cfa leve2密卷m1直播讲义道德经济学权益另类

ThePensionFundJasonZhang,CFA,hasrecentlybeenhiredastheChiefInvestmentOfficerofthe ernmentEmployees’PensionFundCurrently,heisconductingevaluationsofallexternalmanagersemployedbythePensionFundtoensurethattheyareactingtheirbesttopursueexcellentreturnsaccordingtotheirownmandates,whilecomplyingwithallapplicablelawsandregulations.ABCInvestmentisalocalassetmanagementfirmwithrelativelylargeAUM.10%ofthepensionfundassetswereallocatedtoABCInvestmentsduetoitsgoodtracksofperformanceforpastfiveyear.Tobetterunderstandtheinvestmentactivitiesofthisfirm,Jasonarrangedaformalmeetingwiththerespectivefundmanager,EmmaWen.JasonrequiredEmmatoex intheheavypositionsoncommoditiesintheportfoliosincethetradesdidnotconsistentwiththewrittenIPSofthepensionfund.Emmarepliedthatthere’salotoftradingopportunitiesincommoditymarketssincetheupwardtrendsbecamemoreobvious,contrarilythestockmarketwasstagnant.Thoughbeingagreenhand,shewasreadytograbtheseprofitstofurtherlypushupthereturnsofthefund.JasonthenhadathoroughcheckonABCinvestmentfirm’s PerformancePerformancedatamustbe edforeachofABC’sactiveaccounts,bediscloseduponrequest,andbecomparedwiththefirm’scomposite,whichiscomposedofactiveaccountsonly.Performancedatamustbepresentedonabefore-taxbasistoall s,withthedisclosurethatallperformancedataarecomputedbeforefees.Disclosures ABCencouragesitsstafftobeinvolvedinthebusinesscommunity.Onlybusiness-relatedsofintereststhatrelatetocurrentportfolioholdingsneedtobereportedtotheAnyviolationoftheABCcompliance statementbytheemployeeswillbereportedto ,andemployeeswillreceiveanofficialwarning.AlltheemployeesofABCneedtodiscusswiththeirsupervisoraloutsidecompensationthattheyarereceivingormayreceive.ABCmaintainsonlyhard-copyrecordsforthePensionFundforthefiveyearsrequiredbyalSecurities1：Ifinvestment nstotradestocksin s’accountsondayT,theycouldnottradethosesamestocksin alaccountsondayT-3,T-2andT-1.2：Eachmontharandomlyselectedgroupofinvestment nelmustprovideduplicatetradeconfirmationstotheABCcomplianceofficer. nelmustreceivepriorapprovalfor altradesonlyforthosetradesgreaterthan$10,000.Regardingthecommoditypositions,doesEmma’stradecomplywiththeCFAInstitutecodeandstandards?AYes,becauseitisagoodopportunitytoearnBNo,becauseinvestingincommoditydoesnotfollowtherelatedCNo,becauseshehasnotenoughrelatedexperiencetotradeDoesABC’scompliance statementconformwiththeCFAInstituteCodeandStandardswithrespecttoperformanceANo,becauseterminatedaccountsareBNo,becauseperformanceisreportedto sgrossofCNo,becauseperformancedataarepresentedonabefore-taxIII(D)PerformancePresentation这条细则要求无论是终止账户还 守GIPS要求，但不是强制要求，所以无论披露grossoffees还是netoffee以及before-tax或者after-tax并不 DoesABC’scompliance statementconformwiththeCFAInstituteCodeandStandardswithrespecttodisclosuresof ANo,becausenotonlybusinessinterestsbut alBNo,becausenotjustthoserelatetocurrentportfolioholdingsbutalsorelatetoallactualandpotential sofinterestsCVI(A)Disclosureof DoesABC’scompliance statementconformwiththeCFAInstituteCodeandStandardswithrespectto:ABC

