券和组合课后习题答案：sm25

CHAPTER25

PROFESSIONALASSETMANAGEMENT

AnswerstoQuestions

1.Privatemanagementandadvisoryfirmstypicallydevelopapersonalrelationshipwith

theirclients,gettingtoknowthespecificinvestmentobjectivesandconstraintsofeach.

Thecollectionofassetsheldcanthenbetailoredtothespecialneedsoftheclient.

Conversely,amutualfundoffersageneralsolutiontoaninvestmentproblemandthen

marketsthatportfoliotoinvestorswhomightfitthatprofile.

Specialattentioncomesatacostandforthatreasonprivatemanagementfirmsareused

mainlybyinvestorswithsubstantiallevelsofcapital,suchaspensionfundsandhighnet

worthindividuals.Conversely,individualinvestorswithrelativelysmallpoolsofcapital

aretheprimaryclientsofinvestmentcompanies.

Themajorityofprivatemanagementandadvisoryfirmsarestillmuchsmallerandmore

narrowlyfocusedonaparticularnicheinthemarket.Awidevarietyoffundsisavailable,

soaninvestorcanmatchalmostanyinvestmentobjectiveorcombinationofinvestment

objectives.

Managementandadvisoryfirmsholdtheassetsofbothindividualandinstitutional

investorsinseparateaccounts,whichallowsforthepossibilityofmanagingeachclient's

portfolioinauniquemanner.Conversely,investmentcompaniesarepoolsofassetsthat

aremanagedcollectively.Investorsinthesefundsreceivesharesrepresentingtheir

proportionalownershipintheunderlyingportfolioofstocks,bonds,orothersecurities.

2.BaseduponExhibit25.2,therehasbeenarapidincreaseinthenumberoflargeasset

managementfirms.Muchofthisassetgrowthcanbeexplainedbythestrong

performanceoftheU.S.equitymarketsduringthisperiod,buttherehasbeenatrend

towardconsolidatingassetsundermanagementinlarge,multiproductfirms.Still,asof

December2001,therewere48firmswithAUMofatleast$100billion.

3.Aftertheinitialpublicsaleofsharesintheinvestmentcompanytheopen-endfundwill

continuetosellnewsharestothepublicattheNAVwithorwithoutasaleschargeand

willredeem(buyback)sharesofthefundattheNAV.Incontrast,theclosed-endfund

doesnotbuyorsellsharesoncetheoriginalissueissold.Therefore,thepurchasepriceor

salespriceforaclosed-endfundisdeterminedinthesecondarymarket.

4.Aloadfundchargesafeeforthesaleofshares(frontendload)and/orredeemingshares

(backendload).Itwillsellsharesatitsnetassetvalueplusthesalescharge.Ano-load

fundhasnoinitialsalescharge,soitwillsellitssharesatitsnetassetvalue.

5.Youdefinitelyshouldcareabouthowwellamutualfundisdiversified.Oneofthemajor

advantagesofamutualfundisinstantdiversification,soittrulyisimportant.Giventhe

CAPM,itisknownthatthemarketonlypaysforsystematicrisksoitisimportantto

eliminateunsystematicrisk,whichisthepurposeofdiversification.Aportfoliothatis

completelydiversifiedwillbeperfectlycorrelatedwiththemarketportfolio(R2=+1.00).

6.Thenetreturnforafundisthereturnafterallresearchandmanagementcosts.Thegross

returnisbeforetheseexpenses.Thenetreturnisthereturnreportedtothestockholder

sinceallexpenseshavebeenallowedforintheNAV.Tocomputethegrossreturnitis

necessarytocomputetheexpensesofthefundandaddthesebacktotheendingNAVand

computethereturnswiththeseexpensesaddedback.Typically,theaveragedifferencein

returnisaboutonepercentayear,butthisvariesbyfund.Asaninvestor,itisthenet

returnthatisimportantbecausethesearethereturnsthatyouderive.

7.Justbecauseonlyhalfdobetterthanbuy-and-holdonthebasisofrisk-adjustedreturn

doesnotmeanyouignorethem,becausethereareotherfunctionsthatinvestment

companiesperformthatareimportant.Theseotherfunctionsincludediversification,

flexibility,andrecordkeeping.Toderivetheseotheradvantagesitmaybenecessaryto

giveupsomeofthereturn.

8.Itisquestionablewhethergoodperformancewillcontinueduringtwosuccessiveshort­

termperiodsbecauseinmanycasesitcouldbearandomeventofacoupleofwinners

thatarenotrepeated.Empirically,suchsuperiorperformancehasnotbeenconsistent

beyondwhatyouwouldexpectbychance.

