CFA三级写作课后题（2020.12）7.docx

2020年12月CFA三级写作题ALTERNATIVEINVESTMENTSFORPORTFOLIOMANAGEMENT今年由于疫情的缘故，CFA考试被迫延期。虽然给了大家更多的复习时间，但也不可掉以轻心。近年来，CFA考试的难度在逐步提高，并且在三级中更偏向实务与理论结合的考察。相比2019年考纲，2020年考纲发生了较多的变化。其中关于经济学的部分，更名为资本市场预期，并进行了重大改变；衍生产品与资产配置中的外汇管理合并在一起，并进行了较大的改写；另类投资的内容完全重新改写；交易与业绩评估合并在一起.并重新编写。而一向是考试重点的私人财富管理和机构组合管理也发生了较大变化，其中私人财富管理的第一个RCading重新编写，而机构组合管理也进行了重新编写，这些变化需引起考生重视。为了全面应对考试，我们全面推出了的各种学习平台，如金程网校、手机APP、金程CFA答疑等活动，请各位充分利用。如有学术问题，请登录至金程网校提问。祝大家好运，顺利通过CFA三级考试，加油!AlternativeInvestmentsforPortfolioManagementCase1:BernZangBernZangisthechiefinvestmentofficeroftheJansonUniversityEndowmentInvestmentOffice.TheJansonUniversityEndowmentFund(the"Fund")isbasedintheUnitedStatesandhascurrentassetsundermanagementof$10billion,withminimalexposuretoalternativeinvestments.ZangcurrentlyseekstoincreasetheFund*sallocationtohedgefundsandconsidersfourstrategies:dedicatedshortbias,mergerarbitrage,convertiblebondarbitrage,andglobalmacro.AtameetingwiththeFund,sboardofdirectors,theboardmandatesZangtoinvestonlyinevent-drivenandrelativevaluehedgefundstrategies.Determine,amongthefourstrategiesunderconsiderationbyZang,thetwothatarepermittedgiventheboard,smandate.Justifyyourresponse.i.Dedicatedshortbiasii.Mergerarbitrageiii.Convertiblebondarbitragev.GlobalmacroDetermine,amongthefourstrategiesunderconsiderationbyZang,thetwothatarepermittedgiventheboard'smandate,(circletwo)Justifyyourresponse.DedicatedshortbiasMergerarbitrageConvertiblebondarbitrageGlobalmacrostrategiesSolution:Determine,amongthefourstrategiesunderconsiderationbyZang,thetwothatarepermittedgiventheboard'smandate,(circletwo)Justifyyourresponse.DedicatedshortbiasAdedicatedshortbiashedgefundstrategyisanexampleofanequityhedgefundstrategy,notanevent-drivenorrelativevaluestrategy.Equityhedgefundstrategiesfocusprimarilyontheequitymarkets,andthemajorityoftheirriskprofilescontainequity-orientedrisk.possibleshortsellingtargetsamongcompaniesthatareovervalued,thatareexperiencingdecliningrevenuesand/orearnings,orthathaveinternalmanagementconflicts,weakcorporategovernance,orevenpotentialaccountingfrauds.MergerarbitrageAmergerarbitragehedgefundstrategyisanexampleofanevent-drivenstrategy,whichispermittedundertheboard,smandate.Event-drivenhedgefundstrategiesfocusoncorporateevents,suchasgovernanceevents,mergersandacquisitions,bankruptcy,andotherkeyeventsforcorporations.Mergerarbitrageinvolvessimultaneouslypurchasingandsellingthestocksoftwomergingcompaniestocreate"riskless"profits.ConvertiblebondarbitrageAconvertiblebondarbitragehedgefundstrategyisanexampleofarelativevaluestrategy,whichispermittedundertheboard,smandate.Relativevaluehedgefundstrategiesfocusontherelativevaluationbetweentwoormoresecurities.Relativevaluestrategiesareoftenexposedtocreditandliquidityrisksbecausethevaluationdifferencesfromwhichthesestrategiesseektobenefitareoftenduetodifferencesincreditqualityand/orliquidityacrossdifferentsecurities.Aclassicconvertiblebondarbitragestrategyistobuytherelativelyundervaluedconvertiblebondandtakeashortpositionintherelativelyovervaluedunderlyingstock.GlobalmacrostrategiesAglobalmacrohedgefundstrategyisanexampleofanopportunistichedgefundstrategy,notanevent-drivenorrelativevaluestrategy.Opportunistichedgefundstrategiestakeatop-downapproach,focusonamulti-assetopportunityset,andincludeglobalmacrostrategies.Globalmacromanagersusebothfundamentalandtechnicalanalysistovaluemarketsaswellasdiscretionaryandsystematicmodesofimplementation.Case2:JaneShaindyJaneShaindyisthechiefinvestmentofficerofalargepensionfund.ThepensionfundisbasedintheUnitedStatesandcurrentlyhasminimalexposuretohedgefunds.Thepensionfund'sboardhasrecentlyapprovedanadditionalinvestmentinalong/shortequitystrategy.AspartofShaindy,sduediligenceonahedgefundthatimplementsalong/shortequitystrategy,sheusesaconditionallinearfactormodeltouncoverandanalyzethehedgefund'sriskexposures.Sheisinterestedinanalyzingseveralriskfactors,butsheisspecificallyconcernedaboutwhetherthehedgefund,slong(positive)exposuretoequitiesincreasesduringturbulentmarketperiods.1.DescribehowtheconditionallinearfactormodelcanbeusedtoaddressShaindy'sconcern.Solution:Alinearfactormodelcanprovideinsightsintotheintrinsiccharacteristicsandrisksinahedgefundinvestment.Sincehedgefundstrategiesaredynamic,aconditionalmodelallowsfortheanalysisinaspecificmarketenvironmenttodeterminewhetherhedgefundstrategiesareexposedtocertainrisksunderabnormalmarketconditions.Aconditionalmodelcanshowwhetherhedgefundriskexposurestoequitiesthatareinsignificantduringcalmperiodsbecomesignificantduringturbulentmarketperiods.Duringnormalperiodswhenequitiesarerising,thedesiredexposuretoequities(S&P500Index)shouldbelong(positive)tobenefitfromhigherexpectedreturns.However,duringcrisisperiodswhenequitiesarefallingsharply,thedesiredexposuretoequitiesshouldbeshort(negative).Duringamonthlyboardmeeting,Shaindydiscussesherupdatedmarketforecastforequitymarkets.Duetoarecentlargeincreaseininterestratesandgeopoliticaltensions,herforecasthaschangedfromoneofmodestlyrisingequitiestoseveralperiodsofnon-trendingmarkets.Giventhisnewmarketview,Shaindyconcludesthatalong/shortstrategywillnotbeoptimalatthistimeandseeksanotherequity-relatedstrategy.TheFundhasthecapacitytouseasubstantialamountofleverage.2.Determinethemostappropriateequity-relatedhedgefundstrategythatShaindyshouldemploy.Justifyyourresponse.Solution:Shaindyshouldemployanequitymarket-neutral(EMN)equitystrategy.Overall,EMNmanagersaremoreusefulforportfolioallocationduringperiodsofnon-trendingordecliningmarkets.EMNhedgefundstrategiestakeopposite(longandshort)positionsinsimilarorrelatedequitieshavingdivergentvaluationswhileattemptingtomaintainanearnetzeroportfolioexposuretothemarket.EMNmanagersneutralizemarketriskbyconstructingtheirportfoliossuchthatthetosetthebetasforsectorsorindustriesaswellasforcommonriskfactors(e.g.,marketsize,price-to-earningsratio,andbook-to-marketratio)equaltozero.Sincetheseportfoliosdonottakebetariskandattempttoneutralizemanyotherfactorrisks,theytypicallymustapplyleveragetothelongandshortpositionstoachieveameaningfulreturnprofilefromtheirindividualstockselections.EMNstrategiestypicallydeliverreturnprofilesthataresteadierandlessvolatilethanthoseofmanyotherhedgestrategyareas.Overtime,theirconservativeandconstrainedapproachtypicallyresultsinalessdynamicoverallreturnprofilethanthoseofmanagerswhoacceptbetaexposure.DespitetheuseOfsubstantialleverageandbecauseoftheirmorestandardandoverallsteadyrisk/returnprofiles,equitymarket-neutralmanagersareoftenapreferredreplacementforfixed-incomemanagersduringperiodswhenfixed-incomereturnsareunattractivelylow.Case3:MonongahelaApGunnarPatelisanevent-drivenhedgefundmanagerforSensonFund,whichfocusesonmergerarbitragestrategies.PatelhasbeenmonitoringthepotentialacquisitionofMeuraInc.bySellshom,Inc.Sellshomiscurrentlytradingat$60pershareandhasofferedtobuyMeurainastock-for-stockdeal.Meurawastradingat$18persharejustpriortotheannouncementoftheacquisition.Theofferratiois1shareofSellshominexchangefor2sharesofMeura.Soonaftertheannouncement,Meura,ssharepricejumpsto$22whileSellshom,sfallsto$55inanticipationofthemergerreceivingrequiredapprovalsandthedealclosingsuccessfully.Atthecurrentsharepricesof$55forSellshomand$22forMeura,Patelattemptstoprofitfromthemergerannouncement.Hebuys40,000sharesofMeuraandsellsshort20000sharesofSellshom.Calculatethepayoffsofthemergerarbitrageunderthefollowingtwoscenarios:i.Themergerissuccessfullycompleted.Soulution:Atthecurrentsharepricesof$55forSellshomand$22forMeurazPatelwouldreceive$1,100,000fromshortselling20,000sharesofSellshomandwouldpay$880,000tobuy40,000sharesofMeura.Thisprovidesanetspreadof$220,000toPatelifthemergerissuccessfullycompleted.ii.Themergerfails.Solution:Ifthemergerfails,thenpricesshouldrevertbacktotheirpre-mergerannouncementlevelsof$18pershareforMeuraand$60pershareforSellshom.Themanagerwouldneedtobuyback20,000sharesofSellshomat$60pershare,foratotalof$1,200,000,toclosetheshortposition.Patelwouldthensellthelongpositionof40,000sharesofMeuraat$18pershareforatotalof$720,000.Thisnetlosswouldbe$260,000,calculatedas:(Sellshom:$1,100,000-$1,200,000=-$100,000)+(Meura:-$880,000+$720,000=-$160,000).Case4:JohnPutenJohnPutenisthechiefinvestmentofficeroftheMarkusUniversityEndowmentInvestmentOffice.Putenseekstoincreasethediversificationoftheendowmentbyinvestinginhedgefunds.Herecentlymetwithseveralhedgefundmanagersthatemploydifferentinvestmentstrategies.Inselectingahedgefundmanager,Putenpreferstohireamanagerthatusesthefollowing:FundamentalandtechnicalanalysistovaluemarketsDiscretionaryandsystematicmodesOfimplementationTop-downstrategiesArangeofmacroeconomicandfundamentalmodelstoexpressaviewregardingthedirectionorrelativevalueofaparticularassetPuten*sstaffpreparesabriefsummaryoftwopotentialhedgefundinvestments:HedgeFund1:Arelativevaluestrategyfundfocusingonlyonconvertiblearbitrage.HedgeFund2:Anopportunisticstrategyfundfocusingonlyonglobalmacrostrategies.DeterminewhichhedgefundwouldbemostappropriateforPuten.Justifyyourresponse.Solution:HedgeFund2wouldbemostappropriateforPutenbecauseitfollowsaglobalmacrostrategy,whichisconsistentwithPuten,spreferences.Globalmacromanagersusebothfundamentalandtechnicalanalysistovaluemarkets,andtheyusediscretionaryandsystematicmodesofimplementation.Thekeysourceofreturnsinglobalmacrostrategiesrevolvesaroundcorrectlydiscerningandcapitalizingontrendsinglobalmarkets.Globalmacrostrategiesaretypicallytop-downandemployarangeofmacroeconomicandfundamentalmodelstoexpressaviewregardingthedirectionorrelativevalueofaparticularassetorassetclass.Positionsmaycompriseamixofindividualsecurities,basketsofsecurities,indexfutures,foreignexchangefutures/forwards,fixed-incomeproductsorfutures,andderivativesoroptionsonanyoftheabove.Ifthehedgefundmanagerismakingadirectionalbet,thendirectionalmodelswillusefundamentaldataregardingaspecificmarketorassettodetermineifitisundervaluedorovervaluedrelativetohistoryandtheexpectedmacro-trend.HedgeFund1followsarelativevaluestrategywithafocusonconvertiblearbitrage,whichisnotalignedwithPUten'spreferences.Inaconvertiblebondarbitragestrategy,themanagerstrivestoextract"cheap"impliedvolatilitybybuyingtherelativelyundervaluedconvertiblebondandtakingashortpositionintherelativelyovervaluedcommonstock.Convertiblearbitragemanagersaretypicallyneitherusingfundamentalandtechnicalanalysistovaluemarketsnoremployingtop-downstrategiestoexpressaviewregardingthedirectionorrelativevalueofanasset.Case5:YankelSteinYankelSteinisthechiefinvestmentofficerofalargecharitablefoundationbasedintheUnitedStates.AlthoughthefoundationhassignificantexposuretoalternativeinvestmentsandhedgefundszSteinproposestoincreasethefoundation'sexposuretorelativevaluehedgefundstrategies.AspartofStein'sduediligenceonahedgefundengaginginconvertiblebondarbitrage,Steinaskshisinvestmentanalysttosummarizedifferentrisksassociatedwiththestrategy.DescribehoweachofthefollowingcircumstancescancreateconcernsforStein,sproposedhedgefundstrategy:i.Shortsellingii.Creditissuesiii.TimedecayofcalloptionExtrememarketvolatilityDescribehoweachofthefollowingcircumstancescancreateconcernsforStein'sproposedhedgefundstrategy:ShortsellingCreditissuesTimedecayofcalloptionExtrememarketvolatilitySolution