的discusswiththeirsupervisor。所以正确答案是A。DoesABC’s InstituteCodeandStandardswithrespecttorecord-retention？ANo,becausetheCFAInstituterequiresmaintainingrecordsinBNo,becausetheCFAInstituterequiresmaintainingrecordsatleast7years.C根据V(C)RecordRetention条款，企业可以选择保存electronic WhichofABC’s alSecuritiesTrading consistentwiththeCFAInstituteStandards?alSecurities alSecurities alSecurities VI(B)PriorityofTransactions条款要求CFA会员或者考生不能抢在 alSecuritiesTrading TheGuptaChristianMathew,CFA,isanequity ystspecializinginthebeverageindustry,forGuptaAssetManagers(Gupta),aportfoliomanagement basedinMumbai, Mathewis nningatriptoSriLankatoresearchtheteaindustry.MuraliPremadosa,CFA,knownas“Prem,”isaresearch ystforastockbroking ,AshokaBrokers,headquarteredinColombo,SriLanka.MathewcontactsPremtohelparrangevisitstospecificallyidentifiedteaestatesofpubliclytradedcompaniesinthehighlandsofSriLanka.Prem,whowantstoenhancethebusinessrelationshipwithGupta,arrangesforallofMathew’sSriLankanexpensestobepaidforbyAshoka.Thesecostsincludefood,hoandtransport.ThisarrangementisbasedontheunderstandingthatallsecuritytransactionsresultingfromMathew’striptoSriLankawillbeexecutedthroughAshoka.Ashoka’scommissionsaretypicallysimilartoitscompetitorsbutitcantakeafewextradaystoexecutelargervolumesoftradesbecauseAshokaisnewtothebrokeragebusiness.Premsetstheitinerary,with nstovisitaminimumofsixSriLankateacompaniesinthethreetea-growingregions.MathewagreestothevisitsandasksPremtocreatealistofquestionstoaskthemanagementofeach towhichhewilladdhisownquestions.MathewasksPremtodelaythereleaseofanyresearchreporthewritesonthesixSriLankacompaniestheyvisittogetheruntilsuchtimethatGuptahashadanopportunitytoactonMathew’s mendations.Premagreestothisarrangement.Inameetingwithapubliclylistedtea ,KandyTeaEstateLimited,informationisrevealedthatneitherMathewnorPrembelieveisinthepublicarena.Theinformationrelatestotherestructuringofthefactorylayouttomaketheteadryingprocessmarginallymoreefficientwitha1%reducedlossoftealeaf.Thenewlayoutdoesnotrequireanyadditionalmachineryor nel.PremandMathewseetheincreasedefficienciesduringtheirfactorytour.Afterthemeeting,PrempreparesaninvestmentresearchreportwiththeexcerptshowninExhibit1.ExhibitKandyTeaEstateLimitedDate:December2016yst:MuraliPremadosaCharteredFinancial mendation:Long-termbuywithassociatedhighcommodityrisksupportedbylargegrowthprospectsforSriLankaaswellasliquidityriskbecauseitisathinlytradedinafrontierExhibit1–TeaProductivitybycountry(MillionCAGR(2008-980Sri TeaBoardandSriLankaTeaMathewisimpressedwithPrem’sworkethicandresearchabilities.KnowingGuptawantstohire ystsforitsnewColombooffice,MathewasksPremifhewouldbeinterestedinchangingemployersandbuildingaresearchteam.PremisexcitedabouttheprospectandtoshowhisworthtoGupta,Premundertakesthefolowingactionsathisofficeafternormalworkinghours:Action1:CreatesalistofalltheworkhecompletedatAshokaonhis allaptop.Action2:Photocopiesresearchreportsherecentycompletedontheteaindustry.Action3:MakeshandwrittenexcerptsfrompreviousresearchmeetingUponMathew’sreturntoMumbai,hedeliverstohis