CFA三级十年真题 (2008-2017)：level_III_guidelines_answers_2017.docx

CFAInstituteCharteredFinancialAnalyst®Examination2017LevelIIIMorningSessionEssayGuidelineAnswersThefollowingisprovidedforinformationalpurposesonlyandmaynotbeusedinanycommercialmannerwithoutpriorwrittenpermissionfromCFAInstitute.©2017CFAInstitute.AllRightsReserved.Question:#1Topic:AlternativeInvestmentsMinutes:19ReadingReferences:#24-AlternativeInvestmentsPortfolioManagementbyJotK.Yau,PhD,CFA,ThomasSchneeweis,PhD,ThomasR.Robinson,PhD,CFA,andLisaR.Weiss,CFA.2016LevelII-#30-Equity一ReturnConceptsbyJeraldE.Pinto,PhD,CFA,ElaineHenry,PhD,CFA,ThomasR.Robinson,PhD,CFAandJohnD.Stowe,PhD,CFA.2016LevelII-#42-APrimeronCommodityInvestingbyFrankJ.Fabozzi,PhD,CPA,CFA,RolandFuss,PhD,andDieterG.KaiserPhD1.OS:#24:Thecandidateshouldbeableto:a.describecommonfeaturesofalternativeinvestmentsandtheirmarketsandhowalternativeinvestmentsmaybegroupedbytheroletheytypicallyplayinaportfolio;b.explainandjustifythemajorduediligencecheckpointsinvolvedinselectingactivemanagersofalternativeinvestments;c.explaindistinctiveissuesthatalternativeinvestmentsraiseforinvestmentadvisersofprivatewealthclients;d.distinguishamongtheprincipalclassesofalternativeinvestments,includingrealestate,privateequity,commodityinvestments,hedgefunds,managedfutures,buyoutfunds,infrastructurefunds,anddistressedsecurities;ediscusstheconstructionandinterpretationofbenchmarksandtheproblemOfbenchmarkbiasinalternativeinvestmentgroups;£evaluatethereturnenhancementand/orriskdiversificationeffectsofaddinganalternativeinvestmenttoareferenceportfolio(forexample,aportfolioinvestedsolelyincommonequityandbonds);g.describeadvantagesanddisadvantagesofdirectequityinvestmentsinrealestate;h.discussthemajorissuersandsuppliersofventurecapital,thestagesthroughwhichprivatecompaniespass(seedstagethroughexit),thecharacteristicsourcesoffinancingateachstage,andthepurposeofsuchfinancing;pareventurecapitalfundsandbuyoutfunds;j.discusstheuseofconvertiblepreferredstockindirectventurecapitalinvcsncnt;k.explainthetypicalstructureofaprivateequityfund,includingthecompensationtothefbnd'ssponsor(generalpartner)andtypicaltimelines;1.discussissuesthatmustbeaddressedinformulatingaprivateequityinvestmentstrategy;pareindirectanddirectcommodityinvestment;n.explainthethreecomponentsofreturnforacommodityfuturescontractandtheeffectthatanupward-ordownward-slopingtermstructureoffuturespriceswillhaveonrollyield;o.describetheprincipalrolessuggestedforcommoditiesinaportfolioandexplainwhysomecommodityclassesmayprovideabetterhedgeagainstinflationthanothers;p.identifyandexplainthestyleclassificationofahedgefund,givenadescriptionofitsinvestmentstrategy;q.discussthetypicalstructureofahedgefund,includingthefeestructure,andexplaintherationaleforhigh-watermarkprovisions;r.describethepurposeandcharacteristicsoffund-of-ftndshedgefunds;s.discussconcernsinvolvedinhedgefundperformanceevaluation;t.describetradingstrategiesofmanagedfuturesprogramsandtheroleofmanagedfuturesinaportfolio;u.describestrategicsandrisksassociatedwithinvestingindistressedsecurities;v.explaineventrisk,marketliquidityrisk,marketrisk,and",J-factorrisk"inrelationtoinvestingindistressedsecurities.2016LevelII-#30:Thecandidateshouldbeableto:a.distinguishamongrealizedholdingperiodreturn,expectedholdingperiodreturn,requiredreturn,returnfromconvergenceofpricetointrinsicvalue,discountrate,andinternalrateofreturn;b.calculateandinterpretanequityriskpremiumusinghistoricalandforward-lookingestimationapproaches;c.estimatetherequiredreturnonanequityinvestmentusingthecapitalassetpricingmodel,theFama-Frenchmodel,thePastor-Stambaughmodel,macroeconomicmultifactormodels,andthebuild-upmethod(