投资学案例分析文档格式.docx
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投资学案例分析文档格式.docx
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她早年有2000000美元的短期存款。
RI公司通过一项慷慨股票奖金计划来激励其重要的员工,但不能提供养老计划和股利
苏珊参与这项激励计划使得她所持有的RI公司股票的价值达10000000美元(现值)。
股票是免税的,但是在出售的时候要以35%的税率(对全部收益)支付税收,预计股票至少持有到她退休时为止。
她的当前支出水平和4%的通货膨胀到她退休后预计保持不变。
苏珊的薪水、投资收入和实现的资本利得所面临的税率为35%。
假设她的复合税率永远保持在这一水平。
苏珊的特性是对任何事情都有耐心、细致和谨慎。
她认为用自己的储蓄进行有价证券的投资在任何12个月的名义跌幅不会超过10%,每年税后有3%的回报率是完全可以接受的。
为了获得专业性的帮助,她接触了两个投资顾问公司:
HH顾问公司和CA顾问公司,以获得如何用她的既有储蓄资产进行投资组合配置的建议以及一般性投资的建议。
A根据所提供的资料为苏珊提供一个投资政策报告,并说明理由。
要求精确而完整地陈述目标和限制条件(不要求提供资产配置的具体方案)。
B.CA公司已经在表26F中为苏珊的2000000美元的储蓄资产提供了一个资产配置方案。
假定只对苏珊个人征收该方案的当前收益(包括投资收入和已经实现的资本利得),市政债券收入则完全免税。
评价这个方案,在你的回答中,要根据你在A投资方案报告中的观点指出CA公司方案的三个缺点。
C.HH公司为客户提供了五种可供选择的资产配置方案,见表26G。
根据表和A中的投资方案报告回答下列问题:
1)找出满足或超过苏珊提出的收益目标的资产配置方案。
2)试找出表26G中满足苏珊的风险承受标准的三种资产配置方案。
假设置信区间为95%,以两个标准差确定这一区间估计。
D假定无风险利率为4.5%。
1)计算资产配置方案D的夏普比率。
2)根据夏普比率,找出表26G中最具风险调整收益的两个资产配置方案
表26FCA公司为苏珊提供的资产配置方案
表26GHH公司提供的资产配置方案
数据小结
分析
概述。
苏珊现年58岁,按计划退休还有7年。
她的生活相当富足但也有一些金钱方面的担忧:
她的大笔薪水都用于支付当前的支出,她的早年的储蓄总共已经积蓄了200万美元的现金等价物。
她的健康状况良好,其健康保险期限将持续到退休后并由雇主支付。
尽管苏珊的岗位级别很高,对于投资事物她并不是很擅长,习惯于与专业顾问联系来安排她的投资计划。
该计划由价值1000万美元的在纽约证券交易所上市的公司股票组成,这些股票不付红利,对于税收而言为0成本。
所有的薪水、投资收入(除了市政债券的利息),以及实现的资本利得都按她所适用的35%的税率征收所得税;
在将来这一税率和4%的通胀率会持续不变。
苏珊愿意接受投资组合的3%的实际税后收益率,该投资组合由其200万美元的储蓄构建而成(储蓄资产组合),如果只有中等的资产组合波动率的话(即每年贬值率小于10%),她在各个方面都被认为是保守的。
目标
收益率要求。
苏珊
P594书中第3题答案参考
3.a.i.ReturnRequirement:
IPSYhastheappropriatelanguage.SincethePlaniscurrentlyunder-funded,theprimaryobjectiveshouldbetomakethepensionfundfinanciallystronger.Theriskinherentinattemptingtomaximizetotalreturnswouldbeinappropriate.
ii.RiskTolerance:
IPSYhastheappropriatelanguage.Becauseofthefund’sunder-fundedstatus,thePlanhaslimitedrisktolerance;
shouldthefundincurasubstantialloss,paymentstobeneficiariescouldbejeopardized.
iii.TimeHorizon:
IPSYhastheappropriatelanguage.Althoughgoing-concernpensionplansusuallyhavealongtimehorizon,theAcmeplanhasashortertimehorizonbecauseofthereducedretirementageandtherelativelyhighmedianageoftheworkforce.
iv.Liquidity:
IPSXhastheappropriatelanguage.Becauseoftheearlyretirementfeaturestartingnextmonthandtheageoftheworkforce(whichindicatesanincreasingnumberofretireesinthenearfuture),thePlanneedsamoderatelevelofliquidityinordertofundmonthlybenefitpayments.
b.Thecurrentportfolioisthemostappropriatechoiceforthepensionplan’sassetallocation.Thecurrentportfoliooffers:
i.AnexpectedreturnthatexceedsthePlan’sreturnrequirement;
ii.AnexpectedstandarddeviationthatonlyslightlyexceedsthePlan’starget;
and,
iii.Alevelofliquiditythatshouldbesufficientforfutureneeds.
ThehigherexpectedreturnwillamelioratethePlan’sunder-fundedstatussomewhat,andthechangeinthefund’sriskprofilewillbeminimal.TheportfoliohassignificantallocationstoU.K.bonds(42percent)andlarge-capequities(30percent)inadditiontocash(5percent).Theavailabilityofthesehighlyliquidassetsshouldbesufficienttofundmonthlybenefitpaymentswhentheearlyretirementfeaturetakeseffectnextmonth,particularlyinviewofthestableincomeflowsfromtheseinvestments.
TheGrahamportfoliooffers:
i.AnexpectedreturnthatisslightlybelowthePlan’srequirement;
ii.AnexpectedstandarddeviationthatissubstantiallybelowthePlan’starget;
iii.Alevelofliquiditythatshouldbemorethansufficientforfutureneeds.
GiventhePlan’sunder-fundedstatus,theportfolio’slevelofriskisunacceptable.
TheMichaelportfoliooffers:
i.AnexpectedreturnthatissubstantiallyabovethePlan’srequirement;
ii.AnexpectedstandarddeviationthatfarexceedsthePlan’starget;
and
P595书中第6题答案参考
6.a.OBJECTIVES
1.Return
TherequiredtotalrateofreturnfortheJUendowmentfundisthesumofthespendingrateandtheexpectedlong-termincreaseineducationalcosts:
Spendingrate=$126million(currentspendingneed)
dividedby
($2,000millioncurrentfundbalanceless$200millionlibrarypayment)
=$126million/$1,800million=7percent
Theexpectededucationalcostincreaseis3percent.Thesumofthetwocomponentsis10percent.Achievingthisrelativelyhighreturnwouldensurethattheendowment’srealvalueismaintained.
2.Risk
Evaluationofrisktolerancerequiresanassessmentofboththeabilityandthewillingnessoftheendowmenttotakerisk.
Ability:
AverageRisk
∙Endowmentfundsarelong-terminnature,havinginfinitelives.Thislongtimehorizonbyitselfwouldallowforabove-averagerisk.
∙However,creativetensionexistsbetweentheJUendowment’sdemandforhighcurrentincometomeetimmediatespendingrequirementsandtheneedforlong-termgrowthtomeetfuturerequirements.Thisneedforaspendingrate(inexcessof5percent)andtheuniversity’sheavydependenceonthosefundsallowforonlyaveragerisk.
Willingness:
AboveAverageRisk
∙Universityleadersandendowmentdirectorshavesetaspendingrateinexcessof5percent.Toachievetheir7percentrealrateofreturn,thefundmustbeinvestedinabove-averagerisksecurities.Thus,the7percentspendingrateindicatesawillingnesstotakeabove-averagerisk.
∙Inaddition,thecurrentportfolioallocation,withitslargeallocationstodirectrealestateandventurecapital,indicatesawillingnesstotakeabove-averagerisk.
Takingbothabilityandwillingnessintoconsideration,theendowment’srisktoleranceisbestcharacterizedas“aboveaverage.”