shisinvestmentreportwitha mendationforKandyTeaEstateLimited,alongwithteasampleshecollectedwhileinSriLanka.WhenbuyingKandysharesforhis s,Mathewalsobuysthesamesharesforhis alaccount.Hehaddisclosedhis ntopurchasethesharesforhisownportfolioalongsidehis sbeforeheboughttheshares.However,Mathewisdtosellthesamesharestwoweekslatertopayforamedicalemergency.MathewreceivedpermissionfromGupta’scomplianceofficerforbothtransactions.IsPrem’sarrangementtoenhancebusinessrelationsconsistentwiththeCFAInstituteCodeofEthicsandStandardsofProfessionalNo,withregardtobestNo,withregardtoindependenceandobjectivityofmaking BiscorrectbecausePrem’semployer,AshokaisnotabletoprovidebestexecutionforGupta’scustomersbecauseofthelongertimeframerequiredtoexecutetrades.ThusMathewisinviolationofStandardIII(A)–Loyalty,PrudenceandCare.Mathew’sindependenceandobjectivityareunlikelytobecompromisedbyPrem’sarrangingtheitinerarybecauseMathewhadspecificallyidentifiedthecompanieshewantedtovisit.MathewalsoaddedquestionstoPrem’slistofquestionstobeaddressedwithmanagementduringtheirinterviews,soMathewsindependenceandobjectivitywouldnotlikelybecompromised.Ashoka’soffertopayforthetripexpensesalsodoesnotnecessarilycompromiseMathew’sindependenceandobjectivitywithregardtomaking mendationsortakinginvestmentaction(StandardI(B)IndependenceandObjectivity).WhoismostlikelytohaveviolatedCFAInstituteStandardsinregardtothetimingofthereleaseofresearchreports?BothPremandCiscorrectbecausebyagreeingtoMathew’sstipulation,PremisinviolationofStandardIII(B).StandardIII(B)obligesCFAInstitutemembersandcandidatestoensurethatinformationisdisseminatedinsuchamannerthatall shaveafairopportunitytoacton mendationPremletMathew’s stradeoninformationgarneredontheresearchtripbeforePremevendisseminatesthisinformationtohis s,aviolationofStandardIII(B).Inaddition,StandardI(A)statesthatmembersandcandidatesareresponsibleforviolationsinwhichtheyknowinglyparticipateorassist.Bymakingastipulationregardingthereleaseofinvestment mendationsunfairlytoallAshokas,MathewisknowinglyparticipatingwithorassistingPreminviolatingStandardIII(B)andthusviolatesStandardI(A).Therefore,bothPremandMathewhaveviolatedCFAInstituteStandards.IsanyfurtheractionmostlikelyrequiredofPremandMathewpriortopublishinganinvestmentreportusingtheinformationreceivedintheirmeetingwithKandyTeaEstate? tomakeapublic.Aiscorrectbecausewhiletheinformationisnon-public,itisunlikelythatnewsofanewfactorylayoutwouldbeconsidered“material,”especiallyinthatitdoesnotrequirenewmachineryor Therefore,nopublicdisclosureisrequired.IndependentverificationisnotnecessarilyrequiredbecausePremandMathewareabletoseetheincreasedefficienciesduringtheirfactorytour.Prem’sresearchreportinExhibit1leastlikelyviolateswhichCFAInstituteStandard?UseofCFA Aiscorrectbecausethestatisticscitedarereferencedasbeingfrom TeaBoardandtheSriLankaTeaBoard.Thus,Premisnottryingtopasstheinformationoffashisown.However,hehasviolatedStandardVII(B)withregardtotheuseoftheCFAdesignation.Premisnotallowedtousehisdesignationasatitleornoun–thatis,“CharteredFinancial