CFA三级十年真题 (2008-2017)：level_III_essay_questions_2015.docx

TheMorningSessionofthe2015LevelIIICFAExaminationhas11questions.Forgradingpurposes,themaximumpointvalueforeachquestionisequaltothenumberofminutesallocatedtothatquestion.QuestionTopicMinutes1PortfolioManagement-Institutional142PortfolioManagement-Institutional173PortfolioManagementFixedIncome194PortfolioManagementAlternativeInvestments205PortfolioManagement-PerformanceEvaluation156PortfolioManagement-RiskManagement147PortfolioManagement-Individual188PortfolioManagement-Individual169PortfolioManagement-AssetAllocation1510PortfolioManagement-Economics1411PortfolioManagement-IndividualZBehavioral18Total:180Questions1and2relatetoSaylorGuitarsandSandeepNayar.Atotalof31minutesisallocatedtothesequestions.Candidatesshouldanswerthesequestionsintheorderpresented.QUESTION1HASTHREEPARTS(A,B,C)FORATOTALOF14MINUTES.SayIorGuitarswasestablished25yearsagointheUS.Today,thecompanyemploysahighly-skilledworkforcetoproducehandmadeguitars.Tenyearsago,thecompanyinstitutedadefincd-bcnefitpensionplan(thePlan).Thereisnoprovisionforearlyretirement.Theaverageageoftheworkforceis35years,andtherearenocurrentpensionrecipients.Untillastyear,SaylormadeannualcontributionstothePlanandithadasurplus.However,thelatesteconomicdownturnreducedsalesofSaylor,spremium-pricedguitars,whichresultedinlowerprofitability.ThisledthecompanytoomitPlancontributionsandnowthePlanisjustfullyfundedwithnosurplus.Customerordershavebeguntoincreasewithanimprovementintheoveralleconomy.Basedonpastexperience,thecompanyisforecastingthatitwillreturntoitstypicalhighprofitlevelsinthenextseveralmonths.SayloralsoexpectstoresumeitscontributionstothePlaninthefirsthalfoftheupcomingyear.TheaverageannualreturnonthePlan,sassetportfoliosinceinceptionhasbeen4.8%.Theportfolioiswell-diversifiedacrossassetclassesandhaslowreturncorrelationwiththebroadequitymarket.Saylorusesadiscountrateof4.5%tocomputeitspensionbenefitobligation.Theexpectedinflationrateis1.5%.Saylor,sdebt-to-assetsratiois0.42comparedtotheindustryaverageof0.40.A.DeterminewhethertherisktoleranceofthePlanisbelow-averageorabove-average.JUStifyyourresponsewithAvoreasons.Note:Restatingcasefactsisanincompletejustificationandwillnotreceivecredit.(5minutes)B.StatetheminimumreturnrequirementofthePlan.Explainyourresponse.(4minutes)Onemonthlater,Saylortsmanagementdecidestooffertoemployeesoverage50,aone-timelump-sumearlyretirementoptionthatwillbepayablenextyear.TenpercentofSaylor,semployeesacceptthisoption.C.Discusshowtheacceptanceoftheearlyretirementoptionchangedeachofthefollowing:i.Liquidityrequirementii.DurationofPlanliabilities(5minutes)AnswerQuestion1onThisPageCFAINSTITUTEUSEONLYnCFA 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ONLYAnswerQuestion1onThisPageAnswerQuestion1onThisPageCFAINSTITUTEUSEONLYnTHISPAGEINTENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQuestions1and2relatetoSaylorGuitarsandSandeepNayar.Atotalof31minutesisallocatedtothesequestions.Candidatesshouldanswerthesequestionsintheorderpresented.QUESTION2HASTHREEPARTS(A,B,C)FORATOTALOF17MINUTES.TwoyearshavepassedandthefindmanagerforSaylorGuitars'defined-benefitpensionplan(thePlan)isSandeepNayar.ThePlan'sportfoliocurrentlyhasanassetallocationof80%nominalbondsand20%equities.NayarbelievestheportfolioliesontheefficientfrontierandthereturnshavearelativelylowcorrelationwithSaylor,soperatingresults.TheprofileofthePlanispresentedinExhibit1.Exhibit1SaylorPensionPlanProfileAverageageofworkforce33Retirementage60Percentageofretiredlives8%Expectedannualwagegrowth4%Retirementbenefitsarefullyindexedforinflation.Expectedannualwagegrowthincludeswageinflationof1%andproductivityincreasesof3%.Duringameetingwiththecompanyfounder,TomAnderson,Nayardescribeshisapproachtomanagingpensionriskasanasset-onlyapproach.Andersonasksaboutotherapproachestomanagingpensionrisk.Nayarexplainstheliability-relativeapproachtopensionfindinvesting.A.ContrastNayar,sapproachwiththeliability-relativeapproachforeachofthefollowing:i.ThePlan,sliabilityriskexposureii.Thecharacteristicsofalow-riskinvestment(6minutes)B.RecommendwchangestothePlan,scurrentassetallocationthatwouldbeconsistentwiththeliability-relativeapproach.Justifyeachresponse.(6minutes)NayaralsomanagestheinvestmentportfoliooftheAndersonCommunityFoundation(theFoundation).ThepurposeoftheFoundationistoprovidescholarshipstolocalstudentsforgraduatestudyinscience.TheFoundationisintendedtooperateinperpetuity.TheFoundation'sBoardinstructsNayartotakeaconservativeapproachtomanagingtheinvestmentportfolio.Thereisa5%annualspendinggoalbutnominimumspendingrequirement.ANSWERQUESTION2-CINTHETEMPLATEPROVIDEDONPAGE11.C.DeterminewhethertheFoundation'sabilitytotakeriskislowerthan,equalto,orhigherthanthatoftheSaylorpensionplan.Justifyyourresponsewithhvoreasons.Note:Restatingcasefactsisanincompletejustificationandwillnotreceivecredit.(5minutes)ANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDAnswerQuestion2OnThisPageTemplateforQuestion2-CNote:Restatingcasefactsisanincompletejustificationandwillnotreceivecredit.DeterminewhethertheFoundation'sabilitytotakeriskislowerthan,equalto,orhigherthanthatoftheSaylorpensionplan,(circleone)Justifyyourresponsewithtworeasons.lowerthanequaltohigherthan1.2.THISPAGEINTENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQUESTION3HASFoURPARTS(A,B,C,D)FORATOTALOF19MINUTES.CamilleBlancisafixedincomemanagerwhorecentlystartedtheOptimamutualfund.Thefundisinvestedinadiversifiedportfolioofgovernmentandcorporatebonds.Thefund,smandaterequirestheeffectivedurationofitsportfoliotomatchthatofitsbenchmark.Blanc,sobjectiveistooutperformafixed-incomebenchmarkbyusinganenhanccd-indexingstrategy.BlancevaluatesthepricesensitivitiesofOptimarelativetoitsbenchmarkforchangesintheyieldcurveusingscenarioanalysis:ScenarioI:Shesimulatesanimmediate10basispoint(bps)parallelshiftintheyieldcurveandfindsnodifferenceinthepricesensitivitiesbetweenOptimaanditsbenchmark.Scenario2:Shesimulatesanimmediate30bpschangeinthe5-yearspotrateandholdsallotherratesconstant.Shefindsa19bpsdifferenceinthepricesensitivitiesbetweenOptimaanditsbenchmark.A.DeterminewhetherOptimamostlikelyviolatesitsmandateundereachofthefollowing:i.Scenario1ii.Scenario2Justifyyourresponseforeachscenario.Note:Considereachscenarioindependently.(6minutes)BothOptimaanditsbenchmarkholdpositionsinTreasurybonds,non-callablecorporatebonds,andcallablecorporatebonds.Basedonheranalysisofthemarket,Blancexpectscreditspreadstonarrowandyieldstoexperienceadownwardparallelshift.Sheevaluatesthefollowingtrade:buyacallablecorporatebondandsellanon-callablecorporatebondofthesamematurityandcreditquality.Bothbondsaretradingatpar.B.Determine,givenBlanc,sexpectations,whethersheshouldimplementthetrade.Justifyyourresponse.Note:Ignoretransactioncostsandassumevolatilityisunchanged.Oneyearlater,Blancismanaginganothermutualfund.Intrepid,whichismoreactivelymanagedthanOptima.Blancforecastsastrongereconomyandanupwardparallelshiftintheyieldcurve.Sheevaluatesthefollowingtwotrades:Trade1:Buya10-yearBalBB÷consumercyclicalsectorbondandsella10-yearBaa3BBB-consumercyclicalsectorbondofanotherissuerTrade2:Buya3-yearnon-callablebondwitha5%couponandsella3-yearnon-callablcbondwithazerocouponofthesameissuerandcreditqualityANSWERQUESTION3-CINTHETEMPLATEPROVIDEDONPAGE17.C.Determinetheexpectedeffect(negative,noeffect,positive)onIntrepid5Sperformancefromeachofthefollowingtrades,assumingBlanc,sforecastsarcrealized:i.Trade1ii.TrHde2JUStifyeachresponse.Note:Ignoretransactioncostsandassumevolatilityisconstant.