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1、证券投资组合课后题及答案1、9. CFA Examination Level IIIMr. Franklin is 70 years of age, is in excellent health, pursues a simple but active lifestyle, and has nochildren. He has interest in a private company for $90 million and has decided that a medical researchfoundation will receive half the proceeds now; it
2、will also be the primary beneficiary of his estate upon hisdeath. Mr. Franklin is committed to the foundations well-being because he believes strongly that, throughit, a cure will be found for the disease that killed his wife. He now realizes that an appropriate investmentpolicy and asset allocation
3、s are required if his goals are to be met through investment of his considerableassets. Currently, the following assets are available for use in building an appropriate portfolio:$45.0 million cash (from sale of the private company interest, net of pending$45 million gift to the foundation)10.0 mill
4、ion stocks and bonds ($5 million each)9.0 million warehouse property (now fully leased)1.0 million Franklin residence（住宅）$65.0 million total available assetsa. Formulate and justify an investment policy statement setting forth the appropriate guidelineswithin which future investment actions should t
5、ake place. Your policy statement must encompassall relevant objective and constraint considerations.b. Recommend and justify a long-term asset allocation that is consistent with the investment policystatement you created in Part a. Briefly explain the key assumptions you made in generating youralloc
6、ation.答案At this point we know (or can reasonably infer) that Mr. Franklin is: unmarried (a recent widower) childless 70 years of age in good health possessed of a large amount of (relatively) liquid wealth intending to leave his estate to a taxexemptmedical research foundation, to whom he is also gi
7、ving a large current cash gift free of debt (not explicitly stated, but neither is the opposite) in the highest tax brackets (not explicitly stated, but apparent) not skilled in the management of a large investment portfolio, but also not a complete novicesince he owned significant assets of his own
8、 prior to his wifes death not burdened by large or specific needs for current income not in need of large or specific amounts of current liquidityTaking this knowledge into account, his Investment Policy Statement will reflect these specifics:Objectives:Return Requirements: The incidental throw-off
9、of income from Mr. Franklins large asset pool should provide a more than sufficient flow of net spendable income. If not, such a need can easily be met by minor portfolio adjustments. Thus, an inflation-adjusted enhancement of the capital base for the benefit of the foundation will be the primary re
10、turn goal (i.e., real growth of capital). Tax minimization will be a continuing collateral goal.Risk Tolerance: Account circumstances and the long-term return goal suggest that the portfolio can take somewhat above average risk. Mr. Franklin is acquainted with the nature of investment risk from his
11、prior ownership of stocks and bonds, he has a still long actuarial life expectancy and is in good current health, and his heir - the foundation, thanks to his generosity - is already possessed of a large asset base.Constraints:Time Horizon: Even disregarding Mr. Franklins still-long actuarial life e
12、xpectancy, the horizon islong-term because the remainder of his estate, the foundation, has a virtually perpetual life span.Liquidity Requirement: Given what we know and the expectation of an ongoing income stream ofconsiderable size, no liquidity needs that would require specific funding appear to
13、exist.Taxes: Mr. Franklin is no doubt in the highest tax brackets, and investment actions should take thatfact into account on a continuing basis. Appropriate tax-sheltered investment (standing on theirown merits as investments) should be considered. Tax minimization will be a specific investmentgoa
14、l.Legal and Regulatory: Investments, if under the supervision of an investment management firm(i.e., not managed by Mr. Franklin himself) will be governed by state law and the Prudent Personrule.Unique Circumstances: The large asset total, the foundation as their ultimate recipient, and thegreat fre
15、edom of action enjoyed in this situation (i.e., freedom from confining considerations) areimportant in this situation, if not necessarily unique.9(b). Given that stocks have provided (and are expected to continue to provide) higher risk-adjustedreturns than either bonds or cash, and considering that
16、 the return goal is for long-term, inflationprotectedgrowth of the capital base, stocks will be allotted the majority position in the portfolio.This is also consistent with Mr. Franklins absence of either specific current income needs (theongoing cash flow should provide an adequate level for curren
