CFA二级押题密卷-模块三.docx

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1、1906高顿CFA押题密卷-LeVel2o。.UnPoBt5c.MM M- K wu。dnpopsBoUBUIJ-Vujkhh宫惇槌AnnaGu,CFA,recentlyhasbeenpromotedasthechiefinvestmentofficer(CIO)oftheM3GloryFund,aprestigiousboutiquefundinChinamarket.GuisreadingananalysisreportwrittenbyhercolleagueAngelZhouabouttheChinese5Gcommunicationindustry.Zhou,sreportinclu

2、destheresultsofaregressionofthemonthlyreturnstoa5Gcommunicationequityindexfortheprevious100monthsonvariablesrepresentingthemonthlyreturnstotheShanghai-Shenzhen300Index(CSI300),andthemonthlyreturndifferencebetweenlong-termandshort-termChinesegovernmentbonds(SPREAD).AnnaGudoubtsthatCSI300andSPREADarer

3、easonableindependentvariablesandwantstodetectmulticollinearity.Becausetheregressionhasonlytwoindependentvariables,GudecidestotestthesignificanceofthecorrelationbetweenCSI300andSPREADwithsignificancelevelof5%.UsingZhouzsdata,Gufindsthecorrelationcoefficientis0.18.GuisalsonotconvincedofthevalidityofZh

4、ou,smodelandthenrunsaregressionbyherself.GuzsregressionresultsarepresentedinExhibit1.Exhibit1:Gu,sRegressionModel5GCommunicationEquityIndexVariableCOeffidentt-statisticp-valueConstant0.02690.0180.95CSI30.46256.1900.01SPREAD1.12644.2800.01R20.40Durbin-WatsonStatistic0.84Durbin-Watsoncriticalvalues(5%

5、significance)1.631.72wantstousetheregressionresultstotestthishypothesiswithasignificancelevelof5%.Selectedvaluesofthet-distributionareshowninExhibit2.Exhibit2SelectedValuesofthet-Distribution(degreesOffreedom=df,one-tailedprobabilities三p)Dfp=0.05p=0.02511.6601.984IlO1.6591.9821201.6581.98021.6531.97

6、2OO1.6451.960Guangzhouoffice.Zengbelievesnon-stationaritymaybeaproblemandconductsDickey-Fullertestsforaunitrootoneachofthetimeseries.TheresultsarereportedinExhibit3.Exhibit3ResultsoftheDidcey-FullerTestsTimeSeriesValueOftheTestStatisticStandardErrort-StatisticSignificanceoftSGcommunicationequityinde

7、x1.6600.00231.5910.1123CSI31.6590.0724-5.8460SPREAD1.6580.043-13.510ZengtellsGuitispossibletofindmorethanonemodelsevenwithsamedataset,thustheremustbeacriteriontoselectthemostaccurateone.Gustates,zzTherootmeansquarederror(RMSE)criterionistypicallyusedtoevaluatetheout-of-sampleforecastaccuracy7.Zengre

8、plies,z1fweusetheRMSEcriterion,themodelwiththesmallestRMSEistheoneweshouldjudgeasthemostaccurate/EO。.UnPoBt5c.MMM-Kwu。doM0。UBUIJ-V工JSH三裾-BWnOOeISoIUS-SlUBlUSelSMU-MO-OJ一jlJolpzM、a-UOII#叶7珊翅Eo。.UnPoBt5c.MMM-Kwu。doM0。UBUIJ-V工JSH三裾-S-vLLJQe-dsUOlu-*ooUo-SSjicidlInoqe-ttS-SBqlOdAqSJDOI-l-Uo-SrIPUOJPUeOR

9、S-IeISzzx-SI-nsJUo万SBOIjoOIooIUpuedP0SloOJ-un-q三xs-qro一eIUePUBdePU-一U-q11J-JeAIU山pudPJoJaSnpUouU-100J-UneJoJIS山一-1s#叶7珊翅ThenullhypothesisisHO:gl=0versusthealternativehypothesisHa:gl0.Ifthenullhypothesisfailstoberejected,thenthepossibilityexiststhatthetimeserieshasaunitrootandisnonstationary.Basedont

10、het-statisticandtheirsignificancelevelsinExhibit3,thenullhypothesisisrejectedforbothCSI300andSPREAD(i.e.,theindependentvariables),butthenullhypothesisisnotrejectedforthe5Gcommunicationequityindex(dependentvariable).Therootmeansquarederror(RMSE)criterionisusedtocomparetheaccuracyofregressivemodelsinf

