CFA三级知识框架
2020-03-17 15:02:31 12 举报AI智能生成
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CFA三级考试知识点框架
作者其他创作
大纲/内容
behavioral finance（SS3）
traditonal investor
risk averse
utility function is concave
self interested utility maximization
utility theory
bayes formula
full rational
ERM
behavioral finance
组合构建方法
saving and consumption：hard to save current spending to fullfill long time goals
frameing
self—control
mental account
BF asset pricing
like CAPM但是加上sentimental premium
behavioral portfolio theory
investor hold asset by empirical and feelings，not diversify by traditional finance
adaptive market hypothesis
基于success heuristic until they didnt work
behavioral biases of individual
congnitive bias可以被教育进行修改
belief preservation bias
conservation bias
people maintain prior view by inadequately incorporating new information
confirmation bias
recognize the information that support their opinion and ignore those don't
representativeness bias
classify new information is classified based on past classification and experience
展现形式
过去是好的，未来任然是好的
好公司就是好的投资品
halo effect
看了短期业绩就作出判断
illusion of control
主要指结果的控制
think they can control the outcome but in fact they can not
hindsight bias
people see past events as having been predictable and reasonable to expect
information provess bias
anchor and adjustment
have an initial anchor in mind and hard to adjust
how to deal with？keep on asking self is that rational？
mental accounting
diffrent parts of portfolio are treated differently based on how it is assigned to
framing
decision are different based on how the information is “framed”
availability
judgement affected on how easily the outcome comes to mind
容易照成portfolio undiversified
how to deal with？use IPS to draw discipline
emotional bias，只能被adapt
emotional bias
loss aversion
feeling more pain on loss than pleasure from equal gain
组合有大量的loss资产
经常realize gain，不realize loss
over confidence
overestimate their knowledge and ability
self control
people persue short term satisfaction instead of long term goal
status quo
satisfied with existing condition and unwilling to make change
endowment
投资产品赋予情感
value asset more when they own it
regret aversion
do nothing out of fear the action may be wrong
behavior finance on investment process
classify investor in behavior type
two-way model
BB&k
adventurer
不听建议自己决定
celebrity
有一定认识，听建议
individualist
听建议，自己决定
guardian
听比自己强的人的建议
straight arrow
居中
pompain
PP
保守，不听建议
emotional
FF
听建议，保守
II
不保守，比较听建议
AA
不听建议，不保守
individual IPS（SS4-SS5）
RRTTLLU
objective
return计算
type 1
CF needs
所有CF都发生在期末
原来portfolio asset都无成本变现成为TIA
CF都需要扣税再进入TIA
除非是TDA账户
total investment asset
inflation rate
maintain
注意结果是After tax还是pre tax
taxable account
除以1-税率
TDA账户
inflation不用调整税
税率用withdraw tax
TEA账户
ATN=PTN
risk描述
ability
asset base的大小
return的大小
目标的重要性eg：用于养老
willingness
看过去投资asset
看他的情绪
看他自己说的
constraints
liquidity needs计算
time horizon描述
long term
multistage
重大支出作为分割
tax描述
legal
unique
TAX
accrual tax
只对赚的部分交税
每年都交
deferred CG tax
只对增值部分交税
注意cost base是否等于1
wealth base tax
针对全部财富增税
r上升，%tax drag下降
accrual equivalent tax/return的计算
tax alpha
tax loss harvesting
HIFO
holding period management
asset allocation
bond放入TDA
estate planning
forced heirship rule法定财产继承权
针对全部财产
community property regime共同财产继承权
只针对婚后财产
wealth transfer
RV大于1还是小于1，用gift给还是用bequest给
cross border
residence
source
以source为主，residence国提供税收优惠
credit method
max（source、residence）
exempt method
只要在source，在residence就不交
deduction method
先交source，剩余部分交residence
trust
好处？
without the potential publicity associated with probate
Protection of the assets within the trust from claims against
Avoids disputes within the family
generation skipping
reducing taxes by transferring assets directly to the third generation (grandchild) from the first generation
concentrated portfolio
reduce risk
gain liquidity
optimal tax efficiency
public stock
sell
monetize
hedge risk
long put option
short forward
synthetic put option
TRS
抵押贷款提升LTV
hedge
long put
成本高？降成本
long OTM put
long put short call（collar）
long put short deep put
exotic put
life insurance
human capital volatility负相关
financial wealth负相关
分类
死亡险
term life
permanent life
whole life
premium fixed，non-cancellable
participate VS non-participate
cash value有无分红
non-forfeiture clause不丧失现金价值
universal life
non-forfeit clause
more flexibility
due to investment account，have investment return
annuty
fix/varable
inflation index也是fix年金
defer/current
deferred
select from a list of investment
advance life annuity
万能险
institutional IPS（SS6）
pension
DB plan
可以享受企业发展的收益，但是不portable
cash balance plan
DC plan
portable but 不能享受企业发展的收益
profit sharing plan
maintain fully funded&reduce surplus volatility
fund status or surplus
the greater plan surplus，the great ability to standwith poor investment without increasing the funding
financial status
Both lower debt and higher profitability indicate an ability to increase plancontributions if investment results are poor.
