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

Thefollowingarerepresentativeofquestionsonthe2008Level111exam,MorningSession.Thesequestionsandguidelineanswersillustratehoweachtopicareawastestedonthe2008LevelIIIexam.Forgradingpurposes,themaximumpointvalueforeachquestionisequaltothenumberofminutesallocatedtothatquestion.QuestionTopicMinutes1PortfolioManagement-Individual362PortfolioManagement-IndividualZBehavioral93PortfolioManagement-Institutional364PortfolioManagement-AssetAllocation175PortfolioManagement-FixedIncomeInvestments136PortfolioManagementAlternativeInvestments117PortfolioManagementRiskManagement178PortfolioManagement-ExecutionofPortfolioDecisions149PortfolioManagement-MonitoringandRebalancing910PortfolioManagement-PerformanceEvaluation911PortfolioManagement-GlobalContext9Total:180THISPAGEINTENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQUESTION1HASFOURPARTS(A,B,C,D)FORATOTALOF36MINUTES.RobertoandMarianaCarvalholiveinalargecityinBrazilwiththeirtwochildren,agesfourandtwo.Robcrtois30yearsoldandMarianawillbe30yearsoldlaterthismonth.RobcrtoisamanagerinamanufacturingfacilityandMarianaisamusicianinthelocalsymphonyorchestra.RobertoandMariana,sannualsalariestotal120,000Brazilianreais(BRL)aftertax.Theirsalariesjustcovertheirlivingexpenses.Theaverageannualinflationrateisfourpercentandtheirsalariesandexpensesareexpectedtoincreaseatthisrate.Theyarehealthyandbelievetheirjobsandearningpotentialaresecure.TheCarvalhos,salaries,dividends,andinterestaretaxedat20percent,andcapitalgainsat15percent.Mariana,sparentshavesignificantwealthandfundedanirrevocablepersonaltrustforher.Brazilhasawealthtransfertaxthatappliestotransfersintotrustsandtoinheritances.BrazilhasadoptedthePrudentInvestorRulefortheadministrationoftrusts.ThecurrentvalueofthetrustisBRL1,500,000.ThetermsofthetruststatethatwhenMarianareachestheageof30,shewillreceiveatax-freedistributionofhalfthevalueofthetrust.Thebalanceofthetrustwillremaininvestedandwilldistributeintotaltoherwhenshereachesage40.Sinceshedoesnothaveaccesstotheremainingbalancefortenyears,thisbalanceisnotconsideredapartoftheCarvalhos,investableassets,butispartoftheirtotalnetworth.Inaddition,Marianaexpectstoinheritasubstantialsumofmoneyuponthedeathofbothparents.TheCarvalhoshaveBRL500,000ininvestableassets,currentlyallinshort-termbankdeposits.Itistheirintentiontomaintainatleastthisamountininvestableassets,onaninflation-adjustedbasis,inthefuture.TheCarvalhoscurrentlylivewithMariana'sparents,butarenowpurchasingahome.ThepurchasepriceofthehomeisBRL850,000.Thedownpaymentis30percentofthecostofthehomeandwillbefundedfromthetrustdistribution.TheCarvalhoswilltakeoutafixedratemortgageforthebalanceofthepurchaseprice.Theafter-taxmortgagecostwillbefixedatBRL55,000(principalandinterest)annuallyfor30years,withthefirstannualpaymentdueoneyearfromnow.TheCarvalhos5immediateinvestmentgoalistohavetheirinvestmentportfoliocoverthecostofthemortgage,whilemaintainingtheportfolio'sination-adjustedvalue.Theyplantoretireattheageof60andtheirlong-tengoalistohaveaninvestmentportfoliothatwillprovideanannualincomecomparabletotheircurrentsalariesadjustedbyinflation.TheirfamilyhealthinsuranceisprovidedbyRoberto,semployer,bothnowandinretirement.Theyarehopefilltheirtwochildrenwillattendthelocaluniversityatnocost.Theuniversitydoesnotchargetuitionfeesforqualifiedstudentswhopassitsentranceexam.Thosewhodonotpasstheexamarerequiredtopayfulltuition,whichishighrelativetotheCarvalhos,livingexpenses.Inordertomeettheirinvestmentgoals,theCarvalhosrealizetheyneedtoconsiderinvestmentsotherthanshort-tebankdeposits.TheCarvalhoshireLuizOliveira,CFA,tomanageaninvestmentportfoliothattheywillfundwiththeirBRL500,000inbankdepositsandthenetproceedsofMariana,strustdistributionatage30.A.i.PreparethereturnobjectivesportionoftheCarvalhos,investmentpolicystatement(IPS).ii.Calculatetheafter-taxnominalrateofreturnthatisrequiredforthenextyear.Showyourcalculations.