CFA三级写作课后题（2020.12）9.docx

2020年12月CFA三级写作题Portfolomanagementforinstitutionalinvestors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!PortfoloManagementforInstitutionalInvestorsCase1:BernZangBernZangistherecentlyhiredchiefinvestmentofficeroftheJansonUniversityEndowmentInvestmentOffice.TheJansonUniversityEndowmentFund(theFund)isbasedintheUnitedStatesandhascurrentassetsundermanagementof$12billion.Ithasalong-terminvestmenthorizonandrelativelylowliquidityneeds.TheFundisoverseenbyanInvestmentCommitteeconsistingofboardmembersfortheFund.TheInvestmentOfficeisresponsibleforimplementingtheinvestmentpolicysetbytheFUncrSInvestmentCommittee.TheFund'scurrentinvestmentapproachincludesaninternallymanagedfundthatholdsmostlyequitiesandfixed-incomesecurities.Itislargelypassivelymanagedwithtighttrackingerrorlimits.Thetargetassetallocationis55%equities,40%fixedincome,and5%alternatives.TheFundcurrentlyholdsprivaterealestateinvestmentstomeetitsalternativeinvestmentallocation.1.IdentifytheinvestmentapproachcurrentlybeingusedbytheInvestmentCommitteeformanagingtheFund.Justifyyourresponse.IdentifytheinvestmentapproachcurrentlybeingusedbytheInvestmentCommitteeformanagingtheFund,(circleone)NorwayModelEndowmentModelCanadianModelLDIModelJustifyyourresponse.SolutionIdentifytheinvestmentapproachcurrentlybeingusedbytheInvestmentCommitteeformanagingtheFund,(circleone)NorwayModelEndowmentModelCanadianModelLDIModelJustifyyourresponse.TheinvestmentapproachcurrentlyusedtomanagetheFund,sassetsistheNorwaymodel.Thisapproachischaracterizedbyaheavyallocationtopublicequitiesandfixed-incomesecuritieswithlittleallocationtoalternativesandlargelypassivelymanagedassetswithtighttrackingerrorlimits.2.DiscusstheadvantagesandthedisadvantagesoftheinvestmentapproachcurrentlybeingDiscusstheadvantagesandthedisadvantagesoftheinvestmentapproachcurrentlybeingusedbytheInvestmentCommittee.AdvantagesDisadvantagesSolutionDiscusstheadvantagesandthedisadvantagesoftheinvestmentapproachcurrentlybeingusedbytheInvestmentCommittee.AdvantagesAdvantagesofusingtheNorwaymodelarethatinvestmentcosts/feesarelow,investmentsaretransparent,managerriskisIow,andthereislittlecomplexityforagoverningboard(themodeliseasytounderstand).DisadvantagesThedisadvantageofusingtheNorwaymodelisthatthereislimitedpotentialforvalue-added(i.e.,alphafromsecurityselectionskills),above-marketreturns.3.DescribehoweachofthefollowingcommoncharacteristicsofinstitutionalinvestorssupportstheFund*sallocationtoprivaterealestate:1.Scaleii.Investmenthorizoniii.GovernanceframeworkDiscusstheadvantagesandthedisadvantagesoftheinvestmentapproachcurrentlybeingusedbytheInvestmentCommittee.ScaleInvestmentHorizonGovernanceFrameworkSolutionDiscusstheadvantagesandthedisadvantagesoftheinvestmentapproachcurrentlybeingusedbytheInvestmentCommittee.ScaleTheFundhas$12billionofassetsundermanagement.Itsrelativelylargesizeallowsitaccesstoabroadinvestmentuniverseandtoinvestmentsthathaveahighminimuminvestmentsize,suchasprivaterealestate.InvestmentHorizonAlternativeinvestments,suchasprivaterealestate,requirealong-terminvestmenthorizon.Janson,likemostuniversityendowments,hasalong-terminvestmenthorizonandrelativelylowliquidityneeds.Thismakesprivaterealestateanappropriateinvestmentandalsohelpstheendowmentmaintainlong-termpurchasingpower.Institutionalinvestorsusuallyoperateunderaformalgovernanceframework.Jansonhasawell-structuredGovernanceFrameworkgovernanceCommitteeframeworkthatispartthatincludesoftheboardanInvestmentoverseeingtheincludesanInvestmentOfficethatimplementstheinvestmentpolicyapprovedbytheInvestmentCommittee.Thedecisiontoinvestinprivaterealestatehadtogothroughanapprovalprocessthatissetandmaintainedbythegovernancestructureinplace.Afterathoroughinternalreview,ZangconcludesthatthecurrentinvestmentapproachwillresultinadeteriorationofthepurchasingpoweroftheFundovertime.Heproposesanew,activemanagementapproachthatwillsubstantiallydecreasetheallocationtopubliclytradedequitiesandfixedincomeinordertopursueahigherallocationtoprivateinvestments.Themanagementofthenewinvestmentswillbeoutsourced.4.IdentifythenewinvestmentapproachproposedbyZangformanagingtheFund.Justifyyourresponse.IdentifythenewinvestmentapproachproposedbyZangformanagingtheFund,(circleone)NorwayModelEndowmentModelCanadianModelIDlModeFJustifyyourresponse.SolutionIdentifythenewinvestmentapproachproposedbyZangformanagingtheFund,(circleone)NorwayModelEndowmentModelCanadianModelLDIModelJustifyyourresponse.ThenewinvestmentapproachproposedbyZangistheendowmentmodel.Thismodelischaracterizedbysignificantactivemanagement,ahighallocationtoalternativeinvestments,andexternallymanagedassets(whichdistinguishesitfromtheCanadianmodel,anapproachthatreliesmoreoninternallymanagedassets).5.DiscusstheadvantagesandthedisadvantagesofthenewinvestmentapproachproposedbyZang,DiscusstheadvantagesandthedisadvantagesofthenewinvestmentapproachproposedbyZang.AdvantagesDisadvantagesSolutionDiscusstheadvantagesandthedisadvantagesofthenewinvestmentapproachproposedbyZang.AdvantagesTheprimaryadvantageofusingtheendowmentmodelisahigherpotentialforvalue-added,above-marketreturns.DisadvantagesTheendowmentmodelcanbedifficulttoimplementforsmallinstitutionalinvestorsbecausetheymightnotbeabletoaccesshigh-qualitymanagers.Theendowmentmodelmayalsobedifficulttoimplementforaverylargeinstitutionalinvestorbecauseoftheinstitutionalinvestor'sverylargefootprint.Furthermore,relativetotheNorwaymodel,theendowmentmodelismoreexpensiveintermsofcosts/fees.Case2:FionaHeselwithFionaHeselwithisa40-year-oldUScitizenwhohasacceptedajobwithLyricul,LLC,aUK-basedcompany.Herbenefitspackageincludesaretirementsavingsplan.Thecompanyoffersbothadefinedbenefit(DB)planandadefinedcontribution(DC)planbutstipulatesthatemployeesmustchooseoneplanandremainwiththatplanthroughouttheirtermofemployment.TheDBplanisfullyfundedandprovidesfullvestingafterfiveyears.Thebenefitformulaformonthlypaymentsuponretirementiscalculatedasfollows:FinalmonthlysalaryXBenefitpercentageof2%XNumberofyearsofserviceThefinalmonthlysalaryisequaltoaveragemonthlyearningsforthelastfivefinancialyearsimmediatelypriortotheretirementdate.TheDCplancontributes12%ofannualsalaryintotheplaneachyearandisalsofullyvestedafterfiveyears.LyriculoffersitsDCplanparticipantsaseriesoflife-cyclefundsasinvestmentchoices.Heselwithcouldchooseafundwithatargetdatematchingherplannedretirementdate.Shewouldbeabletomakeadditionalcontributionsfromhersalaryifshechooses.DiscussthefeaturesthatHeselwithshouldconsiderinevaluatingthetwoplanswithrespecttothefollowing:i.Benefitpaymentsii.Contributionsiii.iii.Shortfallriskiv.Mortality/longevityrisksDiscussthefeaturesthatHeselwithshouldconsiderinevaluatingthetwoplanswithrespecttothefollowing:BenefitPaymentsContributionsShortfallRiskMortality/LongevityRisksSolutionDiscussthefeaturesthatHeselwithshouldconsiderinevaluatingthetwoplanswithrespecttothefollowing:BenefitPaymentsHeselwithnotesthatthevestingschedulewithregardtothecompany*scontributionsisthesameinbothplans,althoughhercontributionsintheDCplanarevestedimmediately.TheDBplanprovidesadefinedpaymentlinkedtofinalsalaryandyearsofservice,whereastheDCplanprovidesanuncertainbenefitbasedonLyricuKsandHeSelWith'scontributionsaswellastheinvestmentperformanceoftheplanassets.ContributionsLyricscontributionratetotheDBplanisnotknown,buttheplanisfullyfunded.However,thereisnoguaranteethatitwillremainfullyfundedorthatLyriculiscommittedtomaintainingtheDBplan'sfullyfundedstatus.TheratefortheDCplanisstatedtobe12%ofannualsalary.HeselwithnotesthattheshortfallriskofplanassetsbeinginsufficienttomeetherretirementbenefitpaymentsfallstoherShortfallRiskemployer,LyriculzwiththeDBplan.However,fortheDCplan,thefromthecompany,plusanyadditionalcontributionsshechoosestomake,aswellastheperformanceofthechoseninvestments.Mortality/LongevityRisksTheDBplanpoolsmortalityrisksuchthatthoseinthepoolwhodieprematurelyleaveassetsthathelpfundbenefitpaymentsforthosewholivelongerthanexpected.HeselwithbearstheriskofoutlivinghersavingswiththeDCplan.Case3:DiannaMarkDiannaMarkisthechieffinancialofficerofAntiliarozarelativelymaturetextileproductioncompanyheadquarteredinItaly.AllofitsrevenuescomefromEurope,butthecompanyislosingsalestoitsAsiancompetitors.Earningshavebeensteadybutnotgrowing,andthebalancesheethastakenonmoredebtinthepastfewyearsinordertomaintainliquidity.Markreviewsthefollowingfactsconcerningthecompan/sdefinedbenefit(DB)pensionplan:TheDBplancurrentlyhas1billioninassetsandisunderfundedby100millioninrelationtotheprojectedbenefitobligation(PBO)becauseofinvestmentlosses.Thecompanytodatehasmaderegularcontributions.Theaverageemployeeageis50years,andthecompanyhasmanyretireesowingtoitslongevity,Thedurationoftheplan*sliabilities(whichareallEuropebased)is10years.Thediscountrateappliedtotheseliabilitiesis6%.ThereisahighcorrelationbetweentheoperatingresultsofAntiliaroandpensionassetreturns.DeterminewhethertherisktoleranceoftheDBplanisbelowaverageoraboveaverage.Justifyyourresponsewithtworeasons.DeterminewhethertherisktoleranceoftheDBplanisbelowaverageoraboveaverage,(circleone)Justifyyourresponsewithtworeasons.BelowAverageAboveAverageSolutionDeterminewhethertherisktoleranceoftheDBplanisbelowaverageoraboveaverage,(circleone)Justifyyourresponsewithtworeasons.BelowAverageTheplanisunderfunded,andthediscountratebeingusedisfairlyaggressive.l.TheDBplanalreadyhasadeficit,despiteregularcontributions,andissufferingfrominvestmentlosses.Thediscountrateisalreadyaggressiveandshouldnotbeincreasedtolowerthecontribution.Theuncertainfinancialconditionofthecompany.2.TheuncertainconditionofAntiliaromayconstrainitsabilitytomakecontributionstotheDBplan.Lackofearningsgrowthandincreasingdebtonthebalancesheetoverthelastfewyearsimplybelow-averagerisktolerance.Theplansuffersfrominvestmentlosses.3.Often,investmentlossescanleadaDBplantotakeonmoreinvestmentrisktoachievehigherreturns,buttheotherconstraints,suchastheplan,sunderfundedstatusandthecompany*sfinancialcondition,preventthisapproach.Theolderageofemployeesnecessitatesliquidity.4.Theaverageemployeeageis50years,andtheCompanyhasmanyretireesbecauseofitslongevity.Thesecharacteristicsgenerateaneedforliquidity,whichlowerstheamountofrisktheplancanassume.ThehighcorrelationbetweentheoperatingresultsOfAntiIiaroandpensionassetreturnslowerstherisktoleranceofthepensionplan.5.ThehighcorrelationbetweentheoperatingresultsOfAntiIiaroandthepensionassetreturnssuggestsalowrisktolerance.IfAntiliaroisperformingpoorlyasacompany,thiswillconstrainitsabilitytomakeadditionalcontributionsthatmaybenecessarytoaddresstheshortfallinthepension,sfunding.AboveAverageCase4:ThePrometheoUniversityThePrometheoUniversityScholarshipEndowment(theEndowment)wasestablishedin1950andsupportsscholarshipsforstudentsattendingPrometheoUniversity.TheEndowmentsassetsundermanagementarerelativelysmall,andithasanannualspendingpolicyof6%ofthefive-yearrollingassetvalue.1.FormulatetheinvestmentobjectivessectionoftheinvestmentpolicystatementfortheEndowment.SolutionThemissionofthePrometheoUniversityScholarshipEndowmentistoprovidescholarshipsforstudentsattendingtheuniversity.Inordertoachievethismission,theEndowmentmustmaintainthepurchasingpoweroftheassetsinperpetuitywhileachievinginvestmentreturnssufficienttosustainthelevelofspendingnecessarytosupportthescholarshipbudget.Therefore,theinvestmentobjectiveoftheendowmentshouldbetoachieveatotalrealrateofreturn(afterinflation)ofatleast6%withareasonablelevelofrisk.PrometheoUniversityrecentlyhiredanewchiefinvestmentofficer(CIO).TheCIOdirectshersmallstaffoffourpeopletoimplementaninvestmentpolicyreview.Historically,theendowmenthasinvested60%oftheportfolioinUSequitiesand40%inUSTreasuries.TheCIO,sexpectationofannualinflationforthenext10yearsis2.5%.TheCIOdevelopsnominal10yearreturnassumptionsforUSTreasuriesandUSequities,whicharepresentedinExhibit1.Exhibit1AssetClassReturnAssumptionsAssetClassIO-YearReturnAssumptions(Nominal)USTreasuries4.0%USEquities7.4%2.DiscusswhetherthecurrentinvestmemntpolicyisappropriategiventheEndowment'sannualspendingpolicy.SolutionGUIDELINEANSWER:Thepolicyisnotappropriate.Theexpectedrealreturnof3.54%islessthanthespendingpolicyrateof6%.Therefore,thecurrentallocationandinvestmentobjectivesarenotsustainable.assumptionsinExhibit1,is6.04%peryear(0.6×7.4%+0.4×4.0%=6.04%).Theexpectedrealreturnisapproximately3.54%(6.04%-2.5%=3.54%),whichisbelowthe6%spendingrateandthestatedobjectiveofa6%realreturn.Therefore,thisrealreturnisnotsufficienttomeetingthespendingpolicy,whichmakestheEndowmentsgoalsunsustainable.TheEndowmentwillneedtochangeitsassetallocationtoearnhigherreturnsand/orloweritsspendingpolicyrate.Uponcompletionoftheinvestmentpolicyreviewbyherfour-personstaff,theCIOmakessomerecommendationstotheEndowmentsboardregardingtheinvestmentobjectivesandassetallocation.Oneofherrecommendationsistoadopttheendowmentmodelasaninvestmentapproach.Sherecommendsinvesting20%inprivateequity,40%inhedgefunds,25%inpublicequities,and15%infixedincome.3.DeterminewhethertheboardshouldaccepttheCIO'srecommendation.Justifyyourresponse.Determinewhethertheboardshouldaccept1.,f.Justifyyourresponse,theCIOsrecommendation,(circleone)AcceptRejectSolutionDeterminewhethertheboardshouldaccept1.fj.、Justifyyourresponse,theCIOsrecommendation,(circleone)AcceptTheboardshouldrejecttheCIO,srecommendation.Thisrecommendationisasignificantdeparturefromcurrentpracticeandentailsamuchhigherlevelofrisk.Thesizeoftheinvestmentteamissmall,withonlyfourpeople,anditmaynothaveadequateaccesstoorexperienceinalternativeinvestments.GiventherelativelysmallsizeoftheEndowment,itisunlikelythatithasaccesstotopmanagersinthehedgefundandprivateequityspaces.RejectCase5:MeuraBancorpMeuraBancorp,aUSbank,hasanequitycapitalratioforfinancialassetsof12%.Meura,sstrategicplansincludetheincorporationofadditionaldebtinordertoleverageearningssincethecurrentcapitalstructureisrelativelyconservative.Thebankplanstorestructurethebalancesheetsothattheequitycapitalizationratiodropsto10%andthemodifieddurationofliabilitiesis1.90.Thebankalsoplanstorebalanceitsinvestmentportfoliotoachieveamodifieddurationofassetsof2.10.Givensmallchangesininterestrates,theyieldonliabilitiesisexpectedtomoveby65bpsforevery100bpsofyieldchangeintheassetportfolio.Calculatethemodifieddurationofthebank'sequitycapitalafterrestructuring.Showyourcalculations.Solution：Themodifieddurationofthebank,sequitycapitalafterrestructuringis9.89years: