Portfolio management / 出力

全ての投資家にとってのOptimal capital allocation line

Capital market line (CML)
分散投資により低下させることができないリスク

Systematic risk
Firm size・Book-to-market ratio・Excess return on the market portfolioの3つのファクターを用いたmulti-factor model

Fama-French model
CAPMの関係式を示す直線

Security market line (SML)
Diversification ratio

Standard deviation of equally weighted portfolio returns / Average standard deviation of returns on each portfolio asset
ポートフォリオを計画する段階で、把握した情報に基づき、顧客のinvestment objectives and constraintsに関して記述した〇〇を作成する

Investment policy statement (IPS)
The IPS should be updated at least 〇〇

every few years
特定の目的のために継続的に金銭的支援を行うためのファンド

Endowment
Employee assumes the investment riskのpension plan

Defined contribution plans
複数のspecialist asset managerを有する持株会社

Multi-boutique firm
Asset managementの一形態で、特定のファクターに基づき投資を行うアプローチ

Smart beta
Management feeに加えて、新規購入や解約時に手数料が課されるmutual fund

load fund
Asset class内の個別銘柄をベンチマークよりもオーバウェイトやアンダーウェイトすること

Security selection
売買回数増加によるキャピタルゲイン税の負担を増やすリスクを避ける方法として、大部分をパッシブ運用として、残りをアクティブ運用とするapproach

Core-satellite approach
Cognitive errorsを2つに分けると

Belief perserverance bias / Processing error
Cognitive errorsよりも回避することが難しいbias

Emotional biases
Expected value of a loss given that the loss exceeds the VaR loss

Conditional VaR (CVaR)
CVaR is larger than VaR on 〇〇

an absolute value basis
The 〇〇 is a portfolio on the minimum-variance frontier with the lowest standard deviation

global minimum-variance portfolio
リターン向上を目的として一時的にasset allocationを中期的な目標から乖離させるもの

Tactical asset allocation
Belief perserverane biases (cognitive errorsの一種)の5つ

Conservatism bias/ Confirmation bias / Representativeness bias / Illusion of contorl bias / Hindsight bias
Processing errors (cognitive errorsの一種)の4つ

Anchoring and adjustment bias/ Mental accounting bias / Framing bias / Availability bias
Emotional biasesの6種

Loss-aversion bias / Overconfidence bias / Self-control bias / Status quo bias / Endowment bias / Regret-aversion bias
リスク回避度合いが低い方が、indifference curveは〇〇になる

flatter
The sharp ratio is calculated as 〇〇 by the standard deviation of returns

the portfolio's excess return over the risk-free rate dividend
The denominator f the Treynor ratio is 〇〇

systematic risk
The intercept of the Secrurity Characteristic line is Jansen's alpha while that of the Security Market Line is the 〇〇

risk-free rate
The intercept of 〇〇 is Jensen' alpha

Security Characteristic line
Risk-seeking investorのrisk aversion coefficientは〇〇

負の値
Risk of potential divergence between the cash flow timing of a derivative versus an underlying or hedged transaction

Liquidity risk
Risk of potential divergence between the expected value of a derivative versus an underlying or hedged transactions

Basis risk
手に入りやすい情報、すぐに思いついたことを優先するbias

Availability bias
これまでの認識と整合する情報を重視するbias

Confirmation bias
A fund manager says "We would not have incurred any losses during the financial crisis if my metrics had been ready for use at that time" どんなbiasか

Hingsight bias
不確実性の過小評価や、自分が正しい可能性を過大評価するもの

Overconfidence bias
長期的目標よりも短期的な満足を優先すること

Self-control bias
〇〇 are most likely to be attributable to overconfidence bias, confirmation bias, regret-aversion bias

Bubbles and crashes
〇〇 illustrates a portfolio's return in excess of those from a portfolio that has the same systematic risk and lies on the SML

