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1、2020年12月CFA三级写作题CAPITALMARKETEXPECTATIONS今年由于疫情的缘故，CFA考试被迫延期。虽然给了大家更多的复习时间，但也不可掉以轻心。近年来，CFA考试的难度在逐步提高，并且在三级中更偏向实务与理论结合的考察。相比2019年考纲，2020年考纲发生了较多的变化。其中关于经济学的部分，更名为资本市场预期，并进行了重大改变；衍生产品与资产配置中的外汇管理合并在一起，并进行了较大的改写；另类投资的内容完全重新改写；交易与业绩评估合并在一起，并重新编写。而一向是考试重点的私人财富管理和机构组合管理也发生了较大变化，其中私人财富管理的第一个RCading重新编写，而机构
2、组合管理也进行了重新编写，这些变化需引起考生重视。为了全面应对考试，我们全面推出了的各种学习平台，如金程网校、手机APP、金程CFA答疑等活动，请各位充分利用。如有学术问题，请登录至金程网校提问。祝大家好运，顺利通过CFA三级考试，加油!CapitalMarketExpectationsCase1:AninvestorAninvestorisconsideringaddingthreenewsecuritiestoherinternationallyfocusedfixedincomeportfolio.Sheconsidersthefollowingnon-callablesecuritie
3、s:yeargovernmentbond10-yeargovernmentbond10-yearBBBratedcorporatebondSheplanstoinvestequallyinallthreesecuritiesbeinganalyzedorwillinvestinnoneofthematthistime.Shewillonlymaketheaddedinvestmentprovidedthattheexpectedspread/premiumoftheequallyweightedinvestmentisatleast1.5percent(150bp)overthe1-yearg
4、overnmentbond.Shehasgatheredthefollowinginformation:Riskfreeinterestrate(1-year,incorporating2.6%inflationexpectation)3.8%Termpremium(10-yearvs.1-yeargovernmentbond)1%10-yearBBBcreditpremium(over10-yeargovernmentbond)75bpEstimatedliquiditypremiumon10-yearcorporatebonds55bpUsingonlytheinformationgive
5、n,addressthefollowingproblemsusingtheriskpremiumapproach:1.Calculatetheexpectedreturnthatanequal-weightedinvestmentinthethreesecuritiescouldprovide.Solution:Riskfreeinterestrate(nominal)(%)+Premiums!%)=Expectedannualfixed-incomereturn(%)1-yeargovernmentbond3.8+0=3.S10-yeargovernmentbond3.8+1=4.810-y
6、earcorporatebond3.8+1+0.75+0.55=61Estimateoftheexpectedreturnofanequal-weightedinvestmentinthethreesecurities:(3.8%+4.8%+6.1%)3=4.9%2.Calculatetheexpectedtotalriskpremiumofthethreesecuritiesanddeterminetheinvestorsprobablecourseofaction.Solution:Theaveragespread(over1-yeargovernmentbond)atissueis0+1
7、+(1+0.75+0.55)=3.3%3=1.1%.Asthe1.1%islessthan1.5%,theinvestorwillnotmaketheinvestment.Case2:JoAkumbaJoAkumbaxSportfolioisinvestedinarangeofdevelopedmarketsfixedincomesecurities.Sheasksheradviseraboutthepossibilityofdiversifyingherinvestmentstoincludeemergingandfrontiermarketsgovernmentandcorporatefi
8、xedincomesecurities.Heradvisermakesthefollowingcommentregardingrisk:Allemergingandfrontiermarketfixedincomesecuritiesposeeconomic,politicalandlegalrisk.Economicrisksarisefromthefactthatemergingmarketcountrieshavepoorfiscaldiscipline,relyonforeignborrowing,havelessdiversetaxbaseandsignificantdependen
9、ceonspecificindustries.Theyaresusceptibletocapitalflight.Theirabilitytopayislimited.Inaddition,weakpropertyrights,weakenforcementofcontractlawsandpoliticalinstabilityposehazardforemergingmarketsdebtinvestors/*Discussthestatementmade.Solution:Thestatementcorrectlyidentifieseconomic,politicalandlegalr
10、isk.Theadviserhascorrectlyidentifiedsomeofthecharacteristicstypicallyassociatedwithemergingandfrontiermarketsthatmayaffecttheirgovernments*andcorporateborrowers*abilityandwillingnesstopaybondholders.However,theassertionthatallemergingandfrontiermarketfixedincomesecuritiesposesuchriskisincorrect,asma
11、nycountriesclassifiedasemergingareconsideredtobehealthyandprosperouseconomies.Case3:AustralianinvestorAnAustralianinvestorcurrentlyholdsaA$240millionequityportfolio.HeisconsideringrebalancingtheportfoliobasedonanassessmentoftheriskandreturnprospectsfacingtheAustralianeconomy.Informationrelatingtothe
12、Australianinvestmentmarketsandtheeconomyhasbeencollectedinthefollowingtable:IO-YearHistoricaICurrentCapitalMarketExpectationsAveragegovernmentbondyield:2.8%10-yeargovernmentbondyield:23%Averageannualequityreturn:4.6%Year-over-yearequityreturn:9.4%Averageannualinflationrate:2.3%Year-over-yearinflatio
13、nrate:2.1%Expectedannualinflation:2.3%EquitymarketP/E(beginningofperiod):15CurrentequitymarketP/E:14.5ExpectedequitymarketP/E:14.0Averageannualdividendincomereturn:2.6%Expectedannualincomereturn:2.4%Averageannualrealearningsgrowth:6.0%Expectedannualrealearningsgrowth:5.0%Usingtheinformationinthetabl