(12minutes)B.i.IdentifyhvofactorsintheCarvalhos,situationthatincreasetheirabilitytotakerisk.ii.IdentifytwofactorsintheCarvalhos,situationthatdecreasetheirabilitytotakerisk.iii.DeterminewhethertheCarvalhoshavebelow-average,average,oraboveaverageabilitytotakerisk.AnswerQuestion1BintheTemplateprovidedonpage7.(10minutes)C.PreparethefollowingconstraintsoftheCarvalhos5IPS:i.Liquidityii.TimehorizonAnswerQuestionI-CintheTemplateprovidedonpage8(6minutes)Twenty-fiveyearshavepassed*TheCarvalhosarenow55yearsoldandtheirtwochildrenaregrownandfinanciallyindependent.Mariana,sparentspassedawayearlierthisyearandleftheraninheritanceofBRL8,000,000after-tax.TheCarvalhoshavefiveyearsremainingontheirmortgageandtheBRL55,000annualmortgagepaymentwillcontinuetobefundedfromtheirinvestmentportfolio.Theyintendtoworkanotherfiveyearsandthenretireatage60.Thcirsalariesareexpectedtocontinuetocovertheirlivingexpensesuntilretirement.Theirinvestmentportfolio,includingtheinheritance,nowtotalsBRL10,200,000.TheCarvalhosexplaintoOliveirathatinretirement,theywouldliketomaintaintheircurrentstandardoflivingandstartaregularprogramofdonatingmoneytotheirfavoritecharities.TheyalsohopetoleaveaninheritanceofBRL5,000,000toeachoftheirtwochildrenattheirdeath.OlivciracalculatestheywillneedaportfoliovalueofBRL15,000,000whentheyretireinordertosupportthesegoals.D.i.PreparethecurrentreturnobjectivesportionoftheCarvalhos,IPS.ii.Calculatetheafter-taxnominalrateofreturnthatisrequiredfortheportfolio.Showyourcalculations.(8minutes)AnswerQuestion1onThisPageTemPIatefurQIIeStion1BiIdeIltifyZwofactorsintheCarvalhos'SitUationthatincreasetheirabilityt。takerisk.ii.Identify"*ofactorsintheCarvalhos'situationthatdecreasetheirabilitytotakerisk.iii.DeterminewhethertheCarvalhoshavebelow-average,average,orabove-averageabilitytotakerisk.(circleone)Bclow-averageAverageAbove-averageAnswerQuestion1onThisPageTemplateforQuestionI-CConstraintPreparethefollowingconstraintsoftheCarvalhos,IPS.i.Liquidityii.TimehorizonQUESTION2HASONEPARTFORATOTALOF9MINUTES.1.ouDonaldsonandhisneighbor,bothU.S.residents,aremeetingatalocalrestaurant.Duringlunch,theydiscussinvestingandDonaldson,age45,makesthefollowingstatements:1.“Myfatherwasabuy-and-holdinvestorbutIamanactivetrader.Tokeeptradingcostslow,Iuseanonlinebrokeragefirm.IhavedonewellinvestingintechnologycompaniesbecauseIknowtheindustry/52.“IamholdingalargepositioninOmegaCorporationwithalargeunrealizedloss.Omega,sstockpricedeclinedlastyearwhenreportedsalesandearningsfailedtomeetanalystexpectations.Itookadvantageofthedeclinetoincreasemyposition.Omegasalesgrowthhascontinuedtoslowoverthelastyear,butIbelievethestockisstillagoodinvestment.”3.“Ireadanewspaperarticlereportingthatcommercialpropertyvaluesinthecityhaveincreased14percentannuallysince2000.Accordingtothearticle,theaveragecommercialpropertyinthecitysoldfor$1.5millionlastyear.ThismakesmeveryhappybecauseIjustpurchasedapieceofcommercialpropertylastmonth.Thereisnodoubtthatitwillbeagoodinvestment."Selectthebehavioralfinanceconcept(naivediversification,overconfidence,representativeness,regretavoidance,orself-control)bestexhibitedineachofDonaldson,sthreestatements.ExplainhowthebehavioralfinanceconceptyouselectedaftectsDonaldson,sinvestmentdecisionmaking.Note:Nobehavioralfinanceconceptcanbeusedmorethanonce.AnswerQuestion2intheTemplateprovidedonpages13and14.