9.Managersareoftencompensatedwithabasesalaryandabonusthatdependsonthe

performanceoftheirportfoliosrelativetothoseoftheirpeers.Therefore,amanagerwith

arelativepoorperformancemidwaythroughacompensationperiodcouldbemorelikely

toincreasetheriskoftheportfolioinanefforttoincreasehis/herfinalstanding.Of

course,alteringfundrisktoenhancehis/herowncompensationsuggeststhatsome

managersmaynotalwaysactinhis/herclienfsbestinterest.

10.Softdollarsaregeneratedwhenamanagercommitstheinvestortopayingabrokerage

commissionthatishigherthanthesimplecostofexecutingastocktradeinexchangefor

themanagerreceivingadditionalbundledservicesfromthebroker.Oneexamplewould

beforamanagertoroutehertradesthroughanon-discountbrokerinordertoreceive

securityreportsthatthebrokeragefirmproduces.

11(a).Toderiveaquickviewofrecentperformanceyoucanlookatarecentquarterlyreviewin

Barron's;theMutualFundScoreboardinBusinessWeek,theannualForbesreview.

11(b).Thelong-runanalysisandaddressforthefundsarebestderivedfromtheWeisenberger

InvestmentCompaniesbook.

CHAPTER25

AnswerstoProblems

TR…八

1।.Initialinumberotrshuares=-$-5--0--,-0-0--0=6,250

$8.00

CurrentNAV=$75,800/6,250shares=$12.13

2.Loadfund=($1,000-$80)x1.15=$1,058.00

Representsa5.8()percentgrowth

No-loadfund=($1,00()x1.12)x(1-.01)=$1,108.80

Representsa10.88percentgrowth

Theno-loadfundoffersanextra$50.80overtheloadfundfora$1,000investmentheld

overaone-yeartimeperiod.Thedifferenceinpercentgrowthis5.08percent.

3.PeriodNAVPremium/DiscountMarketPrice

0$10.0()0.0$10.0()

111.25-5.06.25

29.85+2.312.15

310.50-3.27.30

412.30-7.05.30

3(a).10.00=5.3()(PV4years)Averagereturnperyear=-14.68%

1.8868=1/(1+x)4(usingcalculator)

(1+x)4=.530()

1+x=(.5300严

1+x=.8532

x=-.1468

3(b).10.0()=12.30(PV4years)Averagereturnperyear=5.31%

().8130=1/(1+x)4(usingcalculator)

(1+x)4=1.230

1+x=(1.230)-25

1+x=1.0531

x=0.0531

3(c).6.25=12,15(PV1year)Averagereturnperyear=94.40%

0.5144=1/(1+x)(usingcalculator)

(1+x)=1.9440

x=0.9440

3(c).11.25=9.85(PV1year)Averagereturnperyear=-12.44%

1.142=1/(1+x)(usingcalculator)

(1+x)=.8755

x=-.1244

4(a).Client1Client2

.0100x5,000,()0()=50,000.010()x5,00(),000=5(),()0()

.0075x5,000,000=37,500.0075x5,000,000=37,500

.0060x10,000,000=60,000.0060x10,000,00()=60,000

.0040x7,04(),000=28,00().0040x77,()()(),()()()=3()8,()()()

27,()0(),()0()175,50097,000,000455,500

4(b).175,500/27,00(),()0()=.0065455,000/97,00(),()0()=.004696

=0.65%=0.47%

4(c).Costsofmanagementdonotincreaseatthesamerateasthemanagedassetsbecause

substantialeconomiesofscaleexistinmanagingassets.

5.CFAExaminationII(1999)

ConductPotentialConflict

a.Afeestructureofthistypecancauseaconflictbecausetheportfolio

Compensationmanagerhasanincentivetoturnoverinvestmentsinclientaccounts

basedontoincreasefees.Ahighvolumeoftradingmaybeinconflictwitha

commissionsclient'sinvestmentobjectives.

fromclients9

trades.

b.UseofclientAconflictmaybecreatedwhenclientbrokerageisusedtogenerate

brokeragesoftdollarsforthepurchaseofgoodsorservicesthatbenefitthe

("softdollars^^).firm(i.e.,thatareusedinthemanagementofthefirm)ratherthan

benefittheclientswhosetradesgeneratedthesoftdollars.An

investmentmanagermaypayhighercommissionstoobtain“soft

dollar^^creditstobuygoodsandservicesthatdonotnecessarily

providedirectbenefitstotheclientwhosecommissionsarebeing

used;suchactions,however,mustbejustifiableonthebasisthatthe

goodsandservicesaidthemanagerinitsinvestmentdecision­

makingprocess.Absentsuchjustification,themanagerisputtingits

owninterestaheadoftheclienfsinterest.