17、t spending) or specific liquidityneeds. It is likely that income will accumulate to some extent and, if so, will automatically build aliquid emergency fund for Mr. Franklin as time passes.Since the inherited warehouse and the personal residence are significant (15%) real estate assetsalready owned b
18、y Mr. Franklin, no further allocation to this asset class is made. It should be notedthat the warehouse is a source of cash flow, a diversifying asset and, probably, a modest inflationhedge. For tax reasons, Mr. Franklin may wish to consider putting some debt on this asset, freeingadditional cash fo
19、r alternative investment use.Given the long-term orientation and the above-average risk tolerance in this situation, about 70%of total assets can be allocated to equities (including real estate) and about 30% to fixed incomeassets. International securities will be included in both areas, primarily f
20、or their diversificationbenefits. Municipal bonds will be included in the fixed income area to minimize income taxes.There is no need to press for yield in this situation, nor any need to deliberately downgrade thequality of the issues utilized. Venture capital investment can be considered, but any
21、commitment tothis (or other “alternative” assets) should be kept small.The following is one example of an appropriate allocation that is consistent with the InvestmentPolicy Statement and consistent with the historical and expected return and other characteristics ofthe various available asset class
22、es:CurrentRange (%) Target (%)Cash/Money Market 0 - 5 0U.S. Fixed Income 10 20 15Non-U.S. Fixed Income 5 15 10U.S. Stocks (Large Cap) 30 45 30(Small Cap) 15 25 15Non-U.S. Stocks 15 25 15Real Estate 10 15 15*Other 0 5 0100*Includes the Franklin residence and warehouse, which together comprise the pro
23、portion oftotal assets shown.An alternate allocation could well be weighted more heavily to U.S. fixed income and lessso to U.S. stocks, given the near equality of expected returns from those assets as indicatedin Table 4.2、25. CFA Examination Level Ia. List and briefly define the three forms of the
24、 efficient market hypothesis. 6 minutesb. Discuss the role of a portfolio manager in a perfectly efficient market. 9 minutes答案The notion that stock prices already reflect all available information is referred to as theefficient market hypothesis (EMH). It is common to distinguish among three version
25、s of theEMH: the weak, semi-strong, and strong forms. These versions differ by their treatment ofwhat is meant by “all available information.”The weak-form hypothesis asserts that stock prices already reflect all information that can bederived from studying past market trading data. Therefore, “tech
26、nical analysis” and trendanalysis, etc., are fruitless pursuits. Past stock prices are publicly available and virtuallycostless to obtain. If such data ever conveyed reliable signals about future stock performance,all investors would have learned to exploit such signals.The semi-strong form hypothes
27、is states that all publicly available information about theprospects of a firm must be reflected already in the stocks price. Such information includes,in addition to past prices, all fundamental data on the firm, its product, its management, itsfinances, its earnings, etc., that can be found in pub
28、lic information sources.The strong-form hypothesis states that stock prices reflect all information relevant to the firm, even including information available to company “insiders.” This version is an extreme one.Obviously, some “insiders” do have access to pertinent information long enough for hem
29、toprofit from trading on that information before the public obtains it. Indeed, such trading - notonly the “insiders” themselves, but also relatives and/or associates - is illegal under rules ofSEC.For weak-form or the semi-strong forms of the hypothesis to be valid does not require thestrong-form v
30、ersion to hold. If the strong-form version was valid, however, both the semistrongand the weak-form versions of efficiency would also be valid.25(b). Even in an efficient market, a portfolio manager would have the important role ofconstructing and implementing an integrated set of steps to create an
31、d maintain appropriatecombinations of investment assets. Listed below are the necessary steps in the portfoliomanagement process.1. Counseling the client to help the client to determine appropriate objectives and identifyand evaluate constraints. The portfolio manager together with the client should
32、 specify andquantify risk tolerance, required rate of return, time horizon, taxes considerations, the form ofincome needs, liquidity, legal and regulatory constraints, and any unique circumstances thatwill impact or modify normal management procedures/goals.2. Monitoring and evaluating capital marke