e.g.,bondyieldplusriskpremium);d.explainbetaestimationforpubliccompanies,thinlytradedpubliccompanies,andnonpubliccompanies;e.describestrengthsandweaknessesofmethodsusedtoestimatetherequiredreturnonanequityinvestment;£explaininternationalconsiderationsinrequiredreturnestimation;g.explainandcalculatetheweightedaveragecostofcapitalforacompany;h.evaluatetheappropriatenessofusingaparticularrateofreturnasadiscountrate,givenadescriptionofthecashflowtobediscountedandotherrelevantfacts.2016LevelII-#42:Thecandidateshouldbeableto:a.describetypesofmarketparticipantsincommodityfuturesmarkets;b.explainstorabilityandrenewabilityinthecontextofcommoditiesanddeterminewhetheracommodityisstorableand/orrenewable;c.explaintheconvenienceyieldandhowitrelatestothestock(inventorylevel)ofacommodity;d.distinguishamongcapitalassets,storc-of-valucassets,andconsumableortransferableassetsandexplainimplicationsforvaluation;parewaysofparticipatingincommoditymarkets,includingadvantagesanddisadvantagesofeach;£explainbackwardationandcontangointermsofspotandfuturesprices;g.describethecomponentsofreturntoacommodityfuturesandaportfolioofcommodityfutures;h.explainhowthesigiloftherollreturndependsonthetermstructureoffuturesprices;paretheinsuranceperspective,thehedgingpressurehypothesis,andthetheoryofstorageandtheirimplicationsforfuturespricesandexpectedfuturespotprices.Answer QuestionI-Aon This PageCalculate,fortheAugustcontract,the:(seei.andii.below)Showyourcalculations.Thereturnonacommodityfuturescontracthasthreecomponents:spotreturn,collateralreturn,androllreturn.Thespotreturniscalculatedasthechangeinthespotpriceoftheunderlyingcommodityoverthespecifiedtimeperiod.Totalreturn=Rollreturn+Spotreturn+Collateralreturn=(Changeinfuturesprice-Changeinspotprice)+Changeinspotprice+Collateralreturn=Changeinfuturesprice+Collateralreturni.collateralreturn(inUSD)inFebruary.Collateralreturnisderivedfromtheassumptionthatthefullvalueoftheunderlyingfuturescontractisinvestedt<earntherisk-freeinterestrate.Thatis,aninvestorlongafuturescontractposts100percentmarginintheformofT-bills(insuchacase,thefuturespositionissaidtobefullycollateralized).Collateralreturn=Totalreturn-Changeinfuturesprice=USD18.00-(USD533.50-USD518.50)=USD3.00Rollreturnarisesfromrollinglongfuturespositionsforwardthroughtime.ii.rollreturn(inUSD)inFebruary.Rollreturn=Changeinfuturesprice-Changeinspotprice=(USD533.50-USD518.50)-USD6.25=USD8.75Answer QuestionI-Bon This PageDeterminethemostlikelyshapeofthenickelfuturescurve,givenBrunner'sproposedscenario,(circleone)contangoflatbackwardationI cannot be deteinedJustifyyourresponse.(Note:Interestratesandthespotpriceremainunchanged.)Theshapeofthefuturescurvecannotbedetermined.Adecreaseinconvenienceyieldmovesthecurveintocontango,whileadecreaseincostofstoragemovesthecurveintobackwardation.Hence,thetotalimpactofthetwofactorsonthecurveshapecannotbedctcined,asitdependsonwhichofthetwochangesisgreaterinmagnitude.Underthecost-of-carrymodel,thefuturespriceisdefinedby=(+-)(-)where:isthecurrentspotprice.istherisk-freerate.isthecostofstorage.istheconvenienceyield.isthetimetomaturityofthecontract.DecreasesinCandyhaveopposingeffectsonthefuturesprice(F).AnswerQuestionI-ConThisPageChangeDeterminethemostlikelyeffectofeachchangeonthefund,sreportedSharperatio,(circleone)Justifyeachresponse.