c.PurchaseofThereisapotentialconflictofinterestwhenaportfoliomanager

stockinatrades,fortheaccounthemanages,inthesharesofacompanyin

companywhichhepersonallyownswarrantsthatcanbeusedtopurchase

whosewarrantssharesofthatsamecompany.Theconflictariseswhetherthe

areownedbymanagerpurchasesorholdssuchsharesforthefund,becausehis

theportfoliopurchasecouldbeviewedasanattempttoincreasethevalueofthe

managerwarrants.

d.Reimburse­Acceptingreimbursementfbrsuchexpensesasmeals,lodging,or

mentofanalystplanefarefromtheissuerofthestockaboutwhichtheanalystis

expenses.writingaresearchreportcreatesanobviousconflictofinterest.Such

conductgivesrisetotheperceptionthattheanalysfsindependence

andobjectivityhavebeencompromised.

6(a).Beginningvalue=$27.15x257.876=$7,001.33

Capitalgain÷nds=$1.12x257.876=288.82

Endingvalue=$30.34x257.876=7,823.96

($7,823.96-$7,001.33)+288.82

Return==15.87%

$7,001.33

6(b).Assumingthatthetaxrateof30%isappliedtoallcashflows:

($7,823.96-$7,001.33)+288.82=$1,111.45

$1,111,45(1-.30)=$778.02

Return=$778.02/$7,()01.33=11.11%

6(c).Alternatively,the$1,111.45couldbereinvestedattheyear-endNAVof$30,34.The

investorcouldpurchase$1,111.45/$30.34=36.63shares

7.

StockYear1Year2ProportionDollarLiquidatedNo.ofshares

A$4,525,000$4,875,0005.63%$297,5946,104

B5,710,5005,568,7506.44%339,94313,735

c5,437,5004,642,5005.37%283,40122,892

D10,019,95011,327,50013.09%691,4857,020

E8,701,00()9,625,00011.12%587,5579,401

F11,025,00()13,475,00015.57%822,57910,683

G6,784,0008,189,5609.46%499,93012,942

H4,193,7502,406,2502.78%156,88916,787

I4,333,50012,352,50014.28%754,05627,470

J6,412,5006,784,2007.84%414,1405,494

K3,665,3104,317,8104.99%263,5805,311

L2,723,5600().00%00

M______02,962,5003.42%180,8459,157

$73.531.570$86.526.570100.00%$2.127.000

7(a).Portfoliovalueof$73,531,570

Cash3,542,000

Expenses(730,000)

NetAssetValue$76,343,570/5,430,000=$14.06

7(b).Portfoliovalueof$86,526,570

Cash2,873,000

Expenses(83(),000)

NetAssetValue$88,569,570/5,430,000=$16.31

Growth=($16.31-$14.06)/$14.06=16.0%

7(c).$2,873,000/$16.31=176,149.61shares

7(d).500,000-176,149.61=332,850.39shares(or$5,282,000basedonNAVof$16.31)

(Seetableonpreviouspage.)Eachstock'spercentageofportfoliowascalculatedarriving

atthepercentagespresentedinthetable.Eachpercentagewasappliedtothe$5,282,000

toarriveatthedollaramountforeachstockthatmustbeliquidated.Finally,eachstock

pricewasdividedintotheliquidationamountperstocktodeterminethenumberofshares

ofeachstockthatwouldhavetobesold.

8(a).(1)3percentfront-endload=$100,000(1-.03)=$97,000

$97,000(1+.12)3=$97,000(1.4049)=$13工278

(2)a().5()percentannualdeduction

Year1:$100,000(1+.12)=$112,000(1-.005)=$111,440

Year2:$111,440(1+.12)=$124,812.80(1-.005)=$124,188.74

Year3:$124,188.74(1+.12)=$139,091.38(1-.005)=$138.395.93

(3)a2percentback-endload

$100,000(1+.12)3=$100,000(1.4049)=$140,492.80

$140,492.80(1-.02)=$137,682.94

Choice(2)withendingwealthof$138,395.93

8(b).(1)3percentfront-endload=$100,000(1-.03)=$97,000

$97,000(1+.12严=$97,000(3.10585)=$301.267.28

(2)a().5()percentannualdeduction

$100,000(1+.12)10(1-.005)10=$100,000(3.10585)(.9511)

二$295.400.54

(3)a2percentback-endload

$100,000(1+.12)1°=$100,000(3.10585)=$310,584.82

$310,584.82(1-.02)=$304373.12

Answerwouldchange,nowchoice(3)withendingwealthof$304,373.12

8(c).Afront-endloadtakesthemoneyoutrightaway,thusreducingyourinitialdeposit.