CONSTRAINTS
1.TimeHorizon(期限)
Atwo-stagetimehorizonisneeded.Thefirststagerecognizesshort-termliquidityconstraints($200millionlibrarypaymentineightmonths).Thesecondstageisaninfinitetimehorizon(endowmentfundsareestablishedtoprovidepermanentsupport).
2.Liquidity.
Generally,endowmentfundshavelongtimehorizons,andlittleliquidityisneededinexcessofannualdistributionrequirements.However,theJUendowmentrequiresliquidityfortheupcominglibrarypaymentinadditiontothecurrentyear’scontributiontotheoperatingbudget.Liquidityneedsforthenextyearare:
LibraryPayment+$200million
OperatingBudgetContribution+$126million
AnnualPortfolioIncome−$29million
Total+$297million
Annualportfolioincome=
(0.04×
$40million)+(0.05×
$60million)+(0.01×
$300million)
+(0.001×
$400million)+(0.03×
$700million)=$29million
3.Taxes.U.S.endowmentfundsaretax-exempt.
4.Legal/Regulatory.
U.S.endowmentfundsaresubjecttopredominantlystate(butsomefederal)regulatoryandlegalconstraints,andstandardsofprudencegenerallyapply.RestrictionsimposedbyBremnermayposealegalconstraintonthefund(nomorethan25percentoftheinitialBertocchiOilandGassharesmaybesoldinanyone-yearperiod).
5.UniqueCircumstances.
Only25percentofdonatedBertocchiOilandGassharesmaybesoldinanyone-yearperiod(constraintimposedbydonor).Asecondaryconsiderationistheneedtobudgettheone-time$200millionlibrarypaymentineightmonths.
b.U.S.MoneyMarketFund:
15%(Range:
14%-17%)
Liquidityneedsforthenextyearare:
Librarypayment+$200million
Operatingbudgetcontribution+$126million
Annualportfolioincome−$29million
Total+$297million
Totalliquidityofatleast$297millionisrequired(14.85percentofcurrentendowmentassets).Additionalallocations(morethan2percentabovethesuggested15percent)wouldbeoverlyconservative.Thiscushionshouldbesufficientforanytransactionneeds(i.e.,mismatchofcashinflows/outflows).
IntermediateGlobalBondFund:
20%(Range:
15%-25%)
Toachievea10percentportfolioreturn,thefundneedstotakeaboveaveragerisk(e.g.,20percentinGlobalBondFundand30percentinGlobalEquityFund).Anallocationbelow15percentwouldinvolvetakingunnecessaryriskthatwouldputthesafetyandpreservationoftheendowmentfundinjeopardy.Anallocationinthe21percentto25percentrangecouldstillbetoleratedbecausetheslightreductioninportfolioexpectedreturnwouldbepartiallycompensatedbythereductioninportfoliorisk.Anallocationabove25percentwouldnotsatisfytheendowmentfundreturnrequirements.
GlobalEquityFund:
30%(Range:
25%-35%)
Toachievea10percentportfolioreturn,thefundneedstotakeaboveaveragerisk(e.g.,30percentinGlobalEquityFundand20percentinGlobalBondFund).Anallocationabove35percentwouldinvolvetakingunnecessaryriskthatwouldputthesafetyandpreservationoftheendowmentfundinjeopardy.Anallocationinthe25percentto29percentrangecouldstillbetolerated,astheslightreductioninportfolioexpectedreturnwouldbepartiallycompensatedbythereductioninportfoliorisk.Anallocationbelow25percentwouldnotsatisfytheendowmentfundreturnrequirements.
BertocchiOilandGasCommonStock:
15%
Thereisasingleissuerconcentrationriskassociatedwiththecurrentallocation,anda25percentreduction($100million),whichisthemaximumreductionallowedbythedonor,isrequired($400million−$100million=$300millionremaining).
DirectRealEstate:
10%
VentureCapital:
Thesuggestedallocations
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