14、e,addressthefollowingproblems:1.CalculatethehistoricalAustralianequityriskpremiumusingtheequity-vsbondspremiummethod.Solution:Thehistoricalequityriskpremiumis1.8%,calculatedasfollows:Historicalequityreturns-Historical10-yeargovernmentbondyield=Historicalequityriskpremium4.6%-2.8%=1.8%2.Calculatethee
15、xpectedannualequityreturnusingtheGrinold-Kronermodel(assumenochangeinthenumberofsharesoutstanding).Solution:TheGrinold-Kronermodelstatesthattheexpectedreturnonequityisthesumoftheexpectedincomereturn(2.4%),theexpectednominalearningsgrowthreturn(7.3%=2.3%frominflation+5.0%fromrealearningsgrowth)andthe
16、expectedrepricingreturn(-3.45%).Theexpectedchangeinmarketvaluationof-3.45%iscalculatedasthepercentagechangeintheP/Elevelfromthecurrent14.5totheexpectedlevelof14.Ox：(14一14.5)/14.5=-3.45%.Thus,theexpectedreturnis2.4%+7.3%-345%=6.25%.3.UsingyouranswertoPartB,calculatetheexpectedannualequityriskpremium.
17、Solution:UsingtheresultsfromPartB,theexpectedequityreturnis6.25percent.Expectedequityreturn-Current10-yeargovernmentbondyield=Expectedequityriskpremium6.25%-2.3%=3.95%.Case4:AnanalystAnanalystisreviewingvariousassetalternativesandispresentedwiththefollowinginformationrelatingtothebroadequitymarketof
18、SwitzerlandandvariousindustrieswithintheSwissmarketthatareofparticularinvestmentinterest.Expectedriskpremiumforoverallglobalinvestablemarket(GIM)portfolio3.5%ExpectedstandarddeviationfortheGIMportfolio8.5%ExpectedstandarddeviationforSwissHealthcareIndustryequityinvestments12.0%Expectedstandarddeviat
19、ionforSwissWatchIndustryequityinvestments6.0%ExpectedstandarddeviationforSwissConsumerProductsIndustryequityinvestments7.5%AssumethattheSwissmarketisperfectlyintegratedwiththeworldmarkets.SwissHealthcarehasacorrelationof0.7withtheGIMportfolio.SwissWatchhasacorrelationof0.8withtheGIMportfolio.SwissCo
20、nsumerProductshasacorrelationof0.8withtheGIMportfolio.1.Basingyouranswersonlyuponthedatapresentedinthetableaboveandusingtheinternationalcapitalassetpricingmodelinparticular,theSinger-Terhaarapproachestimatetheexpectedriskpremiumforthefollowing:i.SwissHealthCareIndustryii.SwissWatchIndustryiii.SwissC
21、onsumerProductsIndustrySolution:UsingtheformulaGGMWecansolveforeachexpectedindustryriskpremium.TheterminbracketsistheSharperatiofortheGIM,computedas3.5/8.5=0.412.i.RPnealthcare=(12)(0.7)(0.412)=3.46%ii.RPwatch=(6)(0.8)(0.412)=1.98%iii.RPConsumerProducts=(7.5)(0.8)(0.412)=2.47%2.Judgewhichindustryism
22、ostattractivefromavaluationperspective.Solution:Basedontheaboveanalysis,theSwissHealthcareIndustrywouldhavethehighestexpectedreturn.However,thatexpectedreturnreflectscompensationforsystematicrisk.Basedonthedataprovidedwecannotconcludewhichindustryismostattractivefromavaluationstandpoint.Case5:RisksI
23、dentifyrisksfacedbyinvestorsinemergingmarketequitiesoverandabovethosethatarefacedbyfixedincomeinvestorsinsuchmarkets.Solution:Inadditiontotheeconomic,politicalandlegalrisksfacedbyfixedincomeinvestors,equityinvestorsinemergingmarketsfacecorporategovernancerisks.Theirownershipclaimsmaybeexpropriatedby
24、corporateinsiders,dominantshareholdersorthegovernment.Interestedpartiesmaymisusethecompanies*assets.Weakdisclosureandaccountingstandardsmayresultinlimitedtransparencythatfavorsinsiders.Weakchecksandbalancesongovernmentalactionsmaybringaboutregulatoryuncertainty,seizureofpropertyornationalization.Cas
25、e6:HistoricalanalysisDescribethemainissuesthatarisewhenconductinghistoricalanalysisofrealestatereturns.Solution:Propertiestradeinfrequentlysothereisnodataonsimultaneousperiodictransactionpricesforaselectionofproperties.Analysisthereforereliesonappraisals.Secondly,eachpropertyisdifferent,itissaidtobe
