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比夏 · 2020年09月09日

问一道题：NO.PZ2018091705000055 [ CFA III ]

  1. CFA III
  2. 个人IPS

问题如下：

John C. Hill, sole owner of JCH Equipment Leasing Co. (JCH), is evaluating a future sale of his company and approaches Mary Keller, a wealth adviser, for advice.

Statement 1:

Hill: I would like to sell JCH in three to five years and use the proceeds to fund my retirement. Up to this point. I have reinvested the majority of the profits back into the business and have not accumulated any meaningful wealth outside the business.

Keller: The first thing we need to consider is the cyclical nature of the equipment leasing industry. Although the economy is expending today, the stage of the business cycle three years from now is uncertain.

Identify what type of investment risk is being discussed by Hill and Keller (systematic or non-systematic) . Justify the choice.

解释：

Discussion 1 best describes systematic risk.

Systematic risk is the component of risk that cannot be eliminated by holding a well-diversified portfolio. Systematic risk includes macroeconomic factors such as unexpected changes in the level of real business activity and unexpected changes in the inflation rate. Given the cyclical nature of the equipment leasing business and 3 to 5 year target horizon to sell the company, Hill's concentrated position in JCH is exposed systematic risk.

Keller是系统性风险我明白，可是Hill不是非系统性风险吗？

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1 个答案

王暄_品职助教 · 2020年09月09日

嗨，从没放弃的小努力你好：


首先我们明确Hill和Keller在说的是一件是，题目问的是：他俩一起讨论了一个什么风险。而不是分开问Hill讨论了什么风向，Keller讨论了什么风险。所以同学要结合二人的句子一起看。

题中Keller说到的：“Although the economy is expending today, the stage of the business cycle three years from now is uncertain“，指的是大的宏观经济问题，也就是systematic risk。

Hill是把所有资产都集中在了他这家公司里，从Hill的这段话我们能感觉到有非系统性风险在里面。因为Hill的钱只在他自己的公司内周转。

但是再看Keller的话“The first thing we need to consider is the cyclical nature of the equipment leasing industry. Although the economy is expending today, the stage of the business cycle three years from now is uncertain.”

所以Keller说到的经济周期啦这些，都是在阐述她担心Hill的资产exposed to systematic risk.

而非系统性风险主要包括：信用风险、财务风险、流动性风险、操作风险、经营风险。这些都是和整个金融市场无关的风险。这题里提到的顾虑并没有说到这些风险，说到的依然是经济周期所给行业带来的不稳定因素，所以还是系统性风险。


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