CFA三级十年真题 (2008-2017)：level_III_essay_questions_2016.docx

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1、TheMorningSessionofthe2016LevelIIICFAExaminationhas10questions.Forgradingpurposes,themaximumpointvalueforeachquestionisequaltothenumberofminutesallocatedtothatquestion.MinutesQuestionTopic1PortfolioManagement-Institutional202PortfolioManagement-FixedIncome223PortfolioManagement-Equity】94PortfolioMan

2、agement-AssetAllocation135PortfolioManagement-Trading,Monitoring,Rebalancingi36PortfolioManagementIndividual227PortfolioManagementIndividualH8PortfolioManagementRiskManagement209PortfolioManagementEconomics1810PortfolioManagement-IndividuaIZBehavioral16Total:180THISPAGEINTENTIONALLYLEFTBLANKMARKSMAD

3、EONTHISPAGEARENOTGRADEDQUESTION1HASFOURPARTS(A,B,C,D)FORATOTALOF20MINUTES.SophoCollegeisasmall,privateuniversity.TheuniversitylibraryhasanendowmentcurrentlyvaluedatUSD21,000,000.Theendowmentsonlypurposeistofullyfundthelibrary,sannualsubscriptionexpenseforonlineacademicjournals.Thejournalsareconsider

4、edessentialtokeepSophocompetitive.Sophoischangingthelibraryssubscriptionservicetoanewprovider.TheproviderofferstwosubscriptionoptionsasshowninExhibit1.Theadministrationdesiresthehighestlevelsubscriptionthattheendowmentcanfundinperpetuity.MarkMadison,afinancialadvisortotheendowmentsboard,isanalyzingt

5、hesubscriptionoptionsandreviewingtheIPS.Exhibit1SUmmaryofSubscriptionOptionsOptionOne-timeInitiationFee(dueimmediately)AnnualSubscriptionExpense(dueatyearend)ExpectedIncreaseinAnnualSubscriptionExpenseBasicUSD500,000USD800,000Inflationplus1%PremiumUSD1,000,000USD1,000,000Inflationplus1%Theobjectiveo

6、ftheendowmentistofullyfundthesubscriptioncostsinperpetuityandmaintainthepurchasingpoweroftheinvestableassetbaseafterpaymentoftheone-timeinitiationfee.TheendowmentsriskmanagementpracticesrequireMadisontouseMonteCarlosimulationstoaccountforreturnvolatilityinevaluatingtheriskofpurchasingpowererosion.Gi

7、vencapitalmarketexpectationsandtheendowmentsassetallocation,theexpectedlong-termtotalreturnoftheendowmentis8.5%peryearwithanexpectedstandarddeviationof18.0%.Annualmanagementfeesarc0.5%ofthemarketvalueoftheendowmentsassets.Theendowmentsboardunderstandsthatthespendingrateaffectsrisktolerance,andtheyar

8、ecomfortablewithanabove-averageriskexposure.Theendowmentreinvestsanyportfoliosurplus.Nodonationsareexpectedintheforeseeablefture.Economy-wideinflationisforecasttobe2.0%peryear.A.Calculatethereturnrequirementtofullyfundeachsubscriptionoption.Determinewhichsubscriptionoptionismostappropriatefortheendo

9、wment,givenitsobjectiveandriskmanagementpractices.Justifyyourresponse.Note:Usearithmeticreturns,ratherthangeometricreturns,forthereturnrequirementcalculations.8minutes(AnswerI-Aonpage5)B.Discuss,otherthantheportfolioreturnrequirement,onefactorthat:i.decreasestheendowment,sabilitytotakerisk.ii.increa

10、sestheendowmentsabilitytotakerisk.Note:Restatingcasefactswithoutadditionalsupportwillnotreceivecredit.4minutes(AnswerI-Bonpage6)MadisonalsoadvisestheboardofPrairicFoundation.Thefoundationfundsannualresearchgrantsonadiscretionarybasisforthedevelopmentofagriculturaltechnologies.Thefoundationsreturnobj

11、ectiveistoearnthehighesttotalreturnconsistentwithitsriskobjectivewhilemaintainingthepurchasingpoweroftheinvestableassetbase.Thelegallyrequiredminimumspendingrateforthefoundationtomaintainitstax-exemptstatusis4.0%.Thefoundation,sspendingrateisslightlyabovethatat4.3%.Annualmanagementfeesare0.2%ofthema