plan features
correlation with sponsor profit
workforce characteristic
liquidity
number of retired lives
plan contribution
plan feature
time horizen
tax
most are tax exempt
ERISA
foundation&endowment
return
maintain the real purchasing power
risk
no contractual liability
time horizen
very long time
spending rate
simple spending rule
rolling 3-Y average spending rule
reduce volatility
geometric spending rule
smoothing tale risk
UMIFA
insurance
non-life insurance
bank
leverage adjusted duration gap（LADG）
duration of asset-（L/A）duration of liability
Capital Market Expectation（SS7）
CME
9大problem
data problem
measure problem
survivorship bias
overestimate
smooth data
underestimate risk
overestimate correlation with other asset
nonstationarity
如何解决？
use high frequency data
underestimate correlation
ex post是ex ante的biased估计
historical estimate problem
micro
SD
historical
由于过去数据是有偏估计，所以会产生预测误差
shrinkage estimator
降低历史数据的bias
引入分析师预期，进行weighted
data base少好用，减少data outliner的影响
time series
volatility cluster
multifactor model
variance
注意不要忘记残差项的SD
Covariance
注意残差项没有correaltion
E(R)
Gk model
优点
引入real g+inflation
nominal growth return
share repurchase return+D/P
income return
引入P/E变化的return
repricing return
risk premium model
Rf+Rp
ICAMP
计算预期RP
进行liquidity调整
加入liquidity risk premium
进行市场融合度调整
100%融合
0%融合
macro
Cobb douglas函数
TFP
最难估计，solow residual
Capital input
Labor input
A/K/L影响
注意marco是预测长期trend，所以任何一次性调整都没有影响
business cycle
inventory cycle
inventory/sales，越大越不好
inflation/deflation
温和inflation，买股票
恶性inflation，cash和real estate
deflation，买bond
consumption/investment
消费影响更大，更长久
monetary
taylor rule
影响短期利率
fiscal
影响长期利率
与monetary结合对yield curve的影响
out put gap
protential GDP-actual GDP
spread
term spread越大，经济越好
credit spread 越大，经济越差
foreign exchange rate
PPP
长期预期，inflation 和币值负相关
relative economic strength
ST int上升，经济好
capital flow
saving-investment
＞0贬值
＜0升值
top-down or bottom up？
analyst always wait company data to change their expectation
进入衰退时，bottom up 延迟optimistic
退出衰退时，bottom up 延迟pessimistic
valuation
abusolute
H model
relative
fed model
E/P与10年期国债收益比
ignore equity risk premium
ignore growth
ignore inflation
yardeni model
E/P与a等级公司债YTM-d*LETG
最大优点是考虑了增长，LTEG（consensus 5-Y growth rate of S&P500）
缺点
risk premium有偏
预测d和LTEG较难
CAPE
P/10-y MA EPS调整inflation
adjusted cycle
adjusted inflation
ignore accounting method change
asset based
tobin q
asset market value/资产重置成本
book value 不是重置成本
replace cost不容易预测
equity q
Asset Allocation（SS8-SS9）
economic balance sheet
net worth
financial net asset
PV（pension+earning）
-PV（consumption+bequest）
approach of asset allocation
passive or active？
available of passive investment
scalable of active investment
ESG的限制
market efficiency？
AO
MVO
构建方法
forcast E（r）、SD、Cov
构建efficient frontier
引入Rf asset，构建CAL，找到与efficient frontier相切的点
引入investor utility曲线，与CML相切，切点为optimal weight
corner portfolio
引入constraints，在efficient frontier上形成离散的点（corner portfolio）
用相邻的corner portfolio加权构建adjcent portfolio
挑选sharp ratio最大的，计算weight，是否满足SD要求
sensitive to input small change
asset allocation tend to be highly concentrated
4种解决方式
add constraints
resampled MVO
use monte carlo stimulate Er和Cov
reversal optimization
通过市场global portfolio的weight倒推出E(r)
black-litterman model
在reversal optimization倒推出的E(r)中加入analyst的opinion
