CFA三级十年真题 (2008-2017)：level_III_guideline_answers_2011.docx

Question:1Topic:IndividualPM/BehavioralMinutes:15ReadingReferences:2011LevelIII,Volume2,StudySession3,Reading7,pp.5-12"HeuristicDrivenBias:TheFirstThcmc,''BeyondGrccdandFear:UnderstandingBehavioralFinanceandthePsychologyofInvesting,HershShefrin(OxfordUniversitySchoolPress,2002)2011LevelHI,Volume2,StudySession3,Reading8,pp13-20"FrameDependence:TheSecondTheme,BeyondGreedandFear:UnderstandingBehavioralFinanceandthePsychologyofInvesting,HershShefrin(OxfordUniversitySchoolPress,2002)2011LevelIII,Volume2,StudySession4,Reading16,.246-250"EstatePlanninginaGlobalContext,StephenM.Horan,CFA,andThomasR.Robinson,CFA(CFAInstitute,2(X)9).1.OS:2011III37a7."HeuristicDrivenBias:TheFirstTheme"2)ceVQimfeldteinrfpa*bfteIIFibiiC-ddvenbiases(includingrepresentativeness,overconfidence,anchoring-and-adjustment,aversiontoambiguity)oninvestmentdecisionmaking.201IIII38a8"FrameDependence:TheSecondTheme3)IeeXPhUwIshQQkbrJtonirte4Qininvestors*willingnesstoholdontodeterioratinginvestmentpositions;b)evaluatetheimpactsthattheemotionalframesofselfcontrol,regretminimization,andmoneyillusionhaveoninvestorbehavior.2010III416a,b,f,g16.fctEstatePlanninginaGlobalContext”ThecandidateshouldbeabletO)discussthepurposeofestateplanningandexplainthebasicconceptsofdomesticestateplanning,includingestates,wills,andprobate;b)explainthetwoprincipalformsofwealthtransfertaxesanddiscusstheimpactofimportantnon-taxissues,suchaslegalsystem,forcedheirship,andmaritalpropertyregime;C)detenineafamily,scorecapitalandexcesscapital,basedonmortalityprobabilitiesandMonteCarloanalysis;Question:1Topic:IndividualPM/BehavioralMinutes:15d)evaluatetherelativeaftertaxvalueoflifetimegiftsandtestamentarybequests;e)explaintheestateplanningbenefitofmakinglifetimegiftswhengifttaxesarepaidbythedonor,ratherthantherecipient;f)evaluatetheafter-taxbenefitsofbasicestateplanningstrategies,includinggenerationskipping,spousalexemptions,valuationdiscounts,andcharitablegifts;g)explainthebasicstructureofatrustanddiscussthedifferencesbetweenrevocableandirrevocabletrusts;h)explainhowlifeinsurancecanbeataxefficientmeansofwealthtransfer;i)discussthetwoprincipalsystems(sourcejurisdictionandresidencejurisdiction)forestablishingacountry,staxjurisdiction;R)discussthepossibleincomeandestatetaxconsequencesofforeignsituatedassetsandeValfenndgifiSicwtidIacortiebilityundereachofthreebasicmethods(credit,exemption,anddeduction)thatacountrymayusetoproviderelieffromdoubletaxation;Ddescribetheimpactofincreasinginternationaltransparencyandinformationexchangeoninternationalestateplanning.Question:1Topic:IndividualPM/BehavioralMinutes:15GuidelineAnswer:PARTATemplateforQuestionI-ANote:Considereachobjectiveindependently.ObjectiveDeterminewhichtrust(irrevocable,revocable,orbothequally)ismoreappropriateforeachobjective.(circleone)Justifyyourresponsewithonereasonforeachobjective.etrueth)n).1.tosubjetimHue.WietFnganthe1.SellUSD1.0millionofBuildcoshareswhileminimizingtotaltaxes.irrevocablebothequallyBeckershouldsellthesharesintherevocabst.Currenttaxesonrealizedcapitalgainswilltesameforeithertrust(20%×USD1.8milliAssetsintheirrevocable(rustarenotsubjecestatetax.AssetsintherevocabletrustareCttoestatetaxesuponBecker,sdeath,atwhicethecostbasiswillbeincreasedtomarketv2.PutadditionalassetsintoatrustOprotectthoseassetsfrompotentialfuturelegalclaimsagainstBecker.revocablebothequallyBbukertQiala(axesth0rei)fninirrt>fedei)CabfeiingusfrbjeiltttoUIiLihiS(IDCeVQCalMaltriIiSkaGfeta出HirmoWbadeownedbythesettlorandhenceareoutofreachofanyclaimants.2011LevelIIIGuidelineAnswersMorningSessionPage3of39Question:1Topic:IndividualPM/BehavioralMinutes:15PARTBTemplateforQuestionI-BNote:COnSidereachbiasindependently.USeeaChdiscussionOnIyonce.BehavioralbiasIdentifythediscussioninwhichoneoftheparticipantsbestillustrateseachofthefollowingbehavioralbiases(circlethediscussionnumberfromExhibit1).Justifyeachresponsewithonereason.IRepresentativenessreferstojudgmentsbased(stereotypes.Beckermaybeoverlyoptimisticnthati.representativenessRollingMixCementshareswillperformwel3becausetheCEOofRollingMixCementperformedwellatBuildco.41Framedependencerefersloinvestorbehaviordependsonthewaydecisionsareframed.Bthat己Ckerii.frame2holdsmanypositionsvaluedbelowcost.Thismaydependence3Obeevidenceofframedependence(lossaversiHisinvestmentdecisionsareframedtoavoidSratherthancontinuouslyreevaluateholdings.n).Iosse0Peoplepreferthefamiliartotheunfamiliar.Frostiii.aversionto2prefersthecertaintyofbondcashflowstouncertaintyofriskyassetcashflows,eventtheoughambiguity3investorsmightreceiveappropriatelyhigherreturns4forassumingthatrisk.2011LevelIIIGuidelineAnswersMorningSessionPage4of39Question:2Topic:IndividualPMMinutes:23ReadingReferences:2011Level111,Volume2,StudySession4,Reading14,pp.97-167itManagingIndividualInvestorPortfolios,Ch.2,JamesW.Bronson,MatthewH.Scanlan,andJanR.Squires,ManagingInvestmentPortfolios:ADynamicProcess,3rdedition(CFAInstitute,2007).1.OS:2011III414a,j,k,1,n14.“ManagingIndividualInvestorPortfbliosvThecandidateshouldbeableto:a)discusshowsourceofwealth,measureofwealth,andstageoflifeaffectanindividualinvestors,risktolerance;b)explaintheroleofsituationalandpsychologicalprofilinginunderstandinganindividualinvestor;c)compareandcontrastthetraditionalfinanceandbehavioralfinancemodelsofinvestordecisionmaking;d)explaintheinfluenceofinvestorpsychologyonrisktoleranceandinvestmentchoices;e)explaintheuseofapersonalitytypingquestionnaireforidentifyinganinvestor'spersonalitytype;f)compareandcontrastriskattitudesanddecisionmakingstylesamongdistinctinvestorpersonalitytypes,includingcautious,methodical,spontaneous,andindividualisticinvestors;g)explainthepotentialbenefits,forbothclientsandinvestmentadvisers,ofhavingaformalinvestmentpolicystatement;h)explaintheprocessinvolvedincreatinganinvestmentpolicystatement;i)'distinguishbetweenrequiredreturnanddesiredreturnandexplaintheimpactthesehaveontheindividualinvestor'sinvestmentpolicy;j)explainhowtosetriskandreturnobjectivesforindividualinvestorportfoliosanddiscusstheimpactthatabilityandwillingnesstotakeriskhaveonrisktolerance;k)identifyandexplaineachofthemajorconstraintcategoriesincludedinanindividualinvestor,sinvestmentpolicystatement;I)formulateandjustifyaninvestmentpolicystatementforanindividualinvestor;m)determinethestrategicassetallocationthatismostappropriateforanindividualinvestor'sspecificinvestmentobjectivesandconstraints;n)compareandcontrasttraditionaldeterministicversusMonteCarloapproachestoretirementplanningandexplaintheadvantagesofaMonteCarloapproach.Question:2Topic:IndividualPMMinutes:23GuidelineAnswer:PARTATheaftertaxnominalrateofreturnrequiredfortheBeckers,firstyearofretirementiscalculatedbydividingtheYear1NetRequiredCashFlowbytheBeginningofYear1NetInvestable6JtsFlawithenadjustingforexpectedinflation.YearIofRetirementMichaePsaftertaxcompanypension$48,000Livingexpenses(250,000×1.03inflation)-257,500Year1Netrequiredcashflo-$209,500WNetInvestableAssetsInheritance$8,000,000Mortgagedebtrepayment-3,5UO,OOOConsumerdebtrepayment-150,000Investableassetbase(beginningYear1)$4,350,(XM)ReturnObjectiveYear1aftertaxrequiredcashfl$209,500EUvidedbyinvestableassetbase$4,350,000Equalsaftertaxrealretur4.82%nPlusexpectedinflation3.00%Equalsaftertaxnominalrateofreturn7.82%7.96%orgeometrically(1.0482)(1.03)-2011LevelIIIGuidelineAnswersMorningSessionPage6of39Question:2Topic:IndividualPMMinutes:23PARTBThereareseveralfactorsthatdecreasetheBecker,srisktolerance:TheBeckers,beingretired,areinthemaintenancestageoflife.Theydonotintendtowork;noadditionalincomeflowsareexpected.MichaelBeckerhasasmallpensionrelativetolivingexpenses.TheBeckersmustdependprimarilyontheirinvestmentportfolio.risk).TheBeckershaveahighlevelofspendingrelativetoinvestableassets,makingthemlessThereAecdcfcrswHAiiftgineitIheiitakeeMi冰(passivesourceofwealth),whichmayresultinaabletotoleratevolatilityandnegativeshorttermreturns.PARTWheBeckerswanttheirportfoliotobeinvestedconservatively(lowwillingnesstotakei.Liquidity:TheBeckershaveUSD3,650,000immediatecashneedsfordebtrepaymentsplusUSD209,500innetlivingexpensesforthefirstyearofretirement(USD257,500-USD48,000MichaePsannualpension),oratotalofUSD3,859,500.OngoingliquidityneedswillbeUSD209,500ii.Timehorizon:3¾JstatesinftatWiringatayoungage,anddonotexpectexpensestochangeuntiloneofthemdies.Therefore,theirtimehorizonislongterm,twostage:(1)whentheyarebothalive,and(2)afteroneofthemdies.TheBeckers,timehorizonmayalsobeconsideredlongterm,threestage.Inthiscase,theirbeginningliquidityneedsarethefirststage.Thesecondandthirdstageswouldbetheremainderoftheirlivesasnotedabove.Question:2Topic:IndividualPMMinutes:23PARTDPortfolioAwillbetterallowtheBeckerstoachievetheirprimaryfinancialgoalofmaintainingtheirlivingstandarduntilbothhavedied.Thisisbecausetheportfoliohasahigherprobabilityofachievingapositiveterminalvalue.1.Frostshouldincorporateexpectedcapitalmarketassumptionsintohersimulation.Historicaldatamaynotfullyreflecttherangeofpossiblefutureinvestmentreturns.Historicaldataalsomayincludeunlikelyoutliers.2.Frostshouldmodeltheperformanceoftheportfblio,sspecificassetsratherthantheperformanceofitsassetclasses.Theportfolio'sperformanceandriskmaydifferfromassetclassperformanceandrisk.Assetclasssimulationcouldalsoexcludeimportantaspectsofassetspecificinvestmentreturnssuchasfeesandtaxefficiencies.Question:3Topic:InstitutionalPortfolioManagementMinutes:26ReadingReferences:2011LevelIII,Volume2,StudySession5,Reading"MQnagingInstitutionalInvestorPortfblios,''Ch.3,R.CharlesTschampion,LaurenceB.Siegel,DeanJ.Takahashi,andJohnL.Maginn,ManagingInvestmentPortfolios:ADynamicProcess,3rdedition(CFAInstitute,2007).1.OS:2011III520h,i,j,1,m,n20.fctManaginginstitutionalInvestorPortfblios''Thecandidateshouldbeableto)contrastadefinedbenefitplantoadefinedcontributionplan,fromtheperspectiveoftheemployeeandemployeranddiscusstheadvantagesanddisadvantagesofeach;b)discussinvestmentobjectivesandconstraintsfordefinedbenefitplans;C)evaluatepensionfundrisktolerancewhenriskisconsideredfromtheperspectiveofthe(I)plansurplus,(2)sponsorfinancialstatusandprofitability,(3)sponsorandpensionfundcommonriskexposures,(4)planfeatures,and(5)workforcecharacteristics;de)Dg)diformulateaninvestmentpolicystatementforadefinedbenefitplan;evaluatetheriskmanagementconsiderationsininvestingpensionplanassets;formulateaninvestmentpolicystatementforadefinedcontributionplan;:usshybridpensionplans(eg,cashbalanceplans)andemployeestockownershipplans;h)distinguishamongvarioustypesoffoundations,withrespecttotheirdescription,k)purpose,sourceoffunds,andannualspendingrequirements;teny<amp4mmhmtrlimstrm1lbCQndtretQf<wta11痴SOthertypesof1)gW三三三dRW三2<S0rtn心nq3j01icyforpensionfunds,foundations,j)fe三W轴电胸,inF6WPflRRMtMBGhfttntti54flFndowmem,anm)fttWgQ6UrDHRP11¾ft猫abililymanagementneedsofpensionfunds,foundations,endowments,insurancecompanies,andbanks;n)compareandcontrasttheinvestmentobjectivesandconstraintsofinstitutionalinvestorsgivenrelevantdata,suchasdescriptionsoftheirfinancialcircumstancesandattitudestowardrisk.Question:3Topic:InstitutionalPortfolioManagementMinutes:26GuidelineAnswer:PARTAi.ThetheelwenlludivoftFdetWlin(in<ifownip|it)rtis2fi%enfitberatoivodsitkiriiin»u£ficitjRlratmgme)qlainenses.ii.ThehiphiICduaatkinofinfhttiniifctfethrfWiHndoummUlnbigCTiethee6>tensen)(in55ate,the%.Calculatedusingamultiplicativeformulation;therequiredreturnis:(1.05)×(1.04)×(1.0055)-1=0.09801or9.80%ORbythearithmeticformulation:(0.05)÷(0.04)+(0.0055)=0.0955or9.55%Question:3Topic:InstitutionalPortfolioManagementMinutes:26PARTBTemplateforQuestion3-BNote:COnSidereachfactorindependently.FactorDeterminehowachangeineachofthefactors,holdingallelseconstant,affectstherisktolerance(increases,decreases,doesnotchange)fortheWUendowment.(circleone)Justifyeachresponsewithonereason.increasesIncreasesrisktolerance:Externalfunding(includingprivatedonations)isasourceofliquidity.Asdonationsincrease,alowerproportioni.privatedonationsdecreasesofinvestedassetsisrequiredtomeetcurrentspendingneeds,andtheendowmentcanassugreaterrisk.Decreasesrisktolerance:Asdonationsdecreasnee,adoesnotchangehigherproportionofinvestedassetsisrequireOdtincreasesme赴a*A11HUkAMftge1As.irtffldas耻i11e啾断inflationmaycausetheendowmenttodemanRlghbraJWiereItfMierOrtiSIinVeStmentStocompensjaperceivedincreaseinrisk.Thiscanlead剧Ildatefboanii.expectedinflationdecreasesdoesnotchangeincreaseinexpectedlongtermrealreturnsfeportfolio.Asexpectedrealreturnsincrease,v睡Cr做W痴nMsKpnllcAu3rbeicgMtat曲PeH施艇祚由6ythudq恨Tn电HdoiWfieStousein)rth,ilhttationhedges,ortoholdmoreliquidassetsintheoliotomeetexpectedincreasedspendingneeds.1portfhisreductioninriskexposuremabeconsideredareductioninrisktolerance.2011LevelIIIGuidelineAnswersMorningSessionPage11of39Question:3Topic:InstitutionalPortfolioManagementMinutes:26PARTCThethiiqbitpnigns<rfiperiddctfurkttwalubcOendbeVnasbrIsPaJTfOi),bpnd26g<)no£d.WTKisdper5gofexpenses.Forthecurrentyear,theendowment'sliquidityneedsareUSD37.5million.(Managementfeesof0.55%canalsobeconsideredliquidityneeds,increasingrequiredspendingto5.55%ofbeginningofperiodmarketvalueoftheassetportfolio,orUSD4flli5)n.)1.I.TheWUendowmentfundhasalongtermtimehorizonasitsgoalistomaintaintherealvaluetheendowmentinperpetuity.Question:3Topic:InstitutionalPortfolioManagementMinutes:26PARTDTemPIateforQUeStiOn3-DDeterminewhichoneofBergen'sstrategicactionsis:Bergen,sstrategicactions(circleone)Justifyeachresponsewithonereason.1Revisingtheportfolio'sassetallocationtodecreasekreducestheexpectedreturnontheassetportfolioitsrisndthi.leastlikelytoassisttheendowmentinachievingitsprimarygoal.2WUendowmentwillbelesslikelytomaintainitsvalueoverthelongterm.realCDAdoptingarollingthreeyearaveragespendingrulebasedii.mostlikelytoreducethevolatilityoftheendowment'sfundingofWU's1CDontheendowment'sbeginningofyearmarketvakthelastthreeyears,spreadsorsmoothstheimpactofparticularyear,therebyreducingthevolatilityofIhfendowment'sfundingofWU,soperatingexpenses.;foraeppealieg32011LevelIIIGuidelineAnswersMorningSessionPage13of39Question:3Topic:InstitutionalPortfolioManagementMinutes:26PARTEFactorsthatsuggestSUmayhaveahigherrisktolerancethanWU:1.SUndnulowmert