Bài giảng CFA - Nguyễn Đình Tú

 BỘ THÔNG TIN VÀ TRUYỀN THÔNG 
HỌC VIỆN CÔNG NGHỆ BƯU CHÍNH VIỄN THÔNG 
***** 
BÀI GIẢNG MÔN CFA 
Mã môn học: FIA 1402 
(03 tín chỉ) 
Biên soạn 
ThS. Nguyễn Đình Tú 
Hà Nội – 2015 
PT
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 MỤC LỤC 
Lời mở đầu ........................................................................................................................................ 3 
1. Chủ đề 1: Corporate Finance ........................................................................................................... 4 
1.1 Capital Budgeting .................................................................................................................... 4 
1.2 Cost of Capital .......................................................................................................................13 
1.3 Measures of leverage .............................................................................................................24 
1.4 Dividends and Share Repurchases ........................................................................................24 
1.5 Working capital management ................................................................................................33 
1.6 Corporate Governance ...........................................................................................................33 
2 Chủ đề 2: Market Organization .....................................................................................................36 
2.1 Market organization and structure .........................................................................................36 
2.2 Security market indices .........................................................................................................56 
2.3 Market efficiency ..................................................................................................................63 
3 Chủ đề 3: Equity Analysis and Valuation .....................................................................................68 
3.1 Overview of equity securities ................................................................................................68 
3.2 Introduction to industry and company analysis .....................................................................75 
3.3 Equity valuation: concepts and basic tools............................................................................85 
4 Chủ đề 4: Portfolio Management ................................................................................................108 
4.1 Portfolio management overview .........................................................................................108 
4.2 Portfolio risk and return ......................................................................................................114 
4.3 Portfolio planning and construction ....................................................................................152 
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LỜI NÓI ĐẦU 
Hiện nay trong chương trình đào tạo ngành Kế toán của Học viện Công nghệ Bưu chính 
Viễn thông ngoài những môn học hướng tới ngành đào tạo còn có những môn học sử dụng tài 
liệu tiếng Anh chuyên ngành như “CFA”, “Introduction to ACCA”. Những môn học này 
ngoài việc bổ sung kiến thức tiếng Anh chyên ngành còn cung cấp kiến thức tài chính kế toán 
theo hướng cập nhật các chuẩn mực quốc tế. Tuy nhiên với vốn tiếng Anh còn hạn chế của 
sinh viên Học viện, đã tạo ra không ít khó khăn trong công tác giảng dạy và học tập các môn 
học này. Nhận thấy vấn đề như trên, kết hợp với chủ trương của Học viện thực hiện biên soạn 
bài giảng, giáo trình, slide cho các môn học nhằm đồng bộ hóa tài liệu, tác giả đã thực hiện 
biên soạn bài giảng “CFA” dành riêng cho giảng viên và sinh viên ngành kế toán của Học 
viện. 
Bài giảng được thực hiện biên soạn trên tinh thần tiếp thu nội dung mới nhất những kiến 
thức từ chứng chỉ tài chính quốc tế CFA và kế thừa phát huy những điểm mạnh trong bài 
giảng của những trường đại học danh tiếng đồng thời dựa trên những kinh nghiệm thực tế 
giảng dạy của tác giả. Bài giảng đã hệ thống những nội dung theo đề cương chi tiết đã được 
Học viện ban hành: Corporate Finance, Market Organization, Equity Analysis and Valuation, 
Portfolio Management 
Để bài giảng thực sự trở thành tài liệu hữu ích phục vụ cho hoạt động giảng dạy và học 
tập, tác giả mong muốn nhận được những góp ý với tinh thần xây dựng, chia sẻ chân thành từ 
phía độc giả. 
Xin chân thành cảm ơn! 
 Hà Nội 06/2015 
CHỦ BIÊN 
NGUYỄN ĐÌNH TÚ 
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 Chủ đề 1: Corporate Finance. 
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1. Chủ đề 1: Corporate Finance 
1.1 Capital Budgeting 
Thecapital budgetingprocess istheprocessofidentifying andevaluating capitalprojects, 
thatis,projectswherethecashflowtothefirmwillbereceivedoveraperiod longerthan 
ayear.Anycorporate decisionswith animpact onfuture earningscanbe examined 
usingthisframework. Decisions about whether tobuyanewmachine, expand 
businessinanother geographic area,movethecorporate headquarters 
toCleveland,orreplaceadeliverytruck, tonameafew,canbeexamined 
usingacapitalbudgetinganalysis. 