ignore skewness and kurtosis
non-normal optimization
risk factor may not diversify
factor based model
MVO is a single period framework
monte carlo stimulate
path-dependent
multi-period method
ALM
surplus optimization
与MVO的区别
hedge/return-seeking portfolio（two-portfolio）approach
basic form
variant form
immunization
goal based approach
use sub-portfolio去cover each goal
risk budget and parity
risk parity
所有资产risk权重都一样，都是1/n的总体SD
各类资产的ACTR一样
ACTR=MCTR*weight
risk budget
最优化的(Rp-Rf)/MCTR
MCTR=beta*总体SD
asset class划分要求
homogeneous、mutually exclusive、exhaustive、diversify
不同asset可能存在risk factor的overlapping
risk factor diversify
real world constraints
asset size
足够的size来diversify
子主题
currency management
basic point
price currency
base currency
effects on risk and return
return
Rdc=（1+Rfc）（1+Rfx）-1
strategic decision
不hedge
avoid time and cost
derivative is zero sum game
in the long run，revert to fair value
短期hedge，长期不hedge
in the short time，currency change can be extreme
ST inefficiency pricing
political and global trade
passive hedge
discritionary hedge
与benchmark有小的偏离
active hedge
与benchmark大偏离
currency overlay
expected to gain alpha in currency
tactical currency strategy
relative currency appreciation/depreciation
volatility
增长，long put和call
ATM
straddle
OTM
strangle
下降，sell put和call
稳定
carry trade
借low interest，投high interest
如何hedge
无观点
看roll yield
F-S/S
＞0
＜0
有观点
expected forwad spot-S/S与F-S/S对比
如何降低hedge cost
forward
无费用
放弃增值空间
put option
保留增值空间
cost高
put spread
collar
seagull
exotic
多种currency用不用hedge
通常不用hedge，多个货币corr＜1
cross hedge
marco hedge 一揽子货币
MVHR一元/多元回归，系数为hedge ratio
Fixed Income(SS10-SS11)
diversification effect
US inmentment grade （0.77-0.95），is highly correlated
internantional investment grade and US investment grade（0.54），significate diversification benefit
inflation hedge
inflation linked（TIPS）
floating rate
fix rate
lower than equity，ST higher than LT
mandates
ALM/LDI
immunization管理interest risk 和reinvestment risk
single liability
PV of asset ≥PV of liability
macaulay Duration of A＝macaulay duration of L
duration management
stractual risk
调整convexity
barbell/bullet
option of bond
embbed option bond/ABS
dispersion of A≥dispersion of L
dispersion与convexity正相关
multiliability
multiliability immunization
duration match
BPV（duration*value*0.01%）
rebalancing
时间改变
一次平行移动
duration overlay
future
BPV of L-BPV of A/(future BPV)
注意份数round
swap
pay fix
pay float
contingent immunization
有surplus就去active
cash flow matching
Total return
passive
pure indexing
all risk factor match
enhance indexing
primary risk factor match
interest risk
yield parellel shift
yield curve risk
yield curve nonparellel shift
key rate duration
PVD
PV of CFt/Total PV=Wt
sum of Wt*duration
Duration of t/sum of Wt*duration
spread risk
spread duration
active
issuer
sovereign比corperate 流动性好
credit quality
issue frequency
on the run好于off the run
issue size
issue size越大越好，bond market is dealer market
maturity
near term好于longer term
bid-ask spread
embbed option？
含权bond流动性差
decompose expected return
yield income
coupon/Pt+reinvestment income
roll down return
（expected Pt-P0）/P0
注意与rolling yield的区别，rolling yield包括：yield return+roll down return
expected return based on view on yield curve change
duration*delta yield+0.5*convexity*sqr（delta yield）
