Gfedu slides alternative investments and equity

www.gfedu.net Equity Investments 2017年CFA二级培训项目 讲师：韩霄 1-237 www.gfedu.net 韩霄 • 工作职称：金程教育资深培训师 • 教育背景：南京大学外国语学院 主修英语专业、副修国际金融专业 ；美国特许金融分析师 （CFA）、中国注册会计师（CPA）证券从业资格 • 工作背景：曾在安永华明会计师事务所上审计部和普华永道企业并购服务部担任高级审计师 • 和助理经理。负责负责针对并购投资项目目标公司的财务尽职调查工作即相关市场及行业 分析。现在某公司担任投资发展部经理，负责各类医药并购项目的分析评估，尽职调查、 估值、谈判等。累计课时超过2000小时，课程清晰易懂，深受学员欢迎。 讲授课程：CFA财报、权益、企业、衍生 CPA会计、财管 • 服务客户： • • • 主编出版： 新浪微博： 联系方式： 2-237 www.gfedu.net Topic Weightings in CFA Level II Content Session NO Weightings Study Session 1-2 Ethics & Professional Standards 10-15 Study Session Quantitative Methods 5-10 Study Session Economic Analysis 5-10 Study Session 5-6 Financial Statement Analysis 15-20 Study Session 7-8 Corporate Finance 5-15 Study Session 9-11 Equity Analysis 15-25 Study Session 12-13 Fixed Income Analysis 10-20 Study Session 14 Derivative Investments 5-15 Study Session 15 Alternative Investments 5-10 Study Session 16-17 Portfolio Management 5-10 3-237 www.gfedu.net Framework Equity Investments 4-237  SS9: Valuation Concepts • R27 Equity Valuation: Applications and Processes • R28 Return Concepts  SS10: Industry and Company Analysis and Discounted Dividend Valuation • R29 Industry and Company Analysis • R30 Discounted Dividend Valuation  SS11: Free Cash Flow and Other Valuation Models • R31 Free Cash Flow Valuation • R32 Market-Based Valuation: Price and Enterprise Value Multiples • R33 Residual Income Valuation • R34 Private Company Valuation www.gfedu.net Reading 27 Equity Valuation: Applications and Processes 5-237 www.gfedu.net Framework Valuation process Quantitative and Qualitative factors in valuation Intrinsic Value and Alpha Types of valuation models 6-237 www.gfedu.net Valuation and Intrinsic Value  Valuation is the process of estimating the value of an asset by:  Using a model based on variables the analysis believes influence the fundamental value of the asset  Comparing it to the observable market value of “similar” assets  General steps in the equity valuation process:  Understand the business  Forecast company performance  Select the appropriate valuation model  Convert the forecasts into a valuation  Apply the valuation conclusions 7-237 www.gfedu.net Different Kinds of Values & Valuation  Intrinsic value (IV): the valuation of an asset or security by someone who has complete understanding of the characteristics of the asset or issuing firm IVanalyst -price=(IVactual -price)+(IVanalyst -IVactual )  Fair market value: the price at which a hypothetical willing, informed, and able seller would trade an asset to a willing, informed, and able buyer  Investment value: value of a stock to a particular buyer  Liquidation value: value when company will not continue to operate 8-237 www.gfedu.net Applications of Equity Valuation  Objectives Stock selection: to guide the purchase, holding, or sale of stocks Reading the market: current market prices implicitly contain investor’s expectations about the future value of the variables that influence the stock’s price Projecting the value of corporate actions: use valuation techniques to determine the value of proposed corporate mergers, acquisitions, divestitures, MBO, and recapitalization efforts Fairness opinions: to support professional opinions Planning and consulting: to evaluate the effects of proposed corporate strategies on the firm’s stock price, pursuing only those that have the greatest value to share holders Communication with analysts and investors: valuation approach provides a common basis upon which to discuss and evaluate the company Valuation of private business: value of the firm or holdings in firms that are not publicly traded 9-237 www.gfedu.net Applications of Equity Valuation  Portfolio management  planning, execution and feedback → steps in the portfolio management process (valuation is most closely associated with the planning and execution steps)  Planning identification and specification the investment objectives and constraints → writing detail on the investment strategy of securities selection Valuation on individual security is not apply to Indexing strategy but active management  Execution Portfolio selection Portfolio implementation  Feedback 10-237 www.gfedu.net Market participants Commodity Traders and Investors  Informed investors  Speculators: believe that they have an information advantage, seek to outperform the hedger by buying or selling futures contracts in conjunction with—or opposite from—the hedger  Liquidity providers  Arbitrageurs  Commodity arbitrageurs try to create riskless profits from price differences over time between locations, or from differences between futures and spot prices  E.g cash and carry arbitrage 174-188 www.gfedu.net Market participants  Commodity Exchanges  Commodity futures markets are found throughout the world The CME and ICE are the primary US markets, having consolidated the bulk of the various specialist exchanges  Commodity Market Analysts  Non-market participants use the exchange information to perform research and conduct policy as well as to facilitate market participation  Commodity Regulators  Various regulatory bodies monitor the global commodity markets Eg, Commodity Futures Trading Commission (CFTC) and National Futures Association (NFA) 175-188 www.gfedu.net Backwardation and contango in SP & FP  Backwardation  The term structure will have a negative trend  Futures price < Spot price  Normal backwardation  The futures price is lower than the corresponding expected spot price in the future Occurs when hedgers (producers) are short in the futures contract  Contango  The term structure has a positive slope  Futures price > Spot price  Futures markets that are dominated by short hedgers (producers of the commodity who short futures to protect against price decreases) tend to be in backwardation  Futures markets that are dominated by long hedgers (users of the commodity who buy futures to protect against price increases) tend to be in contango 176-188 www.gfedu.net Theories of commodity futures returns  Insurance Theory  Keynes（1930） proposed that producers use commodity futures markets for insurance by locking in prices and thus make their revenues more predictable 177-188 www.gfedu.net Theories of commodity futures returns  Hedging Pressure Hypothesis  This perspective stemmed from multiple works, most notably outlined by De Roon, Nijman, and Veld (2000) who drew