiscomputedonthebasisofmarketpricesthatOCClJrdIJrinRthetradingperiod.Managerswithoutviewsonshort-termpricemovementswhowishtoparticipateinVolumesovertheexecutionhorizontypicallyuseanintradaybenchmark,suchasVWAPorlWAP.2.2ReferencePricesVolume-weightedaverageprice(VWAP)TheVWAPbenchmarkpriceisthevolume-
34、weightedaverageDriCeOfalltradesexecutedOVerthedavorthetadin又horizon.PortfoliomanagersmayspecifytheVWAPbenchmarkwhentheywishtoparticipateWithvolumepatternsovertheda.PortfoIiomanagerswhoarerebalancingtheirportfoliosoverthedayandhavebothbuyandsellordersmayselecttheVWAPasapricebenchmark.Portfoliomanager
35、swhoarerebalancingandusingcashfromsellorderstopurchasebuyordersWillalsooftenselectanintradaybenchmark,suchasVWAP.DoingsoallowstheportfoliomanagerstostructuretheirexecutionsovertimetoensurecashreceivedfromsellordersisSufficienttofundremainingbuyorders,Doingsoallowstheportfoliomanagerstostructuretheir
36、executionsovertimetoensureCaShreceivedfromSellOrderSisSuffiCienttofundremainingbuvorders.2227坊业.&新.tt1B2.2ReferencePricesIntradaybenchmarkTime-weightedaverageprice(TWAP)Anequal-weightedaveragepriceofalltradesexecutedovertheday.PortfoliomanagersmaychooseTWAPwhentheywishtoexcludepotentialtradeoutliers
37、.TradeoutliersmaybecausedbytradingalargebuyOrderatthedaUsIoWoraIareeSelIe)rderatthedayshieh.IfITiarketpartidpantsarenotabletofullyparticipateinthesetrades,thenTWAPmaybeamoreappropriatechoice.TheTWAPbenchmarkisusedbyportfoliomanagersandtraderstoevaluatefairandreasonabletradingpricesinmarketenvironmen
38、tswithhighvolumeuncertaintyandforsecuritiesthataresubjecttospikesintradingvolumethroughouttheday.7M业&好11Bf.2.2ReferencePricesPost-tradebenchmarks,wherethereferencepriceforthebenchmarkisestablishedaftertradingisCOmDleted.Closingprice.PortfoliomanagersforfundsValuedattheclosingpriceonthedayorwhowishto
39、minimizeIrackingerrortoanUnderlyingbenchmarkprice,suchasindexfundszoftenselectapost-tradereferenceprice,suchastheofficialdosingprice.Advantage:Fninimizespotentialtraclangerror.Disadvantage:notknownuntilaftertradingiscompleted.2.2ReferencePricesPricetargetbenchmarks,wherethereferencepriceforthebenchm
40、arkisspecifiedasapricetomeetorbeat(transactmorefavorably).Portfoliomanagersseekingshort-termalphamayselectanalternativebenchmarkknownasapricetargetbenchmark.25-207Inthiscase,aportfoliomanagerwouldIiketotransactinasecuritybelievedtobeundervaluedOrovervalued-atamorefavorableprice.M业回新it值2.3TradeStrate
41、giesTheprimarygoalOfatradingstrategyistobalancetheexpectedcosts,risks,andalphaassociatedwithtradingtheorderinamannerconsistentwiththeportfoliomanagerstradingobjectives,riskaversion,andotherknownconstraints.TradingStrategiesinvolvingequities,fixedincome,currency,andderivativesareexplainedasfollows:Sh
42、ort-termalpha：short-termalpha-drivenequitytrade(hightradeurgency).1.ong-termalpha:Iong-termalpha-drivenfixed-incometrade(Iowtradeurgency).Riskrebalance:buy/sellbaskettradetorebalanceafund,sriskexposure.Cashflowdriven:clientredemptiontradetoraiseproceeds.26-207NewMandateTrade:CaSheqUitjZatjon(derivat
43、ives)tradetoinvestanewclientmandate.M业色断n113.TradeExecution(StrategyImplementation)TradeImplementationChoicesAIgorithmicTradingExecutionAlgorithmClassificationsScheduled(POVzVWAPfTWAP)LiquidityseekingArrivaIpriceDarkstrategies/liquidityaggregatorsSmartorderroutersComparisonofMarketsEquitiesFixedlnco
44、meExchange-TradedDerivativesOver-the-CounterDerivativesSpotForeignExchange(Currency)3.1TradeImplementationChoicesAvarietyofimplementationchoicesareavailablebasedonthespecificorder,market,andtradestrategyinvolved.Thehigher-touchapproachesinvolvegreaterdegreesofhumaninteractionforordercompletion.Inpri
45、ncipaltrades,the-XecutinRbrokKrassumesaIIorDartoftheriskrelatedtotradingtheorder,PriCin-itintoherCiuotedspread.Inagencytrades,thebrokerisengagedtofindtheothersideofthetradebutactsasanagentOnkandriSkfortradingtheorderremainswiththebuy-sideportfoliomanagerortrader.Tradinginlargeblocksofsecuritiesrequi
46、resahigher-touchapproach.Avanationofquote-drivenmarketsoftenusedtotradeIeSSliQUidSecuritiesisarequestforquote(RFQ).2827与皿.QMfi.1B3.1TradeImplementationChoicesForstraightforwardtradesinliquidsecurities,Iow-touchautomatedexecutionStrategiesareoftenpreferred.AltemabVetradi11RSvrtcmS(ATS)mtffurrdiccjes(
47、MTF)Non-echangeIradingvenuesthatbringtogetherbuyersandsellerstofindtransactioncounterparties.DireCtmarketaccess(DMA)givesallmarketparticipantsawaytointeractdirectlywiththeorderbkofanexchange,Usuallythroughabrokersexchangeconnectivity.29-207Darkpools.M业色断nn3.2AlgorithmicTradingAlgorithmictradingisthecomputerizedexecutionoftheinvestmentdecisionfollowingsspeciedsetOftradinginstructions.Tradingalgorithms