Foranumberofgoodreasons,capitalbudgeting m a ybethemostimportant responsibility 
t h a t afinancialmanagerhas.First,becauseacapitalbudgeting decis ionoften 
involvesthepurchase ofcostlylong-term asse t swithlivesofmanyyears,the 
decisionsmademaydetermine thefuture successofthefirm.Second,theprinciples underlying 
t h e capitalbudgeting processalsoapplytoother corporatedecisions, such 
Asworking capitalmanagement a n d making strategicmergersandacquisitions. Finally, 
making goodcapitalbudgeting d ec i s i on s isconsistent withmanagement’s primary 
goalofmaximizing shareholdervalue. 
The capitalbudgetingprocesshasfour administrativesteps: 
Step1: Ideageneration.The mostimportantstepinthecapital budgetingprocess 
Isgeneratinggoodproject ideas .Ideascancomefrom anumberofsources includingsenior 
management,functionaldivisions, employees , orsources outside thecompany. 
Step2: Analyzingprojectproposals.Becausethedecision toacceptorrejectacapital project 
isbasedontheproject’s expectedfuture cashflows,acashflowforecast must 
bemadeforeachproducttodetermine i t s expectedprofitability. 
Step3: Createthefirm-widecapitalbudget.Firmsmust prioritizeprofitableprojects according 
tothetiming oftheproject’s cashflows,availablecompany resources, andthecompany’s 
overallstrategic plan. Many projectsthatareattractive 
ind iv idua l l ymaynotmakesensestrategically. 
Step4: Monitoring decis ionsandconductingapost-audit. 
Itisimportanttofollowuponallcapital budgetingdecisions. Ananalyst should compare 
theactual resultstotheprojectedresults, andproject managers should explain why 
projectionsdidordid notmatch actual performance. Becausethecapital budgetingprocess 
isonly asgood astheestimates ofthe inputs into themodel usedtoforecast cashflows,apost-
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auditshould beusedtoidentifysystematic errorsintheforecasting processandimprove 
companyoperations. 
Categories ofCapital Budgeting Projects 
Capital budgetingprojects maybedivided intothefollowing categories: 
Replacementprojectstomaintain t h e businessarenormallymadewithout 
detailedanalysis.The onlyissuesarewhethertheexisting operationsshould continueand, 
ifso,whetherexisting procedureso r processesshould bemaintained. 
Replacementprojectsfor costreductiondeterminewhetherequipmentthat is obsolete, 
butstillusable, shouldbereplaced. Afairlydetailed analysis isnecessary inthiscase. 
Expansionprojectsaretaken onto growthebusiness andinvolveacomplexdecision-making 
processbecause theyrequire anexplicit forecastoffuture demand.Averydetailed 
analysisisrequired. 
Newproduct ormarketdevelopmentalsoentails acomplex decision-makingprocessthat 
willrequire adetailed analysisdueto thelargeamount o f uncertainty involved. 
Mandatoryprojectsmayberequired byagovernmental agencyorinsurance company 
andtypically involvesafety-related o r environmentalconcerns.These projects 
typicallygeneratelittletonorevenue, buttheyaccompany n e w revenue 
producingprojects undertakenbythecompany. 
Otherprojects.Someprojects arenot easilyanalyzed throughthecapital budgetingprocess. 
Suchprojects mayinclude apetproject ofsenior management(e.g., corporateperks) orahigh-
riskendeavor that isdifficulttoanalyzewith typical capital budgetingassessment 
methods(e.g.,research anddevelopmentprojects). 
The capitalbudgetingprocessinvolvesfivekeyprinciples: 
1. Decisionsarebasedoncash flows, notaccountingincome.Therelevant cashflowsto 
consider aspartofthecapital budgetingprocessareincrementalcashflows,the 
changesincashflowsthatwilloccuriftheproject isundertaken. 
Sunk costs arecoststhat cannotbe avoided, eveniftheproject isnot undertaken. 
Becausethesecostsarenotaffected bytheaccept/rejectdecision, t he yshould 
notbeincludedintheanalysis.Anexample ofasunk costisaconsultingfeepaid toa 
marketingresearch firmtoestimate demandforanewproductprior toadecision 
ontheproject. 
