CFA三级十年真题 (2008-2017)：level_III_guideline_answers_2016.docx

Question:#1Topic:InstitutionalPMMinutes:20ReadingReferences:#13-fc4ManagingInstitutionalInvestorPortfbIiOSJbyR.CharlesTschampion,CFA,LaurenceB.Siegel,DeanJ.Takahashi,andJohnL.Maginn,CFA1.OS:Thecandidateshouldbeableto:a.contrastadefined-benefitplantoadcfined-contributionplananddiscusstheadvantagesanddisadvantagesofeachfromtheperspectivesoftheemployeeandtheemployer;b.discussinvestmentobjectivesandconstraintsfordefined-benefitplans;c.evaluatepensionfundrisktolerancewhenriskisconsideredfromtheperspectiveofthe1)plansurplus,2)sponsorfinancialstatusandprofitability,3)sponsorandpensionfundcommonriskexposures,4)planfeatures,and5)workforcecharacteristics;d.prepareaninvestmentpolicystatementforadefined-benefitplan;e.evaluatetheriskmanagementconsiderationsininvestingpensionplanassets;f.prepareaninvcsncntpolicystatementforaparticipantdirecteddcfincd-contributionplan;g.discusshybridpensionplans(e.g.,cashbalanceplans)andemployeestockownershipplans;h.distinguishamongvarioustypesoffoundations,withrespecttotheirdescription,purpose,andsourceoffunds;icomparetheinvestmentobjectivesandconstraintsoffoundations,endowments,insurancecompanies,andbanks;j.discussthefactorsthatdetermineinvestmentpolicyforpensionfundsfoundationendowments,lifeandnon-lifeinsurancecompanies,andbanks;k.prepareaninvestmentpolicystatementforafoundation,anendowment,aninsurancecompany,andabank;1.contrastinvestmentcompanies,commoditypools,andhedgefundstoothertypesofinstitutionalinvestors;paretheasset/liabilitymanagementneedsofpensionfunds,foundations,endowments,insurancecompanies,andbanks;paretheinvestmentobjectivesandconstraintsofinstitutionalinvestorsgivenrelevantdata,suchasdescriptionsoftheirfinancialcircumstancesandattitudestowardrisk.Answer QuestionI-Aon This Page1-A.Calculatethereturnrequirementtofullyfundeachsubscriptionoption.Determinewhichsubscriptionoptionismostappropriatefortheendowment,givenitsobjectiveandriskmanagementpractices.Justifyyourresponse.Note:Usearithmeticreturns,ratherthangeometricreturns,forthereturnrequirementcalculations.BasicTheinvestablebaseafterpaymentoftheone-timeimmediateinitiationfeeis:InvestablebaseBaSiC=USD21,000,000-USD500,000=USD20,500,000Thereturnrequirementiscalculatedusingthesumoftheannualsubscriptionexpenseasapercentageoftheinvestablebase,themanagementfees,andtotalpriceinflation.USD800,000/USD20,500,000=.0390=3.9%ReturnrequirementBasic=3.9%+0.5%+2%+1%=7.4%PremiumTheinvestablebaseafterpaymentoftheone-timeimmediateinitiationfeeis:Investablebasepremium=USD21,000,000一USD1,000,000=USD20,000,000Thereturnrequirementiscalculatedusingthesumoftheannualsubscriptionexpenseasapercentageoftheinvestablebase,themanagementfees,andtotalpriceinflation.USD1,000,000/USD20,000,000=.0500=5.0%Returnrequirementpremium=5.0%+0.5%+2%÷1%=8.5%TheBasicoptionismostappropriatebecauseitsreturnrequirementisbelowtheendowment'sreturnexpectation.Theexpectedportfoliosurpluscanthenbeusedasacushiontomaintainpurchasingpowerifinvestmentperfbrancedeterioratesintheshortterm.ThePremiumoptionisnotappropriatebecauseitsreturnrequirementexactlyequalstheendowment'stotalreturnexpectation.Thiswouldmostlikelyimpairtheportfblio,sabilitytomaintainpurchasingpowerduetothevolatilityoftheendowment,sexpectedreturns.MonteCarlosimulationsshowthatthereturnrequirementcanbesafelysetequaltothereturnexpectationonlyifexpectedreturnshavenovolatility.Answer QuestionI-Bon This