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

Question:1Topic:PortfolioManagement-IndividualMinutes:36ReadingReferences:15.uManagingIndividualInvestorPortfolios,"Ch.2ManagingInvestmentPortfolios:ADynamicProcess,3rdedition,JamesW.Bronson,MatthewH.Scanlan,andJanR.Squires(CFAInstitute,2007)20.ttGoaIs-BasedInvesting:IntegratingTraditionalandBehavioralFinance,”DanielNevins,JournalofWealthManagement(InstitutionalInvestors,2004)Purpose:Testindividualportfoliomanagementconcepts.1.OS:2008-I11-4-15-j,k,1,n15.“ManagingIndividualInvestorPortfblios”Thecandidateshouldbeableto:j)explainhowtosetriskandreturnobjectivesforindividualinvestorportfoliosanddiscusstheimpactthatabilityandwillingnesstotakeriskhaveonrisktolerance;k)identifyandexplaineachofthemajorconstraintcategoriesincludedinanindividualinvestor'sinvestmentpolicystatement;1)formulateandjustifyaninvestmentpolicystatementforanindividualinvestor;n)compareandcontrasttraditionaldeterministicversusMonteCarloapproachestoretirementplanningandexplaintheadvantagesofaMonteCarloapproach.1.OS:2008-11I-4-20-c,d20.t4Goals-BasedInvesting:IntegratingTraditionalandBehavioralFinance,c)justifytheuseofabsoluteperformanceandcashflowmatchingobjectivestomeetthegoalOflifcstylcprotection;d)comparelifestyleprotectionstrategieswithfixedhorizonstrategiesandexplainwhentheuseofeachapproachisappropriate.Question:1Topic:PortfolioManagement-IndividualMinutes:36GuidelineAnswer:PARTAi.ThereturnobjectivefortheCarvalhos,portfolioisto:-provideforthemortgagepaymentsforahome-supporttheirlivingexpensesinretirement-maintaintheinflation-adjustedvalueoftheportfolioii.CASHFLOWSCurrentYear1InflowsSalaryTrustDistributionsTotalInflows120,000124,800750,0000870,000124,800Outflows1.ivingExpensesDownpaymentonhomeMortgageonhomeTotalOutflows120,000124,800255,0000055,000375,000179,800NetInflowsZ(Outflows)495,000(55,000)INVESTABLEASSETSInvestableAssetsCurrentsavingsportfolioCurrentyearnetinflowTotalInvestableAssets500,000495,000995,000CALCULATIONOFREQUIREDRETURNOutflowsrequirednextyearDividedbyinvestableassets55,000995,000=5.53%PlusexpectedinflationRequiredAfter-TaxNominalReturn-arithmeticOrRequiredAfterTaxNominalReturn-geometric4.00%9.53%1.0553xL0400=9.75%Question:Topic: Minutes:1PortfolioManagement-Individual36PARTBTemplateforQuestionI-BiIdentifyAt笫factorsintheCarvaIhos'SitUatiOnthatincreasetheirabilitytotakerisk.-Theyhavealongtimehorizon-Theyareyoungandhavemorehumancapital-Theywillreceiveanothertrustpayoutin10years-TheywillpotentiallyinheritalargesumofmoneyfromMariana,sparents-TheyhavestableincomeiiIdentifyAvofactorsintheCarVaIhos'SitUatiOnthatdecreasetheirabilitytotakerisk.-Theyhaveamoderateassetbaserelativetorequiredcashflowsfromtheportfolio-Thereisnoassurancethechildren'seducationwillbecoveredbyascholarshipandthecostcouldbesubstantialiii.DeterminewhethertheCarvalhoshavebelow-average,average,orabove-averageabilitytotakerisk.(CirCIeOne)Below-averageAverageAbove-average)Question:1Topic:PortfolioManagement-IndividualMinutes:36PARTCTemplateforQuestionI-CConstraintPreparethefollowingconstraintsoftheCarvalhos,IPS.i.LiquidityTheCarvalhosneedtheirinvestmentportfoliotoprovideBRL55,000fornextycar,smortgagepayment.ii.TimehorizonTheCarvalhoshavealong-termmulti-stagetimehorizon.Intheshortterm,theymustpaylivingexpensesandprovideahomefortheirfamily.Theymayalsohavetopaytuitionfortheirchildren.Theirsecondstageisretirement,thirtyyearsfromnow.PARTDi.TherevisedreturnobjectivefortheCarvalhos,portfolioisto:-provideforthemortgageontheirhome-supporttheirlivingexpensesinretirement-supportcharitableendeavorsinretirement-provideabequestfortheirchildren.ii.