学习笔记 - CFA 权益 2

本节主要介绍passive investing，关键是benchmark的构建

一般passive investing会以index作为benchmark，所以要了解index的构建原理与方法

首先，不是所有的index都是可以直接投资的：

HFRI（hedge fund相关的index）和 Value Line Geometric Index（which is a multiplicative average price）都是 non-investable index

index是由index provider构建出来用以反映市场情况的，调整指数时一般会用到：

Buffering involves establishing ranges around breakpoints that define whether a stock belongs in one index or another

buffering makes index transitions a more gradual and orderly process

（如 xxx300指数，只有当原来的成分股跌至400以外才会被替换；当原来排301的股票升至200以上才会被纳入）

Packeting involves splitting stock positions into multiple parts

packeting can keep portfolio turnover and trading costs low

（如 mid-cap的MV已经增长至large-cap时则将其中的一部分划入large-cap，等下个reconstitution date仍然达到large-cap标准的话就将剩下的也划入large-cap，即这时才将整个划入large-cap）

“all-cap” index：Such indexes do not necessarily contain all stocks in the market; they usually just combine representative stocks from each of the size ranges

index providers usually classify company capitalizations in the context of the local market environment（因为有可能发展中国家的large-cap体量只相当于发达国家的mid-cap）

构建指数有两大类method：exhaustive & selective（主要介绍selective）

selective就涉及对个股的权重进行分配（weighting method），主要有4种，再简单提及了第五种

（1）最常用的是 market-cap weighting，就是用 market capitalization 来进行计算

In the development of the capital asset pricing model, the capitalization-weighted market portfolio is mean–variance efficient, meaning that it offers the highest return for a given level of risk

cap-weighted index can be thought of as a liquidity-weighted index（因为股票的流通性往往与其市值成正比）

The most common form of market-cap weighting is free-float weighting

weights adjust automatically

（2）price-weighted index

can be interpreted as a portfolio that consists of one share of each constituent company

stock split，day-to-day market movements都会有影响

（3）Equally weighted indexes

produce the least-concentrated portfolios

constituent weights of 1/n, where n represents the number of stocks in the index

is considered a naive strategy because it does not show preference toward any single stock

The reduction of single stock concentration risk and slow changing sector exposures make equal weighting attractive to many investors

equal weighting有各种优劣，协会引用文献来表达自己认可的观点：

broad market equally weighted indexes are factor-indifferent and the weighting randomizes factor mispricing

produces higher volatility than cap weighting，因为相对于cap-weighting而言是偏向于small-cap（imparts a small-cap bias）

deviate from market weights most dramatically for large-cap indexes, which contain mega-cap stocks（因为每种股票就一股，所以对于有超大体量股票的市场就更是偏离cap-weighting方法了）

一交易权重就会变化，但动态调整不现实，所以需要 regular rebalancing（标普500是用equal-weighting，每季rebalance一次）

lie a misleading aspect of equally weighted indexes（假设一个季度有91天，最后一天rebalance，其实有90/91=99%的时间都不是equal-weighing的）

limited investment capacity（如小盘股买不了）

tax-exempt institutional investors（相对于taxable investors）could experience superior returns from equal weighting

（4）fundamental weighting（如按 sales，income，dividend）

delinks a constituent stock’s portfolio weight from its market value

The philosophy behind fundamental weighting is that although stock prices may become over- or undervalued, the market price will eventually converge to a level implied by the fundamental attributes

（5）旁白段加插另一种分配权重方法：Fundamental Factor Indexing

traditional cap weighting is likely to overweight overpriced stocks and underweight underpriced stocks

小结：对比最常用的market-cap 和逻辑上与价值投资最契合的fundamental

Market-cap-weighted indexes and fundamentally weighted indexes are low cost, rules-based construction, transparency, and investability

Market-cap-weighted portfolios are based on the efficient market hypothesis, while fundamentally weighted indexes look to exploit possible inefficiencies in market pricing

补充一些小知识：

rebalancing 只是 reweighting 原来的股票；而 reconstitution 则是会有增减，与原来的成分股不一样了，两者都会引起 turnover

由于怕有front-run，实操中在公开选取股指成分股的方法的同时，最终增删成分股会由index provider里的一个委员会投票决定

An important concern in benchmark selection relates to how concentrated the index is，于是引入：

Herfindahl–Hirschman Index (HHI) is a valid measure of stock-concentration risk in a portfolio

Effective number of stocks = 1/HHI

相对于传统的方法，还有一种基于factor的配重策略

the concepts underlying passive factor investing, sometimes marketed as“smart beta”

factor tilts（因子倾斜）：the process of intentionally overweighting and underweighting certain risk factors

factor tilts 使得这种passive strategy好像与active 无法区分，书中其实马上解释了：

Passive factor-based equity strategies use passive rules, but they frequently involve active decision making: Decisions on the timing and degree of factor exposure are being made