PageIBDiscuss,otherthantheportfolioreturnrequirement,onefactorthat:(seei.andii.below)Note:Restatingcasefactswithoutadditionalsupportwillnotreceivecredit.i.decreasestheendowment'sabilitytotakerisk.Thefactors(unrelatedtothereturnrequirement)thatdecreasetheendowment'sabilitytotakeriskareasfollows:Theendowment'ssupporttotheuniversityisessentialinkeepingtheuniversitycompetitive.Therefore,disruptioninthesubscriptionserviceduetopoorreturnswouldhaveseriousconsequences.Theendowmentisnotexpectedtoreceiveanydonationsintheforeseeablefuture.Lackofadditionalcontributionslimitsthesizeoftheinvestablebaseandreducestheportfolio'sabilitytoabsorblosses.ii.increasestheendowment'sabilitytotakerisk.Thefactors(unrelatedtothereturnrequirement)thatincreasetheendowment'sabilitytotakeriskarcasfollows:Theinvestmenthorizonisperpetual,allowingtimetomakeupforpoorshort-terminvestmentreturns.Thefundreinvestsanysurplus,resultinginanincreasedabilitytomaintainpurchasingpower.AnswerQuestionDeterminewhetherthefoundation'sabilitytotakeriskislowerthan,thesameas,orhigherthanthatoftheSophoCollegelibraryendowment,(circleone)onThisPageJustifyryourresponsewithtworeasons.ThePrairieFoundation'sabilitytotakeriskishigherthanthatoftheSophoCollegeendowmentforthefollowingreasons:lowerthanTheSophoCollegeendowmentdoesnotexpectanyfuturedonations,whereasthePrairiefoundationrecentlyreceivedasubstantialcommitmentrelativetoitsmarketvalue.ThePrairieFoundationdoesnothaveacommitmenttofundspecificgrants,whereastheSophoCollegeendowment'sonlypurposeistofullyfundthelibrary,sannualonlinesubscriptionexpensesPrairie,sreturnrequirement(4.3%spendingrate+0.2%managementfees+2.0%inflation=6.5%)islowerthanthatofSopho(7.4%).thesameashigherthanAnswerQuestionI-DonThisPageJustify your response.Determinewhetherthefoundation,stargetspendingforthecomingyearwillbelower,thesame,orhigherusingthenewspendingruleinsteadoftheoldspendingrate.(circleone)Thefoundationtotaltargetspendingforthecomingyearwillbehigherusingthenewspendingrulebecausehigherportfoliovaluesintheearlieryearsmaketherollingthree-yearaveragehigherthanthelowerrecentportfoliovalue.Whilethe4.3%spendingrateremainsthesame,thetargetspendingwillbehigherusingthenewrule.lowerthesameIhigherQuestion:#2Topic:FixedIncomeMinutes:22ReadingReferences:#22-fcTixed-IncomePortfolioManagementPartII,"byH.GiffbrdFongandLarryD.Guin,DBA,CFA1.OS:Thecandidateshouldbeableto:a.evaluatetheeffectofleverageonportfoliodurationandinvestmentreturns;b.discusstheuseofrepurchaseagreements(repos)tofinancebondpurchasesandthefactorsthataffcctthereporate;c.critiquetheuseofstandarddeviation,targetsemivariance,shortfallrisk,andvalueatriskasmeasuresoffixed-incomeportfoliorisk;d.demonstratetheadvantagesofusingfuturesinsteadofcashmarketinstrumentstoalterportfoliorisk;e.fbnulateandevaluateanimmunizationstrategybasedoninterestratefutures;f.explaintheuseofinterestrateswapsandoptionstoalterportfoliocashflowsandexposuretointerestraterisk;paredefaultrisk,creditspreadrisk,anddowngraderiskanddemonstratetheuseofcreditderivativeinstrumentstoaddresseachriskinthecontextofafixed-incomeportfolio;h.explainthepotentialsourcesofexcessreturnforaninternationalbondportfolio;ievaluate1)thechangeinvalueforaforeignbondwhendomesticinterestrateschangeand2)thebond'scontributiontodurationinadomesticportfolio,giventhedurationoftheforeignbondandthecountrybeta;j.recommendandjustifywhethertohedgeornothedgecurrencyriskinaninternationalbondinvestment;k.describehowbreakevenspreadanalysiscanbeusedtoevaluatetheriskinseekingyieldadvantagesacrossinternationalbondmarkets;1.discusstheadvantagesandrisksofinvestinginemergingmarketdebt;discussthecriteriaforselectingafixed-incomemanager.Answer Question2-Aon This