Theafter-taxnominalrateofreturnis8.48%.Thereturniscalculatedusingthefollowinginputs:Mortgagepaymentsremaining5Annualmortgageamount$35,000Investmentportfoliovalue(current)$10,200,000Investmentportfoliovalue(target)$15,000,000UsingtheHP12-Ccalculator,thefollowingfiguresareusedinthecalculationwhensolvingfori:N=5,PV=10,200,000,PMT=-55,000,FV=-15,000,000,computei=8.48%orN=5,PV=-10,200,000,PMT=55,000,FV=15,000,000,computei=8.48%Note:SalariesZexpensesareawash.Question:2Topic:PortfolioManagement-IndividuaIZBehavioralMinutes:9ReadingReferences:7.t4Heuristic-DrivenBias:TheFirstTheme,"Ch.2,BeyondGreedandFear:UnderstandingBehavioralFinanceand?ePSyChOlOgyofInvesting,HershShefrin(OxfordUniversitySchoolPress,2002)8.fctFrameDependence:TheSecondTheme；'Ch.3,BeyondGreedandFear:UnderstandingBehavioralFinanceandthePsycholoofInvestingHcrshShcfrin(OxfordUniversitySchoolPress52002)11."InvestmentDecisionMakinginDefinedContributionPensionPlans,”Pensions,AlistairByrne,(PalgraveMcMiIlan2004)13."ASurveyofBehavioralFinance/9Ch.18,HandbookoftheEconomicsofFinanceNicholasBarberisandRichardThaler(ElsevierScienceB.V.,2003)Purpose:Testbehavioralfinanceconceptsforindividual1.OS:2008-IlI-3-7-a7."Heuristic-DrivenBias:TheFirstTheme,Thecandidateshouldbeableto:a)evaluatetheimpactofhcuristic-drivcnbiasesoninvestmentdecision-makingincludingrepresentativeness,overconfidence,anchoring-and-adjustment,andaversiontoambiguity.1.OS:2008III-38a,b8."FrameDependence:TheSecondTheme"Thecandidateshouldbeableto:a)explainhowlossaversioncanresultininvestors,willingnesstoholdontodeterioratinginvestmentpositions;b)evaluatetheimpactsthattheemotionalframesofself-control,regretminimization,andmoneyillusionhaveoninvestorbehavior;1.OS:2008-I11-3-ll-b11."InvestmentDecisionMakinginDefinedContributionPensionPlans”Thecandidateshouldbeableto:b)evaluatetheimpactsofstatusquobias,myopiclossaversion,1/ndiversification,andtheendorsementcfibctonDCplanparticipants'investmentdecisionsandtheriskprofileoftheirinvestmentplans.Question:2Topic:PortfolioManagement-IndividuaIZBehavioralMinutes:9GuidelineAnswer:TemplateforQuestion2DonaIdson9SstatementSelectthebehavioralfinanceconceptbestexhibitedineachofDonaldson9Sthreestatements.Note:Nobehavioralfinanceconceptcanbeusedmorethanonce.(circleone)ExplainhowthebehavioralfinanceconceptyouselectedaffectsDonaldson5Sinvestmentdecisionmaking."Myfatherwasabuy-and-holdinvestorbutIamanactivetrader.Tokeeptradingcostslow,Iuseanonlinebrokeragefirm.IhavedonewellinvestingintechnologycompaniesbecauseIknowtheindustry.,NaivediversificationRepresentativenessRegretavoidanceSelf-controlDonaldsonknowsthetechnologyindustryandheconsidershimselfanexpertinvestor.OverconfidencefrequentlyleadstoexcessivetradingandUnderperfbnnance.“IamholdingalargepositioninOmegaCorporationwithalargeunrealizedloss.Omega,sstockpricedeclinedlastyearwhenreportedsalesandearningsfailedtomeetanalystexpectations.Itookadvantageofthedeclinetoincreasemyposition.Omegasalesgrowthhascontinuedtoslowoverthelastyear,butIbelievethestockisstillagoodinvestment.NaivediversificationOverconfidenceRepresentativenessRegretavoidanceJSelf-controlDonaldson,sreluctancetosellhislosingpositionreflectsbothregretavoidanceandbeliefperseverance.Toavoidthestressassociatedwithadmittingamistake,hehopesthestockwillrecover.Despitenewinfbnation(slowingsalesandlowerthanexpectedsalesandearnings),Donaldsonhasheldontohisbeliefs.Hehasincreasedhispositionratherthanadmitamistakebytakingtheloss.Question:2Topic:PortfolioManagement-IndividuaIZBehavioralMinutes:9TemplateforQuestion2(continued)Donaldson'sstatementSelectthebehavioralfinanceconceptbestexhibitedineachofDonaIdson9Sthreestatements.Note:Nobehavioralfinanceconceptcanbeusedmorethanonce,(circleone)ExplainhowthebehavioralfinanceconceptyouselectedaffectsDonaIdSon'sinvestmentdecisionmaking."Ireadanewspaperarticlereportingthatcommercialpropertyvaluesinthecityhaveincreased14percentannuallysince2000.Accordingtothearticle,theaveragecommercialpropertyinthecitysold×for$1.5millionlastyear.ThismakesmeveryhappybecauseIjustpurchasedapieceofcommercialpropertylastmonth.Thereisnodoubtthatitwillbeagoodinvestment.NaivediversificationOverconfidence"RepresentativenessRegretavoidanceSelf-controlDonaldsonmayhaveboughtlateinthecycle,butbelievesthatcommercialpropertyvalueswillcontinuetoincrease.Donaldson,byrelyingontherepresentativenessheuristic,hasbecomeoverlyoptimisticaboutapastwinner.Question:3Topic:PortfolioManagement-InstitutionalMinutes:36ReadingReference:21."ManagingInstitutionalInvestorPortfblios,''Ch.3,ManagingInvestmentPortfolios:ADynamicProcess,3rdedition,R.CharlesTschampion,LaurcnccB.Siegel,DeanJ.Takahashi,andJohnL.Maginn(CFAInstitute,2007)Purpose:Testinstitutionalportfoliomanagementconcepts1.OS:2008-111-21-b,c,d,e,f21.“ManagingInstitutionalInvestorPortfoliosThecandidateshouldbeableto:b)discussinvestmentobjectivesandconstraintsfordefined-benefitplans;c)evaluatepensionfundrisktolerancewhenriskisconsideredfromtheperspectiveofthe(1)plansurplus,(2)sponsorfinancialstatusandprofitability,(3)sponsorandpensionfundcommonriskexposures,(4)planfeatures,and(5)workforcecharacteristics;d)formulateaninvestmentpolicystatementforadefined-benefitplan;e)evaluatetheriskmanagementconsiderationsininvestingpensionplanassets;f)formulateaninvestmentpolicystatementforadcfincd-contributionplan;Question:3Topic:PortfolioManagement-InstitutionalMinutes:36GuidelineAnswer:PARTAThemostlikelyeffectofadecreaseinthediscountrateto6.5%from7.0%wouldbetoincreasethecalculatedpresentvalueofTEPP,sliabilities(i.e.,projectedbenefitobligationorPBO).PARTBTheexcessreturntargetin2008willincreaseto3.0percentfrom2.5percent.Thisisbecausethetotalreturntarget,9.5%,in2008willremainthesameasin2007,butthediscountrateisreducedto6.5percentfrom7.0percent.Theexcessreturntargetfor2008iscalculatedasfollows.ArithmeticApproachGeometricApproach2007DiscountRate7.0%1.0700Plus:2007ExcessReturnTarget+2.5%1.02502007TotalReturnObjective9.5%1.0968-1=9.68%2008TotalReturnObjective95%1.0968Less:2008DiscountRate-6.5%1.06502008ExcessReturnTarget3.0%1.0298-1=2.98%PARTCTEPP,sriskobjectiveistoinvestsoastominimizetheprobabilitythatthemarketvalueofplanassetswillfallbelow65%ofPBO.Question:3Topic:PortfolioManagement-InstitutionalMinutes:36PARTDTemplateforQuestion3-DAttributeDeterminewhethereachofthefourattributesindicatesTEPP飞abilitytotakeriskisaboveorbelowtheairlineindustryaverage,(circleone)JustifyeachdeterminationbasedononecomparisonbetweenTEPPandtheairlineindustryrelatedtotheattribute.Note:Considereachattributeindependently.i.sponsorfinancialconditionAboveTitan,sdebt/assetratioof.48ishigherthantheindustryaverageof.39.Titan'soperatinglossmarginof(7.63%)isbelowtheindustryaveragelossmarginof(4.01%);ii.planfundingstatusAboveBelow2ZTEPP,sfundinglevelof70%ofPBOislessthantheairlineindustryaverage.TEPPanticipatessponsorcontributionsofonly90%ofthepaymentstobeneficiaries,whichislessthanaveragefortheairlineindustry.iii.planprovisionsAboveTitanemployeesoverage50areallowedtoretireearly,whilemostairlineindustryemployeesarenotallowedtoretireearly.TheearlyretirementfeatureincreasesthepresentvalueofTEPP,sbenefitpaymentscomparedtotheairlineindustry.Titan,sretiringparticipantshavetheoptiontoreceiveupto50%oftheirbenefitinalumpsum,whilemostairlineindustryemployeesdonothavethisoption.Thelump-sumoptionincreasesthepresentvalueofTEPP,sbenefitpaymentscomparedtotheairlineindustry.BelowQuestion:3Topic:PortfolioManagement-InstitutionalMinutes:36iv. participant