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Portfolio/Ethics > I-Overview-3 > Flashcards

I-Overview-3 Flashcards

1
Q

Client type

之比较

A

啊

啊

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2
Q

3 STEPs in

Portfolio Management Process

A
  1. Planning

clients’ objectives, IPS

  1. Execution

Asset allocation, security analysis, construction

  1. Feedback

monitoring % rebalancing, performance evaluation

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3
Q

load/ no-load funds

A

load: 有申购赎回费 purchase/redeem + annual fee 管理费

no-load: 只收管理费

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4
Q

ETF和Index mutual fund之比较

  1. expense/cost
  2. price
  3. dividends
  4. min required investment
  5. tax consideration
A
  1. ETF lower, but have brokerage costs
  2. fund:基金份额价格固定，每日结束赎回

ETF: 价格二级市场全天候交易at prevailing price

  1. ETF分给投资者，fund再投资
  2. ETF low
  3. ETF low, but how low? not clear
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5
Q

9 components

of an IPS

A
  1. introduction
  2. purpose of the IPS
  3. duties and responsibilities
  4. procedures (rebalance)
  5. investment objectives
  6. investment constraints
  7. investment guidelines
  8. evaluation and review
  9. appendices: SAA, rebalancing policy
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6
Q

【IPS】

5 types of constraints

A

liquidity

time horizon

tax concerns

legal and regularity factors

unique circumstances

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7
Q

SAA上游2逻辑

A

investment objectives & constraints

+

long-term capital market expectations

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8
Q

【SAA】

utility curve

  1. 构建
  2. 平移
A
  1. utility= Exp. return - lamba*标准差

lamba：investor risk preference

不同的预期收益率和不同的risk构建一条

2.平移：保持一者不变，另一者变动

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9
Q

【SAA】

efficiency frontier

  1. 构建
  2. 平移
A
  1. 在一个portfolio中不同资产rebalance，产生不同return& risk
  2. reconstitute portfolio，改变不同资产corrrelation, 产生新的risk-return关系
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10
Q

risk management定义

risk management 不是什么2

A
  1. define risk tolerance
  2. measure the current risk taken
  3. adjust the latter to former

not risk reduction/ not higher return

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11
Q

risk management framework

基本内容7

A

risk governance

risk infrastructure

policies/ procedures

risk identification/ measurement

risk monitoring, modification

communications

strategic analysis/ integration

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12
Q

financial risk 3

non-financial risk3

A
  1. credit/market/liquidity
  2. solvency/ settlement/ operational
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13
Q

【risk measures】

delta

gamma

vega

rho

VaR 1m 5% 1day

CVaR

scenario analysis/ stress testing

A
  1. underlying asset 变动引起 derivatives price变动
  2. second order: risk of changes in delta
  3. risk of options to volatility of underlying
  4. risk of derivatives to interest rates
  5. in one day 5% of the time, minimum loss of 1m
  6. 整个左边尾巴，weighted average of all loss outcomes
  7. VaR/CVaR的补充
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14
Q

Risk Modification

4 methods

A
  1. avoidence/ prevention
  2. acceptance: self-insurance/ diversification
  3. risk transfer: insurance
  4. risk shfiting: derivatives hedging
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Portfolio/Ethics (4 decks)

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