Page2-A.CalculatethepercentageofMacDougasdomesticgovernmentportfoliothatshouldbeallocatedto10-yearTauraviagovernmentbondstodecreasetheportfblio,sdurationto6.00.Showyourcalculations.Thedurationattributedtoaforeignbondinthedomesticportfolioisfoundbymultiplyingthebond,scountrybeta(0.50)bythebond,sdurationinlocalterms(8.00).ThedurationoftheTauraviabondsheldbyinvestorsinScorponia=0.50x8.00=4.00.Becausethedurationoftheportfolio(Ml)istheweightedaverageofthedurationsofitsfixedincomeinvestments,h=(weightofScorponiaXScorponiaduration)+(weightOfTauravia×Tauraviaduration).Withonlytwoinvestments,theweightofScorponia=1weightofTauravia=(1-W力Giventhetargetdurationof6.00,theweightofTauraviabondsis:M7p=(I-W)XD÷w×D6.00=(1-Wr)×750)$(WT及4.00)6.00=7.50一7.50w丁+4.00Wr-1.50=-3.50WTWt=42.86%TheweightOfTauraviabondsintheportfolioneededtoachieveaportfoliodurationof6.00is42.86%.Answer Questionon This Page2-B.Calculatetheminimumchange(inbps)intheyieldfortheTauraviabondthatwouldeliminateitsquarterlyyieldadvantagerelativetotheScorponiabond.Showyourcalculations.Note:Ignoretheimpactofcurrencymovements.Thebreakevenspreadwideninganalysisisbasedonthehigherofthetwobonds'durations.BecauseTauraviabonds*durationishigherthantheScorponiabonds'duration,theanalysisisbasedonchangesintheyieldforTauraviabonds.TheyieldspreadbetweentheTauraviaandScorponiabondsis320basispoints(7.50%-4.30%),sothequarterlyyielddifferentialis0.80%or80basispoints(320/4).Thechangeinpricewillneedtoeliminatethatadvantage.LetWdenotethespreadwidening.Changeinprice=Duration×Changeinyield:80bps=8.0×W.Thespreadwidening(W)thatwouldeliminatethequarterlydifferentialbetweenthebondsis10bpsor0.10%.IftheyieldinTauraviabondsincreasesby10basispoints,thequarterlyyieldadvantagefromTauraviabondswillbeeliminatedforScorponiainvestors.Answer Question2-Con This Page2-C.DeterminewhethertheTauraviabondswouldhaveahigherexpectedreturnoverthecomingyearifthecurrencyexposureisfullyhedgedorunhedged.Justifyyourresponse.Showyourcalculations.Note:AssumeMacDougasspotexchangerateforecastiscorrectandtherearenochangesintheyieldcurves.TheTauraviabondshaveahigherexpectedreturnifunhedged.Theunhedgedreturnisapproximatelyequaltotheforeignbondreturninlocalcurrencyterms,r/,plusthecurrencyreturn,e,whichistheexpectedpercentagechangeinthespotexchangeratestatedintermsofthehomecurrencyperunitofforeigncurrency.Theunhedgedreturn+e.TheexpectedchangeinthespotrateoftheTRFis:C(St+SJJSt=(1.97»2.00)/2.00=-0.015or-1.5%TheunhedgedreturnH7.50%+(-1.50%)=6.00%.IfMacDougalhedgesthecurrencyriskusingaforwardcontract,thehedgedreturnwillbeapproximatelyequaltothelocalriskpremium,plusthedomesticinterestrate.Altcniatively,thehedgedreturnisapproximatelyequaltothelocalreturnplustheforwardpremium(thedifferencebetweenthedomesticandforeignrisk-freeinterestrates).Thisistruebecause,byenteringintotheforwardcontract,MacDougalwouldbeeffectivelypayingtheforeigninterestrateandearningthedomesticinterestrate.Therefore,thefullyhedgedreturnis:HedgedReturn+(if)=+().Thefullyhedgedreturn1.80%+(7.50%-4.00%)=1.80%+3.50%=5.30%.Alternatively,theexpectedcurrencychangeof-1.50%isgreaterthantheTRFforwardpremiumof-2.20%(=1.80%-4.00%)underIRP.Therefore,theexpectedcurrencylossislessifthebondisunhedgedthanifitishedged,andtheTauraviabondshaveahigherexpectedreturnifunhedged.Alternativeresponse:ThesameconclusioncanbereachedbycomparingtheIRPforwardratewiththefutureforecastspotexchangerate.Futureforecastexchangerate=1.97SCF/TRFTheIRPforwardratecanbecalculatedas:2.00spotrate×(1.018/1.04)=1.9577SCF/TRFSincetheIRPforwardrateislowerthanthefutureforecastspotexchangerate,thecurrencyriskshouldbeleftunhedged.AnswerQuestion2-DonThisPageHedgingstrategySelect,foreachofthefollowing,themostappropriatehedgingstrategy(buylongorsellshort)thatwouldaddressMacDougaPsconcernusingacreditspread:(circleone)Determinewhethereachstrategyhasanegative,zero,orpositivepayofftoEtherealifthecreditspreadis150bpsatexpiration,(circleone)i.forwardcontract.buyIOngsellshortnegativezerob°sitiveii.calloptioncontract.buyIOngsellshortnegativezeropositiveThefollowingexplanationsareprovidedforinformationalpurposes.i.ForwardcontractGivenMacDougallsconcernsaboutacreditspreadincrease,heshouldbuythecreditspreadforwardcontract(long).Ifthecreditspreadwidensto150bps,thestrategywouldhaveapositivepayoff.Payofffromthecreditspreadforward=(Creditspreadatforwardcontractmaturity一Contractedcreditspread)×Notionalamount×Riskfactor.Payoff=(150bps-100bps)×NotionalamountXRiskfactor,whichispositive.ii.CalloptioncontractGivenMacDougasconcerns,heshouldbuyacreditspreadcalloption(long).Ifthecreditspreadwidensto150bps,thestrategywouldhaveapositivepayoff.Payoff=Max(Sreadattheoptionmaturity一creditstrikespread)×NotionalamountXRiskfactor,0=Max(150bps-100bps)×NotionalAmountXRiskfactor,0,whichispositive.Answer Question2-Eon This PageDeterminewhetherMacDougalshouldbuyorsellinterestratefuturestoachievehisdurationobjective,(circleone)CalculatethenumberofcontractsMacDougalshouldtrade.Showyourcalculations.IbUylBecauseMacDougalhasatargetdurationgreaterthanthecurrentduration,heshouldpurchasefuturescontractstoachievethatobjective.Tolengthentheportflio,sdurationtotheobjectiveof10.00,thenumberofcontractsthatneedtobepurchasedcanbeestimatedby:(DTD)×PNumberofContracts=-111XConversionFactorofCTDbondCTD×PCTDWhere:QT=thetargetdurationoftheportfolioDl=theinitialdurationoftheportfolioP/=theinitialmarketvalueoftheportfolioDctd=thedurationofthecheapest-to-deliverbondPctd=thepriceofthechcapcst-to-dcliverbondsell(10.00-8.00)×200,000,000NumberofContracts=×0.85=432.24contracts7.6X103,500MacDougalshouldbuy432contractstoachievehisobjective.Question:#3Topic:EquityMinutes:19ReadingReferences:#23-uEquityPortfolioManagemenL"byGaryL.Gastineau,AndrewR.OIma,CFA,andRobertG.Zielinski,CFA1.OS:Thecandidateshouldbeableto:a.discusstheroleofequitiesintheoverallportfolio;b.discusstherationalesforpassive,active,andsemiactive(enhancedindex)equityinvestmentapproachesanddistinguishamongthoseapproacheswithrespecttoexpectedactivereturnandtrackingrisk;c.recommendanequityinvestmentapproachwhengivenaninvcstor,sinvestmentpolicystatementandbeliefsconcerningmarketefficiency;d.distinguishamongthepredominantweightingschemesusedintheconstructionofmajorequitymarketindicesandevaluatethebiasesofeach;parealternativemethodsforestablishingpassiveexposuretoanequitymarket,includingindexedseparateorpooledaccounts,indexmutualfnds,exchange-tradedfunds,equityindexfutures,andequitytotalreturnswaps;parefullreplication,stratifiedsampling,andoptimizationasapproachestoconstructinganindexedportfolioandrecommendanapproachwhengivenadescriptionoftheinvestmentvehicleandtheindextobetracked;g.explainandjustifytheuseofequityinvestment-styleclassificationsanddiscussthedifficultiesinapplyingstyledefinitionsconsistently;h.explaintherationalesandprimaryconcernsofvalueinvestorsandgrowthinvestorsanddiscussthekeyrisksofeachinvestmentstyle;icomparetechniquesforidentifyinginvestmentstylesandcharacterizethestyleofaninvestorwhengivenadescriptionoftheinvestor'ssecurityselectionmethod,detailsontheinvestor'ssecurityholdings,ortheresultsofareturnsbasedstyleanalysis;parethemethodologiesusedtoconstructequitystyleindices;k.interprettheresultsofanequitystyleboxanalysisanddiscusstheconsequencesofstyledrift;1.distinguishbetweenpositiveandnegativescreensinvolvingsociallyresponsibleinvestingcriteriaanddiscusstheirpotentialeffectsonaportfblio,sstylecharact