学习笔记 - CFA 权益3

本节聚焦active management

首先介绍两种主要的approach：fundamental & quantitative

Fundamental approaches stress the use of human judgment in processing information and making investment decisions

some practitioners and academics refer to the fundamental, judgment-based approaches as “discretionary”

are based on research into companies, sectors, or markets and involve the application of analyst discretion and judgment

Quantitative approaches tend to rely more heavily on rules-based quantitative models

the rules-based, quantitative approaches as “systematic”

are based on quantitative models of security returns that are applied systematically with limited involvement of human judgment or discretion

fundamental research consistently involves and often begins with the analysis of a company’s financial statements

Fundamental investors usually focus their attention on a relatively small group of stocks and perform in-depth analysis on each one of them

fundamental investors tend to take larger positions in their selected stocks

Fundamental analysis places an emphasis on forecasting future prospects, including the future earnings and cash flows of a company

Construction of a fundamental portfolio therefore often depends on judgment

Construct the portfolio by overweighting stocks that are expected to outperform their peers or the market as a whole；for risk reduction, underweight some benchmark stocks that are expected to underperform

From a quantitative perspective, investment success depends not on individual company insights but on model quality

do not focus on individual stocks

Quantitative investors instead usually focus on factors across a potentially very large group of stocks

quantitative investors tend to focus their analysis on a selection of factors but spread their selected factor bets across a substantially larger group of holdings

quantitative approach aims to predict future returns using conclusions derived from analyzing historical data and patterns therein

construct models by back-testing on historical data

Construct the portfolio by maximizing the objective function (such as portfolio alpha or information ratio) with risk models

主动投资有上述两种approach，每种approach都可以通过具体的策略来实现：bottom-up, top-down, factor-based, and activist

1. bottom-up

Bottom-up quantitative investors harness computer power to apply their models to this asset- and company-level information (with the added requirement that the information be quantifiable)

其实就是量化的bottom-up主要靠算力，bottom-up这种策略一般都是fundamental approach用得多

fundamental approach的bottom-up strategy一般会考虑的因素（parameters）：

business model and branding，competitive advantages，company management，and corporate governance

Bottom-up strategies are often broadly categorized as either value-based (or value-oriented) or growth-based (or growth-oriented)

（1）value-based approaches aim to buy stocks that are trading at a significant discount to their estimated intrinsic value；reflected in low earnings (or asset) multiples

value-based approach 又可以分为7种不同的style：

Relative Value：evaluate companies by comparing their value indicators (e.g., P/E or P/B multiples) to the average valuation of companies in the same industry sector with the aim of identifying stocks that offer value relative to their sector peers

rely on fundamental metrics to make their assessments

Contrarian Investing（逆向投资）：purchase and sell shares against prevailing market sentiment

attempts to determine whether the valuation of an individual company, industry, or entire market is irrational

rely more on market sentiment and sharp price movements to make their decisions

High-Quality Value：give valuation close attention but place at least equal emphasis on financial strength and demonstrated profitability，一般说的价值投资就是这种，即面面俱到，都要好

Income Investing：focuses on shares that offer relatively high dividend yields and positive dividend growth rates

Deep-Value Investing：focuses on undervalued companies that are available at extremely low valuation relative to their assets (e.g., low P/B)，需要有专业知识

Restructuring and Distressed Investing：are generally counter cyclical relative to the overall economy or to the business cycle of a particular sector，也是需要专家

seek to purchase the debt or equity of companies in distress

is often done before an expected bankruptcy or during the bankruptcy process

The goal of restructuring investing is to gain control or substantial influence over a company in distress at a large discount and then restructure it to restore a large part of its intrinsic value

Special Situations：focuses on the identification and exploitation of mispricings that may arise as a result of corporate events such as divestitures or spinoffs of assets or divisions or mergers with other entities，也是需要专家

（2）growth-based investment approaches focus on companies that are expected to grow faster than their industry or faster than the overall market, as measured by revenues, earnings, or cash flow

Compared to value-focused investors, growth-focused investors have a higher tolerance for above-average valuation multiples

growth-based还有细分，如：

GARP (growth at a reasonable price)：used by investors who seek out companies with above-average growth that trade at reasonable valuation multiples, and is often referred to as a hybrid of growth and value investing

rely on the P/E-to-growth (PEG) ratio：calculated as the stock’s P/E divided by the expected earnings growth rate (in percentage terms)

PEG = price/earning/growth，越低越好

与high-quality value investor比，growth investor would tend to be less concerned about the relatively high valuation levels (如 high P/E, P/B, and EV/EBITDA) and low dividend yield

适用判断：

growth低但dividend yield高的适合income investing

both absolute and relative terms of P/xxx 比率都低的适合deep-value investing

2. top-down

实务中bottom-up与top-down 一般并不是泾渭分明

A typical method of incorporating both top-down macroeconomic and bottom-up fundamental（bottom-up也可以quantitative的）processes is to have the portfolio strategist set the target country and sector weights

The country or geographic allocation decision itself can be based on both top-down macroeconomic and bottom-up fundamental analysis

对于 Sector and Industry Rotation：Many bottom-up portfolio managers also add a top-down sector overlay to their portfolios

Bottom-up fundamental strategies often lead to unintended macro (e.g., sector or country) risk exposures

However, bottom-up fundamental investors can incorporate some of the risk control benefits of top-down investment strategies via portfolio overlays

Top-down strategies are used in several investment decision processes, including the following：country and geographic allocation, sector and industry rotation, equity style rotation, volatility-based strategies, and thematic investment strategies

portfolio overlay is an array of derivative positions managed separately from the securities portfolio to achieve overall portfolio characteristics that are desired by the portfolio manager

