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[24년] CFA 레벨1 Book 5 최종핵심 서브노트 (Portfolio Management & Ethics & Alt-a investments) 평가A+최고예요

Alternative investment 78. Alternative Investments Alternative investment structures(AI) Definition of Alternative investments Investments that do not fall under the heading of traditional investments Investments in commodities, infrastructure, and illiquid securities. Use derivatives and leverage and short securities. Types of AI Hedge fund PEF(Private equity fund) Real estate investment Characteristic of AI - Compared to traditional investments Risk reduction from diversification Relatively low correlation with traditional investments, But, relatively more concentrated portfolios. correlations may increase significantly during periods of economic stress. Less liquidity, regulation, transparency. Different legal issues and tax treatments. Characteristic of AI - as a result of unique features Investment structures that facilitate direct investment by managers Information asymmetry between fund managers and investor → higher management fees and incentive fees Difficulty in appraising pe Committed capital Committed capital : typically not all invested immediately(3~5y) dry powder : has not yet been drawn down capitals Most PEF, based on committed capital, Hedge fund and REITs based on AUM Incentive fees (performance fee) Hard hurdle rate: incentive fees are based only on gains above the hurdle rate. Soft hurdle rate: incentive fees are a % of the total increase in the value Catch-up clause Based and similar to soft hurdle rate. In early, more to LP, then to GP. In later after the catch-up, proportional to GP and LP High-water mark Fees are paid only at time above the highest previously recorded Partnership’s waterfall payments are allocated to GP and LPs as profit and losses are realized on deal Deal-by-deal waterfall(Us style) This favors the GP because incentive fees are paid before 100% of LP's original investment plus the hurdle rate. Whole-of-fund waterfall(Eu style) LPs receive all distributions until they have received 100% of their initial investment plus the g total fees more complex Return calculation for AI Calculating fee Total return 80. Investment in Private Capital: Equity and Debt Private equity and private debt Private capital(PC) Not raised from public markets. Private capital : private equity and private debt. Private equity(PE) Investing either in private or public companies they intend to take private(LBOs) or in early stage. Private debt(PD) Direct lending : Direct loan without an intermediary. Venture debt : Often convertible to the common stock / combined with BW Mezzanine loan : Private debt that is subordinated / Special features(Conversion rights or warrants) Distressed debt. Purchasing the debt of firm in bankruptcy, in default on existing loans, or for which default seems imminent. Private equity strategies Leverage buyout(LBOs) LBO : Most common type of PEF Management buyouts (MBOs) : Existing management is involved in purchase Management buy-ins (MBIs) : External management will replace the existing managementa group of investor Write-off/liquidation Reassess and adjust to take losses from an unsuccessful outcome Private equity investment; Risk and Return Private equity potential benefit Returns on PEF have been higher on average than overall stock returns. Less-than-perfect correlation with traditional investment, Portfolio diversification benefits from including PEF in portfolios Private equity risk σ of PEF's returns has been higher than σ of equity index returns, suggesting greater risk. Illiquidity and Leverage risk VC has the lowest correlations across all major market indexes As with hedge fund returns data suggest, PEF returns may suffer from survivorship bias and backfill bias Because portfolio companies are revalued infrequently, reported σ of returns and correlations with equity returns may both be biased downward Relying on self-reporting Investing stage expanding phase : tend to earn excess returns investing in early-stage companies. contracting phase : tend to do best with dield projects without guarantees of demand upon completion have a high weighting to capital appreciation. Secondary-stage investment : assets with an existing track record of generating steady, bond-like cash flows possess the lowest risk and offer the lowest return to the investors. Characteristics of investment Low liquidity : Long life and are quite large in cost and scale However, liquid investments → ETFs, mutual funds, PEFs, MLPs are available Low correlation with public equity Risk in investing infrastructure Regulatory risk Risk from financial leverage Risk that cash flows will be less than expected construction risk, operational risk with asset operation Master limited partnerships(MLP) MLP trade on exchanges, are pass-through entities like REITs MLP may also share with REITs taxation rules that minimize double taxation for investors. 82. Natural Resources Features of investment in Natural Resources Features of Natural Resources Illiquid investment and their value are primarilrd

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[24년] CFA 레벨1 Book 4 최종핵심 서브노트 (Fixed Income & Derivatives) 평가A+최고예요

