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How to Use the CFA Program Curriculum CFA Institute Learning Ecosystem (LES) Designing Your Personal Study Program Errata Other Feedback Asset Allocation Learning Module 1 Capital Market Expectations, Part 1: Framework and Macro Considerations Introduction & Framework for Developing Capital Market Expectations Framework and Challenges Challenges in Forecasting Limitations of Economic Data Data Measurement Errors and Biases The Limitations of Historical Estimates Ex Post Risk Can Be a Biased Measure of Ex Ante Risk Biases in Analysts’ Methods The Failure to Account for Conditioning Information Misinterpretation of Correlations Psychological Biases Model Uncertainty Economic and Market Analysis: The Role of Economic Analysis and Analysis of Economic Growth: Exogenous Shocks to Growth The Role of Economic Analysis Analysis of Economic Growth Applying Growth Analysis to Capital Market Expectations A Decomposition of GDP Growth and Its Use in Forecasting Anchoring Asset Returns to Trend Growth Approaches to Economic Forecasting Econometric Modeling Economic Indicators Checklist Approach Economic Forecasting Approaches: Summary of Strengths and Weaknesses Business Cycle Analysis, Phases of the Business Cycle and Market Expectations and the Business Cycle Phases of the Business Cycle Market Expectations and the Business Cycle Inflation and Deflation: Trends and Relations to the Business Cycle Analysis of Monetary and Fiscal Policies Monetary Policy What Happens When Interest Rates Are Zero or Negative? And Implications of Negative Rates for Capital Market Expectations Implications of Negative Interest Rates for Capital Market Expectations The Monetary and Fiscal Policy Mix and the Shape of the Yield Curve and the Business Cycle The Shape of the Yield Curve and the Business Cycle International Interactions Macroeconomic Linkages Interest Rate/Exchange Rate Linkages Summary References Practice Problems Solutions Learning Module 2 Capital Market Expectations, Part 2: Forecasting Asset Class Returns Introduction Overview of Tools and Approaches The Nature of the Problem Approaches to Forecasting Forecasting Fixed Income Returns Applying DCF to Fixed Income The Building Block Approach to Fixed-Income Returns Risks in Emerging Market Bonds Economic Risks/Ability to Pay Political and Legal Risks/Willingness to Pay Forecasting Equity Returns Historical Statistics Approach to Equity Returns DCF Approach to Equity Returns Risk Premium Approaches to Equity Returns Risks in Emerging Market Equities Forecasting Real Estate Returns Historical Real Estate Returns Real Estate Cycles Capitalization Rates The Risk Premium Perspective on Real Estate Expected Return Real Estate in Equilibrium Public vs. Private Real Estate Long-Term Housing Returns Forecasting Exchange Rates Focus on Goods and Services, Trade, and the Current Account Focus on Capital Flows Forecasting Volatility Estimating a Constant VCV Matrix with Sample Statistics VCV Matrices from Multi-Factor Models Shrinkage Estimation of VCV Matrices Estimating Volatility from Smoothed Returns Time-Varying Volatility: ARCH Models Adjusting a Global Portfolio Macro-Based Recommendations Quantifying the Views Summary References Practice Problems Solutions Learning Module 3 Overview of Asset Allocation Introduction Asset Allocation: Importance in Investment Management Investment Governance Background Governance Structures Articulating Investment Objectives Allocation of Rights and Responsibilities Investment Policy Statement Asset Allocation and Rebalancing Policy Reporting Framework The Governance Audit The Economic Balance Sheet and Asset Allocation Approaches to Asset Allocation Relevant Objectives Relevant Risk Concepts Modeling Asset Class Risk Strategic Asset Allocation Strategic Asset Allocation: Asset Only Strategic Asset Allocation: Liability Relative Strategic Asset Allocation: Goals Based Implementation Choices Passive/Active Management of Asset Class Weights Passive/Active Management of Allocations to Asset Classes Risk Budgeting Perspectives in Asset Allocation and Implementation Rebalancing: Strategic considerations A Framework for Rebalancing Strategic Considerations in Rebalancing Summary References Practice Problems Solutions Learning Module 4 Principles of Asset Allocation Introduction Asset-Only Asset Allocations and Mean–Variance Optimization Mean–Variance Optimization: Overview Monte Carlo Simulation Criticisms of Mean–Variance Optimization Addressing the Criticisms of Mean–Variance Optimization Reverse Optimization Black–Litterman Model Adding Constraints beyond Budget Constraints, Resampled MVO and Other Non-Normal Optimization Approaches Resampled Mean–Variance Optimization Other Non-Normal Optimization Approaches Allocating to Less Liquid Asset Classes Risk Budgeting Factor-Based Asset Allocation Developing Liability-Relative Asset Allocations and Characterizing the Liabilities Characterizing the Liabilities Approaches to Liability-Relative Asset Allocation: Surplus Optimization Surplus Optimization Approaches to Liability-Relative Asset Allocation Hedging/Return-Seeking Portfolio Approach Integrated Asset–Liability Approach Comparing the Approaches Examining the Robustness of Asset Allocation Alternatives Factor Modeling in Liability-Relative Approaches Developing Goals-Based Asset Allocations The Goals-Based Asset Allocation Process Describing Client Goals Constructing Sub-Portfolios and the Overall Portfolio The Overall Portfolio Revisiting the Module Process in Detail Issues Related to Goals-Based Asset Allocation Issues Related to Goals-Based Asset Allocation Heuristics and Other Approaches to Asset Allocation The “120 Minus Your Age” Rule The 60/40 Stock/Bond Heuristic The Endowment Model Risk Parity The 1/N Rule Portfolio Rebalancing in Practice Summary References Practice Problems Solutions Learning Module 5 Asset Allocation with Real-World Constraints Introduction Constraints in Asset Allocation and Asset Size Asset Size Liquidity Time Horizon Changing Human Capital Changing Character of Liabilities Regulatory and Other External Constraints Insurance Companies Pension Funds Endowments and Foundations Sovereign Wealth Funds Asset Allocation for the Taxable Investor and After-Tax Portfolio Optimization After-Tax Portfolio Optimization Taxes and Portfolio Rebalancing Strategies to Reduce Tax Impact Revising the Strategic Asset Allocation Goals Constraints Beliefs Short-Term Shifts in Asset Allocation Discretionary TAA Systematic TAA Dealing with Behavioral Biases in Asset Allocation Loss Aversion Illusion of Control Mental Accounting Representativeness Bias Framing Bias Availability Bias Summary References Practice Problems Solutions Glossary