Study Notes for CFA® Level III – Derivatives and Currency Management – offered by AnalystPrep

Study Notes for CFA® Level III – Derivatives and Currency Management – offered by AnalystPrep

Reading 17: Options Strategies

Los 17 a: Demonstrate how an asset’s returns may be replicated by using options

Los 17 b: Discuss the investment objective(s), structure, payoff, risk(s), value at expiration, profit, maximum profit, maximum loss, and breakeven underlying price at expiration of a covered call position

Los 17 c: Discuss the investment objective(s), structure, payoff, risk(s), value at expiration, profit, maximum profit, maximum loss, and the breakeven underlying price at expiration of a protective put position

Los 17 d: Compare the delta of covered call and protective put positions with the position of being long an asset and short a forward on the underlying asset

Los 17 e: Compare the effect of buying a call on a short underlying position with the effect of selling a put on a short underlying position

Los 17 f: Discuss the investment objective(s), structure, payoffs, risk(s), value at expiration, profit, maximum profit, maximum loss, and the breakeven underlying price at expiration of the following option strategies: bull spread, bear spread, straddle, and collar

Los 17 g: Describe uses of calendar spreads

Los 17 h: Discuss volatility skew and smile

Los 17 i: Identify and evaluate appropriate option strategies consistent with given investment objectives

Los 17 j: Demonstrate the use of options to achieve targeted equity risk exposures

Reading 18: Swaps, Forwards and Futures Strategies

Los 18 a: Demonstrate how interest rate swaps, forwards, and futures can be used to modify a portfolio's risk and return

Los 18 b: Demonstrate how currency swaps, forwards, and futures can be used to modify a portfolio's risk and return

Los 18 c: Demonstrate how equity swaps, forwards, and futures can be used to modify a portfolio’s risk and return

Los 18 d: Demonstrate the use of volatility derivatives and variance swaps

Los 18 e: Demonstrate the use of derivatives to achieve targeted equity and interest rate risk exposures

Los 18 f: Demonstrate the use of derivatives in asset allocation, rebalancing, and inferring market expectations

Reading 3: Currency Management: An Introduction

Los 3 a: Analyze the effects of currency movements on portfolio risk and return

Los 3 b: Discuss strategic choices in currency management

Los 3 c: Formulate an appropriate currency management program given financial market conditions and portfolio objectives and constraints

Los 3 d: Compare active currency trading strategies based on economic fundamentals, technical analysis, carry-trade, and volatility trading

Los 3 e: Describe how changes in factors underlying active trading strategies affect tactical trading decisions

Los 3 f: Describe how forward contracts and FX (foreign exchange) swaps are used to adjust hedge ratios

Los 3 g: Describe trading strategies used to reduce hedging costs and modify the risk-return characteristics of a foreign-currency portfolio

Los 3 h: Describe the use of cross-hedges, macro-hedges, and minimum-variance-hedge ratios in portfolios exposed to multiple foreign currencies

Los 3 i: Discuss challenges for managing emerging market currency exposures

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    Daniel Glyn
    Daniel Glyn
    2021-03-24
    I have finished my FRM1 thanks to AnalystPrep. And now using AnalystPrep for my FRM2 preparation. Professor Forjan is brilliant. He gives such good explanations and analogies. And more than anything makes learning fun. A big thank you to Analystprep and Professor Forjan. 5 stars all the way!
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    michael walshe
    2021-03-18
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    Nyka Smith
    2021-02-18
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    Badr Moubile
    2021-02-13
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    Agustin Olcese
    2021-01-27
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    Jaak Jay
    2021-01-14
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    sindhushree reddy
    sindhushree reddy
    2021-01-07
    Crisp and short ppt of Frm chapters and great explanation with examples.