与 conventional active management 相比, passive factor investing 是 active management takes place up front rather than continuously

与 broad-market-cap-weighting比，passive factor-based strategies：tend to concentrate risk exposures, leaving investors exposed during periods when a chosen risk factor is out of favor

可能会遇到 overcrowding

passive factor investing strategy还可以细分为：return oriented, risk oriented, or diversification oriented

Return-oriented factor-based strategies include dividend yield strategies, momentum strategies, and fundamentally weighted strategies

Risk-oriented factor strategies include volatility weighting

Minimum variance investing is another risk reducing strategy, and it requires access to a mean–variance optimizer

Diversification-oriented strategies include equally weighted indexes and maximum-diversification strategies

passive factor-based strategies can involve higher management fees and trading commissions than broad-market indexing

费用贵与封顶不冲突：Fees are restricted because factor-based strategies are rules based and thus do not require constant monitoring

factor rotation：An investor’s process of changing exposures to specific risk factors as market conditions change

With factor rotation, investors can use passive vehicles to make active bets on future market conditions

实施passive investing的approach有几种，其中一种是通过pooled investment

conventional open-end mutual fund vs. ETF：

（1）investors can take short positions in an ETF

（2）The role of the authorized participant is to be the market maker for the ETF and the intermediary between 'investors' and 'the ETF fund manager' when shares are created or redeemed

（3）All else equal, taxable investors in an ETF will have a smaller taxable event than those in a similarly managed mutual fund：

因为 ETFs 的 redemptions 是 through an in-kind delivery of stock, 这种的 Capital gains are not recorded

（4）缺点：need to buy at the offer and sell at the bid price, commission costs, and the risk of an illiquid market

（5）MF一般收费比ETF贵，但ETF要收 brokerage fee

另一种方法：Derivative strategies

can be low cost, easy to implement, and provide leverage; 也会带来新的风险如counterparty default risk

option会到期，而futures和swap可以rolling

It is uncommon for passive portfolio managers to use derivatives in the long term to synthetically mimic the return from physical securities.

Derivatives are typically used to adjust a pre-existing portfolio to move closer to meeting its objectives

completion overlay：addresses an indexed portfolio that has diverged from its proper exposure，如将闲置资金的beta变成与目标一致，使得整个组合达到全仓的效果

rebalancing overlay：addresses a portfolio’s need to sell certain constituent securities and buy others

currency overlay：assists a portfolio manager in hedging the returns of securities that are held in a foreign currency back to the home country’s currency

For the longer term, strategic changes to portfolios are usually best made using cash instruments, which have indefinite expirations and do not necessitate rolling over expiring positions

Equity swaps tend to be non-marketable instruments, so once the agreement is made there is not a highly liquid market

indexed portfolio managers must review their holdings and their weightings versus the index each day

Program trading is a strategy of buying or selling many stocks simultaneously

most index-based trade executions take place at the close of the business day using market-on-close (MOC) orders

passive 组合的构建方法主要有3种：full replication, stratified sampling, optimization approaches

（1）一般 as the number of securities held increases, tracking error decreases

for an index that has some constituent securities that are relatively illiquid, the conceptual relationship between tracking error and the number of securities held is U-shaped

（2）Arranged correctly, the various strata will be mutually exclusive and also exhaustive (a complete set), and they should closely match the characteristics and performance of the index

（3）optimization involve a lower amount of tracking error than stratified sampling

accounts explicitly for the covariances among the portfolio constituents（如 two securities from different industry sectors may be included in a passive portfolio under stratified sampling, if their returns move strongly together, one will likely be excluded from an optimized portfolio）

the constituents and weights of an optimized portfolio are determined based on past market data （This means that optimization would need to be run frequently and adjustments made to the portfolio, which can be costly）

（4）除主要的3种外，还有一种approach：Blended Approach

For indexes that have few constituent securities or for which the constituents are homogeneous, full replication is typically advisable

When the reverse is true, sampling or optimization are likely to be the preferred methods

blended approach consisting of "full replication for more-liquid issues" and "one of the other methods for less-liquid issues"

higher fees will contribute to lower excess returns and higher tracking error

cash drag：The tracking error caused by temporarily uninvested cash

The effect of cash drag on portfolio value is negative when the market is rising and positive when it is falling

ETF常被用来处理 cash drag 问题

The sources of return for an equity index replication portfolio are the same as for any actively managed fund and include：company-specific returns, sector returns, country returns, and currency returns

Passive investors may even have a higher duty than more-transient active managers to use their influence to improve governance

The principal sources of passive portfolio tracking error are fees, trading costs, and cash drag

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