credit loss
currency gain or loss
leverage
Rp=Ri+Vb/Ve（Ri-Rb）
Ri＞Rb
increase return
Ri＜Rb
decrease return
Duration同上
leverage gain 的方式
future
notion-margin/margin
notion with 少量期初投资
inverse floater
coupon-Libor*比率
repo
security lending
注意与repo的区别，repo本身拥有security
zero coupon每年交coupon tax
CG tax小于coupon tax
capital loss只能抵capital gain
type of liability
type1-4，对应cash flow的time和amount是不是know，type1都know，type2只know amount，type3只know timing，type4都不know
portfolio
barbell
bullet
laddered
liquidity management
change in yield curve
parallel shift
duration 来measure
non-parallel shift
term spread 来measure
curvature change
butterfly spread（2*Middle term-long term-short term）来measure
ST volatility is large
upward shift
flatten+less curve
downward shift
steepen+more curve
yield curve strategy
yield curve stable
buy and hold
find the highest YTM
roll down
buy long term，sell short term
sell convextiy
buy callable bond or mbs
non stable
parallel
duration调整
-（YTM of e-YTM of b）*ending duration+YTM of b选一个highest的
buy convexity
nonparallel
barbell or bullet
flatten+volatility
steepen+stable
butterfly
buy barbell short bullet
duration nuetual
50/50
credit risk
实践中，spread duration与interest rate duration 不一样
credit spread 与利率负相关
G spread、I spread
G spread 是与国债收益率的差值，因为国债相对yield curve相对稳定，因此可以weight 出想要的duration的收益
由于on the run 的government bond 期限较少，所以只有interpolate出来选的期限
如何bond embedded option，g spread就失效咯
用来hedge interest rate risk
I spread的优势是更加贴近market
和G spread 的计算方法一样，只不过换成swap rate作为benchmark
swap rate报价期限很多，更smoother
在经济好的时候，swap rate可以近似risk free rate，但是经济不好的时候，效果就差很多
Z spread/OAS
OAS含权债券
z spread用各spot rate curve来贴现每个cash flow
OAS为simulate各种路径的Z spread，但是在单一期限内，就和实际差距较大
expected excess return
holding period
expected
default risk
management tool
CDO
不同tranche正相关，long 次级，short高级别
不同tranche负相关，long高等级，short次级
correlation上升，mazzanine价值上升
Equity(SS12)
approachs
indexing
value weighted
加权购买
large cap bias
price weighted
买一样的数量
high price bias
equal weighted
买一样的金额
small cap bias
tools
ETF
license fee 高
mutual fund
pooled account
derivatives
approach to replicate
full replicate
适合资金量大，small index
如果index内的股票liquidity都很好，full replication可以self rebalancing，所以trading cost很小，而且tracking error最小
stratified sampling
划分dimension，在each dimension 中sampling替代
optimization
replicate index中的risk factor，但是存在rebalancing cost
hybrid
style
value
low P/E
contrarain
high yiedl
growth
momentum
consistent growth
blend/market-orientated/core
如何判断style
定性
HBSA
PE、PB
EPS grpwth
dividend
growth volatility
character each position rather than looking only at portfolio as a whole
facilitate the comparison of individual position
capture change in style quickly
定量
RBSA
如何选择风格指数
mutually exclusive
exhaustive
distinct source of risk
style fit
coefficient代表风格
sqr R代表style fit
1-sqr R代表selection
优点；
cost efficient
针对entire portfolio
针对过去一点时间
style drift
exposure drift、expertise drift
long short investing
why short？
short has constraints
sell side analyst more like buy
sell side analyst不愿意发表sell
strategy
pair trading
beta neutral，buy underestimate，short sell overestimate，gain two alpha
short extention
replicate index，sell overvalued，buy more undervalued
equitizing a long short
use index future to gain index exposure to a beta neutral portfolio