Jensen's alpha
Total riskの１単位に対する追加リターン

Sharp ratio
あるポートフォリオに関しレバレッジをかける事で、当該ポートフォリオのトータルリスクがマーケットポートフォリオに等しくなるように調整した場合のリターンとマーケットポートフォリオのリターンの差

M-squqred
Senior's management's determination of the risk tolerance of the organization, the elements of its optimal risk exposure strategy, and the framework for oversight of the risk management function

Risk governance
リスクを負わないと決めた企業はデリバティブ契約によって可能性のある結果のdistribution (正規分布)を変える事ができ、これを〇〇と呼ぶ

Risk shifting
Portfolio that plot inside the minimum-variance frontier are

inefficient
Asset class rebalancing is part of the 〇〇 step

feedback
〇〇 bias is an information-processing bias in which people estimate the importatnce of a phenomenon or the probability of an outcome based on how easily information is recalled

Availability
Issurance is an example of 〇〇 a risk

transferring
DB plan requires the plan sponsor to specify the obligation stated in terms of the retirement income benefits owned to 〇〇

participants
Risk management comprises all the decisions and actions needed to best achieve organizational or personal objectives while 〇〇

bearing a tolerable level of risk
Risk governance is the 〇〇 process and guidance that directs risk management activities to align with and support the overall enterprise

top-down
A benchmark is used as a relative return objective and a good benchmark should be 〇〇

investable
A return objective can be a 〇〇

required rate of return
The return objective 〇〇 be consistent with the client's risk objective

consistent
The correlation between the risk-free asset and the optimal risky portfolio is expected to be

zero
A 〇〇 investor would maximize return irrespective of risk

risk-neutral
As a result of overconfidence bias, investors may hold 〇〇 diversified portfolios

poorly
〇〇 bias may lead investors to continue to hold classes of assets with which they are familiar

Endowment
As a result of 〇〇 bias, investors may hold investments in a loss position longer than justified by fundamental analysis, in the hope that they will return to breakeven

loss-aversion
In 〇〇, a phenomenon's rate of incidence in a larger population is negrected in favor of specific information

base-rate neglect
Overconfidence can also be involved in predicting growth rates, potentially leading growth stocks to be overvalued, leading to the 〇〇

value anomaly
the holding of investments that have experienced losses too long, and the selling of investments that have experienced gains too quickly

The disposition effect
Strageic asset allocation results from combining the constraints and objectives articulated in 〇〇 and long-term capital market expectations regarding the asset classes

IPS
The diversification ratio of a portfolio is 〇〇

standard deviation of the equally weighted portfolio's returns to the average standard deviation of the individual securities' returns
3つのFinancial risks

Credit / Liquidity / Market
Periodically, or when a certain threshold deviation from the policy weight has been breached, the portfolio should be 〇〇 back to the policy weights

rebalanced
The risk-free asset is 〇〇 with the other assets in the portfolio

uncorrelated
As a result of regret-aversion. bia, investors may engage in 〇〇 behavior

herding
〇〇 is an emotional bias in which people tend to avoid making decisions out of fear that the decision will turn out poorly

Regret-aversion bias
As a result of 〇〇 bias, investors may borrow excessively to finance present consumption

self-control
Dividends on 〇〇 are paid out to the shareholders whereas mutual funds usually reinvest the dividends

ETFs
ETFs are generally structured as 〇〇 funds

open-end
In statistical factor models data mining may generate many spurious factors that are devoid of any 〇〇

economic meaning
〇〇 risk is risk related to the economic system that cannot be eliminated by holding a diversified portfolio

Systematic
Adding assets classes with low correlation improves the 〇〇

risk-return trade-off (more return for similar risk)
Carhart four-factor modelはFama-french modelに何を加えたmlti-factor modelか

