Using Multifactor Models (2024 Level II CFA® Exam – PM–Module 2)

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Topic 9 – Portfolio Management
Module 2 – Using Multifactor Models
0:00 Introduction and Learning Outcome Statements
9:27 LOS: Describe arbitrage pricing theory (APT), including its underlying assumptions and its relation to multifactor models.
12:12 LOS: Define arbitrage opportunity and determine whether an arbitrage opportunity exists.
16:58 LOS: Calculate the expected return on an asset given an asset’s factor sensitivities and the factor risk premiums.
17:40 LOS: Describe and compare macroeconomic factor models, fundamental factor models, and statistical factor models.
31:25 LOS: Explain sources of active risk and interpret tracking risk and the information ratio.
38:06 LOS: Describe the uses of multifactor models and interpret the output of analyses based on multifactor models.
49:20 LOS: Describe the potential benefits for investors in considering multiple risk dimensions when modeling asset returns.