CFA三级十年真题 (2008-2017)：level_III_essay_questions_2009.docx

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1、TheMorningSessionofthe2009LevelIIICFAiExaminationhas11questions.Forgradingpurposes,themaximumpointvalueforeachquestionisequaltothenumberofminutesallocatedtothatquestion.QuestionTopicMinutes12345678910HPortfolioManagement-Individual26PortfolioManagement-Individual9PortfolioManagement-Institutional24P

2、ortfolioManagement一Institutional11PortfolioManagement一Economics19PortfolioManagementAssetAllocation10PortfolioManagementEquityInvestments17PortfolioManagementAlternativeInvestments15PortfolioManagement-RiskManagement16PortfolioManagement-MonitoringandRebalancing15PortfolioManagement-PerformanceEvalu

3、ation18Total:180Questions1and2relatetoPatriciaandAlexanderTracy.Atotalof35minutesisallocatedtothesequestions.Candidatesshouldanswerthesequestionsintheorderpresented.QUESTION1HASFOURPARTS(A,B,C,D)FORATOTALOF26MINUTES.PatriciaandAlexanderTracy,bothage59,areresidentsofCanada.Theyhavetwinsonswhowillente

4、rafour-yearuniversityprograminoneyear.Patriciaisalong-timeemployeeofatelecommunicationscompany.Alexanderisaself-employedsalesconsultant.Alexandersannualincomeisnowsteadyafteryearsofextremehighsandlows.TheTracyshavebuiltaninvestmentportfoliothroughsavinginAlexandershighincomeyears.TheTracys,currentan

5、nualincomeisequaltotheirtotalexpenses;asaresult,theycannotaddtosavingscurrently.Theyexpectthatboththeirexpensesandincomewillgrowattheinflationrate.Allmedicalcosts,nowandinthefuture,arefullycoveredthroughgovernmentprograms.TheTracysworryaboutwhethertheyhavesavedenoughforretirement,andwhethertheywillb

6、eabletomaintaintherealvalueoftheirportfolio.Inflationisexpectedtoaverage4%fortheforeseeablefuture.TheTracyshaveapproachedDarrenBriscoetohelpthemanalyzetheirinvestmentstrategyandretirementchoices.TheTracysdisagreeabouttheappropriateinvestmentstrategy.Patriciaprefersnotlosingmoneyovermakingahighreturn

7、.Thisispartlyaresultofcontinuingregretforalossexperiencedinanequitymutualfundseveralyearsago.AlexandershistoryofmakingfrequentchangesintheirportfoliogreatlyannoyedPatricia.ShethinksAlexanderfocusedonlyonpotentialreturnandpaidlittleattentiontorisk.TheTracyscurrentlyhavealltheirassetsininflation-index

8、ed,short-termbondsthatareexpectedtocontinuetoearnareturnthatwouldmatchtheinflationrateaftertaxes.Afterretirement,theyarewillingtoconsiderchangingtheirinvestmentstrategyifnecessarytomaintaintheirlifestyle.TheTracysareeligibletoretirenextyearatage60.Iftheydo,Patriciawillreceiveannualpaymentsfromhercom

9、panysdefined-benefitpensionplanandbothPatriciaandAlexanderwillreceivepaymentsfromtheCanadiangovernmentpensionplan.Alexanderdoesnotparticipateinanycompanyorindividualretirementplan.BriscochascompiledfinancialdataandmarketexpectationsfortheTracys,retirement,showninExhibit1.Currently,Briscoeestimatesth

10、attheTracys,investmentportfoliowillgrowto1,100,000Canadiandollars(CAD)bytheirretirementdatenextyear.Exhibit1FinancialDataandMarketExpectationsPatriciaandAlexanderTracyRetirementatAge60(2010)ExpectedannualexpensesCAD125,000Annualpensionincome(after-tax)Patricia,scompanyplanCAD40,000Combinedgovernment

11、pensionCAD40,000TotalannualpensionincomeCAD80,000Expectedannualinflation4.0%Expectedannualafter-taxportfolioreturn4.0%PensionincomefrombothPatriciascompanyplanandthegovernmentpensionplanisfullyindexedforinflation.Briscoeexpectsataxrateof20%toapplytotheTracys,withdrawalsfromtheinvestmentaccount.TheTr

12、acysexpecttoearnnoemploymentincomeafterretirement.TheTracys,residenceisnotconsideredpartoftheirinvestableassets.TheTracyshavetheoptiontodelayretirementuntilage65.TheTracysintendtoretiretogether,whetheritisin2010atage60orin2015atage65.BriscoedeterminesthatiftheTracysretireatage60,theirrisktoleranceis

