CFA II Portfolio Management 学习记录

一句话总结吧：内核做起来简单，听她讲起来血妈难

Reading 43 Exchange-Traded Funds: Machanics and Applications 【定性了解+记住结论】

【44-47】考试重心

Reading 44 Using Multi-factor Models 【多元回归模型】

Reading 45 Measuring and Managing Market Risk 【组合的风险管理和因素】

Reading 46 Economics and Investment Markets 【宏观经济和市场大类】

Reading 47 Analysis of Active Portfolio Management 【积极管理&获取超额收益】

Reading 48 Trading costs and Electronic Markets

交易成本有哪些？The Bid-Ask spread/Market Impact(price impact)/Delay Costs(Slippage)/Opportunity Costs(or unrealized profit/loss)

计算交易成本Cost of trading【Trade price - Benchmark price】

三种方法，差异在于Benchmark的选择：

1. effective spread 有效价差

2. implementation shortfall 执行价差

3. VWAP methods of transaction cost estimation 交易量加权

两类违规操作：

老鼠仓Front runing：在大单之前买入

市场操纵Market Manipulation：【4 Improper Market Activities+3种】

Trading for market impact：操纵股价

Rumormongering：散布谣言

Wash trading：

Spoofing, also known as layering，

Bluffing

Gunning the market

Squeezing and cornering:轧空，逼角：同时买入期货与现货，逼迫违约。

资产组合怎么变成了ETF的分析🤷‍♂️，意思就是赚Interest Rate或者Portfolio的passive income。