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

《CFA三级十年真题 (2008-2017)：level_III_guideline_answers_2011.docx》由会员分享，可在线阅读，更多相关《CFA三级十年真题 (2008-2017)：level_III_guideline_answers_2011.docx（37页珍藏版）》请在课桌文档上搜索。

1、Question:1Topic:IndividualPM/BehavioralMinutes:15ReadingReferences:2011LevelIII,Volume2,StudySession3,Reading7,pp.5-12HeuristicDrivenBias:TheFirstThcmc,BeyondGrccdandFear:UnderstandingBehavioralFinanceandthePsychologyofInvesting,HershShefrin(OxfordUniversitySchoolPress,2002)2011LevelHI,Volume2,Study

2、Session3,Reading8,pp13-20FrameDependence:TheSecondTheme,BeyondGreedandFear:UnderstandingBehavioralFinanceandthePsychologyofInvesting,HershShefrin(OxfordUniversitySchoolPress,2002)2011LevelIII,Volume2,StudySession4,Reading16,.246-250EstatePlanninginaGlobalContext,StephenM.Horan,CFA,andThomasR.Robinso

3、n,CFA(CFAInstitute,2(X)9).1.OS:2011III37a7.HeuristicDrivenBias:TheFirstTheme2)ceVQimfeldteinrfpa*bfteIIFibiiC-ddvenbiases(includingrepresentativeness,overconfidence,anchoring-and-adjustment,aversiontoambiguity)oninvestmentdecisionmaking.201IIII38a8FrameDependence:TheSecondTheme3)IeeXPhUwIshQQkbrJton

4、irte4Qininvestors*willingnesstoholdontodeterioratinginvestmentpositions;b)evaluatetheimpactsthattheemotionalframesofselfcontrol,regretminimization,andmoneyillusionhaveoninvestorbehavior.2010III416a,b,f,g16.fctEstatePlanninginaGlobalContext”ThecandidateshouldbeabletO)discussthepurposeofestateplanning

5、andexplainthebasicconceptsofdomesticestateplanning,includingestates,wills,andprobate;b)explainthetwoprincipalformsofwealthtransfertaxesanddiscusstheimpactofimportantnon-taxissues,suchaslegalsystem,forcedheirship,andmaritalpropertyregime;C)detenineafamily,scorecapitalandexcesscapital,basedonmortality

6、probabilitiesandMonteCarloanalysis;Question:1Topic:IndividualPM/BehavioralMinutes:15d)evaluatetherelativeaftertaxvalueoflifetimegiftsandtestamentarybequests;e)explaintheestateplanningbenefitofmakinglifetimegiftswhengifttaxesarepaidbythedonor,ratherthantherecipient;f)evaluatetheafter-taxbenefitsofbas

7、icestateplanningstrategies,includinggenerationskipping,spousalexemptions,valuationdiscounts,andcharitablegifts;g)explainthebasicstructureofatrustanddiscussthedifferencesbetweenrevocableandirrevocabletrusts;h)explainhowlifeinsurancecanbeataxefficientmeansofwealthtransfer;i)discussthetwoprincipalsyste

8、ms(sourcejurisdictionandresidencejurisdiction)forestablishingacountry,staxjurisdiction;R)discussthepossibleincomeandestatetaxconsequencesofforeignsituatedassetsandeValfenndgifiSicwtidIacortiebilityundereachofthreebasicmethods(credit,exemption,anddeduction)thatacountrymayusetoproviderelieffromdoublet

9、axation;Ddescribetheimpactofincreasinginternationaltransparencyandinformationexchangeoninternationalestateplanning.Question:1Topic:IndividualPM/BehavioralMinutes:15GuidelineAnswer:PARTATemplateforQuestionI-ANote:Considereachobjectiveindependently.ObjectiveDeterminewhichtrust(irrevocable,revocable,or

10、bothequally)ismoreappropriateforeachobjective.(circleone)Justifyyourresponsewithonereasonforeachobjective.etrueth)n).1.tosubjetimHue.WietFnganthe1.SellUSD1.0millionofBuildcoshareswhileminimizingtotaltaxes.irrevocablebothequallyBeckershouldsellthesharesintherevocabst.Currenttaxesonrealizedcapitalgain

11、swilltesameforeithertrust(20%USD1.8milliAssetsintheirrevocable(rustarenotsubjecestatetax.AssetsintherevocabletrustareCttoestatetaxesuponBecker,sdeath,atwhicethecostbasiswillbeincreasedtomarketv2.PutadditionalassetsintoatrustOprotectthoseassetsfrompotentialfuturelegalclaimsagainstBecker.revocableboth