26、heterogenous.Thereturnscalculatedfromappraisalsrepresentweightedaveragesofunobservablereturns.Publishedreturnseriesistoosmoothandthesamplevolatilityunderstatesthetruevolatilityofreturns.Italsodistortsestimatesofcorrelations.Case7:RealestateinvestmentAnanalystatarealestateinvestmentmanagementfirmseek
27、stoestablishexpectationsforrateofreturnforpropertiesintheindustrialsectoroverthenextyear.Shehasobtainedthefollowinginformation:Currentindustrialsectorcapitalizationrate(caprate)5.7%Expectedcaprateattheendoftheperiod5.5%NOIgrowthrate(real)1%Inflationexpectation1.5%Estimatetheexpectedreturnfromtheindu
28、strialsectorpropertiesbasedonthedataprovided.Solution:Theexpectedchangeinthecapratefrom5.7%to5.5%representsa(5.5%-5.7%)5.7%=3.5%decrease.UsingtheexpressionE(Rre)=CapRate+NOIgrowthrate-%CapRate=5.7%+(1%+1.5%)-(-3.5%)=11.7%.Note:Asthecaprateisexpectedtodecrease,propertyvaluesareexpectedtoincrease,henc
29、ethecapratechangecontributestotheexpectedreturn.Case8:ForecastingexchangeratesAclienthasaskedhisadvisertoexplainthekeyconsiderationsinforecastingexchangerates.Theadviser,sfirmusestwobroadcomplementaryapproacheswhensettingexpectationsforexchangeratemovements,namelyfocusontradeingoodsandservicesand,se
30、condly,focusoncapitalflows.Identifythemainconsiderationsthattheadvisershouldexplaintotheclientunderthetwoapproaches.Solution:Underthefirstapproachanalystsfocusonflowsofexportandimportstoestablishwhatthenettradeflowsareandhowlargetheyarerelativetotheeconomyandother,potentiallylargerfinancingandinvest
31、mentflows.Theapproachalsoconsidersdifferencesbetweendomesticandforeigninflationratesthatrelatetotheconceptofpurchasingpowerparity.UnderPPP,theexpectedpercentagechangeintheexchangerateshouldequalthedifferencebetweeninflationrates.Theapproachalsoconsidersthesustainabilityofcurrentaccountimbalances,ref
32、lectingthedifferencebetweennationalsavingandinvestmentUnderthesecondapproachtheanalysisfocusesoncapitalflowsandthedegreeofcapitalmobility.Itassumesthatcapitalseeksthehighestrisk-adjustedreturn.Theexpectedchangesintheexchangeratewillreflectthedifferencesintherespectivecountries*assets*characteristics
33、suchasrelativeshort-terminterestrates,term,credit,equityandliquiditypremiums.Theapproachalsoconsidershotmoneyflowsandthefactthatexchangeratesprovideanacrosstheboardmechanismforadjustingtherelativesizesofeachcountry,sportfolioofassets.Case9:Economicobservations1.ookingindependentlyateachoftheeconomic
34、observationsbelow,indicatethecountrywhereananalystwouldexpecttoseeastrengtheningcurrencyforeachobservation.CountryXCountryYExpectedinflationovernextyear2.0%3.0%Short-terml-month)governmentrateDecreaseIncreaseExpected(forward-looking)GDPgrowthovernextyear2.0%3.3%Newnationallawshavebeenpassedthatenabl
35、eforeigndirectinvestmentinrealestate/financialcompaniesYesNoCurrentaccountsurplus(deficit)8%T%Solution:CountryXCountryYExpectedinflationovernextyear2.0%3.0%Short-term(1-month)governmentrateDecreaseIncreaseExpected(forward-looking)GDPgrowthovernextyear2.0%3.3%Newnationallawshavebeenpassedthatenablefo
36、reigndirectinvestmentinrealestate/financialcompaniesYesNoCurrentaccountsurplus(deficit)8%-1%Note:Theshadedcellsrepresentthecomparativelystrongermeasure,whereananalystcouldexpecttoseeastrengtheningcurrencybasedonthefactorbeingindependentlyreviewed.Case9:FapFapisasmallcountrywhosecurrencyistheFip.Thre
37、eyearsago,theexchangeratewasconsideredtobereflectingpurchasingpowerparity(PPP).Sincethen,thecountrysinflationhasexceededinflationintheothercountriesbyabout5%perannum.TheFipexchangerate,however,remainedbroadlyunchanged.WhatwouldyouhaveexpectedtheFipexchangeratetoshowifPPPprevailed?AreFipsoverorundervalued,accordingtoPPP?Solution:AccordingtoPPP,tooffsettheeffectofthehigherinflationinFap,theFipshouldhavedepreciatedagainsttheothercurrenciesbyapproximatelythedifferencebetweenFapinflationandthatintheothercountries.AccordingtoPPP,Fipisovervalued.