Externalitiesaretheeffectstheacceptance o f aproject mayhaveonother firm cashflows.The 
primaryoneisanegative externality calledcannibalization, whichoccurswhen anewproject 
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takessalesfrom anexisting product.When 
cons ider ingexternalities,thefullimplicationofthe newproject ( lossinsalesofexisting 
products)should betaken intoaccount. Anexample ofcannibalizationiswhen asoftdrink 
companyin t roducesadietversion ofanexistingbeverage.The analystshould 
subtractthelostsalesoftheexisting beveragefrom theexpected newsales ofthedietversion 
whenestimatedincrementalproject cashflows.Apositive externalityexistswhen 
doingtheproject wouldhaveapositive effectonsalesofa firm'sother productlines. 
Aproject hasaconventionalcashflowpattern ifthesignonthecashflows changes onlyonce,with 
oneormore cashoutflows followedbyoneormore cashinflows. 
Anunconventionalcashflowpattern hasmore thanonesignchange. Forexample, aproject 
mighthaveaninitial investmentoutflow, aseriesofcash inflows, andacashoutflow 
forassetretirementcostsattheendoftheproject's life. 
2. Cash flowsarebasedonopportunity costs.Opportunity costsarecashflowsthat 
afirmwilllosebyundertakingtheproject underanalysis.These arecashflowsgenerated 
byanassetthefirmalreadyownsthatwould beforgone iftheproject 
underconsiderationisundertaken.Opportunitycostsshould beincludedinproject 
costs.Forexample,whenbuildingaplant, evenifthefirmalreadyownstheland, 
Thecostofthelandshould bechargedtotheproject becauseitcouldbesoldifnot used. 
3. Thetiming ofcash flowsisimportant. Capital budgetingdecisions accountforthe 
timevalueofmoney,which meansthat cashflowsreceivedearlierareworth morethan 
cashflowstobereceivedlater. 
4. Cash flowsareanalyzedonanafter-tax basis.Theimpact oftaxesmust beconsidered 
whenanalyzing allcapital budgetingprojects. Firmvalueisbasedoncashflowsthey 
gettokeep,notthosetheysendtothegovernment. 
5. Financingcostsarereflectedintheproject'srequiredrateofreturn.Donotconsider financing 
costsspecifictotheproject whenestimatingincrementalcashflows.The 
discountrateusedinthecapital budgetinganalysistakesaccountofthefirm'scostofcapital. 
Onlyprojects thatareexpected toreturn morethan thecostofthecapital needed tofund 
themwillincreasethevalueofthe firm. 
Independentvs.MutuallyExclusiveProjects 
Independent projectsareprojects thatareunrelatedtoeachother andallowforeach project 
tobeevaluated basedonitsownprofitability.Forexample, ifprojects 
AandBareindependent,andboth projectsareprofitable, then thefirmcould acceptboth 
projects. Mutuallyexclusive means that onlyoneproject inasetofpossible projects 
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canbeaccepted andthat theprojects compete with eachother. Ifprojects AandB 
weremutuallyexclusive,thefirmcould accepteither ProjectAorProject B,but 
notboth.Acapital budgetingdecision between twodifferentstampingmachines with 
different costsandoutput would beanexample ofchoosing between twomutually 
exclusiveprojects. 
Project Sequencing 
Someprojectsmust beundertakeninacertain order,orsequence, sothat investing in aproject 
today createstheopportunitytoinvest inother projects inthefuture. For example, if a project 
undertakentoday is profitable, that maycreate the opportunity to invest in a second project a 
year from now. However, if the project undertakentoday turns out to be unprofitable, the 
firm willnot investinthesecond project. 
UnlimitedFunds vs.Capital R a t i o n i n g 
Ifafirmhasunlimitedaccesstocapital, thefirmcanundertakeallprojects withexpected 
returnsthatexceedthecostofcapital. Many firmshaveconstraintsonthe amount o f capital 
theycanraiseandmust usecapitalrationing. Ifafirm'sprofitable project 
opportunitiesexceedtheamount offundsavailable, thefirmmust ration, or 
prioritize,itscapital expenditureswith thegoalofachieving themaximum increase in 
valueforshareholders givenitsavailable capital. 
