CFA-32

CFA3()():==A==ppppppURAURσσ∧∧=ØØl:==,MAR(minimumacceptablerate=PMindPMindRRSFRRσσ∧∧-=l()2ii1semi-VARxx,xxN=-∑l()2ii1targetsemi-VARtx,xt(targetreturn)N=-∑ØØØØØCFA3⎛⎞⎜⎟⎜⎟⎜⎟⎜⎟⎜⎟⎜⎟⎝⎠0.2239120.1742990.04807940.04788860.1566980.1742990.46330.02814440.01673950.1817540.04807940.02814440.04920630.05945750.02965890.04788860.01673950.05945750.07892060.02651610.1566980.1817540.02965890.02651610.313444⎛⎞⎜⎟⎜⎟⎜⎟⎜⎟⎜⎟⎜⎟⎝⎠1J.D.JobsonandBobKorkie,1981.“PuttingMarkowitzTheorytoWork.”JournalofPortfolioManagement7(4):70-74.CFA3ØCFA3)4.01%)(21%)(5.81(Rrequired=-+++=ØCFA3⎛⎞⎜⎟⎜⎟⎜⎟⎜⎟⎜⎟⎜⎟⎝⎠0.1791810.1635620.07137140.10285710.147⎛⎞⎜⎟⎜⎟⎜⎟⎜⎟⎜⎟⎜⎟⎝⎠0.1691810.1735620.09137140.08285710.137⎛⎞⎜⎟⎜⎟⎜⎟⎜⎟⎜⎟⎜⎟⎝⎠0.2091810.1335620.09137140.08285710.156⎛⎞⎜⎟⎜⎟⎜⎟⎜⎟⎜⎟⎜⎟⎝⎠0.2001810.1535600.07137140.08175710.137⎛⎞⎜⎟⎜⎟⎜⎟⎜⎟⎜⎟⎜⎟⎝⎠0.1692010.1636250.08347140.08285770.153⎛⎞⎜⎟⎜⎟⎜⎟⎜⎟⎜⎟⎜⎟⎝⎠2RichardMichaud,1998.EfficientAssetManagement.OxfordUniversityPress,1991.OriginallypublishedbyHarvardBusinessSchoolPress.3U.S.Patent#6,003,018,December1999.CFA3()1,0.778429,0.214725,0.213873,0.699819()0.169181,0.142774,0.0755911,0.0754895,0.133405()PERpσCFA3://kentgiant.blog.hexun.com61TacticalassetallocationTAAshort-termdeviationsfromallocationinanattempttocapitalizeoncapitalmarketdisequilibria/mis-pricing)ItcanbeaccomplishedbytradingassetsormorecommonlythroughaderivativeoverlayItcanbeperformedbyinternalpersonnelorbyoutsidefirmsthatspecializeinTAAReading27LinkingPensionLiabilitiestoAssetsassetonlyvs.liabilityrelativeapproachesP333LifeInsurance123SpreadManagementP&CInsurance456CommercialBank789CFA3*InactiveaccruedMarketTermstructureNominalbonds*ActiveaccruedMarketTermstructureNominalbonds*ActivefuturewagegrowthMarketMarketMarketTermstructureInflationEconomicgrowthNominalbondsRealreturnbondsEquitiesActive-futureservicerenderedMarketSimilartowagegrowthbutmoreuncertainNottypicallyfundedActive-futureparticipantsMarketVeryuncertainNottypicallyfundedLiabilitynoise-demographicsNon-marketPlandemographicsNottypicallyfundedLiabilitynoise-inactiveNon-marketModeluncertainty&longevityriskNoteasilyhedgedormodeledLiabilitynoise-activeNon-markerModeluncertainty&longevityriskNoteasilyhedgedormodeledpensionplansegmentactiveinactiveservicewage/inactive—accruedtermstructure1.Ø60-70%usuallycomposedof60%-70%equitieswiththerestinshortandmediumdurationnominalbonds2.Øaliability-mimickingportfolioconsistingofnominalbonds,realreturnbondsandstocksfutureobligationsaccrued,inflation-indexingofthebenefitstheplanstatusØliability-relativeapproachderivativescanbeusedtohedgethemarket-relatedexposureofthepensionØTermstructureriskCFA3d,ffdfdpd,fffddffddp¦Ñ¦Ò¦Òww¦Ò¦Ñ¦Òw¦Òw¦Òw¦Òw¦Ò////22222++=s)(rsrsssvvvsssvvvsvsvsvvvvr$$$$×++=-×-+-+-=-=-=001001001001000011001¦Ò¦Òbutioniskcontricurrencyr(r,s)(r,s)(s)(r)s)(r)(rf$-=+≤≤++=+=sf,then,1covifcov2varvarvarvarσσσCFA3ØØØØØCFA3ØØØCFA3://kentgiant.blog.hexun.com68bondindexØMarketvalueriskup-wardslopingup-wardslopingØIncomeriskincomeØCreditriskØLiabilityframeworkrisk1.2P14CFA3—AcontributioniipDWntoDiduratioonofbondcontributi=Example:Abondhasamarketvalueof5millionandadurationof4.7,andtheportfoliohasatotalvalueof20million.Calculatethecontributionofthebondtotheoveralldurationoftheportfoliocontributionofthebond=5m/20m4.7=1.175B(DollarDuration)∑==××-=niipDDDDP¦¤yMDDD1Example:Abondhasamarketvalueof5millionandadurationof4.7,andtheportfoliohasatotalvalueof20millionandadurationof6.8.Calculatethecontributionofthebondtothedollardurationoftheportfolio.100=5=20m