Theannualfeeisusuallylessthanonepercent,whichisasmallamountandbasedonthe

examplethepreferredchoiceforaholdingperiodofthreeyears.

Aback-endloadisusuallyasmallerpercentagethanafront-endload,thoughthedollar

amounthastypicallygrownduringtheholdingperiod.However,back-endloadsarenot

dueuntilthefundisliquidated,inthiscase,alongperiodoftime.

9.CFAExamination11(1995)

9(a).ThefollowingAIMRStandardsofProfessionalConductapplytoClarkifC&Kprovides

allthreefunctionsonacombinedbasis.

1.AccordingtoAIMRStandardV,DisclosureofConflicts,C&Kmustdisclosetoits

clientsanymaterialconflictofinterestrelatingtothefirmthatmightbeperceivedby

clientstoinfluenceC&K'sobjectivity.IftheEuropensionGroupishiredasa

pensionconsultantanditrecommendstotheclientthatC&KInternationalbehired

tomanagethepensionportfolio,C&KneedstodisclosetotheclientC&K'sinterest

intheaffiliate.IfC&KInternationalexecutespensionportfoliosecurities

transactionsthroughAlpsSecurities,C&KneedstodisclosetoclientsC&K's

interestintheaffiliatesothattheycandecidewhetherC&K'sselfinterestsare

compromisingitsinterests.

2.AccordingtoAIMRStandardVI.A,DisclosureofAdditionalCompensation

ArrangementsCompensation,C&Kmustinformitscustomersandclientsof

compensationorotherbenefitarrangementsconcerningitsservicestothemthatare

inadditiontocompensationfromthemforsuchservices.Therefore,C&Kneedsto

disclosetoclientsthatC&Kearnsthroughitsaffiliatesadditionalcompensationin

themanagementofportfoliosandinbrokeragetransactions.

3.AccordingtoAIMRStandardVI.B,DisclosureofReferralFees,C&Kmustinform

prospectivecustomersorclientsofanyconsiderationspaidorotherbenefits

deliveredtoanyofitsaffiliatesforrecommendingtothem(theclientsorcustomers)

servicesofasisterorganization.Suchdisclosureshouldhelpthecustomerorclient

evaluateanypossiblepartialityshowninanyrecommendationofservicesorevaluate

thefullcostofsuchservices.

4.AccordingtoAIMRStandardIII.G,FairDealingwithCustomersandClients,C&K

mustdealfairlywithallcustomersandclientswhentakinginvestmentactions.Alps

Securitiesneedstodealfairlywithallcustomerswhenexecutingsecurityordersand

notfavorthepensionclientsofC&KInternationalovertheothercustomersofAlps

Securities.

9(b).ThefollowingAIMRStandardsofProfessionalConductapplytothissituation:

1.AccordingtoAIMRStandardIII.Cl,PortfolioInvestmentRecommendationsand

Actions,C&Kmust,whentakinganinvestmentactionfbraspecificportfolioor

client,consideritsappropriatenessandsuitabilityforsuchaportfolioorclient.In

consideringsuchmatters,C&Kmustconsidertheneedsandcircumstancesofthe

client.C&Kmustalsousereasonablejudgmenttodeterminetheapplicablerelevant

factors.Accordingtotheserequirements,C&Kshouldconsiderdifferencesin

relevantfactorsinvariouscountries.Iftheduties,practices,andcustomsinthat

countrystipulateaparticularpensionfundassetallocation,thenC&Kmay

reasonablybeexpectedtorespectthispractice.Becausehisclientsandpension

beneficiariesspecificallywanttoconformtoconservativeassetallocationpractices

intheircountry,C&Kmayreasonablybeexpectedtorespectitsclients9investments

policies.

