CFA三级十年真题 (2008-2017)：level_III_essay_questions_2012.docx

TheMorningSessionofthe2012LevelIIICFArExaminationhas9questions.Forgradingpurposes,themaximumpointvalueforeachquestionisequaltothenumberofminutesallocatedtothatquestion.MinutesQuestionTopic1PortfolioManagement-Individual272PortfolioManagement-Individual91 4 42 L 2 33PortfolioManagement-Monitor/Rebalance/Execution4PortR>1沁-Mana3ememIndivid&al/Beha3oral9PortfolioManagemenI-EeeRefi46PortfolioManagement-Institutional7PortfolioManagementFixedIncome238PortfolioManagementDerivatives139PortfolioManagementDerivatives12Total:180THISPAGEINTENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQuestions1and2relatetoJuanPabloAlonso.Atotalof36minutesisallocatedtothesequestions.CandidatesshouldanswerthesequestionsintheOFderpresented.QUESTION1HASFIVEPARTS(A,B,C,D,E)FORATOTALOF27MINUTES.JuanPabloAlonso,age40,isthemanagerofanational,publicly-fundedsoccerteamlocatedinacountrythatusestheU.S.dollar(USD)asitscurrency.Thiscountry'sdebtisratedAAA.Alonsohasaone-yearemploymentcontractthathasbeenrenewedforseveralyears.Heisconfidentthathecanmaintainthisjob,orasimilarmanagingposition,untilhisplannedretirementatage55.Alonsoisdivorcedandthefatherofteenagechildren.Hcwantstofundadedicatedtrusttoprovideforhischildren,sneedsuntiltheyreachage25.HewillneedUSD250,000withinthenextfewmonthstofundthetrust.Alonso,sincometaxrateis30%.Otherthanasmallcashreserve,heholdsallofhisinvestmentassetsinatax-exemptaccountwithacurrentvalueofUSD900,000.Contributionstothisaccountaremadeaftertax.Withdrawalsareentirelytax-free,withoutpenalty.AlonsosavesUSD25,000ofhisafter-taxincomeeveryyear,andplanstocontinuedoingsountilretirement.Hisnextcontributionwillbemadeinoneyear.Aspartofhisnormalexpenses,AlonsoannuallyprovidesapproximatelyUSD30,000ofsupporttolocalyouthsportingleagues.WhenAlonsoretiresin15years,heplanstopurchasea25-yearannuitythatpaysUSD100,000aftertaxannually.HewillneedUSD1,600,000atretirementtofundtheannuity.Alonsoexpectstheannualpayouttobesufficienttomeetallhisneedsonaninflation-adjustedbasis.Hcdocsnotplantoleaveanyestateathisdeath.A.CalculatetherequiredannualreturnthatwouldenableAlonsotopurchasetheretirementannuityatage55.Showyourcalculations.Note:Assumeallcashflowsoccurattheendofeachperiod.(5minutes)B.DiscussZworeasonswhyAlonso,sabilitytotakeriskcouldbeconsideredaboveaverage,(4minutes)Fiveyearshavepassed,andAlonso,age45,signsa10-yearemploymentcontract,whichincludesaone-timesigningbonus,withacorporate-ownedprofessionalsoccerclub.Hisannualbasesalarywiththisclubishigherthanhisprevioussalaryandisindexedtoinflation.Becausetheclubhashadfinancialdifficultiesinthepast,theowneragreestoguaranteeAlonso,ssalaryoverthelifeofthecontract.Alonsointendstokeephislivingexpensesunchangedandincreasehisannualsavings.Alonsostillplanstoretireattheendofthe10-yearcontract.Givenhisimprovedfinancialposition,henowplanstodependoncashflowfromhisinvestmentportfoliotomeetretirementexpensesratherthanpurchasethe25-yearannuity.C.i.DescribeonechangeinAlonso'scircumstancesthathasdecreasedhisearningsriskandonechangethathasincreasedhisearningsrisk.ii.DescribeonechangeinAlonso,scircumstancesthathasdecreasedhisfinancialmarketriskinretirementandonechangethathasincreasedhisfinancialmarketriskinretirement.ANSWERQUESTIONI-CINTHETEMPLATEPROVIDEDONPAGE7.