Momentum
when evaluating the return distribution of an asset class, the probability of extreme return is assessed by the distribution's 〇〇

kurtosis
Reflecting low barriers to entry, large wealth management firms have introduced 〇〇 solutions to service certain customer segments and appeal to a new generation of investors

robo-adviser
Rapid growth in robo-advisory assets is based on several industry trends including growing demand from "〇〇, and young investors

mass affluent
Momentum can be partly explained by 〇〇 biases

availability, hindsight, and loss aversion
The 〇〇 extends a favorable evaluation of some characteristics to other characteristics

halo effect
An insurance company's 〇〇 account is typically invested conservatively in a diverse allocation of fixed-income securities, while an 〇〇 account targets a higher return

general / surplus
〇〇 involves the establishment of a reserve to cover losses

Self-insurance
【英単語】risk appetite

リスク選好
Wherea risk tolerance focuses on the appetite for risk and what is and is not acceptable, 〇〇 has a more specific focus on how that risk is taken

risk budgeting
Risk budgeting quantifies and allocates the tolerable risk by specific metrics. Four well-known single-dimension measures that are often used are 〇〇

standard deviation, beta, value at risk, and scenario loss
Portfolio diversification 〇〇 the systematic risk of individual assets in a portfolio

does not reduce
The 〇〇, or 〇〇 is a more subjective factor based on the client's psychology

willingness to take a risk / risk attitude
Risk-averse investors make investment decisions that maximize return 〇〇

for the same amount of risk
〇〇 line is plotted on a graph with the excess return of a security on the y-axis and the excess return of the market on the x-axis

Security characteristic
〇〇 or 〇〇 is priced and investors are compensated for holding assets or portfolios based only on that investment's systematic risk

Systematic / non-diversifiable risk
Investment constraints can be determined by the 〇〇 or by the 〇〇

client / law
The ability to take risk is measured mainly in terms of objective factors, such as 〇〇

time horizon, expected income, the level of wealth relative to liabilities
A client's overall risk 〇〇 is a function of the client's ability to bear risk and his or her risk attitude, which might be considered as the client's willingness to take risk

tolerance
Capital market line does not apply to all securities or assets but only to portfolios on the 〇〇

efficient frontier
Total risk and systematic risk are equal only for efficient portfolios because those portfolios have 〇〇

no diversifiable risk remaining
Markowitz efficient frontier contains all portfolios of risky assets that 〇〇 will choose

rational, risk-averse investors
A curve that conects the minimum-variance portfolios for all possible returns

Minimum-variance frontier
the curve that lies above and to the right of the global minimum-variance portfolio

Markowitz efficient frontier
The client's utility function affects their 〇〇 to take risk

willingness
Under a contingent claim, one of the counterparties determines 〇〇

whether and when the trade will settle
A warrant is a type of 〇〇, which is an example of a contingent claim

option
A futures contract's 〇〇 reduces conterparty credit risk

variation margin
Long-term historical data on the risk-return trade-off of securities show that investors are

risk averse
In the portfolio management process, deciding on an asset allocation is part of the 〇〇 step

execution
The focus on the strategic asset allocation is the result of a number of important investment principles. One principle is that a portfolio's 〇〇 risk accounts for most of its change in value over the long term

systematic
The focus on the strategic asset allocation is the result of a number of important investment principles. One such principle is that the returns to groups of similar assets 〇〇 exposure to certain sets of systematic factors

predictably reflect
The decision to deliberately deviate from the policy exposures to systematic risk factos with the intent to add value based on forecasts of the near-term returns of those asset classes is called 〇〇

tactical asset allocation
The 〇〇 point on the minimum-variance frontier is the global minimum-variance portfolio

left-most
〇〇 plans typically have lower costs/risk to the company

Defined contribution (DC)
The key to a defined contribution (DC) plan is the employee accepts the 〇〇 and is responsible for ensuring that there are enough assets in the plan to meet their needs upon retirement

investment and inflation risk
Under 〇〇 plans, employers are responsible for the contributions made to a DB plan and bear the risk associated with adequately funding the benefits offered to employees

Defined benefit (DB)
The market model is likely to used to predict 〇〇 in a future period

company-specific returns
The sensitivity of the derivative price to a small change in the value of the underlying asset