13、belowaverage.Iftheyretireatage60,theyplantopayofftheirmortgageandassociatedtaxesbywithdrawingCAD100,000fromtheirportfoliouponretirement.AnotherconsiderationfortheTracysrelatestofundinguniversityexpensesfortheirsons.IftheTracysretireatage60,eachsonwillreceiveascholarshipavailabletoretireefamiliesfrom

14、Patricia,scompanythatwillcoveralluniversitycosts.IftheTracysretireatage65,allpensionincomewouldincreaseandwouldalmostmeettheirannualspendingneeds.Iftheyretireatage65,theTracyswouldpayalluniversityexpensesfromtheirinvestmentportfoliothroughanarrangementwiththeuniversity.Thearrangement,coveringbothson

15、s,wouldrequiretheTracystomakeasinglepaymentofCAD200,000atage60.A.i.PreparethereturnobjectivesportionoftheTracys,investmentpolicystatement(IPS)thatwillapplyiftheyretireatage60.ii.Calculatethepre-taxnominalrateofreturnthatisrequiredfortheTracys,firstyearofretirementiftheyretireatage60.Showyourcalculat

16、ions.(12minutes)B.IndicatespecificfactorsfortheTracys,foreachofthefollowing,whichsupportBriscoe,sconclusionthattheTracys,risktoleranceisbelowaverage:i.Abilitytotakerisk.Indicatevofactors.ii.Willingnesstotakerisk.Indicateonefactor.(6minutes)C.Preparethecurrent(2009)liquidityconstraintfortheTracys,IPS

17、:i.iftheyretireatage60.ii.iftheyretireatage65.(4minutes)D.Preparethecurrent(2009)timehorizonconstraintfortheTracys,IPS:i.iftheyretireatage60.ii.iftheyretireatage65.(4minutes)Questions1and2relatetoPatriciaandAlexanderTracy.Atotalof35minutesisallocatedtothesequestions.Candidatesshouldanswerthesequesti

18、onsintheorderpresented.QUESTION2HASONEPARTFORATOTALOF9MINUTES.PatriciaandAlexanderTracybothretiredfiveyearsagoatage65andtheirsonsnowsupportthemselves.Asaresultofbetterthanexpectedinvestmentreturnsoverthepastfiveyears,theTracys,investmentportfoliohassignificantlyincreasedinvalue.Theynowthinkthattheir

19、futureafter-taxinvestmentreturnswillexceedtheirexpensesfortheirremainingjointlifeexpectancy.Thcirnewinvestmentobjectiveistomaximizetheassetstheirsonswillinherit,subjecttoareviewoftheTracys,risktolerancebytheirfinancialadvisor.Duringretirement,theTracys,medicalcostsarcfullycoveredbythegovernment.TheT

20、racyshavenoearnedincomeduringretirement.Theyhavepreviouslypaidoffalldebtandexpecttoremaindebt-free.Determinewhethereachofthefollowingmeasureshasincreased,decreased,orremainedunchangedfortheTracyssincejustpriortoretirement:i.impliedassetsii.impliedliabilitiesiii.risktoleranceJustifyeachresponsewithon

21、ereason.AnswerQuestion2intheTemplateprovidedonpage11.(9minutes)AnswerQuestion2onThisPageTemplateforQuestion2MeasureDeterminewhethereachofthefollowingmeasureshasincreased,decreased,orremainedunchangedfortheTracyssincejustpriortoretirement,(circleone)Justifyeachresponsewithonereason.i.impliedassetsInc

22、reasedDecreasedRemainedunchangedii.impliedliabilitiesIncreasedDecreasedRemainedunchangediii.risktoleranceIncreasedDecreasedRemainedunchangedTHISPAGEINTENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQUESTION3HASFIVEPARTS(A,B,C,D,E)FORATOTALOF24MINUTES.Wirth-MooreCorporationisaU.S.-basedpubli

23、sherofeducationalmedia.Wirth-Mooresponsorsadcfincd-bcncfitpensionplan.Theplansassetsarcinvestedinabroadlydiversifiedportfolioofgovernmentandinvestmentgradecorporatebonds.Pensionplanparticipantsincludebothactiveworkersandretirees.Pensionbenefitspaymentsarenotadjustedforinflation.Thedurationandmarketv

24、alueofthepensionplansassetsareequaltothedurationandmarketvalueoftheplan,sprojectedbenefitsobligation(PBO).Wirth-Moorebelievesthatithasadequatefinancialstrengthandprofitabilitytomaintainannualpensioncontributionsbasedonthepensionplan,sfeaturesandWirth-Moore,sworkforcecharacteristics.Wirth-Moorerecent

25、lyestablishedtheFoundationfortheFuture(FF),acompany-sponsoredcharitablefoundation.FF,smandatefromWirth-Mooreistopromotesustainablelivingthrougheducationandresearchonrenewableresources.FFemploysonepersontoadministergrantapplications,butdoesnotemployfull-timeinvestmentprofessionals.Wirth-Mooredonated1