33、t expectations. Relevant considerations, such aseconomic, social, and political conditions/expectations are factored into the decision makingprocess in terms of the expected risk/reward relationship for the various asset categories.Different expectations may lead the portfolio manager to adjust a cl
34、ients systematic risklevel even if markets are efficient.3. The above steps are decisions derived from/implemented through portfolio policy andstrategy setting. Investment policies are set and implemented through the choice of optimalcombinations of financial and real assets in the marketplace - i.e
35、., asset allocation. Under theassumption of a perfectly efficient market, stocks would be priced fairly, eliminating anyadded value by specific security selection. It might be argued that an investment policywhich stresses diversification is even more important in an efficient market, context becaus
36、ethe elimination of specific risk becomes extremely important.4. Market conditions, relative asset category percentages, and the investors circumstancesare monitored.5. Portfolio adjustments are made as a result of significant changes in any or all relevantvariables.3、Why do most investors hold dive
37、rsified （多样化）portfolios?答案Investors hold diversified portfolios in order to reduce risk, that is, to lower the variance of the portfolio, which is considered a measure of risk of the portfolio. A diversified portfolio should accomplish this because the returns for the alternative assets should not b
38、e correlated so the variance of the total portfolio will be reduced.投资者持有多样化的投资组合以降低风险，也就是降低投资组合的方差，这被一种度量投资组合风险的方法。一个多元化的投资组合要做到这一点，因为替代资产的回报是不应相关的，因此总投资组合的方差将会减少。4、CFA Examination Level IIdentify and briefly discuss three criticisms of beta as used in the capital asset pricing model(CAPM).答案Any th
39、ree of the following are criticisms of beta as used in CAPM.1. Theory does not measure up to practice. In theory, a security with a zero beta shouldgive a return exactly equal to the risk-free rate. But actual results do not come out thatway, implying that the market values something besides a beta
40、measure of risk.2. Beta is a fickle short-term performer. Some short-term studies have shown risk andreturn to be negatively related. For example, Black, Jensen and Scholes found that fromApril 1957 through December 1965, securities with higher risk produced lower returnsthan less risky securities.
41、This result suggests that (1) in some short periods, investorsmay be penalized for taking on more risk, (2) in the long run, investors are not rewardedenough for high risk and are overcompensated for buying securities with low risk, and (3)in all periods, some unsystematic risk is being valued by th
42、e market.3. Estimated betas are unstable. Major changes in a company affecting the character ofthe stock or some unforeseen event not reflected in past returns may decisively affect thesecuritys future returns.4. Beta is easily rolled over. Richard Roll has demonstrated that by changing the marketin
43、dex against which betas are measured, one can obtain quite different measures of therisk level of individual stocks and portfolios. As a result, one would make differentpredictions about the expected returns, and by changing indexes, one could change therisk-adjusted performance ranking of a manager
44、.5、14. CFA Examination Level IIThe following information describes the expected return and risk relationship for the stocks of two ofWAHs competitors.表1Using only the data shown in the preceding table:a. Draw and label a graph showing the security market line and position stocks X and Y relativeto i
45、t. 5 minutesb. Compute the alphas both for Stock X and for Stock Y. Show your work. 4 minutesc. Assume that the risk-free rate increases to 7 percent with the other data in the preceding matrixremaining unchanged. Select the stock providing the higher expected risk-adjusted return and justifyyour se
46、lection. Show your calculations. 6 minutes答案14(a). The security market line (SML) shows the required return for a given level of systematicrisk. The SML is described by a line drawn from the risk-free rate: expected return is 5percent, where beta equals 0 through the market return; expected return i
47、s 10 percent,where beta equal 1.0.14(b). The expected risk-return relationship of individual securities may deviate from thatsuggested by the SML, and that difference is the assets alpha. Alpha is the differencebetween the expected (estimated) rate of return for a stock and its required rate of retu
48、rnbased on its systematic risk Alpha is computed asALPHA () = E(ri) - rf + (E(rM) - rf)whereE(ri) = expected return on Security irf = risk-free ratei = beta for Security iE(rM) = expected return on the marketCalculation of alphas:Stock X: = 12% - 5% + 1.3% (10% - 5%) = 0.5%Stock Y: = 9% - 5% + 0.7%(10% - 5%) = 0.5%In this instance, the alphas are equal and both are positive, so one does not dominate theother.Another approach