:DescribehoweachofthefollowingcircumstancescancreateconcernsforStein,sproposedhedgefundstrategy:ShortsellingSinceHedgeFund1employsaconvertiblearbitragestrategy,thefundbuystheconvertiblebondandtakesashortpositionintheunderlyingsecurity.Whenshortselling,sharesmustbelocatedandborrowed;asaresult,thestockownermaywanthis/hersharesreturnedatapotentiallyinopportunetime,suchasduringstockpricerun-upsorwhensupplyforthestockislowordemandforthestockishigh.Thissituation,particularlyashortsqueeze,canleadtosubstantiallossesandasuddenlyunbalancedexposureifborrowingtheunderlyingequitysharesbecomestoodifficultortoocostlyforthearbitrageur.Creditissuesmaycomplicatevaluationsincebondshaveexposuretocreditrisk.WhencreditspreadswidenorCreditissuesnarrow,therewouldbeamismatchinthevaluesofthestockandconvertiblebondpositionsthattheconvertiblemanagermayormaynothaveattemptedtohedgeaway.TimedecayofcalloptionTheconvertiblebondarbitragestrategycanlosemoneyduetotimedecayoftheconvertiblebond*sembeddedcalloptionduringperiodsofreducedrealizedequityvolatilityand/orduetoageneralcompressionofmarketimpliedvolatilitylevels.ExtrememarketvolatilityConvertiblearbitragestrategieshaveperformedbestwhenconvertibleissuanceishigh(implyingawiderchoiceamongconvertiblesecuritiesaswellasdownwardpricepressureandcheaperprices),generalmarketvolatilitylevelsaremoderate,andtheliquiditytotradeandadjustpositionsissufficient.Extrememarketvolatilitytypicallyimpliesheightenedcreditrisks.Convertiblesarenaturallyless*liquidsecurities,soconvertiblemanagersgenerallydonotfarewellduringsuchperiods.Becausehedgefundshavebecomethenaturalmarketmakersforconvertiblesandtypicallyfacesignificantredemptionpressuresfrominvestorsduringcrises,thestrategymayhavefurtherunattractiveleft-tailriskattributesduringperiodsofmarketstress.Case6:SushilWallaceSushilWallaceisthechiefinvestmentofficerofalargepensionfund.Wallacewantstoincreasethepensionfund'sallocationtohedgefundsandrecentlymetwiththreehedgefundmanagers.Thesehedgefundsfocusonthefollowingstrategies:HedgeFundA:Specialist-FollowsrelativevaluevolatilityarbitrageHedgeFundB:Multi-Manager-Multi-StrategvfundHedgeFundC:Multi-Manager-Fund-of-funds1.DescribethreepathsforimplementingthestrategyofHedgeFundA.Solution:HedgeFundA,svolatilitytradingstrategycanbeimplementedbyfollowingmultiplepaths.Onepathisthroughsimpleexchange-tradedoptions.Thematurityofsuchoptionstypicallyextendstonomorethantwoyears.Intermsofexpiry,thelonger-datedoptionswillhavemoreabsoluteexposuretovolatilitylevelsthanshorter-datedoptions,buttheshorter-datedoptionswillexhibitmoredeltasensitivitytopricechanges.Asecond,similarpathistoimplementthevolatilitytradingstrategyusingOTCoptions.Inthiscase,thetenorandstrikepricesoftheoptionscanbecustomized.Thetenorofexpirydatescanthenbeextendedbeyondwhatisavailablewithexchange-tradedoptions.AthirdpathistouseVIXfuturesoroptionsonVIXfuturesasawaytomoreexplicitlyexpressapurevolatilityviewwithouttheneedforconstantdeltahedgingofanequityputorcallforisolatingthevolatilityexposure.AfourthpathforimplementingavolatilitytradingstrategywouldbetopurchaseanOTCvolatilityswaporavarianceswapfromacreditworthycounterparty.Avolatilityswapisaforwardcontractonfuturerealizedpricevolatility.Similarly,avarianceswapisaforwardcontractonfuturerealizedpricevariance,wherevarianceisthesquareofvolatility.Bothvolatilityandvarianceswapsprovide"pure"exposuretovolatilityalone,unlikestandardizedoptionsinwhichthevolatilityexposuredependsonthepriceoftheunderlyingassetandmustbeisolatedandextractedviadeltahedging.Afterasignificantamountofinternaldiscussion,WallaceconcludesthatthepensionfundshouldinvestineitherHedgeFundBorCforthediversificationbenefitsfromthedifferentstrategiesemployed.However,afterfinalduedi