from Cootner (1960)  Hedging pressure occurs when both producers and consumers seek to protect themselves from commodity market price volatility by entering into price hedges to stabilize their projected profits and cash flow  In this idealized situation, the natural needs for price insurance by commodity buyers and sellers offset each other 178-188 www.gfedu.net Theories of commodity futures returns  Hedging Pressure Hypothesis  If commodity producers as a group are more interested in selling forward (seeking price insurance) than commodity consumers (as per the concept of normal backwardation), then the relative imbalance in demand for price protection will lead to the need for speculators to complete the market This situation would lead to a futures price curve that represents a market in backwardation 179-188 www.gfedu.net Theories of commodity futures returns  Hedging Pressure Hypothesis  If the buyers (as a group) of soybeans are especially worried about the availability of the crop in the next harvest but producers of soybeans are less concerned about crop prices, there would be an imbalance in the demand for price insurance away from producers and to buyers This situation would lead to a futures price curve that represents a market in contango 180-188 www.gfedu.net Theories of commodity futures returns  Hedging Pressure Hypothesis  One issue is that producers generally have greater exposure to commodity price risk than consumers (Hicks 1939) There are companies (as well as countries) that are almost entirely dependent on commodity production and thus are very concentrated in one sector  Theory of Storage  This theory, originally postulated by Kaldor (1939), focuses on how the level of commodity inventories helps shape commodity futures price curves The key issue this theory attempts to address is whether supply or demand of the commodity dominates in terms of its price economics  A commodity regularly stored should have a higher price in the future (contango) to account for those storage costs, supply dominates demand  A commodity along a value chain that allows for just-in-time delivery and use (i.E., Minimal inventories and storage) can avoid these costs, demand dominates supply and current prices are higher than futures prices (i.E., Backwardation) 181-188 www.gfedu.net Components of Futures Returns  Price return: the change in commodity futures prices, generally the front month contract  Price return = (Current price – Previous price)/Previous price  Roll return: an accounting calculation used to replicate a portion of the total return for a fully collateralized (i.e., With no leverage) commodity index  Roll return = [(Near-term futures contract closing price – Farther-term futures contract closing price)/Near-term futures contract closing price] × Percentage of the position in the futures contract being rolled  Collateral return: the yield (e.g., Interest rate) for the bonds or cash used to maintain the investor’s futures position(s) The minimum amount of funds is called the initial margin  Rebalance return: a return from rebalancing the index’s component weights Total Return = Spot Return + Roll Return + Collateral Return + Rebalancing Return 182-188 www.gfedu.net Roll return  Roll return (or roll yield) represents the profit (or loss) that results from the continuous convergence of futures prices towards spot prices as a futures contract approaches maturity  When the commodity’s term structure is in backwardation, positive roll return  When the commodity’s term structure is in contango, negative roll return 183-188 www.gfedu.net Commodity Swaps  A commodity swap is a legal contract involving the exchange of payments over multiple dates as determined by specified reference prices or indexes relating to commodities  By entering into a swap contract—particularly one that is cash settled instead of physically settled—the refiner can be protected from a price spike and yet maintain flexibility of delivery 184-188 www.gfedu.net Commodity Swaps  Excess Return Swap  A return calculated by changes in the level of the index relative to a benchmark or fixed level  Total Return Swap  Based on the change in the level of an index multiplied by the notional amount of the swap  Basis Swap  The values of two related commodity reference prices that are not perfectly correlated  Variance swaps  Variance buyer and a variance seller agree to periodically exchange payments based on the proportional difference between an observed/actual variance in the price levels of a commodity and some fixed amount of variance established at the outset of the contract 185-188 www.gfedu.net Commodity Indexes  The five primary commodity indexes based on assets are  The S&P GSCI;  The bloomberg commodity index, formerly the dow jones–ubs commodity index;  The deutsche bank liquid commodity index;  The thomson reuters/corecommodity CRB index;  The rogers international commodities index 186-188 www.gfedu.net Commodity Indexes  Breadth of coverage: number of commodities and sectors  Weightings: each component/commodity and the related methodology for how these weights are determined  Rolling methodology: determining how those contracts that are about to expire are rolled over into future months  Methodology and frequency for rebalancing: the weights of the individual commodities, sectors, and contracts in the index to maintain the relative weightings assigned to each investment  Governance of indexes: it is the process by which all the aforementioned rules are implemented  Rules-based V.S Selection-based 187-188 www.gfedu.net It’s not the end but just beginning Life is short If there was ever a moment to follow your passion and something that matters to you, that moment is now 生命苦短，如果你有一个机会跟随自己的激情去做你认为重要的事， 那么这个机会就是现在。 188-188 ... www .gfedu. net Framework Equity Investments 4-237  SS9: Valuation Concepts • R27 Equity Valuation: Applications and Processes • R28 Return Concepts  SS10: Industry and Company Analysis and Discounted... Valuation www .gfedu. net Reading 27 Equity Valuation: Applications and Processes 5-237 www .gfedu. net Framework Valuation process Quantitative and Qualitative factors in valuation Intrinsic Value and Alpha... estimate; and  Survey estimate 30-237 www .gfedu. net Equity risk premium  GGM  GGM equity risk premium estimate = Dividend yield on the index based on year-ahead aggregate forecasted dividends and