Net PresentValue(NPV) 
Wefirstexamined thecalculation ofnetpresent value(NPV) inQuantitative Methods. 
The NPVisthesumofthepresent valuesofalltheexpected incrementalcashflowsifaproject 
isundertaken.The discountrateusedisthefirm'scostofcapital, 
adjustedfo r theriskleveloftheproject. Foranormal project, with aninitial cashoutflow 
followed byaseriesofexpected after-tax cashinflows, theNPV isthe present 
valueoftheexpected inflows minus the initial costoftheproject. 
where: 
CF0=initial investmentoutlay (anegative cashflow) 
CFt=after-tax cash flowattime t 
k =required ra t eofreturn forproject 
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Apositive NPV project isexpected toincrease shareholder wealth, anegative NPV project 
isexpected todecreaseshareholder wealth, and azeroNPV project hasno expected 
effectonshareholder wealth. 
Forindependent projects, theNPV decisionruleissimply toaccept anyproject with a positive 
NPV andtorejectanyproject with anegative NPV. 
Example: NPV analysis 
Using the project cash flows presented Table 1, compute the NPV of each project’s cash 
flows and determine for each project whether it should be accepted or rejected. Assume that 
the cost of capital is 10%. 
Table 1: Expected Net after - Tax Cash Flows 
Year (t) Project A Project B 
0 -$2,000 -$2,000 
1 1,000 200 
2 800 600 
3 600 800 
4 200 1,200 
Answer: 
Both Project A and Project B have positive NPVs, so both should be accepted. 
InternalRateofReturn ( IRR) 
Foranormal project,theinternalrate ofreturn (IRR) isthediscount ratethat makes thepresent 
valueoftheexpected incremental after-tax cashinflowsjust equaltothe initial costoftheproject. 
Moregenerally, theIRRisthediscount ratethat makes thepresent valuesofaproject'sestimated 
cashinflowsequaltothepresent valueofthe project's estimated cashoutflows.That 
is ,IRRisthediscount r a t e that makesthe following relationshiphold: 
PV(inflows) =PV(outflows) 
The IRRisalsothediscount r a t e forwhich theNPV ofaproject isequaltozero: 
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TocalculatetheIRR,youmayusethetr ... (a) Capital Market Line E(R) CML 
Rf 
M 
E(RM) 
PM w/margin 
A 
E 
C 
D 
E(R) SML 
Rf 
B 
E(RM) PT
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 Chủ đề 4: Portfolio Management 
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return on the market, and the expected returns at Point A and Care greater and less than the 
expected return on the market (tangency) portfolio, respectively. 
Note that a low-beta stock, such as represented by Point C, is not necessarily low-risk when 
total risk is considered. While its contribution to the risk of a well-diversified portfolio may 
be low, its risk when held by itself can be considered quite high. A firm whose only activity is 
developing a new, but as yet unproven, drug may be quite speculative with highly uncertain 
returns. It may also have quite low systematic risk if the uncertainty about itsfuture returns 
depends primarily on firm-specific factors. 
All stocks and portfolios that plot along the line labeled β = 1 in Figure 9 have the same 
expected return as the market portfolio and, thus, according to the CAPM, have the same 
systematic risk as the market portfolio (i.e., they all have betas of one). 
All points on the CML (except the tangency point) represent the risk-return characteristics 
of portfolios formed by either combining the market portfolio with the risk-
freeassetorborrowing attherisk-freerateinordertoinvestmorethan 100%of theportfolio's 
netvalueintheriskymarket portfolio (investing onmargin). Point DinFigure8represents 
aportfolio that combines themarket portfolio with therisk-free asset,whilepoints 
abovethepoint oftangency,suchasPointE,represent portfolios createdbyborrowing attherisk-
freeratetoinvestinthemarket portfolio.Portfolios that 
donotlieontheCMLarenotefficientandtherefore haveriskthatwillnotbe rewardedwithhigher 
expectedreturns inequilibrium. 
According totheCAPM, allsecuritiesandportfolios, d iv e r s i f i ed ornot,willplotontheSMLin 
equilibrium. In fact, all stocks and portfolios along the line labeled β = 1 in 
Figure9,including themarket portfolio,willplotatthesamepoint ontheSML.They 
willplotatthepoint ontheSMLwith betaequaltooneandexpectedreturn equalto theexpected 
returnonthemarket, regardless of their totalrisk. 
