CFA三级十年真题 (2008-2017)：level_III_essay_questions_2017.docx

CFAInstituteCharteredFinancialAnalyst®Examination2017LevelIIIMorningSessionEssayQuestionsThefollowingisprovidedforinformationalpurposesonlyandmaynotbeusedinanycommercialmannerwithoutpriorwrittenpermissionfromCFAInstitute.©2017CFAInstitute.AllRightsReserved.TheMorningSessionofthe2017LevelIIICFA®Examinationhas10questions.Forgradingpurposes,themaximumpointvalueforeachquestionisequaltothenumberofminutesallocatedtothatquestion.QuestionTopicMinutes1PortfolioManagementAlternativeInvestments192PortfolioManagementInstitutional223PortfolioManagementPerfbnnanceEvaluation154PortfolioManagementIndividual155PortfolioManagement-IndividualZBchavioraI156PortfolioManagement-Individual227PortfolioManagement-Economics148PortfolioManagement一AssetAllocation209PortfolioManagement-FixedIncome2110PortfolioManagement-RiskManagement17Total:180LeVelIIlTHISPAGEINTENTIONALLYLEFTBLANKMARKSMADEONTHISPAGEARENOTGRADEDQUESTION1HASFOURPARTS(A,B,C,D)FORATOTALOF19MINUTES.MattcrhomInvestmentsisanalternativeinvestmentsfinn.UrsBrunner,ananalyst,isreviewingtheperformanceofMatterhorn,scommoditiesfnd.Brunnerisanalyzingthereturncomponentsofthefind*sinvestmentinthecommodityfuturescontractsshowninExhibit1.Exhibit1FuturesContractDetails(inUSD)ContractMaturityFuturesPriceatEndOfFebruaryFuturesPriceatEndofJanuaryAugust533.50518.50September528.25514.75BrunnernotesthatfromtheendofJanuarytotheendofFebruary,thespotpriceoftheunderlyingcommodityincreasedbyUSD6.25andthetotalreturnontheAugustfuturescontractwasaprofitofUSD18.00.A.Calculate,fortheAugustcontract,the:i.collateralreturn(inUSD)inFebruary.ii.rollreturn(inUSD)inFebruary.Showyourcalculations.4minutes(AnswerI-Aonpage5)Brunnerobservesthatthecurrentshapeofthefuturescurveofadifferentcommodity,nickel,isflat.Hcwantstoanalyzehowthenickelfuturescurvewouldchangeinascenariowhereboththecostofstorageandtheconvenienceyieldsimultaneouslydecreasebydifferentamounts.B.Determinethemostlikelyshapeofthenickelfuturescurve(contango,flat,backwardation,orcannotbedetermined),givenBnnner,sproposedscenario.Justifyyourresponse.Note:Interestratesandthespotpriceremainunchanged.3minutes(AnswerI-Bonpage6)Matterhorn*smanagementisconsideringchangestooneofitshedgefunds.Brunnerreviewsthelikelyeffectofeachchangeonthefund,sreportedSharperatio.Thepotentialchangesare:Change1:Increasethefund'sholdingsincommoditiesthattradeinfrequently.Change2:Whencalculatingthefind,sannualizedrateofreturnandstandarddeviation,switchfrommonthlytodailyobservations.C.Determinethemostlikelyeffect(decrease,nochange,increase)ofeachchangeonthefund'sreportedSharpcratio.Justifyeachresponse.Note:Considereachchangeindependently.6minutes(AnswerI-Conpage7)Matterhornmanagesadifferenthedgefundthatusesahedgedequitystrategy.Itsbenchmarkforthisfundisaninvestable,manager-basedindexwithamonthlyreturnseries.Mattcrhorniscompensatedbasedonitsfind,sperformancecomparedtothisindex,whichhasthefollowingadditionalcharacteristics:Indexconsistsof50active,hedgedequitymanagerswhoelecttoreportmonthlyreturnsandholdings.lndex*shistoricalreturnseriesincludespastpcrfbnnanccofmanagerswhostopreportingreturns.Indexweightsarebasedoneachhedgedequitymanager'sassetsundermanagementandarerebalancedannually.Whenamanagerisaddedtotheindex,theindexproviderdoesnotincludethatmanager,spastperformance.D.DiscusstwoweaknessesofusingthisbenchmarktomeasuretheperformanceofMatterhom,shedgefund.6minutes(AnswerI-Donpage8)AnswerQuestiononThisPageCalculate,fortheAugustcontract,the:(seei.andii.below)Showyourcalculations.i.collateralreturn(inUSD)inFebruary.ii.rollreturn(inUSD)inFebruary.AnswerQuestionI-BonThisPageDeterminethemostlikelyshapeofthenickelfuturescurve,givenBrunner'sproposedscenario,(circleone)contangoflatbackwardationcannotbedeterminedJustifyyourresponse.