Fixed Income 49. Fixed-Income Securities: Defining Elements The features of a Fixed income securities The issuer of the bond. Corporation Sovereign national government: Treasury bond, note, bill Non-sovereign governments: not government, ex. states Quasi-government entities: Fannie Mae Supernational entities: IMF, WB, EIB Special purpose entities: ABS The maturity date of the bond. > 1 year : Money market securities < 1 year : Capital market securities The par value (principal value to be repaid). Premium, discount, par Coupon rate and frequency. Bond with a fixed coupon rate : plain vanilla, or a conventional bond Bond pay no interest : Zero-coupon bond, or pure discount bonds Bond indenture Bond indenture Trust deed(bond indenture) : The legal contract between the bond issuer and holders It defines the obligations and restrictions on the borrower The provisions in the bond indenture are known as covenants(negative and affirmative covenants) Negative covenants include restrictions on ltiple-price auction : successful competitive bidders actually pay the bidded price Noncompetitive bids bids are guaranteed to have their allocation met at the price determined by the competitive bids. Primary dealers Designated financial institutions by a sovereign Required to make competitive bids and submit bids in auctions Act as counterparty to the central bank when it buys and sells securities Over the counter market(OTC) OTC market Once issued, sovereign debt typically trades in quote-driven OTC dealer market Trading is most active and prices are most informative On-the-run bond : Most recently issued government securities of a particular maturity / benchmark” yield Bond issuance for monetary purpose Foreign governments purchase sovereign bonds of other nations as reserves; Financial institutions are required to hold government bonds to comply with regulations. These factors decrease the yields of sovereign bonds relative to those of non-sovereign issuers. 54. Fixed-Income Valuaunderstand this, we can look to the convexity of the price-yield curve and use its slope as our proxy for interest rate risk. At lower yields, the price-yield curve has a steeper slope indicating that price is more sensitive to a given change in yield. PVBP Money duration Money duration = annual ModDur x full price of bond position(PV) Money duration provide an estimate for the change in bond value for that change in YTM. $2M par value bond, Moddur 7.42, full price of 101.32 Money duration : 7.42 × $2,000,000 × 101.32% = $15,035,888 money duration per $100 of par value :7.42 × 101.32 = $751.79 price value of a basis point (PVBP) Money change in PV when its YTM changes by 1bp. E.g., Calculating the PVBP I/Y = 5.89 → PV = -101.273 (V+) I/Y = 5.87 → PV = -101.507 (V-) PVBP = For the $1 million par value bond, 1bp change → 0.117 × $1 million × 0.01 = $1,170. 60. Yield-based bond Convexity and portfolio property Convexity and Yield volatility What is Convexity Convexity is a measure of the on a top-down or bottom-up basis, or hybrid Top-down : inputs relate to the macroeconomic cycle, the size of the industry and potential market share, and event risk Bottom-up : inputs relate to issuer-specific factors driving revenue, costs, B/S, and future cash flows. High credit quality Strong operating profits and recurring revenues Low levels of leverage High coverage of debt service payments with periodic income High levels of liquidity for short-term debt payments Interpreting financial ratio and rating Profits and cashflow EBITDA Cash flow from operating activities(CFO) : NI + noncash item - increase in WC Funds from operation (FFO) : FFO is NI from continuing operations plus DA, deferred taxes, and noncash items. Free cash flow (FCF) It represents the discretionary cash low of a company because it could be paid to providers of financing FCF = CFO - fixed asset expenditures + Net interest expense Retained cash flow(RCF) : OCF - Dividends Rating Corporate family rating(CFR) : Issaranteeing the contract payments CCH requires initial and maintenance margin(deposit) from both participants Exchange members (dealers or market makers) earn trading profits from the bid/ask spreads Over-the-counter (OTC) market Over-the-counter (OTC) market OTC market is unregulated and less transparent Forwards, most swaps, and some options(custom instruments) More difficult to clear and settle. Not subject to requirements for the deposit of collateral. Counterparty credit risk with no central clearinghouse OTC market is a dealer market with no central location - Central counterparty (CCP) CCP takes on the counterparty credit risk of both sides of a trade, similar to CCH After 2008 crisis, central clearing mandate are instituted worldwidely swap execution facility (SEF): multiple dealers record their swap trades on SEF Disadvantage : counterparty risks are concentrated rather than distributed among financial intermediaries. 69. Forward and Contingent Claim Features and Instruments 1