The CAPMisoneofthemostfundamental concepts ininvestment theor y.The 
CAPMisanequilibrium m o d e l thatpredicts theexpected returnonastock,giventheexpected 
return onthemarket, thestock'sbetacoefficient, andtherisk-freerate. 
BecausetheSMLshowstheequilibrium (required) returnforanysecurityorportfolio 
basedonitsbeta (systematicrisk),analystsoftencompare theirforecastofasecurity's return 
toitsrequired returnbasedonitsbetarisk.Thefollowingexampleillustrates this technique. 
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Example: Identifying mispriced securities 
The following figure contains information based on analyst’s forecasts for three stocks. 
Assume a risk-free rate of 7% and a market return of 15%. Compute the expected and 
required return on each stock, determine whether each stock is undervalued, overvalued, 
or properly valued, and outline an appropriate trading strategy. 
Forecast Data 
Stock Price Today 
E(Price) in 1 Year E(Dividend) in 1 Year 
Beta 
A $25 
$27 
$1.00 
1.0 
B 40 
45 
2.00 
0.8 
C 15 
17 
0.50 
1.2 
Answer: 
Expected and required returns computations are shown in the following figure. 
Forecasts vs. Required Returns 
Stock Forecast Return Required Return 
A 
B 
C 
• Stock A is overvalued. It is expected to earn 12%, but based on its systematic risk, 
it should earn 15%. It plots below the SML. 
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• Stock B is undervalued. It is expected to earn 17.5%, but based on its systematic 
risk, it should earn 13.4%. It plots above the SML. 
• Stock C is properly valued. It is expected to earn 16.6%, and based on its 
systematic risk, it should earn 16.6%. It plots on the SML. 
The appropriate trading strategy is: 
• Short sell Stock A. 
• Buy Stock B. 
• Buy, sell, or ignore Stock C. 
We can do this same analysis graphically. The expected return/beta combinations of all 
three stocks are graphed in the following figure relative to the SML. 
Identifying Mispriced Securities 
Remember, allstocks should plot on the SML; anystock not plotting on the SML is mispriced. 
Notice that Stock A falls below the SML, Stock B lies above the SML, and Stock C is on the 
SML. If you plot a stock’s expectedreturn and it falls below the SML, the stock is 
overpriced. That is, the stock's expected return is too low given itssystematic risk. If a stock 
plots above the SML, it is underpriced and is offering an expected return greater than 
required for its systematic risk. If it plots on the SML, the stock is properly priced. 
A 
C 
B 
E (R) 
7 
Beta risk 
SML 
0.8 1 1.2 
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Because the equation of the SML is thecapital assetpricing model, you can determine if a 
stock is over- or underpriced graphically or mathematically. Your answers willalways be 
the same. 
When we evaluate the performance of a portfolio with risk that differs from that of a 
benchmark, we need to adjust the portfolio returns for the risk of the portfolio. There 
are several measures of risk-adjusted returns that are used to evaluate relative portfolio 
One such measure is the Sharpe ratio 
The Sharpe ratio of a portfolio is its excess returns per unit of total portfolio risk, and 
higher Sharpe ratios indicate better risk-adjusted portfolio performance. Note that this 
is a slope measure and, as illustrated in Figure 9, the Sharpe ratios of all portfolios 
along the CML are the same. Because the Sharpe ratio uses total risk, rather than 
systematic risk, it accounts for any unsystematic risk that the portfolio manager has taken. 
Note that the value of the Sharpe ratiois only useful for comparison with the Sharpe ratio of 
another portfolio. 
In Figure 10, we illustrate that the Sharpe ratio is the slope of the CAL for the portfolio 
and can be compared to the slope of the CML, which is the Sharpe ratio for any portfolio 
along the CML. 
Figure 10: Sharpe Ratios as Slopes 
E (R) 
Rf 
RPI 
RM 
RP2 
P1 
P2 
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~--~ 
The M-squared (M2) measure produces the same portfolio rankings as the Sharpe ratiobut is 
stated in percentage terms. It is calculated as 
The intuition of this measure is that the first term is the excess return on a Portfolio P*, 
constructed by taking a leveraged position in Portfolio P so that P* has the same total 
risk, M, as the market portfolio. As shown in Figure 11, the excess return on such a 
leveraged portfolio is greater than the return on the market portfolio by the vertical 
distance M2. 