11、orecastingout-of-samplevalues,andthemodelwiththesmallestRMSEisjudgedthemostaccurate.RosaSalazar7CFA,isafixedincomeanalystinAlitaFund.Sheisspecializedinthequantitativearea.Recently,sheconductsaresearchonTreasuryyieldsandbelievesthattheTreasurybondyieldsarecorrelatedwiththeFederalFundsrate(FFR)andtheu

12、nexpectedinflationrate(UIR).Aftertheanalysis,shecollects60monthlydatatosetupthequantitativemodel.TheregressionresultsarelistedinExhibit1andtheregressionmodelisasfollows:Treasuryyields=h0+b1FFR+b2UIR+Exhibit1ResultsfromRegressingTreasuryBondReturnsonFFRandUIRCoefficientStandardErrort-StatisticInterce

13、pt1.83210.118915.4087FFR1.01580.27633.6764UIR0.78510.15345.1180Afteranalysis,SalazarwonderswhethertheerrorsareconditionallyHeteroskedastic.Basedonhercalculation,theteststatisticis8.46.Then,sheperformsastatisticaltesttodetermineifconditionalHeteroskedasticityispresentatthe0.05significancelevel.Itiskn

14、ownthattheteststatisticcriticalvaluewith2degreesoffreedomatthe0.05significancelevelis5.99.Beforeapplyinghermodel,SalazarasksthemanagerofAlitaFund,JamesCameron,toreviewthemodelsspecificationandresults.CameronremindsherthatifthemodelsuffersfromconditionalKeteroskedasticity,theresultscanbeunreliable.Th

15、enhemakestwostatementsabouttheconsequencesofconditionalKeteroskedasticity.Statement1ConditionalHeteroskedasticitywillresultinconsistentcoefficientestimates,butboththet-statisticsandF-statisticwillbebiased,resultinginfalseinferences/underestimatedandt-teststatisticscomputedwillbeinflated,suggestingth

16、atthereisnosignificantrelationshipwhentherelationshipactuallyexists(TypeIlerror)/AfterdetailedanalysisforconditionalHeteroskedasticity,SalazarthenrunsaDurbin-Watsontesttotestwhethertheserialcorrelationexists.CameroninspectsSalazar,soutcomesandasksherhowtocorrecttheviolationsifbothconditionalHeterosk

17、edasticityandtheserialcorrelationexist.SalazarrealizesthatapossibleremedialactionistoadjustthecoefficientstandarderrorsbyWhitesmethodorHansensmethod.ShewonderswhichmethodismostsuitableforthecircumstancedescribedbyCameron.Finally,SalazarcalculatesthesamplecorrelationbetweentheFederalFundsrate(FFR)and

18、theunexpectedinflationrate(UIR)using60monthlydata,andgetstheresultfor0.52.Giventhesignificancelevelof5%,shewantstodeterminewhetherthecorrelationcoefficientisstatisticallysignificant.Thecriticalvalueforthetest7.TodetermineifconditionalHeteroskedasticityispresent,whichofthefollowingstatisticaltestssho

19、uldbeperformedandwhatcanbeconcludedfromthetest?A.Breusch-Pagan2test.NoconditionalHeteroskedasticityexists.B.Breusch-Pagan2test.ConditionalKeteroskedasticityexists.C.F-test.ConditionalKeteroskedasticityexists.WhentestingforconditionalHeteroskedasticity,Breusch-Pagan2testshouldbeused.Thenthenullhypoth

20、esisofBreusch-Pagan2testisnoconditionalHeteroskedasticity.Becausetheteststatisticis8.46andthecriticalvalueis5.99,weshouldrejectthehypothesisofnoconditionalKeteroskedasticityatthe0.05level.Therefore,weneedtocorrectforconditionalKeteroskedasticity.Eo。.UnPoBt5c.MMM-Kwu。doM0。UBUIJ-V工JSH三裾0。S-TlU山UJSSA-U

21、op-JJ03S-Alp一pp-S0名BU0三pu8Jooubj0WEecu0SIU一u-o-Eroouz.#叶珊翅Statement1iscorrectbecausetheconditionalKeteroskedasticityresultsinconsistentparameterestimates,butbiased(upordown)standarderrors,t-statistics,andF-statistics.Statere2S62BSncorrectbea0etbQnflatedt-teststatisticswillsuggestsignificantrelations