yst.”TheCharteredFinancialystandCFAmarksmustalwaysbeusedeitheracharterholder’snameorasadjectives(neverasnouns)ins.Forexample,torefertooneselfasa“CFA”ora“CharteredFinancial yst”isimproper.ThecorrectusagewouldbeJohnJones,CharteredFinancial yst,orJaneSmith,CFA.PremalsoviolatedStandardIV(B)Communicationwith sbycitingdatedteaproductioninformation.Asaresult, sareunlikelytobeabletofollowthereasoningbehindhis WhichoftheactionsthatPremundertakestoshowhisvaluetoGuptaisconsistentwiththeCFAInstituteStandards?ActionActionActionCiscorrectbecausealistofthereportsPremhascreatedisnotconsideredresearchsohehasnotviolatedStandardIV–DutytoEmployersorStandardV(C)-Recordretention.Also,hecreatedthelistafterworkinghoursandusedhis allaptop,sohehasnot resourcestocreatethislist.Mathew’sinvestmentactionsuponhisreturntoMumbaiviolateCFAInstituteStandardswithregardstohis: alteagiftsofteasamples BiscorrectbecauseMathewhasviolatedCFAStandardVI(B)PriorityofTransaction.Mathewbuyingthinlytradedsharesinafrontiermarketforhis alaccountatthesametimeasheisbuyingthemforhis sislikelytoharmhis sbecausethesharepriceswouldrisebeforeallthesharesarepurchased. sareandunlikelytocontributetotheirdecisionstoimplementMathew’s mendation.Consequently,hehasnotviolatedStandardI(B)IndependenceandObjectivity.Healsomadeappropriatepriordisclosurestohis sabouthisteainvestment,soheisnotinviolationofStandardVI(A)Disclosureof AlbaAlbaisadevelo country.The ernmenthasadoptedopenpoliciesforinternationaltradeandtheflowofcapital.TradeisnowsubstantialwithEuropeancountriesandisoftendenominatedineuros(€).Duringtheearly2000s,privatizationofsomepubliclyownedindustries;creationofanew -floatingcurrency,theAlbaDollar(ALD);andsoundpoliciesimplementedatthecentralbankputtheeconomyonatrackforsteadygrowthandstability.MinisterofFinanceAndrewBubsispreparnghisannualreportonthestateoftheeconomyandcurrencymarketsforthelegislativebranchof ernment.Hewillexaminethelong-andshort-termtrendsinGDPgrowth,percapita e,inflation,andexchangerates.Heisalsoresponsiblefor initiativesforthelegislaturetoconsidertopromoteoveralleconomicprosperityforAlba’scitizens.Toestimatelong-termGDPgrowth,BubsexaminesthedatainExhibit1andintendstouseSolow’sgrowthaccountingequation.ExhibitLong-TermTrendsofAlba’sGrowthduetoGrowthinPopulationGrowthinGrowthrateoftotalShareofGDPpaidBubsconsultshiscolleagueLarrySmithtoreviewthe choicesfacingthe andthepossibleeffectsoneconomicgrowthandpercapita Smithstates:Alba’spoliticiansaredebatingtheeffectsofgrowthratepoliciesfocusedon higherratesofsavingandimportingmoretechnologicalinnovations,greaterinvestmentinresearchanddevelopmentSmithconcludes:Theimpactfromthesepolicieswillcausealong-termincreaseintheeconomy’sgrowthrateandthestandardofliving.Furthermore,fweemphasizeR&Dspending,thenhigherratesofsavingandinvestmentareunlikelytoencounterdiminishingmarginalreturns.BubsbelievesthatAlbaneedstoaddressarecentincreaseininflationandappreciationintheexchangerate.Ifthesetrendsaccelerate,thecountry’spresentprosperitycouldbethreatened.BubsandSmithdiscuss Bubsstates:BecauseAlbaallowscapitaltoflow ly,theclearestchoiceistoimplementexpansionarymonetaryandfiscalpoliciestostoptheappreciationofthecurrencyaccordingtotheMundell–Flemingmodel.Smithreplies:Thereisalsoatimingdimensiontoconsider.AccordingtoeconomistRüdigerDornbusch,withinflexibledomesticpricesintheshortrun,anydecreaseinnominalmoneysupplywillinduceanincreaseinthedomesticinterestrate.Thisresponsewillencouragecapitalinflowsandcausetheexchangeratetoovershoottotheupsideintheshortrun,untildomesticpriceshaveachancetoBubsalsoconcernstheimportanceofGDPgrowthtoinvestorsandtheconvergenceoflivingstandardsbetweencountries.Smithex Statement1:Whenweconsiderourstockmarketsoverthelongterm,theprimaryfocusshouldbeontherateofGDPgrowth.Forlongertimehorizons,changesinearningsandtheprice/earningsmutiplearerelativelylessimportantindeterminingappreciatonin hestockmarket.Whenwelookatour emarkets,weshouldkeepinmindthathigherratesofpotentialGDPgrowthwilltranslateintolowerrealinterestratesandlowerexpectedrealassetreturns.Statement2:Manycountriesthathavethesamepopulationgrowthrate,savingrate,andproductionfunctionwillhavegrowthratesandpercapitaoutputthatconvergeovertimeStatement3:Poorcountrieswillonlyconvergetothe elevelsoftherichestcountriesiftheymakeappropriateinstitutionalchanges.Inexaminingthecurrencymarkets,BubsisconcernedthatlocalcurrencydealersarebeingtakenadvantageofbyarbitrageursfromEuropeHe yzestheratequotesinExhibit2forevidenceoftriangulararbitrageandcarrytradeopportunitiesbyEuropeanhedgefunds.ExhibitInterbankandDealerCurrencyQuotesandCurrencyBidOfferProjectedinOneInterbankEURUSDAlba’sALDUsingthespecifiedgrowthaccountingequation,whichisthemostappropriateconclusionBubscanmakefromhisdataontrendsintheeconomy?GDPgrowthisprimarilydrivenbyAlba’seconomyisperformingatasteadystaterateofgrowth.C.GDPgrowthisprimarlydrivenbycapital.答案 格拉斯生产函数可得:ΔY/Y=ΔA/A+αΔK/K+(1−ΔK/K=percentagegrowthinΔL/L=percentagegrowthinα=share epaidtocapital1–α=shareof epaidtolaborfactor,alsotheelasticityofoutputwithrespecttolabor1α0.60andαGDPgrowth=ΔY/Y=ArisingfromthetotalofcomponentsΔA/A=growthdueto0αΔK/K=growthdueto+2.12=(0.40)×(1−α)ΔL/L=growthdueto+1.74=(0.60)×4.06GDPGrowthduetocapitalof212%isgreaterthanthegrowthduetolabororSmith’sconclusionregardingthegrowth debateismostconsistentwithwhichmodelofeconomicgrowth?答案 Whichofthestatementsregarding betweenBubsandSmithinresponsetoAlba’srecentincreaseininflationandappreciationinexchangerateisleastaccurate?Both答案 不确定的。而关于多恩超调模型的说法是正确的。InreviewingthethreestatementstoaddresstheimportanceofGDPgrowthtoinvestorsandtheconceptofconvergence,whichofBubs’scolleagues’statementsismostinaccurate?答案A说的是条件趋同，当populationgrowthrate,savingrate,andproductionfunction相同的时候即可趋同，这是正确的。 