Figure 11: M-squared for a Portfolio 
Two measures of risk-adjusted returns based on systematic risk (beta) rather than totalrisk 
are theTreynor measure and Jensen's alpha. They are similar to the Sharpe ratio and M2 in 
that the Treynor measure is based on slope and Jensen's alpha is a measure of percentage 
returns in excess of those from a portfolio that has the same beta but lies on the SML. 
The Treynor measure is calculated as , interpreted as excess returns per unit of 
systematic risk, and represented by the slope of a line as illustrated in Figure 12. 
Jensen's alpha for Portfolio Pi calculated as = R - [Rf + βp(RM - Rf)] and is the 
percentage portfolio return above that of a portfolio (or security) with the same beta as 
the portfolio that lies on the SML, as illustrated in Figure 12. 
E (R) 
Rf 
RP 
RM 
P 
M 
P
* 
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Figure 12: Treynor Measure and Jensen’s Alpha 
Whether risk adjustment should be based on total risk or systematic risk depends on 
whether a fund bears the nonsystematic risk of a manager's portfolio. If a single manager 
is used, then the total risk (including any nonsystematic risk) is the relevant measure 
and risk adjustment using total risk, as with the Sharpe and M2 measures, is appropriate. If 
a fund usesmultiple managers so that the overall fund portfolio is well diversified (has no 
nonsystematic risk), then performance measures based on systematic (beta) risk, such as the 
Treynor measure and Jensen's alpha, are appropriate. 
These measures of risk-adjusted returns areoften used to compare theperformance of actively 
managed funds to passively managed funds. Note in Figures 10 and 11 that portfolios that lie 
above the CML have Sharpe ratios greater than those of any portfolios along the CML and 
have positive M2 measures. Similarly, in Figure 12, we can see that portfolios that lie above 
the SML have Treynor measures greater than those of any security or portfolio that lies along 
the SML and also have positive values for Jensen's alpha. 
One final note of caution isthat estimating the values needed to apply these theoretical models 
and performance measures is often difficult and is done with error. The expected return on the 
market, and thus the market risk premium, may not be equal to its average historical value. 
Estimating security and portfolio betas is done with error as well.
Jensen’s alpha 
E (R) 
Rf 
RP 
RM 
P 
 1 
M 
SML 
Slope = Treynor measure for 
Portfolio P 
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4.3 Portfolio planning and construction 
Aninvestment manager isveryunlikelytoproduce agoodresultforaclientwithout 
understandingthat client’sneeds,circumstances, andconstraints. 
Awritten investmentpolicy statementwilltypicallybeginwith 
theinvestor'sgoalsintermsofriskandreturn. These should bedetermined j o i n t l y , 
asthegoalsofhighreturnsandlowrisk(whilequitepopular) arelikelytobemutually 
exclusiveinpractice. Investorexpectations intermsofreturns mustbecompatible 
wi th investor'stolerance forrisk(uncertaintyabout portfolioperformance). 
Themajorcomponents ofanIPStypicallyaddressthefollowing: 
 DescriptionofClientcircumstances, s i t ua t ion , a n d investment object ives . 
 Statementof thePurposeoftheIPS. 
 StatementofDutiesandResponsibilitiesofinvestment manager, custodianofassets, 
andtheclient. 
 Procedures toupdate IPSandtorespond tovariouspossiblesituations. 
 Investment Objectivesderivedfromcommunicationswith theclient. 
 Investment Constraintsthat mustbeconsidered intheplan. 
 Investment Guidelinessuchashowthepolicywillbeexecuted, assettypespermitted, 
andleveragetobeused. 
 Evaluationof Performance,thebenchmark p o r t fo l i o forevaluating 
investmentperformance, a n d other informationonevaluation ofinvestment r e s u l t s . 
 Appendicescontaininginformationonstrategic (baseline)assetallocation 
andpermitteddeviations frompolicyportfolio al locations , aswellashowandwhenthe 
portfolio al locationsshouldberebalanced. 
Inanycase,theIPSwill,ataminimum,contain aclearstatement o f client circumstances 
andconstraints, a n investment strategybasedonthese,andsome benchmark 
a g a i n s t whichtoevaluatetheaccount performance. 