和long only的对比
long short的优势是可以unlimit manager的positive opinion
long short的缺点是risk unlimited，应为short端的risk是无限的
selling discipling
substitution
find a better stock
deteriorate
rule driven
target price、P/E、down from cost、up from cost
semi active
derivative based
information ratio中的IC高
stock based
infromation ratio中的IB高
如何管理manager
core-satellite
core为indexing or enhance indexing，satellite为active
ture information ratio
ture active return
manager return-manager benchmark
ture active risk
SD of ture active return
completeness fund
将indexing 分为不同行业，在行业内active
beta alpha seperation
alpha做pair trading，beta做indexing
total active return如何拆分
normal benchmark根据manager的style设定的style benchmark
站在investor的角度设定的是investor benchmark
ture active return=manager的return - normal benchmark return
misfit return=normal benchmark return - benchmark return
CFA LEVEL 3
Alternative（SS13）
traditional
PE
VC
早起投资
与LBO区别
leverage低
Cash fow不稳定
valuation bias更大
loss 概率更大
LBO
中晚期投资
收入来源
inefficient management，提升效率使得value上升
undervalued，discount买入
组织架构为LLCs
avoid double taxation
一般投convertible preferred stock
最后进来的优先权最高
commodity
role
inflation hedge（不可再生资源）
important component in CPI
diversification
ordinary大宗商品sharp ratio很低，但是配置的目的主要是diversification效果。
大宗商品收益分布存在一定的skew和kurtios，所以SD不一定准确
return decompose
spot return
spot价格上升带来的future价格上升
collateral return
由于保证金交易，剔除保证金部分资金获得的risk free 收益
roll yield，反复roll合约
contango未来买的更贵
long side收益小于0
backwardation未来买的更便宜
long side收益大于0
real estate
benchmark
NCREIF
direct，缺乏流动性
smooth
unsmooth更好
NAREIF
indirect
indirect的优点
liquidity好，cost低，diversification效果差，税收优惠差
modern
hedge fund
self reporting
backfill bias
popularity bias
value-weight base，perform great bring new investment and weight more
stale price bias
如果hedge fund infrequent trading的话，underestimate volatility and overestimate correlation with other assets
不同市场环境变化对不同strategy的影响
performance appraisal measure
sharp ratio
time dependent，时间越长SR越高
计算annualized return直接乘以期数，SD乘以sqr期数，导致SR upward bias
nominal distribution 假设不成立
hedge fund多半具有kurtosis，正态分布低估了风险
skew
can be gamed
how？
longer the time
t投资流动性差的资产，smooth data，SD容易低估
sortino ratio
Rp-Rf/downside SD
rolling return
provide understanding consistency and cyclicality of HF
Fund of fund
relative higher fee because two layer fee structure
do not impose lock up period
managed future
与HF不一样的点？
trade only in derivatives
more look in marco things
其实是HF中global macro strategy的子策略
应为有hedger存在，所有就算是zero game市场也有价值
distressed debt
三种不同形式
hedge fund structure
long only
arbitrage
long debt，short equity
PE structure
深度介入
Risk Management（SS14）
class of risk
financial risk
market risk
如何measure
VAR
easy understand
favored by regulator
difficult to estimate
can be overestimated
do not consider extreme things
analytical（variance corvariance）
monte carlo
计算
expected return-系数*SD
注意天数的换算，return，SD
1%的VaR系数为2.33；5%的VaR系数为1.65
stress testing
scenario analysis
stylized based on shock
based on actual extreme events
hypothetical events
stressing model
factor push
maximium loss optimization
worst case scenario analysis
traditional measurement
SD之类的
risk budgeting
nominal position limit，规定投资股票只能是多少金额
VAR based limit
additional constraints
何如measure
highest at midde to end period of time
highest at middle of payment due
