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toffee · 2023年05月14日

这题有问题吧

  1. CFA III
  2. Alternative

NO.PZ2021060201000026

问题如下：

Johnson is an portfolio manager who discuss with the investment committee (IC) of the EUH University Endowment. He reviewed the future liquidity needs of the endowment fund and analyzes one of its holdings in a private distressed debt fund. He notes the following about the fund:

· As of the end of the most recent year:

· The net asset value of the endowment fund invested in the fund was €30,000,000.

· All capital had been called.

· At the end of the current year, Johnson expects a distribution of 20% to be paid.

· Johnson estimates that the fund’s expected growth rate is 10%..

Calculate the expected NAV of the fund at the end of the next year.

选项：

解释：

The expected NAV of the fund at the end of the next year is €29,040,000, calculated as follows:

First, the expected distribution at the end of the current year is calculated as

Expected distribution = [Prior-year NAV × (1 + Growth rate)] × (Distribution rate).

Expected distribution = [(€30,000,000 × 1.1) × 20%] = €6,600,000.

Therefore, the expected NAV of the fund at the end of the next year is

Expected NAV = [Prior-year NAV × (1 + Growth rate) + Capital contributions – Distributions)] × (1 + Growth rate).

Expected NAV = [(€30,000,000 × 1.1) + 0 − €6,600,000] × 1.1 = €29,040,000.

这个就是要记住公式

这题相当于说了三个时点 上一年 当年 下一年 。 计算下一年的NAV，虽然上一年的capital已经call完了，但是下一年的分红率并没有说啊？答案怎么可以直接乘以最后（1+g）？而且正常人的思考逻辑是分红率不变，那肯定还要减去D的部分。既然能假设增长率不变，为啥不能假设分红不变？答案显示分红没有。这题出的也太次了吧？

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1 个答案

伯恩_品职助教 · 2023年05月15日

嗨，爱思考的PZer你好：


协会出的题只要是没有说分红率的就是没有，增值率是保持的，这个是默认的

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解析错误 这里的下一年NAV计算中，按照公式和讲义上的例题，我理解应该是30 million*1.1*0.8 =26.4million。按照解析的计算结果也应该是26.4million，而不是再乘以1.1.

2024-10-16 10:34 1 · 回答

NO.PZ2021060201000026 问题如下 Johnson is portfolio manager who scuss with the investment committee (Iof the EUH University Enwment. He reviewethe future liquity nee of the enwment funananalyzes one of its holngs in a private stressefun He notes the following about the fun· of the enof the most recent year:· The net asset value of the enwment funinvestein the funw€30,000,000.· All capithbeen calle· the enof the current year, Johnson expects a stribution of 20% to pai· Johnson estimates ththe funs expectegrowth rate is 10%.Calculate the expecteNof the funthe enof the next year. The expecteNof the funthe enof the next yeis €29,040,000, calculatefollows:First, the expectestribution the enof the current yeis calculateasExpectestribution = [Prior-yeN× (1 + Growth rate)] × (stribution rate).Expectestribution = [(€30,000,000 × 1.1) × 20%] = €6,600,000. Therefore, the expecteNof the funthe enof the next yeisExpecteN= [Prior-yeN× (1 + Growth rate) + Capitcontributions – stributions)] × (1 + Growth rate).ExpecteN= [(€30,000,000 × 1.1) + 0 − €6,600,000] × 1.1 = €29,040,000. 这个就是要记住公式 我看了其他同学的问题以及老师的解答。是否可以这么理解:第一步，先通过the enof the most recent year的条件，用公式求出enof current year的NAV为26 400 000。第二部，再用同样公式求出enof next year的NAV。因为此时contribution和stribution都为0，所以直接是26 400 000乘以增长率(1+10%)。假如题目说每年分红为20%，那么就像第二步就也要减去26 400 000*(1+10%)*20%

2024-10-10 05:46 1 · 回答

答案判断及提示不正确 这个题答案错误，多乘了一个1.1，正确答案应该是26400000

2024-08-24 18:32 1 · 回答

答案判断及提示不正确

2024-08-01 23:35 1 · 回答

NO.PZ2021060201000026问题如下 Johnson is portfolio manager who scuss with the investment committee (Iof the EUH University Enwment. He reviewethe future liquity nee of the enwment funananalyzes one of its holngs in a private stressefun He notes the following about the fun· of the enof the most recent year:· The net asset value of the enwment funinvestein the funw€30,000,000.· All capithbeen calle· the enof the current year, Johnson expects a stribution of 20% to pai· Johnson estimates ththe funs expectegrowth rate is 10%.Calculate the expecteNof the funthe enof the next year. The expecteNof the funthe enof the next yeis €29,040,000, calculatefollows:First, the expectestribution the enof the current yeis calculateasExpectestribution = [Prior-yeN× (1 + Growth rate)] × (stribution rate).Expectestribution = [(€30,000,000 × 1.1) × 20%] = €6,600,000. Therefore, the expecteNof the funthe enof the next yeisExpecteN= [Prior-yeN× (1 + Growth rate) + Capitcontributions – stributions)] × (1 + Growth rate).ExpecteN= [(€30,000,000 × 1.1) + 0 − €6,600,000] × 1.1 = €29,040,000. 这个就是要记住公式 为什么next ye不用减去stribution？

2024-06-21 10:49 1 · 回答