12、rketvalueofassetsandarenotincludedintheminimumspendingratecalculationfortaxpurposes.ThecurrentmarketvalueofthefoundationportfolioisUSD20,000,000.ThefoundationrecentlyreceivedadonationcommitmentofUSD2,000,000foreachofthenextfiveyears.Followingthisnewdevelopment,MadisonreviewsthefoundationIPS.C.Determ

13、inewhetherthefoundationsabilitytotakeriskislowerthan,thesameas,orhigherthanthatoftheSophoCollegelibraryendowment.Justifyyourresponsewithfworeasons.5minutes(AnswerI-Conpage7)Threeyearslater,thefoundation,sportfoliovaluehasdecreased.Atthebeginningoftheyear,theboarddecidestoswitchfromthecurrentfixedtar

14、getspendingratetoarollingthrcc-ycaraveragespendingrule,withthesamespendingrateof4.3%.D.Determinewhetherthefoundationstargetspendingforthecomingyearwillbelower,thesame,orhigherusingthenewspendingruleinsteadoftheoldspendingrate.Justifyyourresponse.3minutes(AnswerI-DonPage8)AnswerQuestionI-AonThisPage1

15、-A.Calculatethereturnrequirementtofullyfundeachsubscriptionoption.Determinewhichsubscriptionoptionismostappropriatefortheendowment,givenitsobjectiveandriskmanagementpractices.Justifyyourresponse.Note:Usearithmeticreturns,ratherthangeometricreturns,forthereturnrequirementcalculations.AnswerQuestionI-

16、BonThisPage1-B.Discuss,otherthantheportfolioreturnrequirement,onefactorthat:(seei.andii.below)Note:Restatingcasefactswithoutadditionalsupportwillnotreceivecredit.i.decreasestheendowmentsabilitytotakerisk.ii.increasestheendowmentsabilitytotakerisk.AnswerQuestiononThisPageDeterminewhetherthefoundation

17、abilitytotakeriskislowerthan,thesameas,orhigherthanthatoftheSophoCollegelibraryendowment,(circleone)JustifyyourresponsewithAvoreasons.lowerthanthesameashigherthan2.AnswerQuestionDeterminewhetherI-DonThisPagethefoundationtargetspendingforthecomingyearwillbelower,thesame,orhigherusingthenewspendingrul

18、einsteadoftheoldspendingrate.(circleone)lowerthesamehigherJustifyyourresponse.THISPAGEINTENTIONALLYLEFTBLANKMARKSMADEONTHISPAGEARENOTGRADEDQUESTION2HASFIVEPARTS(A,B,C,D,E)FORATOTALOF22MINUTES.WilliamMacDougal,aportfoliomanagerforEtherealCapital,managesfixedincomeinvestmentsforinstitutionalclientsint

19、hecountryofScorponia.Hemanagesaportfoliothatinvestsinbothdomesticgovernmentbondsanddomesticcorporatebonds.MacDougalmanagestheportionoftheportfolioinvestedingovernmentbondstomatchthedurationofthe10-yearScorponiagovernmentbond.Heisconcernedaboutanupwardshiftininterestratesandisseekingwaystoincreasethe

20、fund,sreturn.HeassessestheeffectofaddingforeignsovereigndebtfromTauraviaandadjustingthecurrentportfoliosduration.BondmarketdataandMacDougasexchangerateforecastappearinExhibit1.Exhibit1BondMarketDataandExchangeRateForecastScorponiaTauraviaCurrencySCFTRF1-yearrisk-freeinterestrate1.80%4.00%Yieldtomatu

21、rityof10-yeargovernmentbond4.30%7.50%Durationof10-yeargovernmentbond7,508.00Countrybeta0.50Currentspotexchangerate2.00SCF=1TRFMacDougasforecastspotexchangerateinoneyear1.97SCF=1TRFMacDougaldeterminesthataddingbondsfromTauraviatohisexistinggovernmentbondportfoliowillincreasetheportfblio,syieldanddecr

22、easeitsduration.However,heisconcernedabouttheeffectofchangesinexchangeratesonthereturnsforthesebonds.Heassumestheforwardexchangeratesofbothcurrenciesreflectinterestrateparity.A.CalculatethepercentageofMacDougaFsdomesticgovernmentportfoliothatshouldbeallocatedto10-yearTauraviagovernmentbondstodecreas

23、etheortfblio,sdurationto6.00.Showyourcalculations.4minutes(Answer2-onpage12)B.Calculatetheminimumchange(inbps)intheyieldfortheTauraviabondthatwouldeliminateitsquarterlyyieldadvantagerelativetotheScorponiabond.Showyourcalculations.Note:Ignoretheimpactofcurrencymovements.4minutes(Answer2-Bonpage13)C.D