趋同，当发展中国家makeappropriatepotentialGDP的高增长将会使得higherrealinterestratesandBasedontheexchangeratequotesinExhibit2,anopportunisticEuropeanhedgefundinterestedintriangulararbitragebetweenthedealerandinterbankmarketsismostlikelyto:buyEURintheinterbankmarketandsellEURtotheAlba’sbuyEURfromtheAlba’sdealerandsellEURintheinterbank答案 叉汇率(ALD/EUR).Invertthe(EUR/USD)quotes.The0.8045 es1/0.8045 es1/0.80651.240bidforDeterminetheinterbankimpliedcrosscurrencyquotesfor(ALD/EUR)asfollows:Bid:1.205(ALD/USD) 1.24(USD/EUR)=1.4942(ALD/EUR)Offer:1.210(ALD/USD) UsingthedataprovidedinExhibit2fortheinterbankmarketonly,aEuropeaninvestorwhoentersintoanormalone-yearcarrytradebasedonaEUR100,000positionwillachieveanetprofitinEURclosestto:答案EUR（利率0.8%）ALD（回报率2.1%），具体步骤如下：Sell100,000EUR/0.8065=123,992,56USD.SellInvestat2.1%ALDLIBOR:ConverttoEURatprojectedspot:Endingbalance=Minus100,000beginningvalue=EUR1,065GoldsworthyAnnaGoldsworthyisahighnetworthinvestor.WilsonMachariaisherinvestmentadviser.GoldsworthycontactswithMacharia.Machariabelievestherewillbealargervolatilityintheforeignexchangemarketinthefuture,thespotexchangerateofferedbyadealerispresentedinExhibit1.ExhibitCurrencySpot lsGoldsworthyawaytomakemoneyontheforeignexchangemarket.Statement1”Youcanexploitprofitfromtheinterestratedifferentialsbyinvestinginahigherratecurrencywithfundsborrowedinalowerratecurrency”Machariaisworriedaboutacurrencycrisis,intermsofacurrencycrisis,heStatement2”Officialforeignexchangereservesdramaticallydecline”Statement3”Theinflationexperiencesasignificantdecrease”Statement4”Realexchangerateissubstantiallyhigherthanthemean-revertingAbouteconomicregulation,MachariaStatement5”Allself-regulatingorganizationsare Statement6”Self-regulatingorganizationsareprivate, ernmentStatement7”Similarto ernmentagencies,independentregulatorsusuallyrelyonernmentfunding.”UsingExhibit1,whichofthefollowingwouldbethebestreasonifthedealerupdateshisquoteofCAD/USDto13354-1.3362inarecenttransaction?theCAD/USDmarketvolatilitybegintoArequesttotradewhenbothNewYorkandLondontradingcentersareopened外汇量越大，对dealer来说风险就越大，故此dealer要求的回报就会越多，故此dealer的差价会拉大。对于A，外汇市场波动降低，说明dealer的风险降低，那么dealer的差价应该降低才对，故此A错误对于C，在纽约和伦敦两大外汇所同时开放的时候，正是外汇流动性最好的时候，dealer的Ifstatement1isprofitable,whichofthefollowingismostrelevantanddonothold?Uncoveredinterestedratepa这就是无抛补利率平价（Uncoveredinterestedrateparity）不成Priortoacurrencycrisis,whichofthefollowingisleastlikelyto 自我机构是非组织，正确。但是自我组织未必是独立者，独立者的经费自己负责，不会依靠，故TheSingboAlanHull,CFA,an ystinCapitalinvestmentfirm,isvaluingcommonsharesofSingboCo.with cashflowmethod.HegatheredaccountinginformationaboutSingboin2016and2017inExhibit1andExhibit2.ExhibitSelectedbalancesheetstatementinformationofSingbo($asof31grossfixedaccumulatedCashandcashTotalcurrentNotesCurrentportionoflongterm96CurrentliabilExhibit estatementinformationofSingbo($ForYearEnding31Earningsbeforeinterest,taxes,depreciation,amortizationDepreciation Interest etax Inaddition,someofequipmentwithoriginalbookvalueof$67millionweresoldfor$millionin2017fiscalyearThe didn’tissueorrepurchaseanynewdebtduringAlanprojectsthatSingbo’sweightedaveragecostofcapitalandcostofequitywere8%and11%.Since2018,the ’sFCFEwouldincreaseinperpetuityat4%annually.MelissaSmith,Alan’ssupervisor,reviewedAlan’swork,andmadethefollowingSingbocouldincreaseitsequityvaluebyincreasingitsnetdebtandraisingitsleverageThedifferencebetweenFCFEanddividendarecausedbydifferent cashflowapproachperformsbetterthandividenddiscountapproachwhenSingbo’s esunpredictable.UsingthedatainExhibit1,Singbo’sfixedcapitalinvestmentin2017isclosestto:$89$106$39 Grossvalue的 BasedonExhibit1,Singbo’sworkingcapitalinvestmentin2017isclosestto:$2millionC.