Theriskobjectives inanIPSmaytakeseveralforms.Anabsolute r iskobjective 
mightbeto"havenodecreaseinportfolio valueduring any12-month p e r i o d ” orto"not 
decreaseinvaluebymorethan2%atanypoint overany12-month p e r i o d ." Low 
absolutepercentage riskobjectivessuchasthesemayresultinportfolios madeupof securitiesthat 
offerguaranteed re turns (e.g., U.S.Treasurybills). 
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Absolute riskobjectivescanalsobestated intermsoftheprobability o f specificportfolio 
results,percentage lossesordollarlosses,rather thanstrictlimitsonportfolio 
results.Examplesareasfollows: 
"Nogreaterthan a5%probability o f returns below-5% i n any12-month p e r i o d ." 
"Nogreaterthan a4%probability o f alossofmorethan $20,000 overany12-month p e r i o d ." 
Anabsolute returnobjectivemaybestatedinnominal terms, suchas"anoverallreturn 
ofatleast6%perannum,"orinrealreturns, suchas"areturn of3%morethan theannual 
inflationrateeachyear." 
Relativeriskobjectives relatetoaspecificbenchmark andcanalsobestrict, suchas, "Returns 
willnotbeless than 12-montheuroLIBOR overany12-monthperiod," or 
statedintermsofprobability, suchas,"Nogreaterthan a5%probability ofreturns 
morethan4%belowthereturn ontheMSCIWorld Indexoverany12-month period." 
Return objectivescanberelativetoabenchmark p o r t fo l io re tu rn , suchas,"Exceedthereturn 
ontheS&P500Indexby2%perannum."Forabank,thereturn 
objectivemayberelativetothebank'scostoffunds (deposit rate).While itispossibleforan 
institutiontousereturns onpeerportfolios, suchasanendowment w i t h astated 
objectivetobeinthetopquartile ofendowment f u n d returns, peerperformance benchmarks 
suffer fromnotbeinginvestableportfolios. There is no way to match thisinvestment return 
byportfolio construction before the fact. 
Inanyevent,theaccount managermust makesurethat thestatedriskandreturn 
objectivesarecompatible, g i v e n therealityofexpectedinvestment r e s u l t s and uncertainty 
overtime. 
Aninvestor'sability tobearriskdepends onfinancialcircumstances. Longerinvestment horizons 
(20yearsrather than 2years),greaterassetsversusliabilities (morewealth), moreinsurance 
againstunexpected occurrences, andasecurejoballsuggestagreater abilitytobearinvestment 
riskintermsofuncertaintyabout periodic investment performance. 
Aninvestor'swillingness t o bearriskisbasedprimarily ontheinvestor'sattitudes andbeliefsabout 
investments( variousassettypes).Theassessmentofaninvestor'sattitude about 
riskisquitesubjectiveandissometimes donewith ashort questionnairet h a t attempts 
t o categorizetheinvestor'sriskaversionorrisktolerance. 
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When theadviser'sassessmentsofaninvestor'sabilityandwillingness totakeinvestment 
riskarecompatible, t h e r e isnorealproblem selectinganappropriate l e v e l ofinvestment 
risk.Iftheinvestor'swillingness totakeoninvestment r i s k ishighbuttheinvestor's 
abilitytotakeonriskislow,thelowabilitytotakeoninvestment r i skwillprevailinthe 
adviser'sassessment. 
In situations where ability is high but willingness is low, the adviser may attempt to educate 
the investor about investment risk and correct any misconceptions that may be contributing 
to the investor's low stated willingness to take on investment risk. However, the adviser's 
job is not to change theinvestor'spersonality 
characteristics thatcontributetoalowwillingness totakeoninvestment r i sk .The approach 
willmostlikelybeto conform totheloweroftheinvestor'sabilityorwillingness 
tobearrisk,asconstructingaportfolio withalevelofriskthat theclientisclearlyuncomfortable 
withwillnotlikelyleadtoagoodoutcome intheinvestor'sview investmentconstraintsinclude 
theinvestor'sliquidity needs,timehorizon, tax considerations,legalandregulatory 
constraints, a n d unique needsandpreferences. 
TÀI LIỆU THAM KHẢO 
1. Schweser Notes CFA Level 1, Kaplan Schweser, 2011 
2. CFA Program Curriculum Level 1, CFA Institute, 2011 
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