Structural changes can have long-lasting impacts on the way people behave or a market operates

The success of a structural thematic investment depends equally on the ability to take advantage of future trends and the ability to avoid what will turn out to be merely fashionable for a limited time, unless the strategy specifically focuses on short-term trends

3. factor-based

Equity style rotation strategies, a subcategory of factor investing, are based on the belief that different factors work well during some time periods but less well during other time periods

对于有效因子的发掘，需要做“smell” test：统计数据上有意义，还要make common sense

if justification for the factor’s efficacy is lacking—then the manager may be data-mining

impressive performance in backtesting does not necessarily imply that the factor will continue to add value in the future

The most traditional and widely used method for implementing factor-based portfolios is the hedged portfolio approach

就是将股票按因子得分排序，然后 divide the universe into groups referred to as quantiles (typically quintiles or deciles) to form quantile portfolios

either equally weighted or capitalization weighted within each quantile

long/short hedged portfolio is typically formed by going long the best quantile and shorting the worst quantile

这种approach的缺点：

the information contained in the middle quantiles is not utilized, as only the top and bottom quantiles are used in forming the hedged portfolio

implicitly assumed that the relationship between the factor and future stock returns is linear (or at least monotonic)

portfolios built using this approach tend to be concentrated（if many managers use similar factors, the resulting portfolios will be concentrated in specific stocks）

requires managers to short stocks

最重要：is not a “pure” factor portfolio because it has significant exposures to other risk factors

factor-tilting portfolio：a long-only portfolio with exposures to a given factor can be built with controlled tracking error

tracks a benchmark index closely but also provides exposures to the chosen factor

similar to an enhanced indexing strategy

factor-mimicking portfolio or FMP, is a theoretical implementation of a pure factor portfolio

is a theoretical long/short portfolio that is dollar neutral with a unit exposure to a chosen factor and no exposure to other factors

invest in almost every single stock

entering into long or short positions without taking into account short availability issues or transaction costs

very expensive to trade

typically construct the pure factor portfolio by following the FMP theory but adding trading liquidity and short availability constraints

对于量化投资（quantitative investing），因子是非常重要的，书中提及的因子有：value，price momentum，growth，quality

Price momentum subject to extreme tail risk

Using the simple price momentum factor means that a portfolio buys past winners and shorts past losers. The resulting portfolio could have exposure to potentially significant industry bets

4. activist

Activist investors’ time horizon is often shorter than that of buy-and-hold investors, but the whole process can last for a number of years

Activist hedge funds are among the major activist investors

一般activist investing是为了unlock value，其他的还有：

Pairs trading is an example of a popular and simple statistical arbitrage strategy

识别出两支 historically highly correlated 的股票，当发现 the price relationship of these two securities deviates from its long-term average，go long the underperforming stock and simultaneously short the outperforming stock

bets on a mean-reversion pattern in stock prices

biggest risk in pairs trading and most other mean-reversion strategies is that the observed price divergence is not temporary; rather, it might be due to structural reasons

often employ stop-loss rules to exit trades when a loss limit is reached

Event-driven strategies exploit market inefficiencies that may occur around corporate events such as mergers and acquisitions, earnings or restructuring announcements, share buybacks, special dividends, and spinoffs

面临的风险：deal failing

构建fundamental strategy（即第一种approach）：

The market opportunity is also known as the investment thesis

In fundamental analysis, each stock is typically assigned a target price that the analyst believes to be the fair market value of the stock

Pitfalls in fundamental investing：behavioral biases, the value trap, and the growth trap

confirmation bias：sometimes referred to as “stock love bias”

illusion of control

availability bias：take a mental shortcut in estimating the probability of an outcome based on the availability of the information and how easily the outcome comes to mind

loss aversion

overconfidence bias：attribute success to their own ability rather than to luck. Such bias means that the portfolio manager underestimates risks and overestimates expected returns

regret aversion bias

value trap：以为是股价被低估的（with a low P/E multiple (and/or low price-to-book-value or price-to-cash-flow multiples)），原来还是被高估了

growth trap：增长指标高的，以为潜力被低估其实已经被高估了

构建quantitative strategy（即第二种approach）：

The Pearson IC is the simple correlation coefficient between the factor scores (essentially standardized exposures) for the current period’s and the next period’s stock returns

不特别说，coefficient就是指Pearson IC

Pitfalls：Survivorship Bias, Look-Ahead Bias, Data Mining, and Overfitting

幸存者偏差：only companies that have survived are tested and it is assumed that the strategy would never have invested in companies that have failed

data mining会引起model overfitting

activist investing的基金经理会声称自己是什么风格，那就需要知道如何辨别：

Style pairs need not be mutually exclusive

Two main approaches are often used in style analysis：a holdings-based approach and a returns-based approach

Holdings-based approaches to style analysis are done bottom-up

“core” for stocks and “blend” for funds

Many investment managers do not disclose the full details of their portfolios, and therefore a holdings-based approach cannot be used to assess their strategies

Some equity hedge fund styles are non-standard and do not fit into any of the established style categories（如 long/short equity, equity market neutral, and dedicated short bias）

Holdings-based style analysis is generally more accurate than returns-based analysis because it uses the actual portfolio holdings

Ideally, practitioners should use both approaches: Returns-based models can often be more widely applied, while holdings-based models allow deeper style analysis

Holdings-based approaches aggregate the style scores of individual holdings

Returns-based approaches analyze the investment style of portfolio managers by comparing the returns of the strategy to those of a set of style indexes

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