26、0millionU.S.dollars(USD)toFFasapermanentendowment.FFisnotrestrictedtospendingonlyinvestmentincome.Wirth-MooredoesnotplantomakeadditionaldonationstoFFintheforeseeablefuture,althoughFFispcnnittcdtoacceptdonationsfromothers.FF,sboardretainsAllysonJoy,aninvestmentadvisor,tomakerecommendationsforitsendow

27、mentfund.ShesummarizesherunderstandingofFF,sinvestmentobjectivesandrelatedinformationinExhibit1.Exhibit1FFInvestmentInformationTominimizetaxesunderU.S.law,FFsboardintendstomakeannualdistributionsequalto5%ofitsaverageassetmarketvalue.Theboardadoptedagoaltoincreasethevalueoftheendowmentbyseekingarateo

28、freturnexceedingtherateneededtomaintaintherealpurchasingpoweroftheportfolio.FFsinvestmentpolicylimitstheamountthatcanbeinvestedinanysingleissuerssecuritiestonomorethan5%oftheportfolio*FF,sannualinvestmentmanagementexpensesare0.45%ofassets.Theannualrateofinflationisexpectedtobe3%inbothFF,soverheadand

29、inthefieldsofeducationandresearchthatFFsupports.A.PrepareFF,sreturnobjectivefornextyear.Showyourcalculations.B.i.DeterminewhetherFFortheWirth-Moorepensionplanhasgreaterabilitytotakerisk.Justifyyourdeterminationwithonereason.ii.DeterminewhetherFFortheWirth-Moorepensionplanhasgreaterwillingnesstotaker

30、isk.Justifyyourdeterminationwithonereason.(6minutes)C.FormulatethefollowinginvestmentpolicyconstraintsforFF:i.Liquidity.Showyourcalculations.ii.Timehorizon.Justifyyourresponsewithonereason.(6minutes)FFpresentlybasesitsannualspendingontheaveragemarketvalueofitsassetseachyear.NolandRcichcrt,amemberofF

31、F,sboard,isconcernedaboutrecentmarketvolatility.Rcichcrtproposesaspendingrulebasedonarollingthree-yearaveragemarketvalue.InresponsetoReichert,sproposal,Joyrecommendsageometricspendingrule,wherespendingisbasedonageometricallydecliningaverageoftrailingendowmentvalues.FFsextealtaxcounseladvisesthatther

32、ewouldbenoadversetaxconsequencefromadoptingeithersmoothingrule.D.ExplaintheeffectonFF,sspendingofadoptingJoy,ssmoothingruleratherthanReichert,ssmoothingrule.(4minutes)RcichcrtalsoservesontheboardofHeadwatersUniversityFoundation,anendowmentwithmorethanUSD1billioninassets.Headwatersrecentlyinvestedina

33、privateequityventurebasedontherecommendationofitsinternalinvestmentstaffTheventurerequiresaUSD2.5millionminimuminvestmentbyeachparticipant,withafive-yearlock-upprovision.Theprivateequityventureisnotexpectedtogenerateincome,buthasthepotentialtoincreaseinvalueatarateof20%peryearoverthenextfiveyears.Re

34、ichertrecommendsthatFFshouldparticipateinthisprivateequityventure.E.Justify,withAioreasons,whyReichert,srecommendationisinappropriateforFF.THISPAGEINTENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQUESTION4HASTHREEPARTS(A,B,C)FORATOTALOF11MINUTES.SetzerisaU.S.-basedchainofdepartmentstoreswi

35、thoperatingassetsof1billionU.S.dollars(USD)inmarketvaluetcns.Sctzcrsponsorsadcfincd-bcncfitpensionplan(PensionPlan)thatinvestsexclusivelyindomesticequitiesanddomesticinvestmentgradecorporatebonds.SelectedSetzerandPensionPlanfinancialdataareshowninExhibit1.Exhibit1SetzcrandPensionPlanFinancialDataSet

36、zer(excludingPensionPlan)MeasureValueDebt/equityratio(marketvalue)LOOperatingassetsmarketvalue(USDbillion)1.0Equitybeta2.0Debtbeta0.0PensionPlanMeasureValueEquityportfoliobeta1.0Debtinvestmentsbeta0.0Marketvalue(USDmillion)800Equityallocation(%)60Surplus(USDmillion)0.0SetzerhiresTimBearnetostudythei

37、mplicationsoftheassetallocationofthePensionPlan,sinvestmentportfolioonSetzer*sfinancialandoperatingcharacteristics.Bcanienotesthatadefined-benefitpensionplan,sassetsandliabilitiescandirectlyaffectthesponsoringcompanysequityprice,theequitypricevolatility,andtheamountofoperationalriskthecompanyisablet