2.AccordingtoAIMRStandardVILC,FiduciaryDuties,Clarkshoulddetermine

applicablefiduciarydutiesinthatcountryandcomplywiththem.Clarkmustalso

determinetowhomthedutiesareowedandwhatassetallocationisbestsuitedtothe

investmentobjectivesoftherespectiveclientstogetherwiththeinvestment

conditionsandcircumstancesinthehostcountry.Iftheprevailingfiduciarypractice

stipulatesaparticularassetallocation,C&Kmayhavetorespectthatpractice.

Therefore,thepracticeofallocatingatleast8()percentofpensionfundassetsto

fixed-incomesecuritiesmaybeappropriatewithinthecontextofthisEuropean

country'spractices,asopposedtoaNorthAmericancontext.

9(c).ThefollowingAIMRStandardsofProfessionalConductapplyinthissituation.

1.AccordingtoAIMRStandardII.A,RequiredKnowledgeandCompliance,Clark

mustcomplywiththeAIMRStandardsofProfessionalConductandthe

accompanyingCodeofEthics.Althoughlocallaws,rules,andregulationsmaynot

relatespecificallytotheuseofmaterialnonpublicinformation,anyviolationof

anotherstandardwouldbeconsideredaviolationofStandardILA.Therefore,the

latterstandardapplies.

2.AccordingtoAIMRStandardILB,ProhibitionAgainstAssistingLegalandEthical

Violations,Clarkmustnotknowinglyparticipateinanyactthatwouldviolatethe

AIMRStandardsofProfessionalConduct.Lackingspecificlocalorotherregulatory

requirementinacountry,orwhentheAIMRStandardsimposeahigherdegreeof

responsibilityorhigherdutythanthatrequiredbylocalorotherlaworcustom,Clark

isheldtotheAIMRStandards.

3.AccordingtoAIMRStandardILC,ProhibitionAgainstUseofMaterialNonpublic

Information,Clarkcannotuseinsiderinformationinhisinvestmentactions.

Specifically,Clarkmustnottakeinvestmentactionsbasedonmaterialnonpublic

informationif(1)suchactionsviolateaspecialorconfidentialrelationshipwithan

issuerorwithothers,or(2)suchinformationwasdisclosedtohiminabreachofa

dutyorwasmisappropriated.Ifabreachofdutyexists,Clarkshouldtrytoachieve

publicdistributionoftheinformation.

10.CFAExaminationIII(1999)

TheMuellers9portfoliocanbeevaluatedintermsofthefollowingcriteria:

i.Preferencefor^MinimalVolatility.ThevolatilityoftheMuellers5portfoliois

likelytobemuchgreaterthanminimal.Theassetallocationof95percentstocksand

5percentbondsindicatesthatsubstantialfluctuationsinassetvaluewilllikelyoccur

overtime.Theassetallocation'svolatilityisexacerbatedbythefactthatthebeta

coefficientof90percentoftheportfolio(i.e.,thefourgrowthstockallocations)is

substantiallygreaterthan1.0.Thustheallocationtostocksshouldbereduced,as

shouldtheproportionofgrowthstocksorhigherbetaissues.Furthermore,the5

percentallocationtobondsisinalong-termzerocouponbondfundthatwillbe

highlyvolatileinresponsetolong-terminterestratechanges;thisbondallocation

shouldbeexchangedforonewithlowervolatility(perhapsshortermaturity,higher

gradeissues.)

ii.EquityDiversification.Themostobviousequitydiversificationissueisthe

concentrationof35%oftheportfoliointhehighbetasmallcapstockofAndrea's

company,acompanywithahighlyuncertainfuture.Asubstantialportionofthestock

canandshouldbesold,whichcanbedonefreeorlargelyfreeoftaxliabilitybecause

oftheavailabletaxlosscarryforward.Anotherissueisthe90percentconcentration

inhighbetagrowthstocks,whichcontradictstheMuellers,preferenceforminimal

volatilityinvestments.Thesameistrueoftheportfolio^45percentallocationto

highervolatilitysmallcapstocks.Finally,theentireportfolioisconcentratedinthe

domesticmarket.DiversificationawayfromAndrea'scompany'sstock,intomore

valuestocks,intomorelargecapstocks,andintoatleastsomeinternationalstocksis

warranted.

iii.AssetAllocation(includingcashflowneeds),Theportfoliohasalargeequity

weightingthatappearstobemuchtooaggressivegiventheMuellers9financial

situationandobjectives.Theirbelowaveragerisktoleranceandlimitedgrowth

objectivesindicatethatamoreconservative,balancedallocationismoreappropriate.

TheMuellersarenotinvestedinanyassetclassotherthanstocksandthesmallbond

fundholding.Areductioninequityinvestment