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SS6 CAPITAL MARKET EXPECTATIONS IN PORTFOLIO MANAGEMENT 指路：整体而言，CFA三级的经济学部分考试难度较小，考察点比较集中。定性分析的内容考察较少，即使出现，难度也不大；定量分析则是考试的主要内容，需要认真掌握。本章笔记也侧重于主要的定量模型和方法的讲解；对于篇幅很长但结论不明的定性分析内容则以点带面，不讲究其逻辑完整性。 Reading 23 Capital Market Expectations Managing Investment Portfolios: A Dynamic Process, Third Edition, John L. Maginn, CFA, Donald L. Tuttle, CFA, Dennis W. McLeavey, CFA, and Jerald E. Pinto, CFA, editors 1. 进行资本市场预测的框架包含以下步骤（A framework for developing capital market expectations）： 1). Specify the final set of expectations that are needed, including the time horizon to which they apply 2). Research the historical record. 3). Specify the methods and/or models that will be used and their information requirements 4). Determine the best sources for information needs 5). Interpret the current investment environment using the selected data and methods applying experience and judgment 6). Provide the set of expectations that are needed, documenting conclusions 7). Monitor actual outcomes and compare them to expectations, providing feedback to improve the expectations-setting process. 资本市场预测主要分为两种方法：第一种Beta research: research related to systematic risk and returns to systematic risk；另一种Alpha research: research related to capturing excess risk-adjusted returns by a particular strategy 好预测（good forecasts）的判断标准是： ???????? Unbiased, objective, and well researched ???????? Efficient, in the sense of reducing the magnitude of forecast errors to a minimum ???????? Internally consistent2. 2. 预测面临的挑战challenges in forecasting 1). Limitations of economic data ???????? Time lag 当经济数据每年或每两年（比如，IMF的报告）才统计一次的时候，用这些数据来分析当前经济形势、预测未来市场走向可能会有问题。 ???????? Frequent revisions 很多经济统计报告发布以后还会进行（多次）修正，所以建立在初次发布的数据基础之上的预测是有问题的。 ???????? Changes in definition and calculation methods ???????? Re-base 当统计基期变化时，统计数据的含义也相应发生变化。 2). Data measurement errors and biases ???????? Transcription errors 指收集和记录数据（gathering and recording data）的错误 ???????? Survivorship bias 只有幸存下来的公司经营数据才被记录，使得这些数据反映的