(Note:Considereachchangeindependently.)TheSharpeRatioiscalculatedas:=whereistheannualizedfundreturn,istherisk-freeDecreaserateandistheannualizedfundstandarddeviation(orvolatility).Change1nochangeCommoditiesthattradeinfrequentlyoftenhavestalepriceswhichreducethevolatilityofthefund,thereforeincreasingtheSharperatio.Also,theresultingilliquiditypremiumincreasestherateofreturnofthefund,thusincreasingtheSharpeRatio.jncreaseTheSharpcRatioiscalculatedas:Decrease=,whereistheannualizedfundreturn,istherisk-frccrateandistheannualizedfundstandarddeviation(orvolatility)*Change2nochangeShorteningthereturns9measurementintervaltypicallyresultsinahigherestimateofvolatilityofthefund,thusdecreasingtheSharpcRatio.increaseAnswer QuestionI-Don This PageDiscusstwoweaknessesofusingthisbenchmarktomeasuretheperfbanceofMatterhorn*shedgefund.Thereturndatabaseusedtoconstructtheindexisself-reportedbecauseitincludesonlymanagerswhoelecttoreporttheirreturnsandholdings.Theuseofmanager-basedhedgefundindicesinperformanceappraisalisbasedonthepremisethattheindicesneutrallyreflecttheunderlyingperformanceofthestrategy.ThisshouldbeimportanttoMatterhorn,asitiscompensatedbasedonitsperformanceagainstthisindex.ASelnreportedindexisnotlikelytoneutrallyreflecttheunderlyingperformanceofthestrategy;ifanything,managerswithbettertrackrecordsmaybemorelikelytoreporttheirreturns,whichwouldbiasindexreturnsupward.Aself-reportedindexmayalsosufferfrominconsistentreportingbythecomponentmanagersovertime.Becauseindexweightsarcbasedoneachmanager'sassetsundermanagement,theindexisvalue-weighted(ratherthanequal-weightedorsomeothermethod).Valueweightingmayresultinaparticularindextakingonthereturncharacteristicsofthebest-perfbninghedgefundsinaparticulartimeperiod:astopperformingfundsgrowfromnewinflowsandhighreturnsandpoorlyperformingfundsareclosed,thetop-pcrfbrmingftmdsrepresentanincreasingshareoftheindex.ThiscouldcreateamomentumCflfcCtinindexreturns,whichcouldmaketheindexdifficulttotrack.Asmanagersenterandexitthebusinessovertime,thecompositionoftheindexwillalsochange.Asaresult,despitethefactthatMatterhom,sbenchmarkindexisconstructedtoavoidtheissuesofsurvivorshipbiasandbackfillbias,thepastreturnsoftheindexreflecttheperformanceofadifferentsetofmanagersfromtoday,sortomorrow'smanagers.Thismayalsobeamoresevereproblemforvalue-weightedindicesthanforequal-weightedindicesbecausevalue-weightedindicesarcmoreheavilyweightedintherecentbest-performingfunds.Theindexisnotatrulyvalue-weightedindex.Theindexweightsarcbasedonmanagers'assetsundermanagement,butareonlyrebalancedannually.Atruevalue-weightedindex'sweightswouldrebalanceautomaticallybasedonreportedassetsundermanagement,notannually.Question:#2Topic:InstitutionalPMMinutes:22ReadingReferences:#13-ManagingInstitutionalInvestorPortfoliosbyR.CharlesTschampion,CFA,LaurenceB.Siegel,DeanJ.Takahashi,andJohnL.Maginn,CFA#14-LinkingPensionLiabilitiestoAssetsbyAaronMeder,FSA,CFA,andRenatoStaub,PhD1.OS:#13-Thecandidateshouldbeableto:a.contrastadefined-benefitplantoadefined-contributionplananddiscusstheadvantagesanddisadvantagesofeachfromtheperspectivesoftheemployeeandtheemployer;bdiscussinvestmentobjectivesandconstraintsfordefined-benefitplans;c.evaluatepensionfundrisktolerancewhenriskisconsideredfromtheperspectiveofthe1)plansurplus,2)sponsorfinancialstatusandprofitability,3)sponsorandpensionfundcommonriskexposures,4)planfeatures,and5)workforcecharacteristics;d.prepareaninvestmentpolicystatementforadcfincd-bcncfitplan;e.evaluatetheriskmanagementconsiderationsininvestingpensionplanassets;f.prepareaninvestmentpolicystatementforaparticipantdirecteddefined-contributionplan;g.discusshybridpensionplans(e.g.,cashbalanceplans)andemployeestockownershipplans;h.distinguishamongvarioustypesoffoundations,withrespecttotheirdescription,purpose,andsourceoffunds;paretheinvcsncntobjectivesandconstraintsoffoundations,endowments,insurancecompanies,andbanks;j.discussthefactorsthatdeterineinvestmentpolicyforpensionfunds,foundationendowments,lifeandnonlifeinsurancecompanies,andbanks;k.prepareaninvestmentpolicystatementforafoundation,anendowment,aninsurancecompany,andabank;1.contrastinvestmentcompanies,commoditypools,andhedgefundstoothertypesofinstitutionalinvestors;paretheasset/liabilitymanagementneedsofpensionfunds,foundations,endowments,insurancecompanies,andbanks;paretheinvestmentobjectivesandconstraintsofinstitutionalinvestorsgivenrelevantdata,suchasdescriptionsoftheirfinancialcircumstancesandattitudestowardrisk.