24、eterminewhethertheTauraviabondswouldhaveahigherexpectedreturnoverthecomingyearifthecurrencyexposureisfullyhedgedorunhedged.Justifyyourresponse.Showyourcalculations.Note:AssumeMacDougaFsspotexchangerateforecastiscorrectandtherearenochangesintheyieldcurves.4minutes(Answer2-Conpage14)Thecurrentcreditsp

25、readofthecorporatebondsinMacDougaFsportfoliorelativetogovernmentbondsis100bps.MacDougalisconcernedthatthecreditspreadcouldwidenduetochangesinoverallmarketconditions.Hcinvestigatesusingeitheracreditspreadforwardoracreditspreadcalloptiontohedgeagainsttheexpectedspreadwidening.Thecreditspreadfbrward,sc

26、ontractedspreadis100bpsandthecreditspreadcalloptionhasastrikespreadof100bps.D.Select,foreachofthefollowing,themostappropriatehedgingstrategy(buylongorsellshort)thatwouldaddressMacDougasconcernusingacreditspread:i.forwardcontract.ii.calloptioncontract.Determinewhethereachstrategyhasanegative,zero,orp

27、ositivepayofftoEtherealifthecreditspreadis150bpsatexpiration.6minutes(Answer2-Donpage15)Severalyearslater,thecorporatebondsintheportfolioarevaluedatSCF200,000,000andtheyarenotleveraged.MacDougalforecaststhatinterestrateswilldecrease,andhewouldliketoincreasethedurationofthisportionoftheportfolio.MacD

28、ougaldecidestouseinterestratefuturestoaccomplishhisobjectiveandcollectstheinfonationinExhibit2.Therisk-freerateis2.2%.Exhibit2CorporateBondPortfolioandInterestRateFuturesMarketInformationCurrentportfolioduration8.00Targetportfolioduration10.00Durationofcheapest-to-deliverbond7.60Conversionfactorforc

29、heapest-to-deliverbond0.85Priceofcheapest-to-deliverbondSCF103,500E.DeterminewhetherMacDougalshouldbuyorsellinterestratefuturestoachievehisdurationobjective.CalculatethenumberofcontractsMacDougalshouldtrade.Showyourcalculations.4minutes(Answer2-Eonpage16)AnswerQuestion2-AonThisPage2-A.Calculatethepe

30、rcentageofMacDougasdomesticgovernmentportfoliothatshouldbeallocatedto10-yearTauraviagovernmentbondstodecreasetheportfblio,sdurationto6.00.Showyourcalculations.Answer Question2-Bon This Page2-B.Calculatetheminimumchange(inbps)intheyieldfortheTauraviabondthatwouldeliminateitsquarterlyyieldadvantagerel

31、ativetotheScorponiabond.Showyourcalculations.Note:Ignoretheimpactofcurrencymovements.Answer Question BICon This Page2-C.DeterminewhethertheTauraviabondswouldhaveahigherexpectedreturnoverthecomingyearifthecurrencyexposureisfullyhedgedorunhedged.Justifyyourresponse.Showyourcalculations.Note:AssumeMacD

32、ougasspotexchangerateforecastiscorrectandtherearenochangesintheyieldcurves.HedgingstrategySelect,foreachofthefollowing,themostappropriatehedgingstrategy(buylongorsellshort)thatwouldaddressMacDougasconcernusingacreditspread:(circleone)Determinewhethereachstrategyhasanegative,zero,orpositivepayofftoEt

33、herealifthecreditspreadis150bpsatexpiration,(circleone)negativebuylongi.forwardcontract.zerosellshortpositivebuylongnegativeii.calloptioncontract.sellshortzeropositiveAnswer Question E-Don This PageAnswerQuestionDeterminewhether2-EonThisPageMacDougalshouldbuyorsellinterestratefuturestoachievehisdura

34、tionobjective,(circleone)buysellCalculatethenumberofcontractsMacDougalshouldtrade.Showyourcalculations.THISPAGEINTENTIONALLYLEFTBLANKMARKSMADEONTHISPAGEARENOTGRADEDQUESTION3HASTHREEPARTS(A,B,C)FORATOTALOF19MINUTES.JamesNiclscnisaconsultantfortheLauricrpensionfund.Basedonperformance,heproposesreplaci

35、ngLaurier,sUSlarge-capgrowthequitymandatewithapureindexingmandatewithzeroalphaandzerotrackingrisk.HcreviewsthepensionfundscurrentequityallocationasshowninExhibit1.Allexpectedactivereturnsareuncorrelated.Exhibit11.aurierPensionFundEqllityAlocationDetailsEquityMandateWeightinEquityAllocation(%)Expecte

36、dAlpha(%)ExpectedActiveRisk(%)USlarge-capgrowth552.55.0Europeanlarge-capgrowth202.34.0Emergingmarket253.58.0A.Calculatetheinformationratioforthetotalequityallocation,assumingNiclscn,sproposalisadopted.Showyourcalculations.5minutes(Answer3-Aonpage20)Nielsennoticesanincreaseinrealizedtrackingriskforth

37、eEuropeanlarge-capgrowthmandateandisconcernedthatitsmanagermaybeexperiencingstyledrift.Heconductsbothareturns-basedandaholdings-basedstyleanalysis.Theresultofhisreturns-basedanalysisareshowninExhibit2.Theregressionusingthefourindexesproducedastylefitof96.2%.NiclscnalsoreviewsthecharacteristicsoftheE

38、uropeanlarge-capgrowthmandateanditsbenchmark,showninExhibit3.Exhibit2RegressionResultsfortheEuro)eanLarge-capGrowthMandateIndexPastStyleWeights(%)CurrentStyleWeights(%)Europeanlarge-capgrowth8558Europeanlargc-capvalue55Europeansmall-capgrowth532Europeansmall-capvalue55Exhibit3PortfolioandBenchmarkCh

39、aracteristicfortheEuropeanLarge-capGrowthMandateCharacteristicPortfolioBenchmarkP/Eratio22.120.1Dividendyield2.2%2.4%Price-to-bookratio2.92.8HoldingsinEachQUartiIebyMarketCap(%)Topquartile3345Secondquartile3431Thirdquartile2822Bottomquartile52Basedontheseanalyses,NielsenbelievesthattheEuropeanlarge-

40、capgrowthmandatedeviatesfromitslarge-capstylebutnotfromitsgrowthstyle.B.Support,withbothareturns-basedreasonandaholdings-basedreasonforeachofthefollowing,Nielsensbeliefregardingthemandate,s:i.large-capstyle.ii.growthstyle+8minutes(Answer3-Bonpage21)Nielsenwantstocapturealphabyappointinganewsmall-cap

41、manager.Hewillfundthisnewpositionbyreplacinganexistingemergingmarketequitymanagerandimplementinganequitizationstrategybasedonthefollowingguidelines:MaintainthebetaexposureoftheemergingmarketequityallocationProvidenoadditionalbetaexposureProhibitborrowingofcash1.imitderivativestolong-onlyfuturesNiels

42、enconsidersaddingoneofthesmall-capmanagersinExhibit4asacomponentofhisoverallstrategy.Allofthemanagershavepositiveexpectedalphabutapplydifferentinvestmentstyles.Futuresonsmall-capandemergingequityindexesexistinthemarketplace.Exhibit4ActiveSmall-capEquityrManagersManagerInvestmentStrleBenchmarkCarinaL

43、ongonlySmall-capequityAraShortextensionSmall-capequityOctansMarketneutralRisk-freerateC.SelectthemanagerfromExhibit4thatismostappropriateasacomponentofNielsen,soverallstrategy.ExplainhowastrategyfollowingNielsen,sguidelineswould:i.maintainthebetaexposureoftheemergingmarketequityallocation.ii.provide

44、noadditionalbetaexposure.6minutes(Answer3-Conpage22)3-A.AnswerQuestion&I-AonThisPageCalculatetheinformationratioforthetotalequityallocation,assumingNielsen,sproposalisadopted.Showyourcalculations.AnswerQuestioni-BonThisPageStyleSupport,withbothareturns-basedreasonandaholdings-basedreasonforeachofthe

45、following,Nielsensbeliefregardingthemandate,sstyle.Retums-basedreasonHoldings-basedreasoni.large-capstyle.ii.growthstyle.Answer Question &i-con This PageSelectthemanagerfromExhibit4thatismostappropriateasacomponentofNielsensoverallstrategy,(circleone)CarinaAraOctansExplainhowastrategyfollowingNielse

46、n,sguidelineswould:i.maintainthebetaexposureoftheemergingmarketequityallocation.ii.providenoadditionalbetaexposure.THISPAGEINTENTIONALLYLEFTBLANKMARKSMADEONTHISPAGEARENOTGRADEDQUESTION4HASTHREEPARTS(A,B,C)FORATOTALOF13MINUTES.ReemaDarziisaninvestmentadvisorforinstitutionalclients.DarziadvisestheWellcareEndowmentandisaskedtorecommendanoptimalassetallocation.Theobjectiveoftheendowmentistoachieveanominalreturnof8.0%peryearwiththelowestpos