(8minutes)D.DiscusshoweachofthefollowinginvestmentconstraintshaschangedforAlonso:i.timehorizonii.liquidityneeds(4minutes)Alonsohasabuy-and-holdportfolioOfindividualsecurities,includingtreasurybills,asset-backedsecurities(ABS),governmentbonds,andequities.HiscurrentportfolioallocationisshowninExhibit1.Exhibit1Alonso'SCurrentPortfolioAllocationAssetClassPortfolioWeightTreasurybills5%A-ratedcorporateamortizingABS10%AAA-ratedgovernmentbonds10%Small-capdomesticequities25%Large-capinternationalequities50%E.DeterminewhichoneassetclassinAlonso,sportfoliomostcloselyresembleshiscurrenthumancapital.JustifyyourresponsewithZhqreasons.ANSWERQUESTIONI-EINTHETEMPLATEPROVIDEDONPAGE9(6minutes)ANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDAnswerQuestiononThisPageTemplateforQuestionI-Ci.DescribeoechangeinAlonso,scircumstancesthathas:decreasedhisearningsrisk.increasedhisearningsrisk.ii.DescribecchangeinAlonso9Scircumstancesthathas:decreasedhisfinancialmarketriskinretirement.increasedhisfinancialmarketriskinretirement.AnswerQuestiononThisPageTemplateforQuestionI-EDeterminewhichoneassetclassinAlonso,sportfoliomostcloselyresembleshiscurrenthumancapital,(circleone)JustiKyourresponsewith加，。reasons.TreasurybillsA-ratedcorporateamortizingABSAAA-ratedgovernmentbondsSmall-capdomesticequities1.arge-capinternationalequitiesL2.Questions1and2relatetoJuanPabloAlonso.Atotalof36minutesisallocatedtothesequestions.Candidatesshouldanswerthesequestionsintheorderpresented.QUESTION2HASTWOPARTS(A,B)FORATOTALOF9MINUTES.JuanPabloAlonsoisnowage54andanticipatingretirement.Approximately60%ofhistotalinvestmentsarecurrentlyheldinatax-exemptaccountand40%inataxableaccount.Contributionsintobothaccountsaremadewithafter-taxincome.Inthetax-exemptaccount,withdrawalsarcentirelytax-freeandwithoutpenalty.Inthetaxableaccount,Alonsonowincursa20%taxonbothincomeandrealizedcapitalgains.Realizedlossescanbeusedtooffsetcurrentorfutureincomeandcapitalgains.Alonsoexperiencedsubstantiallossesinbothofhisinvestmentaccountsoverthepastyear.Heestimatesthathewillneedtopostponeretirementandquestionswhetherhisinvestmentswerestructuredoptimally.Alonsomeetswithhisadvisortodiscusstheeffectsofthetaxregimeonhisportfolios.Theadvisorsuggeststhatoverthelastyear,bothAlonso'safter-taxreturnandinvestmentriskwouldhavebeenhigherifalargerproportionofassetshadbeenheldinthetaxableaccount.A.Determine,basedonlyontaxconsiderations,whetherAlonso,sadvisoriscorrectorincorrectwithrespecttoAlonso,s:i.after-taxreturn.ii.investmentrisk.Justifyeachresponsewithoereason.ANSWERQUESTION2-AINTHETEMPLATEPROVIDEDONPAGE15.(6minutes)Alonso,sadvisorproposesa100,000U.S.dollar(USD)investmentinaportfolioofdividendpayingequitiesinthetaxableaccount.Alldividendincomeandrealizedcapitalgainswouldbetaxedat20%andreinvested.Theadvisorsuggestsastrategyofrealizingnomorethanhalfoftheavailablecapitalgainsannually.Heestimatesthe3-yearand15-yearaccrualequivalentreturnsontheproposedportfoliotobe5.8%and6.3%,respectively.B.ExplainwhytheestimatedaccrualequivalentreturnsdiHerforthetwotimeperiods.Note:Nocalculationsarerequired.(3minutes)ANYMARKSMADEONTHISPAGEWILLNOTBEGRADED©2012CFAInstitute.Allrightsreserved.AnswerQuestion2onThisPageTemplateforQuestion2-Determine,basedonlyontaxconsiderations,whetherAlonso'sadvisoriscorrectorincorrect(circleone)withrespecttoAlonso,s:Justifyeachresponsewithonereason.i.aftcr-taxreturncorrectincorrectii.investmentriskcorrectincorrectTHISPAGEINTENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQUESTION3HASTHREEPARTS(A,B,C)FORATOTALOF21MINUTES.WcndyKadar,CFA,managesanequityfundthatinvestsglobally.AmongthecountriessheinvestsinareAlphastanandBetania.Bothcountriesusetheeuro(EUR)astheircurrency.InfbnnationabouteachequitymarketisshowninExhibit1.Exhibit1AlphastanandBetaniaEquitxrMarsetsAlphastanBetaniaMarkettypeQuote-drivenQuote-drivenAveragedailyvolume25millionshares15millionsharesMarketvolatility22%16%Latest12-monthmarketreturn5.3%15.1%Numberofmemberfirms532MarkethoursTuesday-Thursday:9:00am-4:00pmMonday-Friday:9:00am-4:00pmFoundingyear19731903TheorderbooksfortypicalAlphastanandBetaniaequitieswithidenticalmarketcapitalizationsandfreefloatsappearinExhibits2and3.Exhibit21.imitOrderBookforaTypicalAlphastanEqllityDealerBidDealerAsPrice(EUR)SizePrice(EUR)SizeA49.82200C50.11200B49.73400D50.261000C48.22600A51.31500D47.68500B51.55600Exhibit31.imitOrderBookforaTypicalBetaniaEquityDealerBidDealerAskPrice(EUR)SizePrice(EUR)SizeA49.88800C50.13900B49.811000D50J91000C49.751900A50.311500D49.501700B50.382600FromtheinformationprovidedinExhibits1,2,and3,KadarconcludesthatBetaniahasahigherqualitymarket.A.Identih,threemarketcharacteristicsthatsupportKadar,sconclusionthatBetaniahasahigherqualitymarket.Justifyeachresponsewithonereason.ANSWERQUESTION3-AINTHETEMPLATEPROVIDEDONPAGE23.(9minutes)Kadarexpectstoreceivealargeinflowofcashintoherfundfromanewclient.Wheninvestingthenewmoney,sheintendstousealgorithmicexecutionforthetrades.GlobalequitymarketshavebeenvolatileandtrendingupwardsandKadarforecaststhiswillcontinue.B.Determinewhichalgorithmicparticipationstrategyvolume-weightedaverageprice(VWAP),time-weightedaverageprice(TWAP),orimplementationshortfallismostappropriateforKadar,strades.Justifyyourresponsewithtworeasons.ANSWERQUESTION3-BINTHETEMPLATEPROVIDEDONPAGE24.(6minutes)Kadar,sfirmoffersclientstheabilitytoreducetheirriskexposurebyinvestinginamixofriskfreesecuritiesandKadar,sglobalequityfund.Clientsareabletoselectarebalancingstrategythatbestsuitstheirpreferences.Theavailablerebalancingstrategiesarebuy-and-hold,constantmix,andconstant-proportionportfolioinsurance(CPPI).Anewclient,GuyMarsden,agreeswithKadar,sforecastfortheglobalequitymarkets.HeinvestsEUR250,000fromhistax-exemptaccountinamixofrisk-freesecuritiesandKadar,sglobalequityfund.HedoesnotwantthevalueofhisportfoliotofallbelowEUR175,000,butiswillingtoacceptadditionalriskashisportfoliovalueincreases.C.Determinewhichoftheavailablerebalancingstrategies(buy-and-hold,constant-mix,orCPPl)ismostappropriateforMarsden.Justifyyourresponsewithtworeasons.ANSWERQUESTION3-CINTHETEMPLATEPROVIDEDONPAGE25.(6minutes)ANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDAnswerQuestion3onThisPageTemplateforQuestion3-AIdentifythreemarketcharacteristicsthatsupportKadar'sconclusionthatBetaniahasahigherqualityrmarket.Justifyeachresponsewithonereason.Characteristic1:Characteristic2:Characteristic3:AnswerQuestion3onThisPageTemplateforQuestion3-BDeterminewhichalgorithmicparticipationstrategyvolume-weightedaveragePriCe(VWAP),time-weightedaverageprice(TWAP),orimplementationshortfall)ismostappropriateforKadar,strades,(circleone)Justifyyourresponsewithtworeasons.volume-weightedaverageprice(VWAP)time-weightedaverageprice(TWAP)implementationshortfall2.AnswerQuestion3onThisPageTemplateforQuestion3-CDeterminewhichOftheavailablerebalancingstrategies(buy-and-hold,constant-mix,orCPPI)ismostappropriateforMarsden,(circleone)Justifyyourresponsewithtworeasons.buy-and-holdconstant-mixCPPlL2.THISPAGEINTENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQUESTION4HASTHREEPARTS(A,B,C)FORATOTALOF17MINUTES.AnadvisorforAlesiCapitalManagementisworkingwithanewclient,MelanieStoffer.Priortomeetingwithher,theadvisorasksStoffcraseriesofdiagnosticquestionstodctcnincwhethershemayhaveanyofthefollowinginvestmentbehavioralbiases:anchoringhindsightregretaversionrepresentativenessstatusquoSamplediagnosticquestionsarcshowninExhibit1.EXhibit1AlesiCapitalManagementSamPIeDiagIlOStiCQIleStk)IIS1.Wouldapriorinvestmentdecisionthatresultedinalossstopyoufrommakingasimilardecision,evenifthenewinvestmentappearstobethebestalternative?2.Howfrequentlydoyoureviewyourinvestmentportfolio?3.Wouldyousellarecentequityinvestmentfollowingamanagementannouncementofasignificantdeclineintheexpectedgrowthrateofrevenue?A.Identih,thebehavioralbiasthateachdiagnosticquestioninExhibit1ismostlikelytoreveal.Note:Eachdiagnosticquestionisdesignedtorevealadifferentbias.ANSWERQUESTION4-AINTHETEMPLATEPROVIDEDONPAGE33(6minutes)Attheirinitialmeeting,theadvisorIcarnsthatStoffcrisamid-levelmanageratabankandhasbuiltaninvestmentportfoliobyaccumulatingsavings,stockoptions,andrestrictedstockfromhercompany.Stofferbelievesshecurrentlyhasasufficientlevelofwealthtoachieveherprimarygoalofmaintaininghercurrentlifestyleuntilherdeath.Indiscussingherinvestmentphilosophy,Stoffcrexplainsthatshelikestokeepseparateinvestmentaccountsforhersavings,stockoptions,andrestrictedstock.Shehasadistinctinvestmentstrategyforeachaccount.Inaddition,StofIersaysthatshealwaysfollowsherfather'sinvestmentadviceof4fcinvcstonlyinwhatyouknow."Stofibralsobelievesthatsheispersonallycontributingtotheperformanceofherbank'sstockprice.Combined,thesefactorshaveledStoffertokeepalargepercentageofhertotalportfolioinherbank,sstockandoptions.TheadvisortellsStofferthatthisconcentratedholdingrepresentssignificantriskinachievingherprimarygoal.Stofferrefusestoconsiderthesuggestionthatshepartiallyhedgetheriskofherbank,sstock.AfterevaluatingStoffer,sinvestmentphilosophy,theadvisorisconcernedthatStoffbrisexhibitingsomeofthefollowingcognitivebiases:endowmentconservatismmentalaccountingillusionofcontrolB.IdentifytwocognitivebiasesexhibitedbyStoffer.Justifyeachresponsewithonereason.ANSWERQUESTION4-BINTHETEMPLATEPROVIDEDONPAGE34.(6minutes)C.RecommendwhethertheadvisorshouldprimarilyattempttomoderateStoffcr,sbiases,oradapthisrecommendationstobetterreflectStoffer,sbiases.Justifyyourresponsewithtworeasons.(5minutes)ANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDAnswerQuestion4OnThisPageTemplateforQuestion4-ANote:Eachdiagnosticquestionisdesignedtorevealadifferentbias.DiagnosticQuestionIdentifythebehavioralbiasthateachdiagnosticquestioninExhibit1ismostlikelytoreveal,(circleone)1.Wouldapriorinvestmentdecisionthatresultedinalossstopyoufrommakingasimilardecision,evenifthenewinvestmentappearstobethebestalternative?anchoringhindsightregretaversionrepresentativenessstatusquo2.Howfrequentlydoyoureviewyourinvestmentportfolio?anchoringhindsightregretaversionrepresentativenessstatusquo3.Wouldyousellarecentequityinvestmentfollowingamanagementannouncementofasignificantdeclineintheexpectedgrowthrateofrevenue?anchoringhindsightregretaversionrepresentativenessstatusquoAnswerQuestion4OnThisPageTemplateforQuestion4-BIdentifytwocognitivebiasesexhibitedbyStoffer.(circleone)Justifyeachresponsewithonereason.Firstcognitivebias:endowmentconservatismmentalaccountingillusionofcontrolSecondcognitivebias:endowmentconservatismmentalaccountingillusionofcontrolQUESTION5HASFOURPARTS(A,B,C,D)FORATOTALOF24MINUTES.Emergistanisadevelopingcountryfounded50yearsagothathasexhibitedsignificanteconomicgrowth.Initsfirst38years,Emergistanhadlowinflation.Atthattime,thecountryestablishedacentralbankwithaprimarymandatetoencourageeconomicgrowth.Theresultingmonetarypolicyhasledto12yearsofhighandvolatileinflation.Itsequitymarketiswell-establishedandliquid.Bycontrast,secondarymarkettransactionsforbondsaresmallandinfrequent.JoeCookeisaneconomistforapensionadvisoryfirm.HeisanalyzingEmergistantoidentifyinvestmentopportunities.CookeperformsseveralanalysesofEmergistan5Seconomy.Exhibit1containsadescriptionoffiveofhisanalysesandselectedcommentsfromhisreport.Exhibit1EconomicAnalysesOfEmergista