(6minutes)BlancdecidestoaddanotherbondtotheIntrepidportfolio.Sheusesmean-reversionanalysistodeterminewhichofthethreebondsshowninExhibit1topurchase.Thethreebondshavesimilardurations.Theircreditspreadsarenormallydistributedandnostructuralchangesareexpectedinthemarket.Exhibit1ProposedBondPurchasesCreditSpreadandStandardDeviation(inbps)BondCurrentSpreadHistoricalMeanSpreadStandardDeviationofSpreadAries30021050Libra32023030Taurus34024040D.Determinethemostappropriatebondtopurchaseusingmean-reversionanalysis.Justifyyourresponse.(4minutes)ANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDCFAINSTITUTEUSEONLYAnswerQuestion3onThisPageAnswerQuestion3onThisPageTemplateforQuestion3-CNote:Ignoretransactioncostsandassumevolatilityisconstant.TradeDeterminetheexpectedeffect(negative,noeffect,positive)onIntrePid'sperformancefromeachofthefollowingtrades,assumingBlanc'sforecastsarerealized,(circleone)Justifyeachresponse.i.Trade1negativenoeffectpositiveii.Trade2negativenoeffectpositiveCFA 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ONLYAnswerQuestion3onThisPageTHISPAGEINTENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQUESTION4HASFIVEPARTS(A,B,C,D,E)FORATOTALOF20MINUTES.TheVizyonFoundationpromotesscientificresearchintheUS.Vizyon,sinvestmentportfolioisallocated60%toequitiesand40%tobonds.Giventhelow-returnenvironment,Vizyonisresearchingopportunitiestoexpandintodifferentassetsandhiresananalyst,OliviaAndrich,toleadthiseffort.VizyorfstrusteesareevaluatingtheexpectedimpactontheFoundation'sportfoliocharacteristicsiftheyreallocate10%ofexistingequitiestonon-leverageddirectrealestateinvestments.AndrichwantstodeterminetheindexthatbestrepresentstheportfoliocharacteristicsofdirectrealestateinvestmentsandexaminestheindicesinExhibit1.TheexpectedSharperatioofVizyon,scurrentportfoliois0.70.EXhibitlRealEstateIndexAnalysisIndexIndexCharacteristicsExpectedSharpeRatiooftheIndexNAREITSecurity-based0.81NAREIT(hedged)Security-based0.71NCRElFAppraisal-based0.79NCREIF(unsmoothed)Appraisal-based0.74A.DeterminethemostappropriateindextorepresenttheexpectedcharacteristicsofVizyon,sproposedinvestmentinrealestate.Justifyyourresponsewithtworeasons.(5minutes)ViZyon'strusteesrecentlyreceivedtworealestateinvestmentproposals.ThefirstproposalistoacquireaprivatelyownedshoppingcentervaluedatUSD230million.Thesecondproposalistoacquire10%oftheequityinapubliclylistedhotelchainwithaUSD2.3billionmarketcapitalization.AndrichsummarizesthekeypointsofthetwoproposalsinExhibit2.Sheexpectsahigherreturnfromtheshoppingcenter.Exhibit2SummaryrofInvestmentPn)PoSakDirectInvestmentinShoppingCenterLuxuryshoppingcenterlocatedinafashionabledistrict100%privatelyownedbytheoriginalownersincedevelopment7yearsagoFixedtransactioncostofUSD18millionPublicEquityInvestmentinHotelChainBudgethotelchainofferingaffordableaccommodationsacrosstheUSListedontheNewYorkStockExchangefor10years10millionsharesoutstandingEstimatedtransactioncostof18basispoints(bps)Hotelchain'sboardrejectedseveralbuyoutoffersfromdifferentinvestorsinthepast5yearsB.Discuss,basedonlyontheinfbnationprovided,threedisadvantagestoVizyonofadirectinvestmentintheshoppingcenterrelativetoaninvestmentinthepubliclytradedequityofthehotelchain.