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投资学第10版课后习题答案
CHAPTER4:
MUTUALFUNDSANDOTHERINVESTMENT
COMPANIES
PROBLEMSETS
1.Theunitinvestmenttrustshouldhaveloweroperatingexpenses.
Becausetheinvestmenttrustportfolioisfixedoncethetrustis
established,itdoesnothavetopayportfoliomanagersto
constantlymonitorandrebalancetheportfolioasperceivedneeds
oropportunitieschange.Becausetheportfolioisfixed,theunit
investmenttrustalsoincursvirtuallynotradingcosts.
Unitinvestmenttrusts:
Diversificationfromlarge-scale
a.2.
investing,lowertransactioncostsassociatedwithlarge-scale
trading,lowmanagementfees,predictableportfoliocomposition,
guaranteedlowportfolioturnoverrate.
Open-endmutualfunds:
Diversificationfromlarge-scale
b.
investing,lowertransactioncostsassociatedwithlarge-scale
trading,professionalmanagementthatmaybeabletotake
advantageofbuyorsellopportunitiesastheyarise,record
keeping.
Individualstocksandbonds:
Nomanagementfee;abilityto
c.
coordinaterealizationofcapitalgainsorlosseswith
investors'personaltaxsituations;capabilityofdesigning
portfoliotoinvestor'sspecificriskandreturnprofile.
3.Open-endfundsareobligatedtoredeeminvestor'ssharesatnet
assetvalueandthusmustkeepcashorcash-equivalentsecurities
onhandinordertomeetpotentialredemptions.Closed-endfundsdo
notneedthecashreservesbecausetherearenoredemptionsfor
closed-endfunds.Investorsinclosed-endfundsselltheirshares
whentheywishtocashout.
4.Balancedfundskeeprelativelystableproportionsoffundsinvested
ineachassetclass.Theyaremeantasconvenientinstrumentsto
provideparticipationinarangeofassetclasses.Life-cyclefunds
arebalancedfundswhoseassetmixgenerallydependsontheageof
theinvestor.Aggressivelife-cyclefunds,withlargerinvestments
inequities,aremarketedtoyoungerinvestors,whileconservative
life-cyclefunds,withlargerinvestmentsinfixed-income
securities,aredesignedforolderinvestors.Assetallocation
funds,incontrast,mayvarytheproportionsinvestedineachasset
classbylargeamountsaspredictionsofrelativeperformance
acrossclassesvary.Assetallocationfundsthereforeengagein
moreaggressivemarkettiming.
Unlikeanopen-endfund,inwhichunderlyingsharesareredeemed
5.
whenthefundisredeemed,aclosed-endfundtradesasasecurity
inthemarket.Thus,theirpricesmaydifferfromtheNAV.
AdvantagesofanETFoveramutualfund:
6.
ETFsarecontinuouslytradedandcanbesoldorpurchasedon
margin.TherearenocapitalgainstaxtriggerswhenanETFissold
（sharesarejustsoldfromoneinvestortoanother）.Investorsbuyfrombrokers,thuseliminatingthecostof
directmarketingtoindividualsmallinvestors.Thisimplies
lowermanagementfees.DisadvantagesofanETFoveramutualfund:
PricescandepartfromNAV（unlikeanopen-endfund）.Thereisabrokerfeewhenbuyingandselling（unlikeano-
loadfund）.
Theofferingpriceincludesa6%front-endload,orsales
7.
commission,meaningthateverydollarpaidresultsinonly$going
towardpurchaseofshares.Therefore:
70NAV$10.Offeringprice==$?
06.?
Load1?
10
.95=$Load）=$8.NAV=Offeringprice（1–
9.StockValueHeldbyFund$7,000,000A
B12,000,000C8,000,00015,000,000D
$42,000,000Total
$42,000,000?
$30,000=$Netassetvalue=000,000,4
10.Valueofstockssoldandreplaced=$15,000,000
$15,000,000=,or%Turnoverrate=000,000,42$
$200,000,000?
$3,000,00011.a.40.NAV?
$39?
5,000,000
Price?
NAV4036?
$39.$==–b.Premium（ordiscount）=
or%
$39.40NAVThefundsellsatan%discountfromNAV.
NAV?
NAV?
Distributions$12.10?
$12.50?
$1.5001?
?
0.088,or8.8%12.
NAV$12.500
P=$×Start-of-yearprice:
=$13.a.0P=$×End-of-yearprice:
=$1AlthoughNAVincreasedby$,thepriceofthefunddecreasedby
$.
Rateofreturn=
P?
P?
Distributions$1.50$11.25?
$12.24?
01?
?
0.042,or4.2%
P$12.240
b.Aninvestorholdingthesamesecuritiesasthefundmanager
wouldhaveearnedarateofreturnbasedontheincreaseinthe
NAVoftheportfolio:
NAV?
NAV?
Distributions$12.10?
$12.00?
$1.5001?
?
0.133,or13.3%
NAV$12.000
14.a.Empiricalresearchindicatesthatpastperformanceofmutual
fundsisnothighlypredictiveoffutureperformance,
maybesomeespeciallyforbetter-performingfunds.Whilethere
tendencyforthefundtobeanaboveaverageperformernext
year,itisunlikelytoonceagainbeatop10%performer.
b.Ontheotherhand,theevidenceismoresuggestiveofa
tendencyforpoorperformancetopersist.Thistendencyis
probablyrelatedtofundcostsandturnoverrates.Thusifthe
fundisamongthepoorestperformers,investorsshouldbe
concernedthatthepoorperformancewillpersist.
