三级CFA考试SS7复习笔记.pdf

2011年年CFA三级基础班讲义三级基础班讲义 SS7 Economic Concepts for Asset Valuation in Portfolio Management 讲师 薛隽讲师 薛隽 CFA CPA 日期 日期 2011年年3月 地点 上海 北京 深圳 月 地点 上海 北京 深圳 上海金程国际金融专修学院上海金程国际金融专修学院上海金程国际金融专修学院上海金程国际金融专修学院 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2 2 2222 Topic in CFA Level III SS 1 2ETHICS MONITORING AND REBALANCING SS 17PERFORMANCE EVALUATION AND ATTRIBUTION SS 18GLOBAL INVESTMENT PERFORMANCE STANDARDS 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 3 3 2222 Framework of SS7 SS 7 Economic Concepts for Asset Valuation in Portfolio Management R24 Equity Market Valuation R25 Dreaming with BRICs The Path to 2050 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 4 4 2222 SS 7 Economic Concepts for Asset Valuation in Portfolio Management R24 Equity Market Valuation 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 5 5 2222 LOS a explain the terms of the Cobb Douglas production function and demonstrate how the function can be used to model growth in real output under the assumption of constant returns to scale b evaluate the relative importance of growth in total factor productivity in capital stock and in labor input given relevant historical data c demonstrate the use of the Cobb Douglas production function in obtaining a discounted dividend model estimate of the intrinsic value of an equity market d evaluate the sensitivity of equity market value estimates to changes in assumptions e contrast top down and bottom up forecasts of the earnings per share of an equity market index f explain and critique models of relative equity market valuation based on earnings and assets g judge whether an equity market is under fairly or over valued based on a relative equity valuation model 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 6 6 2222 Neoclassical approach to growth accounting Cobb Douglas Model General expression Where Y total real economic output A total factor productivity K capital stock L Labor input elasticity of L elasticity of K 24 a LAKY 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 7 7 2222 Neoclassical approach to growth accounting Cobb Douglas Model If assuming constant returns to scale 1 And obtain 24 a ln 1 ln ln ln LKAY L L K K A A Y Y 1 Growth in TFP Growth in Capital Growth in Labor 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 8 8 2222 Using CD model to estimate growth Application of CD model to estimate the growth The framework allows analysts to apply their own forecasts of factors of production with particular emphasis on how such factor trajectories might change over time Refer to the case on page 139 24 b 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 9 9 2222 Equity market valuation Using H model to derive the justified leading P E Due to higher volatility of Chinese markets the discount rate applied to cash flow forecast would higher Example 3 on page 148 24 c LSL L gg N g gr D V 2 1 0 0 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1010 2222 Top down Refined into return expectation for various market sectors or industries Project return for individual securities Bottom up forecast Microeconomic outlook for the fundamental individual companies 24 e 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1111 2222 Top down vs bottom up forecast Top down analysis Market analysis examine valuations in different equity markets to identify those with superior expected returns Compare relative value measures for each equity market to their historical values to identify those markets where equities are relatively cheap or expensive Examine the trends in relative value measures for each equity markets expected to provide superior performance to the expected returns for other asset classes Industry analysis evaluate domestic and global economic cycles to determine those industries expected to be top performers in the best performing equity markets Compare relative growth rates and expected profit margins across industries Identify those industries that will be favorably impacted by expected trends in interest rates exchange rates and inflation Company analysis identify the best stock in those industries that are expected to be to performers in the best performing equity markets 24 e 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1212 2222 Top down vs bottom up forecast Bottom up analysis Company analysis identify a rationale for why certain stocks should be expected to outperform without regard to the prevailing macroeconomic conditions Identify reasons why a company s products technology or services should be expected to successful Evaluate the company s management history business model and growth prospects Use discounted cash flow models to determine expected returns for individual securities Industry analysis aggregate expected returns for stocks within an industry to identify the industries that are expected to be the best performers Market analysis aggregate expected industry returns to identify the expected returns for every equity market 24 e 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1313 2222 Top down vs bottom up forecast Selection of approach If portfolio focuses on tactical asset allocation among different market composites sectors industries bottom up is more appropriate If involves investment strategy top down is more appropriate Using both forecasting types In fundamental analysis be wise to use both methods There maybe gap between the results from 2 methods 24 e 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1414 2222 Relative value models 2 categories Earning based models and Assets based models The Fed model US stocks are undervalued if the forward earnings yield on the S Are overvalued if opposite Key criticism Ignore the equity risk premium the assumption of Fed model is required return and ROE for equity are equal to treasury bond yield Ignore inflation and earning growth opportunities 24 f 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1515 2222 Relative value models Yardeni model Where yB Moody s A rated corporate bond yield LTEG consensus five year earning growth forecast for S d a weighting factor measuring the importance the market assigns to the earning projects 24 f LTEGdy P E B 0 1 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1616 2222 Relative value models 10 year moving average price earnings Numerator real S Denominator moving average of the preceding 10 years of real reported earnings adjusted for inflation Use 10 years to control for business cycle effects on earrings As a mean reverting series 24 f 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1717 2222 Relative value models Assets based models Tobin s q ratio A company level market value of a company replacement cost of its assets If 1 additional capital investment should be profitable for the company s suppliers of financing If 1 unprofitable in further capital investment Overall market level Be to check whether the market is overvalued or undervalued Reverting to mean series 24 f g 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1818 2222 Framework of SS7 SS 7 Economic Concepts for Asset Valuation in Portfolio Management R25 Dreaming with BRICs The Path to 2050 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1919 2222 Economic Potential of the BRICs Potential economic size and growth by 2050 the BRIC economies could be larger in size Demographics and per capita income Will experience a decline in working age population but later than that in the G6 Per capita income is expected to be lower than G6 with the exception of Russia Growth in global spending Much higher increases in annual spending Trends in real exchange rates Could strengthen by 300 by 2050 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2020 2222 Elements of Economic Growth Technological progress The rate of technological progress in developing countries should eventually catch up to that in developed countries In Brazil and India technological progress is prejected to be weaker than in China and Russia over the next 20 years Growth in capital stock Less important for economic growth than technological progress Reducing the projected growth in capital stock by 5 would reduce GDP levels by 13 in BRIC Employment growth Based on population growth estimates Play a more positive role in economic growth in India and Brazil than in the rest of the BRIC countries 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2121 2222 Conditions for Sustained Economic Growth Macroecon