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[24년] CFA 레벨1 Book 2 최종핵심 서브노트 (Portfolio Management and Corporate Issuers) 평가A+최고예요

Portfolio Management20. Portfolio risk and return: part1Risk aversion and CALRisk and Return of Major Asset Classes in U.S.Evaluating investments using E[R] and σ is a simplification because returns do not follow a normal distribution;Distributions are negatively skewed, with greater kurtosis(fatter tail)The negative skew reflects a tendency towards large downside deviations, positive excess kurtosis reflects frequent extreme deviations on both upside and downside.Risk averseWhen the expected returns are equal, risk-averse investor will always prefer the less risky portfolio.Financial models assume all investors are risk averse.Investors' Utility functionrepresent their preferences regarding the tradeoff between risk and returnU = E(r) − Aσ2Indifference curveIndifference curves slope upward for risk-averse investors, because they will take on more risk only given greater E[R]An indifference curves of risk-averse investor will be steeper, reflecting a higher risk aversion coefficient.Caes.Hedge fundsNot regulated to the extent to mutual fundOnly to qualified investor, ad high volume of investment amountBuyout fundsTaking a company private by buying all shares, funded by debt.The company is then restructured to increase cash flow.Venture capital fundsSimilar to buyout funds, except that the companies purchased are in the start-up phase.86. portfolio planning and constructionPortfolio planning and constructionIPS - Investment policy statementIt begins with the investor’s goals in terms of risk and return.The major components of an IPSDescription of Client circumstances, situation, and investment objectives.Statement of the Purpose of the IPS.Statement of Duties and Responsibilities of investment manager, custodian of assets, and the client.Investment Objectives derived from communications with the client.Investment Constraints that must be considered in the plan.Investment Guidelines such as how the policy will be executed, asset types permitted, and leverage to be usefying and measuring existing risks.Managing and mitigating risks to achieve the optimal bundle of risks.Monitoring risk exposures over time.Communicating across the organization.Performing strategic risk analysis.Risk governance: Senior management's Determination of 1) risk tolerance, 2) optimal risk exposure strategy, and framework for 2) oversight of risk management function.Risk governance seeks to achieve the best outcome consistent with risk toleranceRisk governance should be approached from enterprise viewRisk tolerance: setting the overall risk exposureSenior management Should determine risk tolerance and a risk management strategy on an organization-wide levelRisk budgeting: Process of allocating resources to assets and combine assets to meet risk tolerance.: Allocating acceptable risk to the mix of assets that have the greatest expected returns over time.: Selecting securities by their risk characteristics up to the maximum allowable amount of risk.The risk budget : Beta, VaR,mpany's obligations in a legal documentcovenants : require the company to take certain actions, or restrict it from taking certain actions.Creditor committees : gethering of bondholders to protect their interests when an issuer experiences financial distress.Board of Directors and Management Mechanismsboard of directors is elected by shareholders to act in their interestaudit committeenominating/governance committeeRisk and benefit of corporate governmentRisks of Poor Governance and Stakeholder Managementweak governance : lead to less-than-optimal risk, reducing company value.Poor compliance procedures : lead to legal and reputational risksBenefits of Effective Governance and Stakeholder ManagementEffective corporate governance can improve operational efficiencyIt implies effective control and monitoring.Formal policies regarding conlicts of interest lead to better operating results.Proper governance with respect to the interests of creditors can reduce the risk of debt default or bankility to repay short-term debtHigh profitability ratio indicate more favorable for company’s ability to service its debtCorporate tax rate is a factor in determining its optimal capital structureLeverage and coverage ratios are key for analyzing debt capacityDebt-to-EBITDA ratio > 3Interest coverage ratio < 2Market conditions can influence a firm’s financing decisions.Some companies and industries are subject to regulation with regard to their capital structure.Modigliani-Miller - capital structure theoryMM Proposition 1(No tax) - capital structure irrelevanceMM Proposition 1Capital markets are perfectly competitiveThere are no transactions costs, taxes, or bankruptcy costs.Investors have homogeneous expectationsRiskless borrowing and lending at rfNo agency costsInvestment decisions are unaffected by financing decisionMM1 Capital Structure Irrelevance PropositionThe value of a firm does not change depending on how the claims to its earnings are divided.amount of pie does not depend on .