Delta
Wherea delta is a first-order risk, 〇〇 is considered a second-order risk because it reflects the risk of changes in delta

Gamma
A numerical meausre of how sensitive an option's delta to a change in the calue of the underlying

Gamma
A first-order measure of the change in the derivative price for a change in the volatility of the underlying

Vega
Derivatives are also sensitive to changes in interest rates, which are reflected in a measure called 〇〇

Rho
The intercept on the y-axis of the security characteristic line is 〇〇

Jensen's alpha
【英単語】distinctive needs

独特のニーズ
The slope of the security market line is the 〇〇

market risk premium
The sharp ratio, also called the 〇〇, is the slope of the capital allocation line

reward-to-variability ratio
〇〇 risk is relevant for an investor when he holds a portfolio that is not fully diversified

Total
アルマrncratic risk

single company or industry (だからこそ、分散によってリスクを低下させられる)
〇〇 or 〇〇 is a common tail loss measure, defined as the weighted averaga of all loss outcomes in the statistical distribution that exceed the VaR loss

Conditional VaR or CVaR
Another tail risk metric in the credit risk space that is analogous to CVaR is 〇〇, which answers the question for a debt security, if the underlying company or asset defaults, how much do we loss on average ?

expected loss given default
Smart beta strategies feature somewhat 〇〇 management fees and 〇〇 portfolio turnover relative to passive market-cap weighted strategies

high / high
When defining asset classes, the paired correlations of assets within an asset class should be 〇〇

positive
The investor's optimal portfolio lies on the 〇〇

capital allocation line (CAL)
If it is optimal for an investor to allocate no wealth to the risk-free asset, the investor's optimal portfolio will lie on the 〇〇. However, this is not "always" the case

efficient frontier
As the number of assets in an equally weighted portfolio becomes large, the portfolio's variance of returns approaches the 〇〇 between the individual asset's returns

average covariance
The 〇〇 is important too, both in their ex ante demands on how companies approach risk and in the likely ex post reaction in the event of disasters

government and regulatory
The 〇〇 provides the best behavioral explanation of the value stock anomaly

halo effect
The 〇〇 is an information-processing bias in which a person answers a question differently based on the way in which it is asked or framed.

framing bias
quantitative risk objectives can be 〇〇 or 〇〇 or a combination of the two

absolute / relative
Measures of 〇〇 include the variance or standard deviation of returns and value at risk

absolute risk
〇〇 investment characteristic is usually related to the stock returns whose distribution is concentrated to the right

Negatively skewed
Two assets are correctly priced according to the CAPM. If the assets have the same expected variance of returns but different expected returns, the two assets must have different levels of 〇〇

both systematic risk and unsystematic risk
An investor bears more risk than initially thought because of the failure to consider the interaction of credit risk and market risk. This type of risk interaction is 〇〇

wrong-way risk
The risk tolerance of endowments is typically 〇〇

high
The risk tolerance of banks is 〇〇

quite low
The risk tolerance of an organization should reflect both an 〇〇 and 〇〇 view. The 〇〇 view asks what level of loss will leave the organization unable to meet critical objectives. The 〇〇 view asks what sources of uncertainty or risk the organization faces

inside / outside
In contrast to a contingent claim, a forward commitment creates counterparty risk for

both the long and the short positions
The Procedures section of an investment policy statementn explains the steps to keep the 〇〇