(6minutes)Next,Andrichconsidersaninvestmentindistresseddebt.Sheusesa3-yearhorizonforevaluatingtheinvestment.AndrichanalyzesKhepriCapital,anewlyformeddistresseddebthedgefund,andnotesthefollowingaboutKhcpri:1%annualmanagementfeeonaverageNAV15%pcrfbanccfeepaidmonthlyandcalculatedbasedonthemonthlychangeinNAV,subjecttoahigh-watermarkprovision3-ycarlock-upperiod14%ofNAVisinvestedinadistressedautomotivecompanythatrecentlyfiledforbankruptcyprotectionNAVperunitattheendofMaywasanewall-timehighofUSD3OOKhepriCapitaPssubsequentmonth-endNAVperunitwasUSD3,260inJune,USD2,900inJuly,andUSD3,140inAugust.Therewerenointerimcashflowsfromclientsduringthisthree-monthperiod,C.Calculatetheperformancefee(inUSDperunit)forthethreemonthsfromJunetoAugust.(3minutes)D.ExplainwhyKhepriCapitalissubjecttoJ-factorrisk.(3minutes)Andrichlearnsofacompetingdistresseddebthedgefundwithasimilarperformancefeeandexpectedreturn,butonlya1-yearlock-upperiod.AndrichcontactsKhepriCapitalandstatesthatsheisconsideringinvestinginthecompetitor'sfund.ArepresentativeforKhepriCapitalrepliesthatits3-yearlock-upperiodislikelytobemorefavorabletoVizyonthanthecompetitor's1-yearlock-upperiod.E.Supporttherepresentative'sreplyaboutKJiepriCapital'slock-upperiod.(3minutes)ANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDCFA 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ONLYAnswerQuestion4onThisPageTHISPAGEINTENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQUESTION5HASFoURPARTS(A,B,C,D)FORATOTALOF15MINUTES.JavierCostaisananalystforafundsponsorinLatinAmerica.Thefundsponsorusestwoequitymanagers(ManagerAandManagerB)andeachinvestsindevelopedandemergingmarkets.Costapreparesapcrfbnanceattributionanalysisforthetotalfund.Hcidentifiesthefund,ssourcesofreturnanddevelopsthemacroattributiontableinExhibit1.Exhibit1TotalFundLevelMacroAttributionfor1January-31MarchDecision-MakingLevel(InvestmentAlternative)FundValue(inUSD)IncrementalReturnContribution(%)IncrementalValueContributionZ(Withdrawa)(inUSD)Beginningvalue360,000,000一Risk-freeasset361,800,0000.501,800,000Assetcategory388,872,0007.5227,072,000Benchmarks389,376,0000.14504,000Investmentmanagers389,664,0000.08288,000Allocationeffects389,304,000-0.10(360,000)Totalfund389,304,0008.1429,304,000A.Demonstratewhetherthetotalfundoutperformedapureindexingstrategy.(3minutes)B.Determinehowmuchofthefund,sreturnwasduetoeachofthefollowing:i.Stylebiasii.Activemanagement(4minutes)CostagatherstheinformationinExhibit2toevaluatetheperfbranceOfManagerA.Exhibit2EquityManagerAValuationsandCashFlows(inUSD)DateContributionZ(WitIidrawal)MarketValue(AfterCashFlows)31March121,000,0008April13,000,000I35,OOO,OOO23April(8,000,000)127,000,00030April123,000,000C.Calculatethetime-weightedrateofreturnforManagerAforthemonthofApril.Showyourcalculations.(4minutes)Next,CostapresentsthemicroattributionanalysisforManagerBshowninExhibit3.ManagerB,sobjectiveistooutperfbnherbenchmarkthroughsuperiorsecurityselection.Exhibit3EquityManagerBMicroAttributionSectorPortfolioWeight(%)BenchmarkWeight(%)PortfolioReturn(%)BenchmarkReturn(%)Consumerdurables21.5328.709.474.16Energy34.9145.448.215.43Financial313511.796.824.98Technology122114.07-9.02-L71Totalportfolio100.00100.005.944.01D.CalculateeachofthefollowingforManagerB:i.PuresectorallocationreturnfortheFinancialsectorii.Within-sectorselectionreturnfortheTechnologysectorShowyourcalculations.Note:Ignoreinteractioneffects.(4minutes)ANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDLevelIHPage31AnswerQuestion5onThi