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[24년]CFA 레벨1 Book 3 최종핵심 서브노트 (Financial statemet analysis) 평가A+최고예요

Financial Statement Analysis 29. Int. Financial statement analysis Financial statement Financial statement analysis framework - State the objectives and context Determine what questions the analysis seek to answer The form in which information’s need to be presented What resources and how much time are available to perform the analysis Gather data Acquire financial statements and other relevant data(industry, economy) Ask questions of the company’s management, suppliers, and customers, and visit company sites. Process the data : Make any appropriate adjustment to F/S - ratio, graphs, size Analyze and interpret the data : Use the date to answer and decide recommendations Report the conclusions or recommendations : Prepare for audience Update the analysis Roles of financial statement analysis Financial reporting : showing their financial performances to investors about financial statement Financial statement analysis is used by investors to make economic decisions Financial statement (F/ties -> OCI not expected to be held to maturity or traded in the near term. dividend and interest income and realized gains and losses are recognized in I/S. any unrealized gains and losses are reported in OCI trading securities -> I/S (Profit and Loss, PL) unrealized gains and losses are recognized in I/S. IFRS vs GAAP treatment of marketable securities Same Fair value(GAAP), FVPL(IFR) : Trading securities and Derivatives Similar Historical cost, AC (GAAP) / AC(IFRS) : Loan, Note receivable, debt securities(HTM), unlisted securities(FV cannot be determined) Available for sales(GAAP) / FVOCI(IFRS) : Debt securities(intended to collect interest payment, but to sell the securities before maturity) Different Equity securities Under IFRS, firms may make an irrevocable choice at the time of purchase as FVOCI or FVPL Under GAAP, Equity securities can never be classified as Available For Sales Either Historical cost(AC, IFRS) or fair value(FVPL, IFRS) Transmission of financial assets classifindoned, If a asset is exchanged for another asset, a gain or loss is computed(carrying value - fair value) IFRS disclosure Under IFRS, the firm must disclose PP&E Basis for measurement (usually historical cost) Useful lives or depreciation rate. Gross carrying value and accumulated depreciation. Reconciliation of carrying amounts from the beginning of the period to the end of the period. intangible assets are similar to PP&E except that the firm must disclose whether the useful lives are infite or indefinite. For impaired assets, the firm must disclose: Amounts of impairment losses and reversals by asset class. Where the losses and loss reversals are recognized in I/S Circumstances that caused the impairment loss or reversal. The firm must also disclose: Title restrictions and assets pledged as collateral. Agreements to acquire PP&E in the future. If the revaluation (FV) model is used, the firm must disclose: The revaluation date. How FV was determined. Carrying value using the histon weights the country index returns in the global index by a fundamental factor Sector index : industry sectors, such as Bio, manufacture, health care Style index : Large-cap, small-cap value fund Other index Fixed income index Large universe of securities The fixed-income security universe is much broader than the universe of stocks. Thus Replicating the return on a fixed-income security index is difficult for investors. An aggregate fixed-income index can be subdivided by market sector (government, government agency, collateralized, corporate), style (maturity, credit quality), economic sector, or some other characteristic to create more narrowly defined indexes. Dealer market and infrequent trading primarily traded by dealers, Thus index providers must depend on dealers for recent prices. a lack of recent trades may require index providers to estimate the value of index securities Many of the underlying securities in the index tend to be illiquid. The indexes are susceptible to tus Analyzing cost by relationship With output Operating profit = [Q x (P - VC)] - FC FC : fixed cost / VC : variable cost per unit [P - VC] : contribution margin(CM) DOL : degree of operating leverage Analyzing cost by relationship By nature Gross profit = Revenue - Cost of Sales EBITDA = Gross Profit - Operating Expenses EBIT = EBITDA - Depreciation and Amortization Analyzing cost by relationship By function Economies of scale : increasing output decreases unit costs. Economies of scope : adding product lines results in decreasing unit costs. Working capital Cash conversion cycle Working Capital Net Working Capital to sales Capital structure Leverage ratio Coverage ratio DFL : degree of financial leverage 46. Industry and Company analysis Business cycle sensitivity Cyclical firm high earnings volatility and high operating leverage products are often expensive, non-necessities whose purchase can be delayed until the economy improves. basic materials and processing, consumer discretionares