38、oassume.Therisk-freerateofreturnis3%andtheequityriskpremiumis9%.Bcarnc,spreliminaryanalysisdoesnottaketheeffectsoftaxesintoconsideration.Setzerbasesitscapitalbudgetingdecisionsontheinternalrateofreturn(IRR)andacceptscapitalprojectswithIRRgreaterthanSetzer,sweightedaveragecostofcapital(WACC).Setzerdo

39、esnotincludethePensionPlansassetsandliabilitieswhencalculatingitsWACC.A.CalculateSctzcr,sWACCincludingthePensionPlan,sassetsandliabilities.(4minutes)B.DiscusstheimplicationsofnotincludingthePensionPlan,sassetsandliabilitiesinSetzer,scapitalbudgetingdecision-makingprocess.Note:Nocalculationsarerequir

40、ed.(4minutes)Sixmonthshavepassed.AsaresultofnegativereturnsonthePensionPlansinvestmentportfolio,thePensionPlanisnowunderfundedbyUSD50million.ThePensionPlan,sinvestmentcommittee,seekingtoraiseexpectedreturns,increasestheinvestmentportfblio,sequityallocationto70%.Immediatelyafterthisdecisionisimplemen

41、ted,Sctzcr,sequitypricevolatilityandbetaincrease.AssumeSetzer,soperationalassetsanditsdebt/equityratio(marketvalue)remainedconstantduringthesix-monthperiod.C.DiscusswhySetzer,sequitybetaincreasesinresponsetothePensionPlan,schangeintheassetallocation.(3minutes)THISPAGEINTENTIONALLYLEFTBLANKANYMARKSMA

42、DEONTHISPAGEWILLNOTBEGRADEDQUESTION5HASTHREEPARTS(A,B,C)FORATOTALOF19MINUTES.RobertSpencerisamarketforecasterwithWindsorInvestmentManagement,aU.K.-basedwealthmanagementfirm.SpcnccrisaskedtoreviewthecurrenteconomicconditionsandmarketoutlookfortheU.K.andtosetlong-termmarketreturnexpectationsfordomesti

43、cequities.TheseexpectationswillformthebasisofWindsor,sfutureclientassetallocations.SpencergatherstheU.K.capitalmarketdatadisplayedinExhibit1.Exhibit1U.K.CapitalMarketDataHistoricalData(past100years)Equitycompoundedannualgrowthrate(%)11.2Equityriskpremium(%)5.3Dividendyield(%)4.0Equityrepurchaseyield

44、(%)-0.5Nominalearningsgrowthreturn(%)4.6CurrentandForwardLookingDataCurrentequityprice-to-earningsratio14.6Expectedequitiesrealearningsgrowthrate(%)2.7Expectedlong-tcinflationrate(%)2.5A.Determine,usingtheinformationinExhibit1andtheGrinold-Kronermodel,thecomponentsourcesofthehistoricalnominalreturnf

45、orU.K.equities:i.incomereturnii.earningsgrowthiii.repricingreturn(6minutes)Ayearhaspassed.TheBankofEngland(theU.K.scentralbank)hasbeenraisingtheshort-teninterestrate.Businessconfidenceisstartingtodecline.SpencerisaskedtoanalyzetheU.K.economyandconsiderhowtheBankofEnglandmightrespondintheshorttermtoe

46、conomicconditions.HcgatherstheeconomicdatashowninExhibit2.Exhibit2U.K.EconomicData(%)Neutralvalueoftheshort-terminterestrate3.5ForecastU.K.GDPgrowthrate0.3TrendU.K.GDPgrowthrate2,2Yieldtomaturityon10-ycargilt(governmentbond)4.2Yieldtomaturityon1-yeargilt(governmentbond)5.5BankOfEnglandshort-terminte

47、restrate5.5TargetUKinflationrate2+0ForecastU.K.inflationrate4,4B.i.Determinethetargetshort-terminterestratefortheBankofEnglandusingtheTaylorruleandthedatainExhibit2.Showyourcalculations.ii.DescribethemostlikelypotentialnegativeeconomicresultiftheBankofEnglandbasesitsinterestratepolicyontheTaylorrule

48、.(5minutes)NinemoremonthshavepassedandtheU.K.economyhasfallenintoarecession.Underpressuretoaidtheeconomy,theU.K.ChancelloroftheExchequer(financeminister)announcesafour-parteconomicplanaimedatimprovingthelong-termgrowthtrendoftheU.K.economy(GDP).Theplanincludesthefollowinginitiatives:Introductionofincentivesencouragingcompaniestoincreasetheiruseofinformationtechnology;Anincreasei