OK, Here is my check list of topics to know. I appreciate any feedback. 2010 Review CFA List Topic Weightings: 1. Ethics 10% 2 item sets 2. Equity Investments 5%-15% essay or item sets 3. Fixed Income 10%-20% mostly item sets 4. Derivatives 5%-15% mostly item sets 5. Alternative Investments 5%-15% either, weight 10%-15% last year 6. Portfolio Mgmt & Planning 45%-55% essay, weight 35%-45% last year 1. 10% is ethics. KNOW IT! 2. IPS Formulation: RRTTLLU, Know for individual & institutional accounts 3. Wealth Planning: a. Situational Profiling v. Psychological Profiling, Heuristics b. SS 4 had new readings on Taxes, Estate Planning, and Human Capital & Insurance. This will likely be a focus. 4. Institutional PM: a. Pensions: §lan Surplus, §rofits, ©ommon Factor Risk, (F)eatures, (W)orkforce. Also know relationship of Firm Beta & Plan Beta. b. Be able to create IPS for DB Plan, Foundation, Insurance Co, or Bank (know role of ALM). 5. Economics & Capital Market Expectations: a. Know Grinold-Kroener (several questions last year), b. Taylor Rule c. Use PPP to forecast FX rates d. Expect a question on forecasting PE of the market e. Know conditions for economic growth & Issues. 6. Global Asset Allocation will be tested with Indv. & Inst wealth mgmt. a. Know characteristics of Indv & Inst investors. b. Differentiate between SAA & TAA c. Be able to calculate and apply maximum utilization & Roy’s safety first. d. Understand Mean Variance Optimization , Black’s Theorem, shortcomings of MVO & what Black-Litterman or Resampling do to reduce sensitivity. e. Understand the impact of currency risk on a portfolio and calculate the impact of currency on returns and the contribution of currency risk. 7. Bond Rebalancing & Risk Minimization a. Dollar Duration targets, DD Assets v. DD Liabilities b. Using Futures to hedge bonds (# of contracts, basis risk/cross hedging, measures of risk, MBS hedging error. c. Immunization strategies d. Calculate the payoff of credit derivatives (call option v. forward contract) e. Describe Repos & what effects rates f. Calculate impact of leverage on returns. 8. Active Investing: a. Know how to create an appropriate benchmark b. Portable alpha c. Calculate & interpret the information ratio, expected utility of active return, & the components of active returns. d. Identify the components of the Cadbury Report 9. Alternative Investments: a. Differentiate btwn alternative investments & how they impact risk (Sharpe Ratio) & return of the portfolio. b. Know due diligence check points. c. Understand Commodity Index return = ®s + ®c + ®r, & convenience yield. d. Calculate hedge fund returns and discuss benchmarks. e. Reverse cash & carry arbitrage was asked in 2008. So know your swaps & arbitrage situations. 10. Risk Management: a. Value at risk (VAP) is key, calculate it & describe methods. b. Stress Testing & Risk budgeting c. Calculate risk adjusted performance (Sharpe, Sortino, etc) d. Describe each derivative strategy e. Be prepared to calculate payoff for interest rate calls/puts, caps & floors, delta hedge, & the notional principal needed for an int. rate swap. f. Be able to diagram a plain vanilla currency swap. 11. Rebalancing & Attribution a. Buy & Hold v. CPPI b. Discuss & calculate implementation shortfall c. You will have to calculate a time weighted return for a performance evaluation. Know Pros/Cons of TWR & MWR. d. Benchmarks, know properties, types, & construction. e. Micro & Global performance attribution. Calculate total return in base currency & of a global portfolio. f. Jensen v. Treynor v. Sharpe 12. GIPS!!!
Great effort. Can you please fill me in on “portable alpha”?
Portable alpha is LOS 32 T. A long equity position provides exposure to the market (beta), and stock selection provides “alpha”. So portable alpha refers to capturing the alpha without the exposure to systematic risk (beta). To implement, you go long an active manager, you short the index capturing the alpha without the beta (think of a long/short manager). You can then select whatever beta you prefer by going long another index. Portable alpha does 3 things: 1) provides a better understanding of risk, 2) provides exposure to other asset classes, and 3) it provides a better understanding of costs.
hey, thanks for this thread! Any input regarding: d. Identify the components of the Cadbury Report Thanks again, M.
Slash, stop playing with us. Molodovsky isn’t an LOS this year. Though I did Goggle it to see what it was and it took me to your old AF thread. Black Swan’s description of his emotional state is hilarious/spot on. For those interested Black Swan’s comments… "It’s like when you have your arms full of laundry and you drop a sock, bend over and pick it up, only to drop another sock, and it just keeps going like that. It seems everytime you have a handle on a portion of the curriculum, somebody asks a simple question and just as you’re thinking ‘duh, that’s level I stuff’ you realize you can’t remember the answer. "
sjuhawk Wrote: ------------------------------------------------------- > Slash, stop playing with us. Molodovsky isn’t an > LOS this year. > > Though I did Goggle it to see what it was and it > took me to your old AF thread. Black Swan’s > description of his emotional state is > hilarious/spot on. > > For those interested Black Swan’s comments… > > "It’s like when you have your arms full of laundry > and you drop a sock, bend over and pick it up, > only to drop another sock, and it just keeps going > like that. It seems everytime you have a handle on > a portion of the curriculum, somebody asks a > simple question and just as you’re thinking ‘duh, > that’s level I stuff’ you realize you can’t > remember the answer. " YEEEEEESSSSS! I’m famous, whatup.
malek_bg Wrote: ------------------------------------------------------- > hey, > > thanks for this thread! Any input regarding: > d. Identify the components of the Cadbury Report > > Thanks again, > M. any input? thanks! M.
what are you looking for? read the cadbury report - end of corp. governance reading.
Cadbury Report: Reporting & Controls Maintain objective & prof. rel with Auditors >=3 members of audit committee s/b independant Board provides full&understandable asessment of company Directors reponsibities statement proceeds auditors statement in annual report Directors State firm is going concern in report Directors report that internal control system is A-OK. Non-exec directors Apply independant judgement Should be formal policy for election Appointed for fixed term. No auto-renewal Majority should be completely independant of company Exec directors No contracts>3yrs without shareholder approval. Renum for all directors is published Renum committess s/b mostly independant directors Code of best practice Board meets regularly to discuss regular matters. Secretary reponsible for ensuring board procedures followed. All board mambers can access secretary. Sufficient number of board are independant (>=3) Mgmt responsabilities s/b separated. No one person should have total control. Board can bill firm when they need to pay for external advice Meet/monitor/control/wifeswap From actual memory… I hate myself
wow, thats impressive from memory.
allépourpêcher Wrote: ------------------------------------------------------- > Meet/monitor/control/wifeswap excellent