22、hipswherenoneactuallyexist(TypeIerror).9.Whichremedialmethod(s)is/aremostappropriatetocorrecttheHansen,smethodcouldbeusedtocorrectforserialcorrelation,whichcouldalsobeusedtocorrectconditionalKeteroskedasticity.WhitesmethodcouldonlybeusedtocorrectforHeteroskedasticity.10.Salazarshouldconcludethatthec

23、orrelationcoefficientbetweenFFRandUIRis:A.significantlydifferentfromzero,becausethenullhypothesiscanberejected.B.significantlydifferentfromzero,becausethenullhypothesiscannotberejected.C.notsignificantlydifferentfromzero,becausethenullhypothesiscannotberejected.Eo。.UnPoBbcMMM-辂置悻裾u。d三oMdec-U.2ZEo-lu

24、eej-uyss-nPUeM-M-5Uo-OOlPnPUoOUeuMPUept3jqUeoS-SlodAq=nuqlSo7UeIss&S-寸9.寸U-S-IzdlsZMl.OlT-i_Zsd#叶珊翅o。.UnPoBt5c.MMM-Kwu。dnpopsBoUBUIJ-Vujkhh宫惇槌YukiEndoisaseniorpartnerforHommaTrustandBrokerageCompany,asmalltrustmanagementcompanybasedinTokyo.Today,shehasnosoonercometoherofficethansheanswersaphonefromo

25、neofherVIPclient.Inthephone,theVIPclientstatesthatheisworriedabouthisaccountbecauseoftheimpendingeconomicrecession.Heplanstoturntosmall-capstocksinsteadoflarge-capones,andinvestmoreinTreasurebondsandsellsomehigh-yieldbonds.Endogivesherprofessionalopinionforthisclient.AfterherdiscussionwiththisVIPcli

26、ent,shebeginsameetingwithhertwoassistantportfoliomanagers,LouiseChenandWendyZeng.ChenandZenghavebeenaskedtodosomeresearchonwaystoimproveonthemethodscurrentlyusedbyHommaTrusttoevaluatesecuritiesanddevelopportfolios.Chensuggeststhatmultifactormodelsprovideabetterwaytomodelstockreturns.Shedevelopstwomo

27、delsonawhiteboardwhilestatingTherearetwowaystomodelstockreturnsusingthefollowingmultifactormodel:iKKInthismodel,stockreturns(Ri)aredeterminedbysurprisesineconomicfactorssuchasGDPgrowthandthelevelofinterestrates.Here,stockreturns(Ri)aredeterminedbyfactorsthatarecompanyattributessuchasprice-earningsra

28、tioandmarketcapitalization.ZengnotesthatamultifactorArbitragePricingModel(APT)providesamuchbetterbasisthantheCAPMforcalculatingexpectedportfolioreturnsandevaluatingportfolioriskexposures.InordertoillustratetheadvantagesofthemultifactorAPTmodel,ZengprovidesinformationfortwoportfoliosHommaTrustcurrent

29、lymanages.TheinformationisprovidedbelowinExhibit1.Thecurrentrisk-freerateis2percent.Exhibit1FactorSensitivitiesandRiskPremiumFactorRiskFactorFactorSensitivitiesFactorRiskPremium(%)PortfolioAPortfolioBBenchmarkConfidenceRisk0.810.040.54.5InflationRisk0.15-0.45-0.25-1.2BusinessCycIeRisk1.230.090.95.2W

30、ecantellfromExhibit1thatPortfolioAisstructuredinsuchamannerthatitwillbenefitfromanexpandingeconomyandimprovingconfidencebecausethefactorsensitivitiesforconfidenceriskandbusinesscycleriskexceedthefactorsensitivitiesforthebenchmark.PortfolioBhasverylowfactorsensitivitiesforconfidenceriskandbusinesscyc

31、leriskbutmoderatelyhighexposuretoinflationrisk,thereforePortfolioBcanbereferredtoasapurefactorportfolioforinflationriskz51.DoesthisVIPclientmaketheappropriateplanonequityandInrecession,morelarge-capequityandmorelow-riskbondareappropriate.52.Withregardtothestatementonmultifactormodels,ChenisModel1isa

