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1、Question:#1Topic:InstitutionalPMMinutes:20ReadingReferences:#13-fc4ManagingInstitutionalInvestorPortfbIiOSJbyR.CharlesTschampion,CFA,LaurenceB.Siegel,DeanJ.Takahashi,andJohnL.Maginn,CFA1.OS:Thecandidateshouldbeableto:a.contrastadefined-benefitplantoadcfined-contributionplananddiscusstheadvantagesand
2、disadvantagesofeachfromtheperspectivesoftheemployeeandtheemployer;b.discussinvestmentobjectivesandconstraintsfordefined-benefitplans;c.evaluatepensionfundrisktolerancewhenriskisconsideredfromtheperspectiveofthe1)plansurplus,2)sponsorfinancialstatusandprofitability,3)sponsorandpensionfundcommonriskex
3、posures,4)planfeatures,and5)workforcecharacteristics;d.prepareaninvestmentpolicystatementforadefined-benefitplan;e.evaluatetheriskmanagementconsiderationsininvestingpensionplanassets;f.prepareaninvcsncntpolicystatementforaparticipantdirecteddcfincd-contributionplan;g.discusshybridpensionplans(e.g.,c
4、ashbalanceplans)andemployeestockownershipplans;h.distinguishamongvarioustypesoffoundations,withrespecttotheirdescription,purpose,andsourceoffunds;icomparetheinvestmentobjectivesandconstraintsoffoundations,endowments,insurancecompanies,andbanks;j.discussthefactorsthatdetermineinvestmentpolicyforpensi
5、onfundsfoundationendowments,lifeandnon-lifeinsurancecompanies,andbanks;k.prepareaninvestmentpolicystatementforafoundation,anendowment,aninsurancecompany,andabank;1.contrastinvestmentcompanies,commoditypools,andhedgefundstoothertypesofinstitutionalinvestors;paretheasset/liabilitymanagementneedsofpens
6、ionfunds,foundations,endowments,insurancecompanies,andbanks;paretheinvestmentobjectivesandconstraintsofinstitutionalinvestorsgivenrelevantdata,suchasdescriptionsoftheirfinancialcircumstancesandattitudestowardrisk.Answer QuestionI-Aon This Page1-A.Calculatethereturnrequirementtofullyfundeachsubscript
7、ionoption.Determinewhichsubscriptionoptionismostappropriatefortheendowment,givenitsobjectiveandriskmanagementpractices.Justifyyourresponse.Note:Usearithmeticreturns,ratherthangeometricreturns,forthereturnrequirementcalculations.BasicTheinvestablebaseafterpaymentoftheone-timeimmediateinitiationfeeis:
8、InvestablebaseBaSiC=USD21,000,000-USD500,000=USD20,500,000Thereturnrequirementiscalculatedusingthesumoftheannualsubscriptionexpenseasapercentageoftheinvestablebase,themanagementfees,andtotalpriceinflation.USD800,000/USD20,500,000=.0390=3.9%ReturnrequirementBasic=3.9%+0.5%+2%+1%=7.4%PremiumTheinvesta
9、blebaseafterpaymentoftheone-timeimmediateinitiationfeeis:Investablebasepremium=USD21,000,000一USD1,000,000=USD20,000,000Thereturnrequirementiscalculatedusingthesumoftheannualsubscriptionexpenseasapercentageoftheinvestablebase,themanagementfees,andtotalpriceinflation.USD1,000,000/USD20,000,000=.0500=5
10、.0%Returnrequirementpremium=5.0%+0.5%+2%1%=8.5%TheBasicoptionismostappropriatebecauseitsreturnrequirementisbelowtheendowmentsreturnexpectation.Theexpectedportfoliosurpluscanthenbeusedasacushiontomaintainpurchasingpowerifinvestmentperfbrancedeterioratesintheshortterm.ThePremiumoptionisnotappropriateb
11、ecauseitsreturnrequirementexactlyequalstheendowmentstotalreturnexpectation.Thiswouldmostlikelyimpairtheportfblio,sabilitytomaintainpurchasingpowerduetothevolatilityoftheendowment,sexpectedreturns.MonteCarlosimulationsshowthatthereturnrequirementcanbesafelysetequaltothereturnexpectationonlyifexpected
12、returnshavenovolatility.Answer QuestionI-Bon This PageIBDiscuss,otherthantheportfolioreturnrequirement,onefactorthat:(seei.andii.below)Note:Restatingcasefactswithoutadditionalsupportwillnotreceivecredit.i.decreasestheendowmentsabilitytotakerisk.Thefactors(unrelatedtothereturnrequirement)thatdecrease
13、theendowmentsabilitytotakeriskareasfollows:Theendowmentssupporttotheuniversityisessentialinkeepingtheuniversitycompetitive.Therefore,disruptioninthesubscriptionserviceduetopoorreturnswouldhaveseriousconsequences.Theendowmentisnotexpectedtoreceiveanydonationsintheforeseeablefuture.Lackofadditionalcon