IPS current
The strategic asset allocation is a means of providing the investor with exposure to the 〇〇 risks of asset classes in proportions that meet the risk and return objectives

systematic
The set of rules that guide the process of restoring the portfolio's original exposures to 〇〇 factors is known as the rebalancing policy

systematic risk
ETFs can be transacted (and are priced) 〇〇

interday
Setting a limit for value at risk (VaR) describes self-insurance, an example of 〇〇

risk acceptance
According to capital market theory, the only type of risk that is priced is 〇〇

systematic risk
Returns on similar assets reflect exposures to certain sets of 〇〇

systematic factors
Open-end 〇〇 typically have a larger required minimum investment than ETFs

mutual funds
〇〇 mutual funds have a fixed number of shares outstanding

Closed-end
According to modern portfolio thoery, the risk captured by an asset's standard deviation 〇〇 the risk of that asset's returns in the context of a diversified portfolio

overstates
Investors must be compensated for accepting 〇〇 risk because that risk cannot be diversified away

systematic
The 〇〇 to a benchmark is the tracking error against the S&P 500 index

risk relative
Insurance has a 〇〇 correlation with other assets. Insurance gives a positive return when other assets lose value, but pays nothing if other assets maintain their value

negative
When a bank invests its excess reservesのbank's return objectiveはTo earn a return that exceeds the interest rate the bank pays on its 〇〇

deposits
As one moves to the right along an investor's efficient frontier, a set increase in risk is most likely lead to subsequentially 〇〇 increases in expected return

smaller
The correlation between the returns of a risk-free asset and a portfolio of risky assets is 〇〇

zero
With respect to derivatives, 〇〇 is a second-order risk

Gamma
Risk management is a process by which an organization or individuals defines the 〇〇 of risk to be taken with the 〇〇 of maximizing the portfolio's value

level / goal
〇〇, also sometimes referred to as unsystematic risk, is the inherent risk involved in investing a specific asset, such as a stock

Idosyncratic
〇〇 bias is an emortional bias in which people value an asset more when they own it than when they do not

Endowment
A combination of the risk-free asset and a risky asset can result in a better risk-return trade-off than an investment in only one type of asset because the risk-free asset has 〇〇 correlation with the risky asset

zero
Three priamry types of financial risks

Market risk / Credit risk / Liquidity risk
Security analysis is conducted in the 〇〇 step

execution
Risk management is a part of the 〇〇 step

execution
When forming asset classes for a strategic asset allocation, the defined asset classes should approximate the relevant 〇〇

investable universe
A portfolio risk budgeting process using only a single simple risk measure can provide 〇〇 benefits to the organization

substantial
The information ratio is calculated as Jensen's alpha divided by a security's 〇〇

nonsystematic variance
The information ratio measures the abnormal return per unit of risk added by the security to a well-diversified portfolio. The larger the information ratio is, the 〇〇 the security

more valuable
Base-rate neglect is connected to 〇〇 bias

representatibeness
〇〇 is the notion of bearing a risk that is considered undesirable but too costly to eliminate by external means. It may involve the establishment of a reserve to cover losses

Self-insurance
The risk-free asset could be combined with a risky portfolio to create capital allocation line. A specific CAL that uses the market portfolio as the optimal risky portfolio is known as the 〇〇

capital market line
CAPM asserts that the expected returns of assets vary only by their 〇〇 as measured by beta

systematic risk
The investor's policy with respect to rebalancing asset class weights is detailed in the Strategic Asset Allocation section or the Rebalancing Policy section that typically are included in the 〇〇

appendices
A successful portfolio risk budget lead to investment in assets with the highest return per 〇〇

unit of risk
The information ratio measures the 〇〇 return per unit of risk added by the security to a well-diversifed portfolio

abnormal
【英単語】A is relevant for B

AはBにとって重要である
〇〇, the difference between the return of the actively managed portfolio and the return of the passive portfolio, is a measure of risk-adjusted return

Alpha
With respect to behavioral finance, an explnation for the overeaction anomaly is 〇〇

loss aversion
If the correlation between assets in a two-asset portfolio is less than one, the standard deviation of the portfolio is 〇〇 the weighted average standard deviation of the individual assets

less than
The 〇〇 rate of a mortgage-pass through security is lower than the mortgage rate on the underlying pool

pass-through rate
The pass-through rate is lower than the mortgage rate on the underlying pool of morgages by an amount equal to the 〇〇

servicing and other administrative fees
Individual investors bear investment risk when participating in 〇〇 plans

defined contribution pension
SCL is a plot of the excess return of the security on the excess return of the market. 〇〇 is the intercept and the beta is the slope

Jensen's alpha
The market risk premium is the slope of the 〇〇

security market line
As an example of an 〇〇, the client may want to achieve a particular percentage rate of return

absolute objective
〇〇 focuses on the appetite for risk and what is and is not acceptable

Risk tolerance
In IPS, Appendices details 1) 〇〇 2) 〇〇

Strategic asset allocation / Rebalancing policy
The 〇〇 include conservatism bias, confirmation bias, representativeness bias, illusion of contorol bias, and hindsight bias

belief perseverance bias
With the introduction of return-generating models, particularly the 〇〇, we are able to decompose total variance into systematic and nonsystematic variances

single-index model
Adding assets classes with low correlation will only improve the risk-return trade-off if the 〇〇 of the added asset class does not exceed its diversification effect

stand-alone risk
A UK-based company issuing Japanese yen-denominated bonds to investors domiciled in Japan is an example of a 〇〇

foreign bond
A 〇〇 is a bond issued by a foreign company in the domestic market of the country in whose currency the bond is denominated

foreign bond
All else being equal, the 〇〇 the correlation, the lower the portfolio risk

lower
The CAPM-derived expected return is used as a 〇〇 or 〇〇 for discounting forecast cash flow to arrive at a valuation

hurdle rate / cost of capital
Under the 〇〇 approach, investors use shareholder power to influence corporate behavior to achive targeted ESG objectives along with financial returns

engagement/active ownership
The decision whether to use a nominal or real return objective is part of the 〇〇 step

planning
The Treynor ratio is a simple extension of the 〇〇 and resolves the 〇〇's first limitation by substituting beta for total risk

Sharp ratio
If a risk-free asset is available, an investor's optimal portfolio is the point of tangency between the 〇〇 and the investor's 〇〇

capital allocation line / indifference curve
Overlaying each individual's indifference curves on the 〇〇 will provide us with the optimal portfolio for that investor

capital allocation line
The optimal investor portfolio lies on the capital allocation line and any portfolio on tha capital allocation line lies above the efficient frontier (with the only exception being the 〇〇)

optimal risky portfolio
The slope of SML is the 〇〇

market risk premium
SCL is a plot of the excess return of the security on the excess return of the market. Jensen's alpha is the intercept and the 〇〇 is the slope.

beta
〇〇 is the return resulting from the manager's security selections

Alpha
In the context of risk management, entering an interest rate swap is an example of 〇〇

risk shifting
With expected return on the Y-axis and portfolio risk as measured by standard deviation on the X-axis, a risk-averse investor's indifference cuves will curve 〇〇

upward
〇〇 measures the difference between a portfolio's actual returns and its expected returns based on the CAPM

Jensen's alpha
The minimum required investment in ETFs is usually 〇〇 than that of mutual funds

smaller
〇〇 can often be corrected or eliminated through information, education, and advice

Cognitive errors
Jensen's alpha = 〇〇 - ［average risk-free rate + Portfolio beta (market return - risk-free rate)]

portfolio return
A portfolio' investment strategy relies on a particular element of the tax code to produce superior after-tax returns for high-net-worth individuals. Because of this strategy, the portfolio faces a high level of 〇〇 risk

compliance
Banks have a 〇〇 horizon and high liquidity needs

short-term
〇〇 is the process of deciding on the amount of risk to assume in a portfolio, and subdividing that risk over the sources of investment return (eg. strategic asset allocation, tactical asset allocation, and security selection)

Risk budgeting
The most common implementation of a single-index model is the 〇〇

market model
A limitation of the 〇〇 is that it is a single-period model that does not consider multi-period implications or investment objectives of future periods, which can lead to myopic and suboptimal investment decisions

CAPM
The 〇〇 section explains how to respond to various contingencies

Procedures
The belief that attractive characteristics of some firms mean they are automatically good stocks to own is an example of the 〇〇

halo effect

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