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SCHWESERNOTES™ 2019 LEVEL III CFA® BOOK 5: TRADING AND PERFORMANCE EVALUATION
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Contents 1. Learning Outcome Statements (LOS) 2. Study Session 18—Trading 1. Reading 35: Execution of Portfolio Decisions 1. Exam Focus 2. Module 35.1: Market and Limit Orders 3. Module 35.2: The Effective Spread 4. Module 35.3: Alternative Market Structures and Market Quality 5. Module 35.4: Volume-Weighted Average Price and Implementation Shortfall 6. Module 35.5: Econometric Models and Trading Tactics 7. Module 35.6: Algorithmic Trading 8. Module 35.7: Best Execution 9. Key Concepts 10. Answer Key for Module Quizzes 2. Topic Assessment: Trading 3. Topic Assessment Answers: Trading 3. Study Session 19—Performance Evaluation 1. Reading 36: Evaluating Portfolio Performance 1. Exam Focus 2. Module 36.1: Calculating Return 3. Module 36.2: Data Quality and Decomposing Return 4. Module 36.3: Benchmarks 5. Module 36.4: Macro Attribution 6. Module 36.5: Micro Attribution 7. Module 36.6: Fundamental Factor and Fixed Income Attribution 8. Module 36.7: Risk to Return Analysis 9. Module 36.8: Manager Control 10. Key Concepts 11. Answer Key for Module Quizzes 2. Topic Assessment: Performance Evaluation 3. Topic Assessment Answers: Performance Evaluation 4. Reading 37: Overview of the Global Investment Performance Standards 1. Exam Focus 2. Module 37.1: GIPS Overview 3. Module 37.2: Compliance and Data Requirements 4. Module 37.3: Calculation 5. Module 37.4: Composites 6. Module 37.5: Disclosures 7. Module 37.6: Presentation and Reporting 8. Module 37.7: Real Estate and Private Equity 9. Module 37.8: Wrap Fee/Separately Managed Accounts and Advertising 10. Module 37.9: Verification and After-Tax Reporting 11. Module 37.10: Evaluating a Report 12. Key Concepts 13. Answer Key for Module Quizzes 5. Topic Assessment: Global Investment Performance Standards 6. Topic Assessment Answers: Global Investment Performance Standards 4. Formulas List of pages 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. 15. 16. 17. 18. 19. 20. 21. 22. 23. 24. 25. 26. 27. 28. 29. 30. 31. 32. 33. 34. 35. 36. 37. 38. 39. 40. 41. 42. v vi vii 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 41 43. 44. 45. 46. 47. 48. 49. 50. 51. 52. 53. 54. 55. 56. 57. 58. 59. 60. 61. 62. 63. 64. 65. 66. 67. 68. 69. 70. 71. 72. 73. 74. 75. 76. 77. 78. 79. 80. 81. 82. 83. 84. 85. 86. 87. 88. 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 89. 90. 91. 92. 93. 94. 95. 96. 97. 98. 99. 100. 101. 102. 103. 104. 105. 106. 107. 108. 109. 110. 111. 112. 113. 114. 115. 116. 117. 118. 119. 120. 121. 122. 123. 124. 125. 126. 127. 128. 129. 130. 131. 132. 133. 134. 88 89 90 91 92 93 94 95 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135. 136. 137. 138. 139. 140. 141. 142. 143. 144. 145. 146. 147. 148. 149. 150. 151. 152. 153. 154. 155. 156. 157. 158. 159. 160. 161. 162. 163. 164. 165. 166. 167. 168. 169. 170. 171. 172. 173. 174. 175. 176. 177. 178. 179. 180. 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 155 156 157 158 159 160 161 162 163 164 165 167 168 169 170 171 172 173 175 176 177 178 179 180 181 182 183 181. 182. 183. 184. 185. 186. 187. 188. 189. 184 185 186 187 188 189 190 191 192 LEARNING OUTCOME STATEMENTS (LOS) STUDY SESSION 18 The topical coverage corresponds with the following CFA Institute assigned reading: 35. Execution of Portfolio Decisions The candidate should be able to: a. compare market orders with limit orders, including the price and execution uncertainty of each. (page 1) b. calculate and interpr