1、證券投資組合課后題及答案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 （多樣化）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.投資者持有多樣化的投資組合以降低風險，也就是降低投資組合的方差，這被一種度量投資組合風險的方法。一個多元化的投資組合要做到這一點，因為替代資產的回報是不應相關的，因此總投資組合的方差將會減少。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%(

49、10% - 5%) = 0.5%In this instance, the alphas are equal and both are positive, so one does not dominate theother.Another approach is to calculate a required return for each stock and then subtract thatrequired return from a given expected return. The formula for required return (k) isk = rf + i (rM -

50、 rf ).Calculations of required returns:Stock X: k = 5% + 1.3(10% - 5%) = 11.5%= 12% - 11.5% = 0.5%Stock Y: k = 5% + 0.7(10% - 5%) = 8.5%= 9% - 8.5% = 0.5%14(c). By increasing the risk-free rate from 5 percent to 7 percent and leaving all other factorsunchanged, the slope of the SML flattens and the

51、expected return per unit of incrementalrisk becomes less. Using the formula for alpha, the alpha of Stock X increases to 1.1percent and the alpha of Stock Y falls to -0.1 percent. In this situation, the expectedreturn (12.0 percent) of Stock X exceeds its required return (10.9 percent) based on theC

52、APM. Therefore, Stock Xs alpha (1.1 percent) is positive. For Stock Y, its expectedreturn (9.0 percent) is below its required return (9.1 percent) based on the CAPM.Therefore, Stock Ys alpha (-0.1 percent) is negative. Stock X is preferable to Stock Yunder these circumstances.Calculations of revised

53、 alphas:Stock X = 12% - 7% + 1.3 (10% - 7%= 12% - 10.95% = 1.1%Stock Y = 9% - 7% + 0.7(10% - 7%)= 9% - 9.1% = -00.1%6、CFA Examination Level IIIMultifactor models of security returns have received increased attention. The arbitrage pricing theory(APT) probably has drawn the most attention and has bee

54、n proposed as a replacement for the capitalasset pricing model (CAPM).a. Briefly explain the primary differences between the APT and the CAPM.b. Identify the four systematic factors suggested by Roll and Ross that determine an assets riskiness.Explain how these factors affect an assets expected rate

55、 of return.答案12(a). The basic Capital Asset Pricing Model (CAPM) assumes that investors care only aboutportfolio risk and expected return; i.e., they are risk averse. From this assumption comesthe conclusion that a portfolios expected return will be related to only one attribute - itsbeta (sensitivi

56、ty) relative to the broadly based market portfolio.Arbitrage Price Theory (APT) takes a different approach: it is not much concerned aboutinvestor preferences, and it assumes that returns are generated by a multi-factor model.APT reflects the fact that several major (systematic) economic factors may

57、 affect a givenasset in varying degrees. Further, unlike the CAPM, whose single factor is unchanging,APT recognizes that these key factors can change over time (as can investor preferences).Summarizing, APT 1) identifies several key systematic macroeconomic factors as part ofthe process that generat

58、es security returns vs. only one factor recognized by the CAPM, 2)recognizes that these key factors can change over time, whereas the CAPMs singlefactor is unchanging, 3) makes fewer assumptions about investor preferences than theCAPM, and 4) recognizes that these preferences can change over time.12

59、(b). The four systematic factors identified by Roll and Ross are unanticipated changes in: 1)inflation, 2) industrial production, 3) risk premiums, and 4) the slope of the term structureof interest rates.The APT asserts that an assets riskiness and, hence, the average long-term return, isdirectly re

60、lated to its sensitivities in unanticipated changes in these four economicvariables. This relationship may be expressed in equation form as follows:Ri = R0 + bi1 F1 + bi2 F2 + . . . + bin FnThis means the return (Ri) that a certain asset (i) will produce is a combination of some“base” return (R0) pl