$8million从Balancesheet里直接抓，而应该用期末数据减期初数据第二步，再明确workingcapital的计算不能直接用currentasset–currentliability,而应该先在currentasset上扣除cash及cashequivalent,currentliability上扣除和debt有关的项目。具体 =(currentasset-cash/cashequivalent)-(currentliability-Notespayable-Currentportionoflongtermdebt)workingcapitalin2016=(48-11)-(32-6-16)=27workingcapitalin2017=(56-13)-(41-9-18)=29第三步，计算除workingcapitalinvestmentworkingcapitalinvestmentin2017=workingcapital2017-workingcapital2016=2BasedonExhibit1andExhibit2,the cashflowforthefirm(FCFF)ofSingboin2017isclosestto: NCC= FCFF=NI+NCC+Int*(1-t)-WCinv-FCinv=170+48+16.32-2-BasedonExhibit1andExhibit2,the cashflowfortheequity(FCFE)ofSingboin2017isclosestto: FCFE=FCFF-Int*(1-t)+Netborrowing=126.32-16.32+0=110AlanHull’sestimationoftheSingbo’sequityvalueisclosest将costofequity，growthrate，FCFE代入GGM，具体如下：IntrinsicValue=FCFE2018/(r-g)=110*(1+4%)/(11%-4%)=1634.28InregardingtoMelissaSmith’sstatementaboutthe valuation,whichoneismostaccurate:当股利政策难以预测时，dividend就不稳定因此估值也不稳定。A不对,根据 FCFE=FCFF-Int*(1-t)+Netborrowing，当期net的netborrowing未来还是要归还的，而一旦归还，未来的netborrowing会减少。在计算equityvalue时，这个层面的tradeoff要考虑。因此增加netborrowing不一定增加equityvalue.B不对因 rate成反比关系．XRailRichardAlfredisanewemployeeofMayflower,aleadingassetmanagementagencyinHongKong.EllenChau,hissupervisoraskedAlfredtoassisthiminevaluatingXRail.ChauprovidedAlfredsomedetailedinformationaboutXRailandaskedhimtofinishseveraltasksinspreadsheetmodel.First,ChauaskedAlfredtobuildupaPRATmodeltocalculatethesustainablegrowthrateofXRail.Theleverageratioofthe is171.45%,andotherinformationispresentedinExhibit1andExhibit2.Exhibit estatementinformationofXRail(HK$(HK$millions,exceptsharesEarningsbeforee CommonsharesoutstandingExhibitSelectedbalancesheetstatementinformationofXRail($2017(HK$Commonshareholders’Non-controllingThecommonsharespriceofXRailisHK$45.23pershare,andthecostofequityofXRailis11%.ChaurequestedAlfredtoseparatepresentvalueofgrowthopportunity(PVGO)fromthemarketpriceundertheassumptionthatnextyear’searningsofXRailwouldgrowattheestimatedsustainablegrowthrate. plishedhistasksquicklyandChauwassatisfiedwithhisefficiency.HeinstructedAlfredtovalueXRailbasedonthenewdetailedestimationpresentedinExhibit3.AlfreddecidedtouseH-modelforvaluationandfinishedhisworkaheadofExhibitexpectedgrowthrateexpectedgrowthratein2018-declinesexpectedgrowthratebeyondChauwasimpressedbyAlfred’sperformanceanddecidedtoassignhimmoretasksrelatedtoprivateequityvaluation.AlfredwaspleasedaboutthisarrangementandtoldChau:“Iamfamiliarwithdiscountedcashflowmodels,andIcanvalueanyprivate