#14-Thecandidateshouldbeableto:a.contrasttheassumptionsconcerningpensionliabilityriskinasset-onlyandliability-relativeapproachestoassetallocation;b.discussthefundamentalandeconomicexposuresofpensionliabilitiesandidentifyassettypesthatmimictheseIiabiliKexposures;parepensionportfoliosbuiltfromatraditionalasset-onlyperspectivetoportfoliosdesignedrelativetoliabilitiesanddiscusswhycorporationsmaychoosenottoimplementfullytheliabilitymimickingportfolio.AnswerQuestiononThisPageDiscuss,foreachofthefollowing,twofactorsthatindicatetheMarvelplanhasa:(Note:RestatingCaSefactsWithCUtadditionalSUPPUrtWiIlOotreceiveCreditJi. low ability to take risk.1.TheMarvelplaniscurrentlyunderfunded.(TheprojectedbenefitobligationofVCU900millionexceedstheassetsofVCU800million).Additionally,Marvcsobjectiveforeachannualplancontributiontobelowerthanthatyear'sincreaseinaccruedbenefitswillleadtofurtherunderfunding.Thisindicatesalowabilitytotakerisk.Althoughanunderfundedplanmayincreasetheplansponsor,swillingnesstotakeriskinanattempttomaketheplanfullyfunded,anunderfundedplanhaslessabilitytotakeriskbecauseafundingshortfallalreadyexists.Lowornegativeinvestmentreturnscouldfurtherjeopardizecoverageofplanliabilities.2.Theplanoffersanearlyretirementoptiontoemployees.Employeesmayelecttoretireandbeginreceivingtheirbenefitsstartingatage57.Thisoptionincreasestheliquidityrequirementandreducesthedurationofplanliabilities.Ashorterdurationofplanliabilitiesimpliesalowabilitytotakerisk,aslesstimeisavailablefortheplantorecoverfromanyunfavorableinvestmentresults.1.Theplanhasarelativelyhighproportionofactivelives(75%,comparedto60%fortheaveragecompany).Ahigherproportionofactivelives(lowerproportionofretiredlives)impliesalongerdurationofplanliabilitiesandlowerliquidityneeds,allelseequal.This,inturn,impliesahighabilitytotakerisk,astheplanhasmoretimetorecoverfromanyunfavorableinvestmentresults.ii.highabilitytotakerisk.2.TheMarvelplan,srelativelylowdcbt-to-cquityratio(30%,comparedto45%foritspeers)indicatesithasahighabilitytotakerisk.TheMarvelplanhasanobligationtomakeongoingcontributionstoitspensionplan,particularlybecauseitiscurrentlyunderfunded.Thecompany,sabove-peerfinancialstrengthimprovesitsabilitytomakesuchcontributionswhenneeded(asanexample,inthecaseofunfavorableinvestmentreturnsintheplanportfolio).AnswerQuestiononThisPageDeterminewhichscenariowouldmostlikelyshortentheMarvelplan,stimehorizon,(circleone)12叵4Justifyyourresponse.Scenario3wouldshortentheplan'stimehorizon.Whenapensionplanisopentonewparticipants,theplan'stimehorizonislonger.Therefore,implementingahiringfreezewouldclosetheplantonewparticipantsduringthattime,andthuswouldshortenitstimehorizon.Thebenefitobligationtocurrentparticipantswouldremain,butduringthehiringfreeze,therewouldnolongerbenewentrantswhoseeffectwouldhavebeentoextendthetimehorizonofthebenefitliabilityfartherintothefuture.Scenarios1and2wouldhavenoeffectontheplan,stimehorizon(thesescenarioswould,however,changethedurationoftheplan,sliabilities).Thediscountrateforplanliabilitiesisusedincalculatingtheplan,sfundedstatus;adecrease(increase)inthisratewouldincrease(decrease)theplantsprojectedbenefitobligationandwouldthusmakeitappearmore(less)underfunded.Scenario4wouldlengthen,notshorten,theplan,stimehorizon.Pr