(9minutes)AnswerQuestion2onThisPageTemplateforQuestion2Donaldson'sstatementSelectthebehavioralfinanceconceptbestexhibitedineachofDonaldson'sthreestatements.Note:Nobehavioralfinanceconceptcanbeusedmorethanonce.(circleone)ExplainhowthebehavioralfinanceconceptyouselectedaffectsDonaldson'sinvestmentdecisionmaking.“Myfatherwasabuy-and-holdinvestorbutIamanactivetrader.Tokeeptradingcostslow,Iuseanonlinebrokeragefirm.Ihavedonewellinvestingintechnologycompaniesbecause1knowtheindustry/5NaivediversificationOverconfidenceRepresentativenessRegretavoidanceSelf-control"IamholdingalargepositioninOmegaCorporationwithalargeunrealizedloss.Omcga,sstockpricedeclinedlastyearwhenreportedsalesandearningsfailedtomeetanalystexpectations.Itookadvantageofthedeclinetoincreasemyposition.Omegasalesgrowthhascontinuedtoslowoverthelastyear,butIbelievethestockisstillagoodinvestment.”NaivediversificationOverconfidenceRepresentativenessRegretavoidanceSelf-controlTemplateforQuestion2continuedonpage14AnswerQuestion2onThisPageTemplateforQuestion2(continued)Donaldson'sstatementSelectthebehavioralfinanceconceptbestexhibitedineachofDonaldson'sthreestatements.Note:Nobehavioralfinanceconceptcanbeusedmorethanonce,(circleone)ExplainhowthebehavioralfinanceconceptyouselectedaffectsDonaldson'sinvestmentdecisionmaking."Ireadanewspaperarticlereportingthatcommercialpropertyvaluesinthecityhaveincreased14percentannuallysince2000.Accordingtothearticle,theaveragecommercialpropertyinthecitysoldfor$1.5millionlastyear.ThismakesmeveryhappybecauseIjustpurchasedapieceofcommercialpropertylastmonth.Thereisnodoubtthatitwillbeagoodinvestment/*NaivediversificationOverconfidenceRepresentativenessRegretavoidanceSelf-controlTHISPAGEINTENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQUESTION3HASSEVENPARTS(A,B,C,D,E,F,G)FORATOTALOF36MINUTES.TitanAirlinesisaU.S.-basedfirmwithaglobalroutestructure.ThefirmsponsorstheTitanEmployeesDefinedBenefitPensionPlan(TEPP)coveringallofitsemployees.Activeemployeesaccruebenefitsbasedonyearsofserviceandcompensation.TEPP,sinvestmentsareheldinatrustdirectedandmanagedbyaboardofindependenttrustees.AsaU.S.-basedpensiontrust,TEPP,sinvestmentincomeandcapitalgainsareexemptfromtax.PamelaRichisapensionconsultantwithCedarCounselors,aninvestmentpolicyadvisoryfirm.TheTEPPtrusteeshiredCedarCounselorsearlyin2008.Duringtheduediligenceprocess,RichgathersdataaboutTEPP,Titan,andtheairlineindustryasshowninExhibits1and2.Exhibit1TEPP-SelectedFinancialData2007YearEnd(dollaramountsinmillions)Projectedbenefitobligation(PBO)$12,477Pensionassets$8,734Fundingshortfall(PBOminuspensionassets)$3,743Paymentstobeneficiaries,includinglump-sumdistributions*$1,092Averagedurationofpensionliabilities14yearsNominaldiscountrateforcalculatingPBO7.00%Excessreturntarget2.50%Assetallocationpolicy:U.S.equities45%Non-U.S.equities15%U.S.governmentbonds40%Calendaryear2007Exhibit2CalendarYear2007SelectedData(dollaramountsinmillions)TitanAirlinesAirlineIndustryAverageTotalassets*$26,356$139,501Totaldebt,includingcapitalleases*$12,540$54,200Dcbt/assctratio*0.480.39Operatingrevenue$11,621$67,606Operatingmargin-7.63%-4.01%*2007yearendRichalsonotesthefollowinginfoation:ThefundingshortfallinTEPPissignificantlylargerthantheairlineindustryaverage.TheaverageageofTEPPparticipantsin2008,includingretirees,is47.Thisisabovetheindustryaverage.TEPPprovidesretireebenefitsintheformoflifeannuities.TEPPannuitypaymentsarenotadjustedforinflation.TEPPprovidesthatretireesmayelecttoreceiveupto50percentofthepresentvalueoftheirretirementbenefitsinalumpsumatthetimeofretirementwiththeremainderpaidoutasalifeannuity.TEPPprovidesthatemployeesoverage50arepermittedtoretireearly.MostU.S.airlinesdonotgranttheiremployeesearlyretirementandlumpsumprovisions.AsignificantnumberofolderTitanemployeesrecentlytookadvantageofboththeearlyretirementandlumpsumprovisions.Asaresult,30percentofTEPPparticipantsarcretired,alevelhigherthantheairlineindustryaverage.Titan,s2008pensioncontribution,asapercentageofpaymentstobeneficiaries,willbesmallerthantheairlineindustryaverage.Inrecentyears,theTEPPtrusteeshavesetatargetforexcessreturnoverthenominaldiscountrateinanefforttoreducethefundingshortfall.Theyintendtomaintainthesametotalreturnobjectiveforassetsin2008astheyhadin2007.ThenominaldiscountrateforcalculatingPBOin2008willbereducedto6.5percentfrom7.0percentin2007.Thenominaldiscountrateinboth2007and2008includesacomponentforexpectedinflation.Titancontributed$77milliontoTEPPin2006,and$144millionin2007.ChangestoU.S.taxlawwillrequireTitantocontributeS927millionin2008.Inits2007annualreport,Titan,smanagementcommented,44WcanticipatebenefitspaymentsunderTEPPwillequal$1,030millionin2008andexceed$800millionineachofthefollowingthreeyears.TEPPwillclosetonewentrantsin2009.ActiveparticipantsinTEPPattheendof2008willcontinuetoaccruebenefitsforadditionalyearsofserviceandsalaryincreases.,Titan,scorporateriskmanagementcommitteehassetagoaltomaintainthemarketvalueofpensionassetsatorabove65percentofPBOin2008.A.Evaluatethemostlikelyeffectofthechangeinthediscountratefor2008onTitan,sPBO,holdingallelseconstant.Note:Nocalculationsarenecessary.B.FormulateTEPP,sexcessreturntargetfor2008.Showyourcalculations.(4minutes)C.StateanappropriateriskobjectiveforTEPP.Note:Nocalculationsarenecessary.(4minutes)D.DeterminewhethereachofthefollowingfourattributesindicatesTEPP,sabilitytotakeriskisaboveorbelowtheairlineindustryaverage:i.sponsorfinancialconditionii.planfundingstatusiii.planprovisionsiv.participantcharacteristicsJustifyeachdeterminationbasedonoecomparisonbetweenTEPPandtheairlineindustryrelatedtotheattribute.Note:Considereachattributeindependently.AnswerQuestion3-DintheTemplateprovidedonpage24.(12minutes)E.Preparetheliquidityconstraintfor2008forTEPP,sinvestmentpolicystatement.Showyourcalculations.(3minutes)DuringherfirstmeetingwithTEPP*sboard.RichnotesthatTEPPisclosingtonewparticipants.RichsuggestsdividingTEPP,sliabilitiesintoseparateportionsforactiveandretiredlives,toreflectdifferencesinreturnobjectives,risk,liquidityneeds,andtimehorizon.F.Describeonedifferencebetweentheactive-livesandretired-livesportionsOfliabilitiesforeachofthefollowing:i.inflationsensitivityii.durationRogerBarrowsrepresentsTitan,smanagementonTEPP,sboardoftrustees.HankTaterepresentsemployeeplanparticipants*BarrowsandTatemakethefollowingstatementsatthemeeting:Barrows:“Toincreasetheprobabilitythatpensionplanassetswillbesufficienttofundpensionplanbenefits,TEPPshouldinvestmostofitsassetswithequitymanagershavingthebesttrackrecordsasmeasuredagainstmarketindexbenchmarks."Tate:"Toavoidtheriskofmarketlossesmakingthefundingshortfallworseoverthenextyear,weshouldlimitTEPP,sinvestmentstoshort-term,risk-freesecurities.G.Giveonereasonwhyeachstatementisincorrectbasedonthepensionplanliabilities.(6minutes)AnswerQuestion3onThisPageTemplateforQuestion3-DAttributeDeterminewhethereachofthefourattributesindicatesTEPP,sabilitytotakeriskisaboveorbelowtheairlineindustryaverage,(circleone)JustifyeachdeterminationbasedononecomparisonbetweenTEPPandtheairlineindustryrelatedtotheattribute.Note:Considereachattributeindependently.i.sponsorfinancialconditionAboveBelowii.planfundingstatusAboveBelowiii.planprovisionsAboveBelowiv.participantcharacteristicsAboveBelowTHISPAGEINTENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQUESTION4HASTHREEPARTS(A,B,C)FORATOTALOF17MINUTES.ThurlowCorporationisaU.