12、equallyBbukertQiala(axesth0rei)fninirrtfedei)CabfeiingusfrbjeiltttoUIiLihiS(IDCeVQCalMaltriIiSkaGfeta出HirmoWbadeownedbythesettlorandhenceareoutofreachofanyclaimants.2011LevelIIIGuidelineAnswersMorningSessionPage3of39Question:1Topic:IndividualPM/BehavioralMinutes:15PARTBTemplateforQuestionI-BNote:COn

13、Sidereachbiasindependently.USeeaChdiscussionOnIyonce.BehavioralbiasIdentifythediscussioninwhichoneoftheparticipantsbestillustrateseachofthefollowingbehavioralbiases(circlethediscussionnumberfromExhibit1).Justifyeachresponsewithonereason.IRepresentativenessreferstojudgmentsbased(stereotypes.Beckermay

14、beoverlyoptimisticnthati.representativenessRollingMixCementshareswillperformwel3becausetheCEOofRollingMixCementperformedwellatBuildco.41Framedependencerefersloinvestorbehaviordependsonthewaydecisionsareframed.Bthat己Ckerii.frame2holdsmanypositionsvaluedbelowcost.Thismaydependence3Obeevidenceofframede

15、pendence(lossaversiHisinvestmentdecisionsareframedtoavoidSratherthancontinuouslyreevaluateholdings.n).Iosse0Peoplepreferthefamiliartotheunfamiliar.Frostiii.aversionto2prefersthecertaintyofbondcashflowstouncertaintyofriskyassetcashflows,eventtheoughambiguity3investorsmightreceiveappropriatelyhigherre

16、turns4forassumingthatrisk.2011LevelIIIGuidelineAnswersMorningSessionPage4of39Question:2Topic:IndividualPMMinutes:23ReadingReferences:2011Level111,Volume2,StudySession4,Reading14,pp.97-167itManagingIndividualInvestorPortfolios,Ch.2,JamesW.Bronson,MatthewH.Scanlan,andJanR.Squires,ManagingInvestmentPor

17、tfolios:ADynamicProcess,3rdedition(CFAInstitute,2007).1.OS:2011III414a,j,k,1,n14.“ManagingIndividualInvestorPortfbliosvThecandidateshouldbeableto:a)discusshowsourceofwealth,measureofwealth,andstageoflifeaffectanindividualinvestors,risktolerance;b)explaintheroleofsituationalandpsychologicalprofilingi

18、nunderstandinganindividualinvestor;c)compareandcontrastthetraditionalfinanceandbehavioralfinancemodelsofinvestordecisionmaking;d)explaintheinfluenceofinvestorpsychologyonrisktoleranceandinvestmentchoices;e)explaintheuseofapersonalitytypingquestionnaireforidentifyinganinvestorspersonalitytype;f)compa

19、reandcontrastriskattitudesanddecisionmakingstylesamongdistinctinvestorpersonalitytypes,includingcautious,methodical,spontaneous,andindividualisticinvestors;g)explainthepotentialbenefits,forbothclientsandinvestmentadvisers,ofhavingaformalinvestmentpolicystatement;h)explaintheprocessinvolvedincreating

20、aninvestmentpolicystatement;i)distinguishbetweenrequiredreturnanddesiredreturnandexplaintheimpactthesehaveontheindividualinvestorsinvestmentpolicy;j)explainhowtosetriskandreturnobjectivesforindividualinvestorportfoliosanddiscusstheimpactthatabilityandwillingnesstotakeriskhaveonrisktolerance;k)identi

21、fyandexplaineachofthemajorconstraintcategoriesincludedinanindividualinvestor,sinvestmentpolicystatement;I)formulateandjustifyaninvestmentpolicystatementforanindividualinvestor;m)determinethestrategicassetallocationthatismostappropriateforanindividualinvestorsspecificinvestmentobjectivesandconstraint

22、s;n)compareandcontrasttraditionaldeterministicversusMonteCarloapproachestoretirementplanningandexplaintheadvantagesofaMonteCarloapproach.Question:2Topic:IndividualPMMinutes:23GuidelineAnswer:PARTATheaftertaxnominalrateofreturnrequiredfortheBeckers,firstyearofretirementiscalculatedbydividingtheYear1N

23、etRequiredCashFlowbytheBeginningofYear1NetInvestable6JtsFlawithenadjustingforexpectedinflation.YearIofRetirementMichaePsaftertaxcompanypension$48,000Livingexpenses(250,0001.03inflation)-257,500Year1Netrequiredcashflo-$209,500WNetInvestableAssetsInheritance$8,000,000Mortgagedebtrepayment-3,5UO,OOOCon