characteristicsAt47,theaverageageofTEPPparticipantsisolderthantheairlineindustryaverage,resultinginashorterdurationforTEPP,sliabilitiesthanthatoftheairlineindustry.At30%,theproportionofretiredlivesinTEPPisabovetheairlineindustryaverage,resultinginashorterdurationforTEPP,sliabilitiesthanthatoftheairlineindustry.PARTE1.iquidityrequirementsforTEPParedeteninedbytheexpectednetcashoutflowoftheplandefinedasthedifferencebetweenpaymentstobeneficiariesandcontributionsreceivedfromTitan.Titan,splannedcontributionin2008of$927millionfallsshortofanticipatedbenefitspaymentsof$1,030million.Asaresult,TEPPexpectsanetcashoutflowin2008.Assumingthatexpectedcontributionsandbenefitsarerealized,TEPPwillhavealiquidityrequirementin2008of$103million,($1,030-$927).PARTFi.Benefitpaymentobligationsintheretired-livespoolarcexposedtolessinflationriskbecause,unliketheactive-livespool,paymentsarefixedinnominaltermsanddonotadjustforinflation.Benefitpaymentobligationsintheactive-livespoolareexposedtomoreinflationriskthanintheretired-livespoolbecause,unliketheretired-livespool,activeTitanemployeesaccruepensionbenefitsbasedonsalaryincreases,whichincludeinationasacomponent.ii.Liabilitiesintheactivc-livcspoolwillhavearelativelylongeraveragedurationthanliabilitiesintheretiredlivespool,reflectingthetimeremainingbeforeactiveemployeesretire.Activeemployeestendtobeyoungerthanretiredemployees.Theagedifferenceisindicatedbythefactthattheminimumretirementageis50andthat30%ofallTEPPparticipantsareretired.PARTGBarrowsisincorrect.Titan,sriskmanagementcommitteeindicatedthatanasset-liabilitymanagement(ALM)objectivetomaintainthemarketvalueofpensionassetsatorabove65%ofPBO.FromanALMperspective,pensioninvestmentsshouldbemanagedrelativetopensionliabilitiesandnottoexternalindexbenchmarks.TheALMgoalistolimitthevolatilityoftheshortfall,butlargeholdingsinstockswillincreasethevolatilityoftheshortfallbecausechangesinequityvalueswillnotcorrelatecloselytochangesinthevalueofplanliabilities.Theshortfallstandspresentlyat30%Ofliabilities.AdownwardmoveinstockpricesoccurringwhileTitanremainsunabletofullyfundtheplanwouldworsentheshortfall.Tateisincorrect.Themismatchbetweenshort-term,risk-freesecuritiesandthe14-yeardurationofTitan,spensionbenefitobligationimpliesthatchangesinassetvalueswillnotcorrelateQuestion:3Topic:PortfolioManagement-InstitutionalMinutes:36closelytochangesinthevalueofplanliabilities,addingtothevolatilityofthefundingshortfall.Moreover,short-term,riskfreeassetswouldnotbeexpectedtoearnarateofreturnequaltotheactuarialdiscountrateduringaperiodinwhichanormal,upward-slopingyieldcurveprevails,causingtheshortfalltoworsen.Question:4Topic:PortfolioManagement-AssetAllocationMinutes:17ReadingReferences:25."AssetAllocation,Ch.5,ManagingInvestmentPortfolios:ADynamicProcess.3rdedition,WilliamF.Sharpe,PengChen,JeraldE.Pinto,andDennisW.McLeavey(CFAInstitute,2007)26."LinkingPensionLiabilitiestoAssets,”AaronMederandRenatoStaub(UBSGlobalAssetManagement,2006)Purpose:Totestknowledgeanduseofassetallocation1.OS:2008-I11-07-25-d,e,f,m25.“AssetAllocationnThecandidateshouldbeableto:d)contrasttheasset-onlyandasset/liabilitymanagement(ALM)approachestoassetallocation;e)explaintheadvantageofdynamicoverstaticassetallocationandevaluatethetradeoffsofcomplexityandcost;f)evaluatereturnandriskobjectivesinrelationtostrategicassetallocation;m)formulateandjustifyastrategicassetallocation,givenaninvestmentpolicystatem