CFA L2 科目七:衍生品+科目八:另類投資+科目九:組合投資+科目十: 職業道德

衍生品 (Derivatives)

Dive into the world of derivatives with a focus on forward commitments and contingent claims. While complex models like the Black-Scholes model aren't typically tested computationally, a strong understanding of forward, futures, and swap derivatives is crucial. Master the distinction between initial price and period value formulas, especially for bond futures. For swaps, concentrate on interest rate swaps, as currency swaps introduce added complexity. A deep understanding of the five Greeks – Delta, Gamma, Vega, Theta, and Rho – is essential. Know what each Greek represents, the factors influencing it, and how it changes with curve shifts.

另類投資 (Alternative Investments)

Explore diverse alternative investments, including private real estate, publicly traded real estate, private equity, and commodities. Many valuation methods overlap with those used in equity analysis. Real estate is categorized by trading status (public vs. private) and asset type (equity vs. debt). For private real estate, focus on income, cost, and comparative valuation methods. Publicly traded real estate, particularly REITs (Real Estate Investment Trusts), is a key area of study. Understand the advantages of investing in both public and private real estate, as well as the factors impacting various REIT segments. In private equity, analyze structure and terms (including alignment of interests and governance) and valuation (DPI, RVPI, TVPI). Commodities investments often involve futures, forwards, and swaps, demanding a grasp of commodity futures revenue components and analysis theories.

組合投資 (Portfolio Management)

This section expands to include ETFs, transaction costs, and electronic trading markets. While the core of portfolio management remains consistent, key areas include multivariate models, market risk, investment markets, and active portfolio management. Multivariate models, stemming from arbitrage pricing theory, encompass macroeconomic, fundamental, and statistical factor models. Focus on understanding their characteristics rather than complex calculations. Market risk heavily emphasizes VaR (Value at Risk) – its definition, estimation methods, pros/cons, and variations. Also, understand sensitivity analysis and scenario analysis. Investment markets analyze the required returns of various asset classes (credit risk, equities, real estate) based on inter-temporal substitution rates. Crucially, understand the relationship between economic cycles and the bond yield curve, and the purchasing power hedging capabilities of different assets. Active portfolio management requires analyzing the impact of leverage and investment composition on SR (Systematic Risk) and IR (Idiosyncratic Risk), and establishing the link between SR and IR through optimal active risk calculations.

職業道德 (Professional Ethics)

Professional ethics in the second level differs significantly from the first. Content is primarily based on the handbook, which provides detailed guidance, recommendations, and examples for each ethical standard. Thoroughly reviewing the handbook is highly recommended if time permits.