15.NAV=$200,000,000/10,000,000=$200．
Dividendspershare=$2,000,000/10,000,000=$NAVisbasedonthe8%pricegain,lessthe1%12b-1fee:
1=$（1NAV–=$20
1$21.384?
$20?
$0.20=,or%Rateofreturn=20$
Theexcessofpurchasesoversalesmustbeduetonewinflowsinto
16.
thefund.Therefore,$400millionofstockpreviouslyheldbythe
fundwasreplacedbynewholdings.Soturnoveris:
$400/$2,200=,
or%.
17.Feespaidtoinvestmentmanagerswere:
$billion=$millionSincethetotalexpenseratiowas%andthemanagementfeewas%,
weconcludethat%mustbeforotherexpenses.Therefore,other
$billion=$million.administrativeexpenseswere:
Asaninitialapproximation,yourreturnequalsthereturnonthe
18.sharesminusthetotaloftheexpenseratioandpurchasecosts:
12%
%4%=%.
Buttheprecisereturnislessthanthisbecausethe4%loadis
paidupfront,notattheendoftheyear.Topurchasetheshares,youwouldhavehadtoinvest:
$20,000/（1
=$20,833.=
Thesharesincreaseinvaluefrom$20,000to:
$20,000
$22,160.Therateofreturnis:
（$22,160
$20,833）/$20,833=%.
19EconomyFunAssume$1,000investmenLoaded-UpFun.0025（.0075（.98.0（is6%Yearlygrowth=1year$1$1
$1$1=3years
$1=10years$1
$10,000000$450,000,000?
$10?
a.
20.44,000,000b.Theredemptionof1millionshareswillmostlikelytrigger
capitalgainstaxeswhichwilllowertheremainingportfoliobyan
amountgreaterthan$10,000,000（implyingaremainingtotalvalue
lessthan$440,000,000）.Theoutstandingsharesfallto43million
andtheNAVdropstobelow$10.
Supposeyouhave$1,000toinvest.TheinitialinvestmentinClass
21.
Asharesis$940netofthefront-endload.Afterfouryears,your
portfoliowillbeworth:
4=$1,$940
ClassBsharesallowyoutoinvestthefull$1,000,butyour
investmentperformancenetof12b-1feeswillbeonly%,andyou
willpaya1%back-endloadfeeifyousellafterfouryears.Your
portfoliovalueafterfouryearswillbe:
4=$1,$1,000
Afterpayingtheback-endloadfee,yourportfoliovaluewillbe:
$1,
.99=$1,ClassBsharesarethebetterchoiceifyourhorizonisfouryears.Witha15-yearhorizon,theClassAshareswillbeworth:
15=$3,$940
FortheClassBshares,thereisnoback-endloadinthiscase
sincethehorizonisgreaterthanfiveyears.Therefore,thevalue
oftheClassBshareswillbe:
15$1,000
=$3,
Atthislongerhorizon,ClassBsharesarenolongerthebetter
choice.TheeffectofClassB's%12b-1feesaccumulatesovertime
andfinallyoverwhelmsthe6%loadchargedtoClassAinvestors.
Aftertwoyears,eachdollarinvestedinafundwitha4%load
22.a.
rr（1+andaportfolioreturnequalto–willgrowto:
$
2..EachdollarinvestedinthebankCDwillgrowto:
$1
Ifthemutualfundistobethebetterinvestment,thenthe
rportfolioreturn（）mustsatisfy:
2r>（1+–
2r>（1+–2r>–（1+
r–>1+
r>1+
r>=%Therefore:
b.Ifyouinvestforsixyears,thentheportfolioreturnmust
satisfy:
6r（1+>=–
6r>–（1+
r–>1+
r>%
Thecutoffrateofreturnislowerforthesix-yearinvestment
becausethe“fixedcost”（theone-timefront-endload）is
spreadoveragreaternumberofyears.
Witha12b-1feeinsteadofafront-endload,theportfolio
c.
rmustearnarateofreturn（）thatsatisfies:
r–>1+–
rmustexceed%regardlessoftheinvestmentInthiscase,
horizon.
Theturnoverrateis50%.Thismeansthat,onaverage,50%ofthe
23.
portfolioissoldandreplacedwithothersecuritieseachyear.
Tradingcostsonthesellordersare%andthebuyordersto
replacethosesecuritiesentailanother%intradingcosts.Total
%tradingcostswillreduceportfolioreturnsby:
2=%
Forthebondfund,thefractionofportfolioincomegivenupto
24.
feesis:
%0.6=,or%%4.0Fortheequityfund,thefractionofinvestmentearningsgivenup
tofeesis:
0.6%=,or%12.0%Feesareamuchhigherfractionofexpectedearningsforthebond
fundandthereforemaybeamoreimportantfactorinselectingthe
bondfund.
Thismayhelptoexplainwhyunmanagedunitinvestmenttrustsare
concentratedinthefixedincomemarket.Theadvantagesofunit
investmenttrustsarelowturnover,lowtradingcosts,andlow
managementfees.Thisisamoreimportantconcerntobond-market
investors.
25.Supposethatfinishinginthetophalfofallportfoliomanagersis
purelyluck,andthattheprobabilityofdoingsoinanyyearis
exactly?
.Thentheprobabilitythatanyparticularmanagerwould
5=finishinthetophalfofth
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