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[24년] CFA 레벨1 Book 1 최종핵심 서브노트 (Quant & Economics) 평가A+최고예요

Quantitative Methods1. Rate and ReturnsEay and compounding frequencyTime value of money(TVM)Interest rate is viewed asRequired rate of return : Equilibrium interest rateDiscount rateOpportunity cost of current consumptionReal risk-free rateTheoretical rate that has no expectation of inflation and zero probability of defaultT-bills is not real risk-free rates, but nominal risk-free rate because it contains an inflation premiumNominal risk free rate = real risk free rate + expected inflation rateNominal rate of interestNominal rate of interest = real risk free rate + inflation P + default P + liquidity P + maturity PReturn measurementHolding period return (HPR)Multiple periods :reflect compounding rateStocks which pay dividend :Arithmetic mean returnstatistical property of being an unbiased estimator of the true mean of the underlying distribution of returnsGeometric mean returnreflect compounding rateHarmonic meanaverage cost of shares purchased over timeSummationArithmetic mean : Inclu intervals for a variety of statistics in addition to the mean, such as the median.Offers a good representation of the statistical features of a population.It can be used to estimate the distributions of complex statistics.7. Sampling and EstimationSampling techniquesSampling methodProbability sampling : selecting a sample when we know the probability of each sampleNon-probability sampling : based on either low cost and easy access to some data, or on using the judgment of the researcher in selecting specific data items.less randomness in selection may lead to greater sampling error.Probability sampling methodsSimple random sampling : selecting a sample for each item in same likelihoodSystematic sampling : selecting every nth member from a population.Stratified random sampling : uses a classification in smaller groups based on distinguishing characteristicsoften used in bond indexing because of difficulty + cost of completely replicating the entire bonds.Cluster sampling : based on subSR divided by the number of independent variables.A linear regression has only one independent variable, so in this case, MSR = SSR.mean squared error (MSE): SSE divided by the degrees of freedom, [(n − 1) - number of independent variables]A simple linear regression has only one independent variable -> (n − 1) - 1Total variationSummarizationSST = SSR + SSETotal variation = explained variation + unexplained variationStandard error of estimate [SEE]SEE for a regression is the standard deviation of its residuals.The lower the SEE, the better the mode fitSEE = √MSE =Coefficient of determination [R2]R2 is defined as % of the total variation in dependent variable explained by independent variable.R2 =Statistics hypothesis analysisF-statisticIt assesses how well a set of independent variables explains the variation in the dependent variable.To determine whether b1 is statistically significant, F-statistic is usedDifferent functional formLog-lin modelIf the dependent variable is logarithmic whbrium, under these rules, the leader charges a higher price and receives a greater proportion of theNash equilibrium model (prisoner’s dilemma).Nash equilibrium - prisoner's dilemmaDomonant firm modelthere is a single firm that has a significantly large market share because of its greater scale and lower cost structure—the dominant irm (DF).In such a model, the market price is essentially determined by the dominant firm, and the other competitive firms (CF) take this market price as given.Based on this demand curve (DDF) and its associated marginal revenue (MRDF) curve, the firm will maximize proits at a price of P*.The competitive firms maximize proits by producing the quantity for which their marginal cost (MCCF) equals P*, quantity QCF .MonopolyCharacteristics of Monopoly competitionDue to high entry barriers, new entry is not easy, long-run positive economic profit can existMonopolists are price searchers and have imperfect information regarding market demandBreakeven and equlibriud for money becomes very elastic and individuals willingly hold more money even without a decrease in short-term rates.Increasing growth of the money supply will not decrease short-term rates because individuals hold the money instead of securities.If an economy is experiencing deflation despite expansionary, liquidity trap conditions may be present.Credit crunchbanks may not be willing to lend even with increasing excess reserves,Quantitative easing 1 : large purchases of bonds beyond tresuryQE 2 : Large purchases to lower longer-term interest rates and purchases of securities with credit riskEffect of both mixed policyExpansionary fiscal and monetary policyIn this case, the impact will be highly expansionary taken together. Interest rates be lower and the private and public sectors will both expand.Contractionary fiscal and monetary policyIn this case, AD and GDP be lower, and interest rates be higher.Both the private and public sectors would contract.Expansionary fiscal policy + con=

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