(Note:Interestratesandthespotpriceremainunchanged.)AnswerQuestionI-ConThisPageChangeDeterminethemostlikelyeffectofeachchangeonthefund,sreportedSharperatio,(circleone)Justifyeachresponse.(Note:Considereachchangeindependently.)decreaseChange1nochangeincreasedecreaseChange2nochangeincreaseAnswerQuestionI-DonThisPageHgCA0y)WeAkneSqCSQFIlqingthishenchmnrktQmrasiirethePerfinrmAnrteCfMAttrhcrn'qhedgeRind1.2.THISPAGEINTENTIONALLYLEFTBLANKMARKSMADEONTHISPAGEARENOTGRADEDQUESTION2HASFOURPARTS(A,B,C,D)FORATOTALOF22MINUTES.MarvelStoresisaretailer,basedinthecountryofVibrania,thatOffcrSitsemployeesadcfincd-bcncfitpensionplan.Themandatoryretirementageis65,butemployeesmayelecttoretireearlyandbeginreceivingbenefitsatage57.Marvelisrequiredtofundtheplan,saccruedbenefits,whichincludeestimatedfuturewageincreases.Inaddition.Marvelhasanobjectiveforeachannualplancontributiontobelowerthanthatycar,sincreaseinaccruedbenefits.Thecompanyexpectsthatreturnsontheplanportfoliowillmakeupthedifferenceovertime.InVibrania,theratioofactivelivestoretiredlivesfortheaveragecompany'spensionplanis60%/40%.Theexpectedlong-terminflationrateis2%peryear.Marvelhasadebt-to-equityratioof30%comparedto45%foritspeergroup.FurtherinformationpertainingtotheMarvelpensionplanisshowninExhibit1.Vibrania,scurrencyistheVibraniaCurrencyUnit(VCU).Exhibit1MarvelPensionPlanInformation31December2016Accumulatedbenefitobligation(ABO)VCU650millionProjectedbenefitobligation(PBO)VCU900millionPlanassetsVCU800millionDiscountrateforplanliabilities6%Ratioofactivelivestoretiredlives75%/25%A.Discuss,foreachofthefollowing,twofactorsthatindicatetheMarvelplanhasa:i.lowabilitytotakerisk.ii.highabilitytotakerisk.Note:Restatingcasefactswithoutadditionalsupportwillnotreceivecredit.8minutes(Answer2-Aonpage12)TheMarvelplan,sinvestmentcommitteeaskstheplan,sactuarytoanalyzethefollowingpossiblescenarios:Scenario1:Decreasethediscountrateforplanliabilitiesby100basispoints.Scenario2:Increasethediscountrateforplanliabilitiesby100basispoints.Scenario3:Stophiringnewemployeesforanindefiniteperiodoftime.Scenario4:Increasetheminimumageto60fortheearlyretirementelection.Theinvestmentcommitteeisconcernedabouttheeffectofthesepossiblescenariosontheplan'stimehorizon.B.DeterminewhichscenariowouldmostlikelyshortentheMarvelplan,stimehorizon.Justifyyourresponse.4minutes(Answer2-Bonpage13)Twomonthslater.MarvelacquiresGrantStores,whichisalsobasedinVibrania.Grantalsooffersadefined-benefitpensionplanbuthassignificantlyfeweremployeesthanMarvel.Marveldecidestokeepthetwoplansseparate.Theinvestmentcommitteeisconcernedaboutuncertaintyinbenefitpaymentsattributabletonon-narket-relatedexposuresfortheMarvelandGrantplans.Theplans5actuarynotesthatonefactorcreatingthistfcIiabilitynoise"isuncertaintyrelatedtounderlyingactuarialprobabilities.Althoughtheseprobabilitiesarethesameforbothplans,theactuarystatesthatoneoftheplanswillstillhavemoreliabilitynoisethantheother.TheGrantplanisinvestedconservativelyandholdsonlynominalbondsandasmallamountofcash.Benefitpaymentstoretiredemployeesarcnotindexedtoinflation.TheGrantplanpaysretirementbenefitsbasedontheaverageofeacheligibleemployee'slastfiveyearsofwages.Grantisrequiredtofundtheplan,saccruedbenefits,whichincludeestimatedfturewageincreasesthatarebasedbothoninflationandrealgrowth.TheGrantplanisfullyfundedduetogenerousplancontributions.MarvesinvestmentcommitteeproposestoshifttheGrantplantoaliabilitymimickingportfoliotoensurethattheplanremainsfullyfundedinthefuture.C.Determinewhichplan(MarvelorGrant)mostlikelyhasproportionallymoreliabilitynoise.JIIStifyyourresponse.4minutes(Answer2-Conpage14)D.DeterminehvoadditionalassetclassesthatshouldbeaddedtotheGrantplan,sportfoliotobestimplementtheproposal.Describethespecificmarket-relatedexposureofthepensionliabilitythatwouldbehedgedbyeachadditionalassetclass.AnswerQuestiononThisPageDiscuss,foreachofthefollowing,twofactorsthatindicatetheMarvelplanhasa:(Note:Restatingcasefactswithoutadditionalsupportwillnotreceivecredit.)i.lowabilitytotakerisk.1.ii.highabilitytotakerisk.1.2.AnswerQuestionJflonThisPageDeterminewhichscenariowouldmostlikelyshortentheMarvelplantstimehorizon,(circleone)I234JIIStifyyourresponse.AnswerQuestion2-ConThisPageDeterminewhichplanmostlikelyhasproportionallymoreliabilitynoise,(circleone)GrantMarvelJIIStifyyourresponse.AnswerQuestiononThisPageDetermine two additional assetclasses that should be added tothe Grant plan,s portfolio tobest implement the ProPoSaLDescribethespecificmarket-relatedexposureofthepensionliabilitythatwouldbehedgedbyeachadditionalassetclass.2.QUESTION3HASTHREEPARTS(A,B,C)FORATOTALOF15MINUTES.FrcdcricCollignonisawealthyindividualwhoasksTonySprcdcman,anindependentadvisor,toreviewtheperformanceofhisinvestmentaccountoverthepastfouryears.Theaccountismanagedbyanexternaladvisor,butCollignonhasfullcontroloverthetimingandsizeofthecashflowsbeinginvestedintoandwithdrawnfromtheaccount.Sprcdcmancalculatesboththetime-weightedreturn(TWR)andmoney-weightedreturn(MWR)fortheaccount.Accountvaluesandyear-endcashflowsarereportedinExhibit1.Exhibit1CollignonAccountValuesandCashFlows(inUSDmillions)YearYear-endCashFlowYear-endValue(includingyear-endcashflow)2012902013510020145HO20151202302016-30250A.Determinewhichannualizedreturnmeasure(TWRorMWR)ishigherfortheperiod2013-2016.Explainthecauseofthedifferencebetweentheaccount'sTWRandMWR.Note:CalculationsofTWRandMWRarenotrequired.3minutes(Answer3-Aonpage18)B.Determinewhichreturnmeasure(TWRorMWR)ismoreappropriatetouseinevaluatingtheexternaladvisor'sinvestmentpcrfonance.Justifyyourresponse.SpredemancomparestheperfbnanceoftwoequitymanagerswhoarecandidatestoreplaceCollignon,sexternaladvisor.Hegathersdatatoevaluateeachmanager'shistoricalperformancebasedonthefollowingcriteria:Criterion1:RewardperunitofsystematicriskCriterion2:RewardperunitoftotalriskCriterion3:Rewardperincrementalunitofriskcreatedbydeviatingfromthebenchmark,sholdingsExhibit2summarizesSprcdcman,sdata.Bothmanagershavethesamebenchmarkandtherisk-freeratefortheevaluationhorizonis2%.Exhibit2PerformanceDatafor5-YearPeriodending31December2016(Annualised)PerformanceMeasureManager1Manager2Rateofreturn(%)18.0018.00Sharperatio1.021.05Informationratio1.380.72Treynormeasure(%)16.6714.95Sortinoratio0.500.52C.Determine,foreachcriterion,themostappropriateperformancemeasurefromExhibit2.Explain,foreachofthesemeasures,thesourceofthedifferenceinperfbnancebetweenthetwomanagers.9minutes(Answer3-Conpage20)AnswerQuestion3-AonThisPageDeterminewhichannualizedreturnmeasureishigherfortheperiod2013-2016.(circleone)TWRMWRExplainthecauseofthedifferencebetweentheaccount,sTWRandMWR.(Note:CalculationsofTWRandMWRarenotrequired.)AnswerQuestion§i-BonThisPageDeterminewhichreturnmeasureismoreappropriatetouseinevaluatingtheexternaladvisor,sinvestmentperformance.