24、sumerdebtrepayment-150,000Investableassetbase(beginningYear1)$4,350,(XM)ReturnObjectiveYear1aftertaxrequiredcashfl$209,500EUvidedbyinvestableassetbase$4,350,000Equalsaftertaxrealretur4.82%nPlusexpectedinflation3.00%Equalsaftertaxnominalrateofreturn7.82%7.96%orgeometrically(1.0482)(1.03)-2011LevelIII

25、GuidelineAnswersMorningSessionPage6of39Question:2Topic:IndividualPMMinutes:23PARTBThereareseveralfactorsthatdecreasetheBecker,srisktolerance:TheBeckers,beingretired,areinthemaintenancestageoflife.Theydonotintendtowork;noadditionalincomeflowsareexpected.MichaelBeckerhasasmallpensionrelativetolivingex

26、penses.TheBeckersmustdependprimarilyontheirinvestmentportfolio.risk).TheBeckershaveahighlevelofspendingrelativetoinvestableassets,makingthemlessThereAecdcfcrswHAiiftgineitIheiitakeeMi冰(passivesourceofwealth),whichmayresultinaabletotoleratevolatilityandnegativeshorttermreturns.PARTWheBeckerswanttheir

27、portfoliotobeinvestedconservatively(lowwillingnesstotakei.Liquidity:TheBeckershaveUSD3,650,000immediatecashneedsfordebtrepaymentsplusUSD209,500innetlivingexpensesforthefirstyearofretirement(USD257,500-USD48,000MichaePsannualpension),oratotalofUSD3,859,500.OngoingliquidityneedswillbeUSD209,500ii.Time

28、horizon:3JstatesinftatWiringatayoungage,anddonotexpectexpensestochangeuntiloneofthemdies.Therefore,theirtimehorizonislongterm,twostage:(1)whentheyarebothalive,and(2)afteroneofthemdies.TheBeckers,timehorizonmayalsobeconsideredlongterm,threestage.Inthiscase,theirbeginningliquidityneedsarethefirststage

29、.Thesecondandthirdstageswouldbetheremainderoftheirlivesasnotedabove.Question:2Topic:IndividualPMMinutes:23PARTDPortfolioAwillbetterallowtheBeckerstoachievetheirprimaryfinancialgoalofmaintainingtheirlivingstandarduntilbothhavedied.Thisisbecausetheportfoliohasahigherprobabilityofachievingapositiveterm

30、inalvalue.1.Frostshouldincorporateexpectedcapitalmarketassumptionsintohersimulation.Historicaldatamaynotfullyreflecttherangeofpossiblefutureinvestmentreturns.Historicaldataalsomayincludeunlikelyoutliers.2.Frostshouldmodeltheperformanceoftheportfblio,sspecificassetsratherthantheperformanceofitsassetc

31、lasses.Theportfoliosperformanceandriskmaydifferfromassetclassperformanceandrisk.Assetclasssimulationcouldalsoexcludeimportantaspectsofassetspecificinvestmentreturnssuchasfeesandtaxefficiencies.Question:3Topic:InstitutionalPortfolioManagementMinutes:26ReadingReferences:2011LevelIII,Volume2,StudySessi

32、on5,ReadingMQnagingInstitutionalInvestorPortfblios,Ch.3,R.CharlesTschampion,LaurenceB.Siegel,DeanJ.Takahashi,andJohnL.Maginn,ManagingInvestmentPortfolios:ADynamicProcess,3rdedition(CFAInstitute,2007).1.OS:2011III520h,i,j,1,m,n20.fctManaginginstitutionalInvestorPortfbliosThecandidateshouldbeableto)co

33、ntrastadefinedbenefitplantoadefinedcontributionplan,fromtheperspectiveoftheemployeeandemployeranddiscusstheadvantagesanddisadvantagesofeach;b)discussinvestmentobjectivesandconstraintsfordefinedbenefitplans;C)evaluatepensionfundrisktolerancewhenriskisconsideredfromtheperspectiveofthe(I)plansurplus,(2

34、)sponsorfinancialstatusandprofitability,(3)sponsorandpensionfundcommonriskexposures,(4)planfeatures,and(5)workforcecharacteristics;de)Dg)diformulateaninvestmentpolicystatementforadefinedbenefitplan;evaluatetheriskmanagementconsiderationsininvestingpensionplanassets;formulateaninvestmentpolicystateme

35、ntforadefinedcontributionplan;:usshybridpensionplans(eg,cashbalanceplans)andemployeestockownershipplans;h)distinguishamongvarioustypesoffoundations,withrespecttotheirdescription,k)purpose,sourceoffunds,andannualspendingrequirements;tenyamp4mmhmtrlimstrm1lbCQndtretQfwta11痴SOthertypesof1)gW三三三dRW三2S0r