currency swap credit risk is highest at midde to final because notional principal exchange
option
only long side bear credit risk
如何降低风险
collateral
payment netting
mark to market
derivative
CDS
credit spread option/forward
liquidity risk
nonfinancial risk
settlement risk
operation risk
high frequency，low severity
risk reduction
low frequency，high severity
risk transfer
low frequency，low severity
risk retention
risk adjusted performance valuation
Sharp ratio
widely used but can be inaccurate on nonliner risk
downside risk 难算，不适用于正态分布
RoMAD
risk management process
1、define policies 2、define risk tolerance 3、define risk faced 4、measure risk 5、adjust risk level
Derivative（SS15）
adjusted beta
contract=（target beta-actual beta）*value/（beta of derivative*price）
跨资产类别必须通过cash过度
adjusted duration
contract=yield beta*（target MD-actualMD）*value /（MD of derivative*price）
bond 才有yield beta，没说明等于1
option
股票主导
covered call
protective put
vertical
bull spread
bull call spread
牛市中用牛工具long低价call，short 高价call
bull short spread
牛市中用熊工具赚钱，short 高价put，long低价put
bear spread
bear put spread
熊市中用熊工具，long 高价put，short低价put
bear call spread
熊市中用牛工具，short 低价call，long高价call
long butterfly
short butterfly
box
bull call spread+bear call spread
bull short spread+bear put spread
合成risk free rate，如果不等，有box spread arbitrige机会
straddle/stragle
long call long put
short call short put
interest rate call or put
borrower用call，lender用put
计算effective interest时候，borrower减本金，lender加本金，计算期权费未来值
计算利息是用单利360天，计算effective interest rate365天
delta hedge
garmma越大，delta hedge困难，在ATM 快到期是garmma最大
fix duration
0.75*时间
float duration
0.5*时段
swaption
convert loan
terminal swap
add call/put feature on debt
Trading、monitor、rebalance（SS16）
trading
quote driven
用effective spread=（execute price-quote price）*2与quote spread比较来measure
order driven
broker driven
block trade
implementation shortfall
如何decompose
找到题目中的benchmark price
用benchmark price*想买的份数算出paper portfolio
成交价格-前一天收盘价*成交量算出realized gain/cost
注意买单还是卖单
用前一天的收盘价-benchmark price再*成交量算出delay cost
用cancellation price减去benchmark price*未成交的部分算出miss trade cost
用手续费/paper portfolio算出explicit cost
相加算出implementation shortfall cost
measure trader 表现
VWAP
pro
easy to understand
easy to compute
con
can be gamed by traders
ignore delay miss trade cost
not usefull if a trader is significant part of the trading volume
pros
trade off timeing 和price
can be built in optimization
cons
difficult to compute
data需求量大
monitor and rebalancing
calender
percentage只要一个超标，出发所有指标rebalancing
width of corridor
正相关
transaction cost
correlation of asset
risk承受能力
负相关
asset volatility
volatility of rest portfolio
dynamic asset rebalancing
constant mix
mean-revert市场下最好
CPPI
trending市场下最好
初始金额-cushion*系数购买股票
剩下的cash
监控股票部分不会下跌低于cushion
Performance Evaluation and Attribution（SS17）
portfoio收益的计算方法
TWRR
not affected by external cf
注意CF时间点
各CF时间点的MV必须知道
MWRR
sensitive to timing and size of externa CF
大CF后收益较高，MWRR大于TWRR
大CF后收益较低，MWRR小于TWRR
只用知道期初和期末的MV
找到合适的benchmark（7+7+6）
好benchmark的7大特征（SAMURAI）
7中benchmark
absolute
不满足investable特征，但是简单直接
manager universal
存在survivorship bias
不满足investable
style index
factor
return based
custom
6大测试方法
minimize systematic bias
tarcking error越小越好
turnover越低越好
active position越大越好
进行业绩归因
站在sponsor角度macro
从Rf，到大类资产配置获得收益
