Portfolio Management L2

Lessons

CFA Level 2: Portfolio Management – Introduction

Mean-Variance Analysis Assumptions

Expected Return and Variance for a Two Asset Portfolio

The Minimum Variance Frontier & Efficient Frontier

Diversification Benefits

The Capital Allocation Line – Introducing the Risk-free Asset

The Capital Market Line

CAPM & the SML

Adding an Asset to a Portfolio – Improving the Minimum Variance Frontier

The Market Model for a Security’s Returns

Adjusted and Unadjusted Beta

Multifactor Models

Arbitrage Portfolio Theory (APT) – A Multifactor Macroeconomic Model

Risk Factors and Tracking Portfolios

Markowitz, MPT, and Market Efficiency

International Capital Market Integration

Domestic CAPM and Extended CAPM

Changes in Real Exchange Rates

International CAPM (ICAPM) – Beyond Extended CAPM

Measuring Currency Exposure

Company Stock Value Responses to Changes in Real Exchange Rates

ICAPM vs. Domestic CAPM

The J-Curve – Impact of Exchange Rate Changes on National Economies

Moving Exchange Rates and Equity Markets

Impacts of Market Segmentation on ICAPM

Justifying Active Portfolio Management

The Treynor-Black Model

Portfolio Management Process

The Investor Policy Statement