文稿分析讲稿acfi 204 exam aug 2012 answer sheet

PAGE

2

1(a)

NPV

V

i3

V

i

V V1

V2

V3

0 i1(1r)i

0 (1r)

(1r)2

(1r)3

UsingthePresentValueTables:

ProjectX

i=

10.0%

Time

0

1

2

3

CF

-80000

35000

35000

35000

df

1

0.909

0.826

0.751

PV

-80000.00

31815.00

28910.00

26285.00

NPV

7010

ProjectY

i=

10.0%

Time

0

1

2

3

CF

-70000

20000

20000

60000

df

1

0.909

0.826

0.751

PV

-70000.00

18180.00

16520.00

45060.00

NPV

9760.0

ProjectYhasahigherNPVthanProjectX,sochooseProjectY1(b)

TocalculatetheIRRweneedtofindtherate(r)suchthatNPV=0.

WethereforeneedtochooseahigherinterestratethatproducesanegativeNPVandtheninterpolatebetweenvalues.

IRRi

ii

NPV0

0 1 0

NPVNPV

0 1

RegardingprojectX:

ProjectX

IRR(X)=

15.27%

i=

20.0%

Time

0

1

2

3

CF

-80000

35000

35000

35000

df

1

0.833

0.694

0.579

PV

-80000.00

29155.00

24290.00

20265.00

NPV

-6290

RegardingprojectY:

ProjectY

IRR(X)=

16.74%

i=

20.0%

Time

0

1

2

3

CF

-70000

20000

20000

60000

df

1

0.833

0.694

0.579

PV

-70000.00

16660.00

13880.00

34740.00

NPV

-4720.0

Todecidewhichoneofthetwoshouldbeselected,wechooseprojectYasithasthelargestIRR.

1(d)

Year

0

1

2

3

OutstandingforX

-80,000

-35,000

-35,000

35,000

Outstandingfor

Y

-

70,000

-

20,000

-

20,000

60,000

Year

PaybackforX

2.29

PaybackforY

2.5

ProjectXispreferableinthiscase2(d)and2(e)

ytm=

5%

Par=

$1,000.00

Coupon=

5%

Year

CF

df

PV

txPV

1

$ 50.00

0.952

$ 47.60

47.6

2

$ 50.00

0.907

$ 45.35

90.7

3

$ 50.00

0.864

$ 43.20

129.6

4

$ 50.00

0.823

$ 41.15

164.6

5

$ 50.00

0.784

$ 39.20

196

6

$1,050.00

0.746

$783.30

4699.8

P=

$ 1,000

D=

5.33

PD1ytm

P 1ytm

ytm0=

5%

ytm1=

6%

(1+ytm)=

1%

P/P=

-5.08%

NewPrice

$949.244

OfcourseastheytmisthesameasthecouponthebondmustbepricedatPar.

3(a)

3(a)

Dt=

50

p

g1=

20%

g2=

5%

k=

10%

Year

Dividend

df

PV

1

60

0.909

54.54

2

72

0.826

59.47

3

86.4

0.751

64.89

4

103.68

0.683

70.81

5

124.42

0.621

77.26

6

130.64

Sum(1-5)=

326.97

whereDividendt=Dividendt-1*(1+g),whereg=0.2.Thepresentvalueofeachyear’sdividendisgiveninthelastcolumnasDividendt/(1+k)n,wherek=0.1andn=1,2,…,4.Summingupthesepresentvalues,wefind326.97p.Uponreachingyear6,thevalueofdividendsreceivedafteryear5shouldbeP5=Dividend6/(k-g)=130.64/(0.05)=2,612.8.p.Sincethisin“year5”money,itspresentvaluewillnowequal2,612.8/(1+0.1)5=1622.34p.Addingthistothepresentvalueofthedividendsfromyears1to5wegetacurrentsharepriceof1949.31p

4.

a)Theexpectedreturnsandstandarddeviationsforeachportfoliocombinationaregiveninthetablebelow:

Portfolio

Neston

Pensby

ER

SD

A

25

75

18.75%

22.11%

B

50

50

17.50%

17.50%

C

75

25

16.25%

18.75%

D

100

0

15.00%

25.00%

2

X12

2 1212

2

1221212

c)Accordingtotheformula

wederivetheweightsasXNeston=57.5%anensby=42.5%intheminimumvarianceportfolio.Thestandarddeviationisthen17.2%

5(b)

Initialbasis=spot–future=105–107.5=-2.5

Theexposureis400,000pounds,aseachcontractisfor50,000poundstheMeolsshouldgolong8contractsat107.5centsperpound.

Theprofits,costsandnetcostsarebelow.

SpotPri

80

90

100

110

120

130

140

Thisisassumingthatthespotpricesandfuturespricesarethesameatmaturity.Ifwecontinuetoassumethatthebasisis-2.5thenthe eis:

SpotPrice

FuturesPrice

P/LonFutures

CostofFeederCattleatSpot

ChangeinCost

NetCost

HE

80

82.5

$-100,000.00

$ 320,000.00

$-100,000.00

$420,000.00

100.0%

90

92.5

$ -60,000.00

$ 360,000.00

$-60,000.00

$420,000.00

100.0%

100

102.5

$ -20,000.00

$ 400,000.00

$-20,000.00

$420,000.00

100.0%

110

112.5

$ 20,000.00

$ 440,000.00

$ 20,000.00

$420,000.00

100.0%

120

122.5

$ 60,000.00

$ 480,000.00

$ 60,000.00

$420,000.00

100.0%

130

132.5

$ 100,000.00

$ 520,000.00

$100,00