32、macroeconomicfactormodel.Inthismodeltheinterceptvalueaiistheexpectedreturnonthestock.Model2isafundamentalfactormodel.Infundamentalfactormodelsthefactorsensitivitiesbiarestandardized,thustheinterceptisnotinterpretedasanythingmorethanaregressioninterceptthatensuresthatexpectedassetspecificriskequalsze

33、ro.Itisnotinterpretedastheexpectedreturnforthestockasinthemacroeconomicfactormodel.53.BasedontheinformationinExhibit1,theexpectedreturnforB.10.2%E(RA)=2%+0.81X4.5%+-0.15X-1.2%+1.235.2%=12.21%ZengisincorrectaboutPortfolioB.Purefactorportfoliosbydefinitionwillhaveafactorsensitivityof1toaparticularfact

34、orandzerosensitivityforallotherfactors.ForPortfolioBtobeapurefactorportfoliofortheinflationriskfactoritmusthavefactorbetaof1toinflationriskandzerofortheotherfactors.ElizabethRobbinisthenewchiefinvestmentofficeratTeacherRetirementSystems(TRS)zwhichoversees21fundsfrom11differentfirms.Sheplanstoimpleme

35、ntnewperformancemeasurementtoolsforselectingandevaluatingTRSsmanagers.Robbinismeetingwithherstaff(Marano,Gladden,andWert)todiscusswhattheyknowaboutmanagerselectionandevaluation.Shestartsbydiscussionabouttheuseoftheinformationratio,Robbinexplainshowitmightbeusefulininvestmentmanagerselectionandinchoo

36、singthelevelofactiveportfoliorisk.Sheaskseachanalysttomakeanobservationabouthisorherunderstandingoftheinformationratio.Gladden:BecauseTRSsinvestmentpolicyprohibitsshortpositions,TRSwouldbeunabletotakeadvantageofanyoptimizedportfolioswithincreasedactiverisk.RobbinpointsoutthattheSharperatioandtheinfo

37、rmationratioarebothusefultoolsinevaluatingportfoliomanagersandasksGladdentoexplainsomeoftheimportantdifferencesbetweenthetwo.Gladdennotes,TheinformationratioisameasureofrelativeexpectedorrealizedrewardtoriskwhereastheSharperatiomeasurestheabsoluterisk-returntrade-offofaportfolio.Sharperatioshelpinve

38、storsfocusontherelativevalueaddedbyactivemanagement.Althoughtheinformationratioisnotaffectedbytheadditionofcashorleverage,theSharperatioisaffectedbytheadditionofeither.RobbinthenintroducestheFundamentalLawofActiveManagementtoheranalysts,illustratingitwithagraphiccalledthecorrelationtriangle.Thisgrap

39、hexplainshowamanagersforecastedreturns,decisionsabouttheportfoliosactiveweights,andrealizedactivereturnsarerelatedtoeachother/shesays.高顿财经CFA:finance,高顿网校：Wertobserves,Thatmakessense.Itisdifficulttoaddvalueifthemanagersforecastsdonotcorrespondatleastsomewhattotherealizedactivereturns.Alsoziftheportf

40、oliomanagerdoesnotoverweightsecuritiesforwhichhehasforecastedthebestrelativereturns,hewillnotgeneratepositiverelativereturns.1.astly,RobbinillustratestoherteamhowtheymightapplytheFundamentalLawofActiveManagementinevaluatingtheperformanceofKaribaInvestmentManagement.Robbinobserves,Karibamaybeoverstat

41、ingitsexpectedactivereturn.BecauseKaribarebalancesweekly,itclaimsthatitsnumberofindependentdecisionsishigh.Howeverzsomeofthesesecurities(exchange-tradedfunds)mayclusterineconomicregionswherethesamegeneralanalysisappliestoseveralsecurities.ThiswouldmeanthatKariba,sbreadthisinfactmuchlowerthanstated.F

42、urthermore,Karibaassertsthateachsecurityisindependentlyevaluated.Thatmaynotbetrueeither.Forexample,astrategythatfavorsaparticulareconomicregionwilllikelypersistforseveralmonths,andtherefore,theinvestmentdecisionsarenotindependent.Again7theresultwouldbealowerbreadth.Themeetingthenturnstoportfolioriskmanagement.RobbinasksMaranotoapplytheanalyticalmethodtoestimatetheVaRforAlphaAssetManagementsportfolio,whichisvaluedat$20million.Theportfoliohasanexpectedannualreturnof7.5%andastandarddeviationof22.4%.Anotherportfolioisapor