(circleone)TWRMWRJustifyyourresponse.301017AnswerQuestion3-ConThisPageCriterionDetermine,foreachcriterion,themostappropriateperformancemeasurefromExhibit2.Explain,foreachofthesemeasures,thesourceofthedifferenceinperformancebetweenthetwomanagers.Criterion1Criterion2Criterion3THISPAGEINTENTIONALLYLEFTBLANKMARKSMADEONTHISPAGEARENOTGRADEDQUESTION4HASTHREEPARTS(A,B,C)FORTOTALOF15MINUTES.MargaretWaldisaninvestorinthecountryofCommonland,whereinterestanddividendsarctaxedannuallyandcapitalgainsaretaxedonlywhenrealized.Bothinvestmentincomeandrealizedcapitalgainsaretaxedataflatrateof20%.Commonland,scurrencyistheCLC.Waldmeetswithherfinancialadvisortoevaluatetwonewinvestmentaccounts,oneholdingonlydividend-payingequitiesandoneholdingonlynon-dividend-payingequities.EachaccountisvaluedatCLC100,000.Bothaccountshaveanexpectedreturnof8%peryearandacostbasisofCLC100,000.Allofthereturntothedividend-payingaccountisassumedtocomefromdividendincome.WalddoesnotplantomakeanyCOntribUtions,withdrawals,orsales,andshewillliquidatebothaccountsin10years.Wald,sadvisordemonstratesthatthefutureafter-taxvalueofthedividend-payingaccountin10yearsisCLC185,959andthatitsaccrualequivalenttaxrateis20%.A.Calculatetheaccrualequivalenttaxrateforthenon-dividend-payingaccount.Explainthereasonforthedifferenceinfutureafter-taxwealthbetweenthetwoaccounts.Showyourcalculations.8minutes(Answer4-Aonpage23)WaldhasarealizedcapitalgainofCLC50,000inanothertaxableaccount.HeradvisorreviewsthataccountandnoticesthatStockYhasanunrealizedlossofCLC45,000andacostbasisofCLC220,000.TheadvisorexplainstwoalternateplanstoWald:PlanA:SellStockYinYear1torealizethelossandreplaceitwithStockZ,whichtheadvisorbelieveswillhavethesameexpectedreturnasStockY.InYear2,sellStockZatanexpectedmarketvalueofCLC250,000.PlanB:HoldStockYuntilYear2andthensellitatanexpectedmarketvalueofCLC250,000.B.DemonstratethattheamountofWald,stotaltwo-ycartaxliabilityisthesameforbothplans.Showyourcalculations.4minutes(Answer4-Bonpage24)Eventhoughthetwoplanshavethesametotaltaxes,theadvisorrecommendsPlanA.TheadvisorstatesthatPlanAcouldincreaseWald,sexpectedafter-taxaccountvalueattheendofYear2.C.ExplainhowPlanAcouldincreaseWald,sexpectedafter-taxaccountvalueattheendofYear2,3minutes(Answer4-Conpage25)Answer Question ；Aon This PageCalculatetheaccrualequivalenttaxrateforthenon-dividend-payingaccount.Explainthereasonforthedifferenceinfitureafter-taxwealthbetweenthetwoaccounts.Showyourcalculations.DemonstratethattheamountofWald,stotaltwo-yeartaxliabilityisthesameforbothplans.PlanTaxLiabilityYearTaxLiabilityYear2TotalTaxLiabilityYear1+Year2PlanAPlanBAnswer Questionon This PageAnswerQuestionI-ConThisPageEXPlainhowPlanAcouldincreaseWald,sexpectedafter-taxaccountvalueattheendofYear2.QUESTION5HASFOURPARTS(A,B,C,D)FORATOTALOF15MINUTES.1.auraStoneisafinancialadvisorataninvestmentfinwithclientswhoarcactivetraders.ShedeterminesthatseveralofherclientsroutinelyexhibitthebehavioralbiasesshowninExhibit1.ClientBEKhihitl»ehavioralBiasesClientBiasClient1ConservatismClient2RepresentativenessClient3ConfirmationClient4RegretaversionClient5Self-attributionStonebelievesthattheseclientsactprimarilyonthebasisoftheirbiases.Sheschedulesmeetingswiththeseclientstoevaluatetheirinvestmentportfoliosandmakerecommendations.Client1andClient2BothclientsownsharesinAERO,acompanyintheairlineindustry.AEROhasexperiencedfouryearsofearningsgrowthabovetheairlineindustryaverage.However,inthetwomostrecentquarters,AERO,searningshavebeenbelowanalysts'expectations.A.Determine,basedontheirobservedbiases,whethereachofthefollowingclientswillmostlikelyholdorsellAERO:i.Client1ii.Client2Justifyeachresponse.6minutes(Answer5-Aonpage28)Client3Client3stronglyprefersvalueinvestingandbelieves