进行风格资产配置获得style benchmark 收益
再进行基金经理进行配置获得超额收益
站在manager角度micro
用矩形画图计算各种收益
manager 从Rb开始
选行业带来的超额收益
选股选的好带来的收益
交叉项收益
fundamental attribution找alpha来源
benchmark就是nominal return
bond attribution
benchmark就是T-bill的YTM
评价基金经理
假设检验
假设基金经理不行Ho
type1 error
没有拒绝坏的基金经理
type2 error
拒绝好的基金经理
GIPS（SS18）
GIPS requires a fee struture in report，and firm can choose either net of fee return or gross return，recommend show gross
verification is not required in GIPS
TWRR is recommend to use，and GIPS require revalue the portfolio when cash flow is large
Codeðic（ss1-ss2）
Code
integrity
competence
diligence
respect
ethic manner with
clients
public
prospect clients
注意prospect和potential的区别
employer
employee
colleague
Ethic
professionalism纲领性条款
knowledge of law
以最严格的法律为准
independent and objective
差旅费自己出，除非商业交通工具无法到达
misrepresentation
没有及时改正的打字错误
对于资质、业绩归因等胡说八道
抄袭或者不恰当引用
misconduct
integrity of capital market
material nonpublic information
material？
reliable sources来源渠道可信
clear impace最市场有重大影响的
eg.知名分析师的报告属于material信息
nonopublic
看决策权在谁
上市公式请部分分析师发布消息，决策权在公司，就是nonpublic
上市公式发布消息在付费平台，决策权在投资者，不是nonpublic
mosaic theory
不是material的公开或者非公开信息进行投资，不违反规定
获得内幕消息如何应对
报告compliance
如果是market maker，必须继续消极做市
可以证明的无风险套利不是违反内部交易，因为对信息是中性的
market manipulation
information based
trading based
duty to clients
loyalty prudence care
注意谁是client？受益人
DB plan或者trust
soft dollar
如果接受soft dollar，必须直接作用于客户，并获得收益
如果客户找的brokerage，基金经理还是必须为客户找best execution，或者获得客户书面同意
必须分散化
fair dealing
fair不等于equal
premium service是可以的eg：头等舱机票
选择权提供给所有人
不伤害其他人的利益
在trading的时候，按照order size进行Pro rata分配份额
如果购买不足，必须优先满足客户需求
family account只要不是beneficial owner都要与一般客户一视同仁
suitability
total portfolio基于IPS
必须diversification
如果超出IPS投资范围的机会，必须先修改IPS，在进行购买
performance representation
不能拿过去的业绩明示/暗示未来可以due
区别于预期收益率，预期收益是可以的，但是肯定区别于历史业绩
业绩展示可以是brief
如果client或者prospective clients要详细的，必须给
可以及投资风格或者model展示虚拟业绩，但是虚拟业绩必须说明，并且不能与真实业绩加权平均
gross fee和net fee都扣除了交易费用，但是net of fee扣除管理费用
preservation of clients confidential
注意保密对象是客户，如果是泄露雇主的机密，违反的是loyalty to employer
除了非法或者法律要求的，对于current、former、prospect的信息都要保密
duty to employer
loyalty
independent practice竞争业务
正式和业余时间参与竞争业务，都必须告知雇主并取得书面同意
离职不能拿走雇主的任何东西，除非取得雇主同意
离职过渡期间
上班期间或者下班给客户打电话告知，违反
可以在下班期间做新工作的事
客户清单
量少的可以，几个或十几个
完全离职后可以打电话给客户告知新工作
可以带走经验和能力
比如在前雇主建立的model
直接copy走，违规
在新公司重新建立，不违规
whistleblowing在职揭发
除非为了资本市场和客户，其他都是违规
additional compensation arrangement
additional compensation
有利益冲突才需要告知
注意gift是基于过去的业绩还是未来的
基于过去的，可以事后告知
基于未来的，必须事先告知
responsibility of supervisors
可以将supervisor权利授予他人，但是不能relief责任
接受公司提升作为领导
公司有一套完善的合规系统
建设一个合同系统，再接受作为领导
如果发现下属违规怎么办？
立刻展开彻底调查
同时，限制其行动或者加强监督
investment
diligence and reasonable base
可以用第三方信息，但是要对第三方diligence负责
必须对于量化模型有全面了解，重点是局限性
group research中如果analyst不同意结论
可以不署名
如果认为研究过程严谨，也可以署名
推荐hot issue，基于hot issue出发，不管有没有研究，出发点基于hot issue就违规
communication with clients
不要把opinion 说成是fact
投资中决策人、model、标的等重大改变，必须先告知客户，再做变更
record retention
hard copy和electronic form都可以
按照local law决定保留期限，如果没规定，建议保留7 年
conflict of interest
disclosure of conflicts
用plain language进行表述conflict
analyst可以买卖stock，但是必须disclosure
priority of transaction
client有限，employer其次，最后自己
中间间隔必须要有足够的时间（半个月左右）
referral fee
必须disclose任何形式的 referral fee
雇主可以不允许介绍费
如果允许referral fee必须由严格的制度
responsibility of CFA membership
AMC
重点关注组织架构上的问题
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