eandcashflowssuchasdividends, cashflowforthefirmandresiduale.Ofcourse,IwouldnotforgetnormalizedearningadjustmentbeforeIinputtheedata.”Chaudidn’tagreewithAlfred,hetoldAlfred:“Toevaluateprivateequity,onlyfocusingoneandcashflowsisnotenough.Youshouldpaymoreattentiontothediscountbecausetherearedifferentriskfactorsthatwouldaffecttherequirerateofprivatefirm.CAPM,buildupmethodandsupplysidemodelareallappropriatemodelswhichcanhelpyoumakethediscountratebeingmoresounded.”BasedonAlfred‘sPRATmodel,theestimatesustainablegrowthrateofXRailisclosestto:第一步，明确PRATmodel的 Profitmargin=599/5798Assetturnover=5798/7892 而应该用Asset/totalequity，而题目中给出的leverage171.45%才 ThemostappropriateanswertoChau’squestionaboutPVGOis:A.PVGO=$6.33pershareB.PVGO=$2.74pershare UsingtheH-modelandthenewestimationinExhibit3,theintrinsicvalueofXRailisclosestto:$23.90per$26.09per$24.01per ·L·H·S

BasedonAlfred’sstatementaboutusingdifferentcashflowtovalueprivateequity,whichofthefollowing eandcashflowisappropriateforinprivateequityvaluation:cashflowfor A不正确，因为privateequity一般不派发dividend，所以不能用。C不正确，因为privateequity的资本结构通常不稳定，因此cleansurplusrelation不能成立，所以RI不能使用。稳定，可以用于privateequity估值BasedonAlfred’sstatementaboutinputadjustment,whichofthefollowingstepsisleastlikelyincludedinthenormalizeearningadjustmentmethodforprivateequityvaluation:CalculatinghistoricaverageEPSB.Adjustingnon-recurringitemsinEPS alandrealestateexpensefrom市盈率中的earning进行平滑调整时出现过。而在A选项的方法出现在对Cyclical 市盈率中的earning进行进行平均，另法是计算一个fullcycle的历史平均ROEB，C选项的方法出现在对于非上市公司的earning进行调整，非BasedonChau’sstatementaboutdiscountrateprojection,whichofthefollowingmethodsismostsuitabletoprivateequity:BuildupSupplyside上市公司discountrate可以用ExpandedCAPM模型，Buildupmethod两种方法计算。不能用单因子的CAPM模型计算。discountrate的影响，因此不对 AlphavalueGoslingJordan,CFA,worksasthefinancial ystinAlphavalueassetmanagementfirm.Hissupervisorhasjustaskedhimtofindoutsomesubjectcompaniesingrowthstylefield.Jordandecidestousetopdown ysismethodtofinishthetask.Soon,hediscoversthatsemi-conductorindustryisexperiencingfastgrowingandGin istheleading thisfield.JordansetsGin ashistargetandpreparestouseresidual emodeltoprojecttheeconomicprofitofGin withinformationpresentedinExhibit1.ExhibitSelectedinformationforvaluationof ,31December $573Common$1328Retained$1532Costofequityexpectedgrowthrate2018-DividendpayoutShares120Jordanalsoknowsthefastgrowthof10%ofGin couldnotbeperpetuallymaintained,andwouldfadeovertime.Tomakehisvaluationmorerealistic,hesetsapersistencefactorof0.7after2019inhisassumption.Underthisassumption,hewouldusetheresidualemodeltocalculatetheintrinsicvalueofArmishawWagner,Jordan’scolleague,noticeshimtoconsiderthefactorsthatinfluencepersistencefactor:“Persistencefactorcouldbeaffectedbymanyfactors.Lowdividendpayoutratio,extremelyhighROE,largeportionofaccountingaccrualinnet ewillallleadtoalowerpersistencefactor.”Then,JordanandWagnermakeadiscussionaboutthecostofequityinthemodel.JordanlsWagnerthecostofequityinthereportiscalculatedundertheFama–Frenchmodel(FFM).Wagnersays:“theremustbesomethingwrongwiththecalculation,becausetheFFM’sresultisnot13%”Jordanacceptsandcorrectstheequitycostwiththefollowinginputda