36、tn心nq3j01icyforpensionfunds,foundations,j)fe三W轴电胸,inF6WPflRRMtMBGhfttntti54flFndowmem,anm)fttWgQ6UrDHRP11ft猫abililymanagementneedsofpensionfunds,foundations,endowments,insurancecompanies,andbanks;n)compareandcontrasttheinvestmentobjectivesandconstraintsofinstitutionalinvestorsgivenrelevantdata,sucha

37、sdescriptionsoftheirfinancialcircumstancesandattitudestowardrisk.Question:3Topic:InstitutionalPortfolioManagementMinutes:26GuidelineAnswer:PARTAi.ThetheelwenlludivoftFdetWlin(intensen)(in55ate,the%.Calculatedusingamultiplicativeformulation;therequiredreturnis:(1.05)(1.04)(1.0055)-1=0.09801or9.80%ORb

38、ythearithmeticformulation:(0.05)(0.04)+(0.0055)=0.0955or9.55%Question:3Topic:InstitutionalPortfolioManagementMinutes:26PARTBTemplateforQuestion3-BNote:COnSidereachfactorindependently.FactorDeterminehowachangeineachofthefactors,holdingallelseconstant,affectstherisktolerance(increases,decreases,doesno

39、tchange)fortheWUendowment.(circleone)Justifyeachresponsewithonereason.increasesIncreasesrisktolerance:Externalfunding(includingprivatedonations)isasourceofliquidity.Asdonationsincrease,alowerproportioni.privatedonationsdecreasesofinvestedassetsisrequiredtomeetcurrentspendingneeds,andtheendowmentcana

40、ssugreaterrisk.Decreasesrisktolerance:Asdonationsdecreasnee,adoesnotchangehigherproportionofinvestedassetsisrequireOdtincreasesme赴a*A11HUkAMftge1As.irtffldas耻i11e啾断inflationmaycausetheendowmenttodemanRlghbraJWiereItfMierOrtiSIinVeStmentStocompensjaperceivedincreaseinrisk.Thiscanlead剧Ildatefboanii.ex

41、pectedinflationdecreasesdoesnotchangeincreaseinexpectedlongtermrealreturnsfeportfolio.Asexpectedrealreturnsincrease,v睡Cr做W痴nMsKpnllcAu3rbeicgMtat曲PeH施艇祚由6ythudq恨Tn电HdoiWfieStousein)rth,ilhttationhedges,ortoholdmoreliquidassetsintheoliotomeetexpectedincreasedspendingneeds.1portfhisreductioninriskexpo

42、suremabeconsideredareductioninrisktolerance.2011LevelIIIGuidelineAnswersMorningSessionPage11of39Question:3Topic:InstitutionalPortfolioManagementMinutes:26PARTCThethiiqbitpnignsrfiperiddctfurkttwalubcOendbeVnasbrIsPaJTfOi),bpnd26g)nod.WTKisdper5gofexpenses.Forthecurrentyear,theendowmentsliquidityneed

43、sareUSD37.5million.(Managementfeesof0.55%canalsobeconsideredliquidityneeds,increasingrequiredspendingto5.55%ofbeginningofperiodmarketvalueoftheassetportfolio,orUSD4flli5)n.)1.I.TheWUendowmentfundhasalongtermtimehorizonasitsgoalistomaintaintherealvaluetheendowmentinperpetuity.Question:3Topic:Institut

44、ionalPortfolioManagementMinutes:26PARTDTemPIateforQUeStiOn3-DDeterminewhichoneofBergensstrategicactionsis:Bergen,sstrategicactions(circleone)Justifyeachresponsewithonereason.1Revisingtheportfoliosassetallocationtodecreasekreducestheexpectedreturnontheassetportfolioitsrisndthi.leastlikelytoassistthee

45、ndowmentinachievingitsprimarygoal.2WUendowmentwillbelesslikelytomaintainitsvalueoverthelongterm.realCDAdoptingarollingthreeyearaveragespendingrulebasedii.mostlikelytoreducethevolatilityoftheendowmentsfundingofWUs1CDontheendowmentsbeginningofyearmarketvakthelastthreeyears,spreadsorsmoothstheimpactofparticularyear,therebyreducingthevolatilityofIhfendowmentsfundingofWU,soperatingexpenses.;foraeppealieg32011LevelIIIGuidelineAnswersMorningSessionPage13of39Question:3Topic:InstitutionalPortfolioManagementMinutes:26PARTEFactorsthatsuggestSUmayhaveahigherrisktolerancethanWU:1.SUndnulowmert