CFA三级十年真题 (2008-2017)：level_III_guideline_answers_2012.docx

Question:1Topic:IndividualPM(IPSandHumanCapital)Minutes:27ReadingReferences:1.evelIII,Volume2,StudySession4,ReadingIO"ManagingIndividualInvestorPortfblioSjCh.2,JamesW.Bronson,CFA,MatthewH.Scanlan,CFA,andJanR.Squires,CFA,ManagbiffInvestmentPortfolios:ADynamicProcess、ThirdEdition(CFAInstitute,2007).1.evelIII,Volume2,StudySession4,Reading14"'LifetimeFinancialAdvice:HumanCapital,AssetAllocation,andInsurance,”RogerG.Ibbotson,MosheA.Milevsky,PengChen,CFA,KevinX.Zhu(TheResearchFoundationofCFAInstitute,2007).1.OS:2012-11I-2-10-aJ,kJfcfcManagingIndividualInvestorPortfolioswThecandidateshouldbeableto:a)discusshowsourceOfwealth,measureofwealth,andstageoflifeaffectanindividualinvestor'srisktolerance;b)explaintheroleofsituationalandpsychologicalprofilinginunderstandinganindividualinvestor;c)comparethetraditionalfinanceandbehavioralfinancemodelsofinvestordecisionmaking;d)explaintheinfluenceofinvestorpsychologyonrisktoleranceandinvestmentchoices;e)explaintheuseofapersonalitytypingquestionnaireforidentifyinganinvestor,spersonalitytype;f)compareriskattitudesanddecision-makingstylesamongdistinctinvestorpersonalitytypes,includingcautious,methodical,spontaneous,andindividualisticinvestors;g)explainthepotentialbenefits,forbothclientsandinvestmentadvisers,ofhavingaformalinvestmentpolicystatement;h)explaintheprocessinvolvedincreatinganinvestmentpolicystatement;i)distinguishbetweenrequiredreturnanddesiredreturnandexplaintheimpactthesehaveontheindividualinvestor,sinvestmentpolicy;j)explainhowtosetriskandreturnobjectivesforindividualinvestorportfoliosanddiscusstheimpactthatabilityandwillingnesstotakeriskhaveonrisktolerance;k)discusseachofthemajorconstraintcategoriesincludedinanindividualinvestor'sinvestmentpolicystatement;I)formulateandjustifyaninvestmentpolicystatementforanindividualinvestor;m)determinethestrategicassetallocationthatismostappropriateforanindividualinvestor5sspecificinvestmentobjectivesandconstraints;Question:1Topic:IndividualPM(IPSandHumanCapital)Minutes:27n)compareMonteCarloandtraditionaldeteinisticapproachestoretirementplanningandexplaintheadvantagesofaMonteCarloapproach.2012-I11-2-14-b,c,g"LifetimeFinancialAdvice:HumanCapital,AssetAllocation,andInSUralice"Thecandidateshouldbeableto:a)explaintheconceptanddiscussthecharacteristicsofuhumancapital"asacomponentofaninvestor'stotalwealth;b)discusstheearningsrisk,mortalityrisk,andlongevityriskassociatedwithhumancapitalandexplainhowtheseriskscanbereducedbyappropriateportfoliodiversification,lifeinsurance,andannuityproducts;c)explainhowassetallocationpolicyisinfluencedbytheriskcharacteristicsofhumancapitalandtherelativerelationshipsofhumanCaPitaLfinancialcapital,andtotalwealth;d)discusshowassetallocationandtheappropriateleveloflifeinsuranceareinuencedbythejointconsiderationofhumancapital,financialcapital,bequestpreferences,risktolerance,andfinancialwealth;e)discussthefinancialmarketrisk,longevityrisk,andsavingsriskfacedbyinvestorsinretirementandexplainhowtheseriskscanbereducedbyappropriateportfoliodiversification,insuranceproducts,andsavingsdiscipline;f)discusstherelativeadvantagesoffixedandvariableannuitiesashedgesagainstlongevityrisk;g)recommendbasicstrategiesforassetallocationandriskreductionwhengivenaninvestorprofileofkeyinputs,includinghumancapital,financialcapital,stageoflifecycle,bequestpreferences,risktolerance,andfinancialwealth.Question:1Topic:IndividualPM(IPSandHumanCapital)Minutes:27GuidelineAnswer:PartATocalculatetherequiredreturnneededtoreachthetargetannuityfuturevalue,usethefollowinginputs:Numberofyearstoretirement=15Annualsavings=-25,000Currentportfoliovalue-650,000(900,000-250,000trustcontribution)Targetportfoliovalue=1,600,000Thensolvefori:i=3.6467%or,roundedto3.65%PartBAlonso,sabilitytotakeriskappearstobeaboveaverageforthefollowingreasons:Hehastheabilitytoconsistentlysavepartofhisannualearnings.Hehasarelativelylargeassetbaseincomparisontohisgoal,andthusalowrequiredrctu,allowinghimtowithstandshort-tcnnmarketvolatility.Alonsomakesasubstantialgifteveryyeartoachildren'ssportsprogram.Ifnecessary,hecoulddecreaseoreliminatethegift,reducinghisexpenses.Alonsohasamedium-tolong-terminvestmenthorizonforsavingthefundsneededatretirementAlonsodoesnotplantoleaveanestate.Question:1Topic:IndividualPM(IPSandHumanCapital)Minutes:27PartCTemplateforQuestionI-Ci.Describeonechangeinlonsoa,scircumstancesthathas:decreasedhisearningsrisk.Alonsonowhasalongerterm(guaranteed10-year)contract,insteadofaone-yearcontract.Thisreducestheriskofasubstantialdropinhisincome.ORAlonso'sincreasedsavingscanhelptooffsethisearningsrisk.increasedhisearningsrisk.TheguaranteeonAlonso,semploymentcontractisbackedbycorporateownership,subjectingAlonsotothecreditriskoftheownersandthepossibilityofasubstantialdropinhisincomeincaseofdefault.ii.DescribeonechangeinAlonso,scircumstancesthathas:decreasedhisfinancialmarketriskinretirement.Alonso,sincreasedsavingsratewillallowhimtoaccumulatealargerassetbaseatretirement.Thiswouldallowtheportfoliotoabsorbgreaterlossesfrommarketfluctuationsbeforeaffectinghisabilitytosupporthimself.Inaddition,hewillnotbeexposedtothecreditriskoftheissueroftheannuity.increasedhisfinancialmarketriskinretirement.Alonsonolongerplanstopurchaseanannuitytofundhisretirementspendingneeds.HenowintendstorelyonhisinvestmentportfoliotomeethisspendingneedsFundingforlivingexpenseswillnowbesubjecttomarketfluctuationsinretirement.Question:1Topic:IndividualPM(IPSandHumanCapital)Minutes:27PartDi.Timehorizon:Atbothage40andage45,Alonsohasalong-termtimehorizon.Initially,Alonsofacedathree-stagehorizonconsistingof:(I)15yearsuntilhisplannedretirementdate;(2)the25-yearannuityperiod;and(3)hispost-annuityretirementyears(ifheoutlivestheannuity).Currently,Alonsofacesatwo-stagehorizonconsistingof:(1)thenext10yearsuntilretirement;and(2)hisremaininglifeexpectancyduringretirement.Duringhisretirement,theinvestmentportfoliowillcoverexpenses.ii.Liquidity:Intheprevioustimeperiod,AlonsohadaneedtofundatrustforhischildrenintheamountofUSD250,000.Currentlyhehasnoknownliquidityneeds.Question:1Topic:IndividualPM(IPSandHumanCapital)Minutes:27PartETemplateforQuestionI-EDeterminewhichoneassetclassinAlonso,sportfoliomostcloselyresembleshiscurrenthumancapital,(circleone)Justifyyourresponsewithtworeasons.TreasurybillsA-ratcdcorporateamortizingABSAAA-ratedgovernmentbondsSmall-capdomesticequities1.arge-capinternationalequitiesAlonso,shumancapitalisbond-like,notequity-like,becauseofthefixedpaymentsprovidedinhiscontract.HiscontractextendsoverIOyears,muchlongerthanTreasurybillmaturities.Hiscontractissubjecttothecreditworthinessoftheteamowner.Suchcreditriskissimilartocorporatesecurities*creditrisk,ratherthantogovernmentcreditrisk.Alonso,shumancapitalwillgraduallydeplete(asheworkstowardage55),similartotheprincipalofcorporateABSsecuritiesandunlikegovernmentbonds<AlthoughamortizingABSpaymentsarcnottypicallyindexedforinflation(asAlonso,ssalaryis),thestructureandpaymentstreamofcorporateamortizingABSmostcloselyresemblehishumancapital,fromamongthechoicesgiven.Question:2Topic:IndividualPM(Taxes)Minutes:9ReadingReferences:1.evelIII,Volume2,StudySession4,Reading114fcTaxesandPrivateWealthManagementinaGlobalConlextJSiephenM.Horan,CFA,andThomasR.Robinson,CFA(CFAInstitute,2008).1.OS:2012-I1I-2-U-Gd,e,f4fcTaxesandPrivateWealthManagementinaGlobalContext”Thecandidateshouldbeableto:a)comparebasicglobaltaxationregimesastheyrelatetothetaxationOfdividendincome,interestincome,realizedcapitalgains,andunrealizedcapitalgains;b)dctcinetheimpactofdifferenttypesoftaxesandtaxregimesonfuturewealthaccumulation;c)calculateaccrualequivalenttaxratesandafter-taxreturns;d)explainhowinvestmentreturnandinvestmenthorizonaffectthetaximpactassociatedwithaninvestment;e)discussthetaxprofilesofdifferenttypesofinvestmentaccountsandexplaintheirimpactonafter-taxreturnsandfutureaccumulations;f)explainhowtaxesaffectinvestmentrisk;g)discusstherelationbetweenafter-taxreturnsanddifferenttypesofinvestortradingbehavior;h)explainthebenefitsoftaxlossharvestingandhighest-infrst-out(HlFO)taxlotaccounting;i)demonstratehowtaxesandassetlocationrelatetomean-varianceoptimization.Question:2Topic:IndividualPM(Taxes)Minutes:9GuidelineAnswer:PartATemplateforQuestion2-ADetermine,basedonlyontaxConsiderations9whetherAlonso'sadvisoriscorrectorincorrect(circleone)withrespecttolonso,s:Justifyeachresponsewithonereason.i.after-taxreturnAlonso'safter-taxreturnwouldhavebeengreaterthanorequaltohisactualreturn,allelseequal,ifagreaterproportionofhisinvestmentshadbeenintaxableaccounts.Thisisbecausehecanuselossestooffsetotherincomeorrealizedgains.correctincorrectii.investmentriskcorrectTaxexemptinvestorsbearalloftheriskassociatedwithreturnsintheiraccounts.Taxableaccountshavetheeffectofsharinginvestmentriskbetweentheinvestorandthetaxingauthority.Innegative-returnyears,lossescanoffsettaxesonotherincomeorgains.Inpositive-returnyears,after-taxreturnislowerthanpre-taxreturn.Thissmoothingeffectoftaxesoninvestmentreturns(lowerreturnsinpositiveyearsandhigherreturnsinnegativeyears)reducestheoverallvolatilityofthereturnstreamand,allelseequal,reducesinvestmentrisk.ncorrcclPartBTheestimatedaccrualequivalentreturnishigherforthe15-yearperiodthanthatofthe3-yearperiodasaresultofdeferringtaxesonrealizedgainsovertime.Inthecaseofthisportfolio,thedifferenceoccursbecauseonlyamaximumofhalfofthecapitalgainsarcrealizedandtaxedeachyear,allowingforcompoundearningsonthereinvestedbalances.Question:3Topic:Execution/Monitoring/RcbalancingMinutes:21ReadingReferences:1.evelIII,Volume6,StudySession16,Reading39'"ExecutionofPortfolioDecisions/*Ch.10,AnanthMadhavan,JackL.Treynor,andWayneH.Wagner,ManagingInvestmentPortfolios:ADynamicProcess,ThirdEdition(CFAInstitute,2007)*1.evelIII,Volume6,StudySession16,Reading40“MonitoringandRebalancing/'Ch.11,RobertD.Arnott,TerenceE.Burns,LisaPlaxco,CFA,andPhilipMoore,ManainInvestmentPortfolios:ADynamicProcess.ThirdEdition(CFAInstitute,2007).1.OS:2012-III-6-39-c,e,h,k-mfcfcExecutionofPortfolioDecisions"Thecandidateshouldbeableto:a)comparemarketorderswithlimitorders,includingthepriceandexecutionuncertaintyofeach;b)calculateandinterprettheeffectivespreadofamarketorderandcontrastittothequotedbid-askspreadasameasureoftradingcost;c)comparealternativemarketstructuresandtheirrelativeadvantages;d)comparetherolesofbrokersanddealers;e)explainthecriteriaofmarketqualityandevaluatethequalityofamarketwhengivenadescriptionofitscharacteristics;f)explainthecomponentsofexecutioncosts,includingexplicitandimplicitcosts,andevaluateatradeintermsofthesecosts;g)calculateanddiscussimplementationshortfallasameasureoftransactioncosts;h)contrastvolumeweightedaverageprice(VWAP)andimplementationshortfallasmeasuresoftransactioncosts;i)explaintheuseofeconometricmethodsinpretradeanalysistoestimateimplicittransactioncosts;j)discussthemajortypesoftraders,basedontheirmotivationtotrade,timeversuspricepreferences,andpreferredordertypes;k)describethesuitableusesofmajortradingtactics9evaluatetheirrelativecosts,advantages,andweaknesses,andrecommendatradingtacticWhengivenadescriptionoftheinvestor'smotivationtotrade,thesizeofthetrade,andkeymarketcharacteristics;I)explainthemotivationforalgorithmictradinganddiscussthebasicclassesofalgorithmictradingstrategies;m)discussthefactorsthattypicallydeterminetheselectionofaspecificalgorithmictradingstrategy,includingordersize,averagedailytradingvolume,bid-askspread,andtheurgencyoftheorder;n)explainthemeaningandcriteriaofbestexecution;Question:3Topic:Execution/Monitoring/RcbalancingMinutes:21o)evaluateafirm,sinvestmentandtradingprocedures,includingprocesses,disclosures,andrecordkeeping,withrespecttobestexecution;p)discusstheroleofethicsintrading.1.OS:2012-III-6-40-h,ij“MonitoringandRebalancing*9Thecandidateshouldbeableto:a)discussafiduciary'sresponsibilitiesinmonitoringaninvestmentportfolio;b)discussthemonitoringofinvestorcircumstances,market/economicconditions,andportfolioholdingsandexplaintheeffectsthatchangesineachoftheseareascanhaveontheinvestor'sportfolio;c)recommendandjustifyrevisionstoaninvestor,sinvestmentpolicystatementandstrategicassetallocation,givenachangeininvestorcircumstances;d)discussthebenefitsandcostsofrebalancingaportfoliototheinvestor,sstrategicassetallocation;e)contrastcalendarrebalancingtopercentage-oportfbliorebalancing;f)discussthekeydeterminantsoftheoptimalcorridorwidthofanassetclassinapercentage-of-portfoliorebalancingprogram;g)compareandcontrastthebenefitsofrebalancinganassetclasstoitstargetportfolioweightversusrebalancingtheassetclasstostaywithinitsallowedrange;h)explaintheperformanceconsequencesinup,down,andnontrendingmarketsof1)rebalancingtoaconstantmixofequitiesandbills,2)buyingandholdingequities,and3)constantproportionportfolioinsurance(CPPI);i)distinguishamonglinear,concave,andconvexrebalancingstrategies;j)judgetheappropriatenessofconstantmix,buyandhold,andCPPlrebalancingstrategieswhengivenaninvestor'srisktoleranceandassetreturnexpectations.Question:3Topic:Execution/Monitoring/RcbalancingMinutes:21GuidelineAnswer:PartATemplateforQuestion3-AIdentifythreemarketcharacteristicsthatsupportKadar9SconclusionthatBetaniahasahigherqualitymarket.Justifyeachresponsewithonereason.Bid-askspreadBecauseBetaniahastighterspreadsthanAlphastan,thecostoftradingsmallamountsofanassetislower.Asaresult,investorscantradepositionswithoutexcessivelossofvalue.Ifbid-askspreadsarewide,investorscannotprofitablytradeoninformation,exceptwhentheinformationisofgreatvalue.Narrowerspreads,therefore,leadtohighermarketquality.MarkethoursTheBetaniamarketisopenfivedaysperweekversusonlythreedaysperweekforAlphastan.ThisgivesBetaniagreaterconvenienceandmoreopportunitytotrade,leadingtohighermarketquality.MarketdepthBasedonthetypicalquotesgiven,theBctaniamarkethasalargernumberofsharesateachpricelevelintheorderbook.Therefore,thecostoftradingalargeamountofsharesinBetaniaislowerandmarketqualityishigher.NumberofmemberfirmsThepresenceofmanybuyersandsellerscontributestoincreasedmarketliquidity.BctaniahasalargernumberofmemberfirmsthanAlphastan(32vs.5).Sincebothmarketsarequotedriven,Betaniahasmorepotentialbuyersandsellers.Theadditionalbuyersandsellerscreatemorecompetitionandgreaterdiversityofopinion,leadingtohighermarketquality.Note:AnythreeofthefouranswerstoQuestion3-Aaboveareacceptable.Question:3Topic:Execution/Monitoring/RcbalancingMinutes:21PartBTemplateforQuestion3-BDeterminewhichalgorithmicparticipationstrategyvolume-weightedaverageprice(VWAP),timc三wcightcdaverageprice(TWAP),orimplementationshortfallismostappropriateforKadar'strades,(circleone)Justifyyourresponsewithfworeasons.volume-weightedaveragepr