14、tributionslimitsthesizeoftheinvestablebaseandreducestheportfoliosabilitytoabsorblosses.ii.increasestheendowmentsabilitytotakerisk.Thefactors(unrelatedtothereturnrequirement)thatincreasetheendowmentsabilitytotakeriskarcasfollows:Theinvestmenthorizonisperpetual,allowingtimetomakeupforpoorshort-terminv
15、estmentreturns.Thefundreinvestsanysurplus,resultinginanincreasedabilitytomaintainpurchasingpower.AnswerQuestionDeterminewhetherthefoundationsabilitytotakeriskislowerthan,thesameas,orhigherthanthatoftheSophoCollegelibraryendowment,(circleone)onThisPageJustifyryourresponsewithtworeasons.ThePrairieFoun
16、dationsabilitytotakeriskishigherthanthatoftheSophoCollegeendowmentforthefollowingreasons:lowerthanTheSophoCollegeendowmentdoesnotexpectanyfuturedonations,whereasthePrairiefoundationrecentlyreceivedasubstantialcommitmentrelativetoitsmarketvalue.ThePrairieFoundationdoesnothaveacommitmenttofundspecific
17、grants,whereastheSophoCollegeendowmentsonlypurposeistofullyfundthelibrary,sannualonlinesubscriptionexpensesPrairie,sreturnrequirement(4.3%spendingrate+0.2%managementfees+2.0%inflation=6.5%)islowerthanthatofSopho(7.4%).thesameashigherthanAnswerQuestionI-DonThisPageJustify your response.Determinewheth
18、erthefoundation,stargetspendingforthecomingyearwillbelower,thesame,orhigherusingthenewspendingruleinsteadoftheoldspendingrate.(circleone)Thefoundationtotaltargetspendingforthecomingyearwillbehigherusingthenewspendingrulebecausehigherportfoliovaluesintheearlieryearsmaketherollingthree-yearaveragehigh
19、erthanthelowerrecentportfoliovalue.Whilethe4.3%spendingrateremainsthesame,thetargetspendingwillbehigherusingthenewrule.lowerthesameIhigherQuestion:#2Topic:FixedIncomeMinutes:22ReadingReferences:#22-fcTixed-IncomePortfolioManagementPartII,byH.GiffbrdFongandLarryD.Guin,DBA,CFA1.OS:Thecandidateshouldbe
20、ableto:a.evaluatetheeffectofleverageonportfoliodurationandinvestmentreturns;b.discusstheuseofrepurchaseagreements(repos)tofinancebondpurchasesandthefactorsthataffcctthereporate;c.critiquetheuseofstandarddeviation,targetsemivariance,shortfallrisk,andvalueatriskasmeasuresoffixed-incomeportfoliorisk;d.
21、demonstratetheadvantagesofusingfuturesinsteadofcashmarketinstrumentstoalterportfoliorisk;e.fbnulateandevaluateanimmunizationstrategybasedoninterestratefutures;f.explaintheuseofinterestrateswapsandoptionstoalterportfoliocashflowsandexposuretointerestraterisk;paredefaultrisk,creditspreadrisk,anddowngr
22、aderiskanddemonstratetheuseofcreditderivativeinstrumentstoaddresseachriskinthecontextofafixed-incomeportfolio;h.explainthepotentialsourcesofexcessreturnforaninternationalbondportfolio;ievaluate1)thechangeinvalueforaforeignbondwhendomesticinterestrateschangeand2)thebondscontributiontodurationinadomes
23、ticportfolio,giventhedurationoftheforeignbondandthecountrybeta;j.recommendandjustifywhethertohedgeornothedgecurrencyriskinaninternationalbondinvestment;k.describehowbreakevenspreadanalysiscanbeusedtoevaluatetheriskinseekingyieldadvantagesacrossinternationalbondmarkets;1.discusstheadvantagesandriskso
24、finvestinginemergingmarketdebt;discussthecriteriaforselectingafixed-incomemanager.Answer Question2-Aon This Page2-A.CalculatethepercentageofMacDougasdomesticgovernmentportfoliothatshouldbeallocatedto10-yearTauraviagovernmentbondstodecreasetheportfblio,sdurationto6.00.Showyourcalculations.Theduration
25、attributedtoaforeignbondinthedomesticportfolioisfoundbymultiplyingthebond,scountrybeta(0.50)bythebond,sdurationinlocalterms(8.00).ThedurationoftheTauraviabondsheldbyinvestorsinScorponia=0.50x8.00=4.00.Becausethedurationoftheportfolio(Ml)istheweightedaverageofthedurationsofitsfixedincomeinvestments,h
26、=(weightofScorponiaXScorponiaduration)+(weightOfTauraviaTauraviaduration).Withonlytwoinvestments,theweightofScorponia=1weightofTauravia=(1-W力Giventhetargetdurationof6.00,theweightofTauraviabondsis:M7p=(I-W)XDwD6.00=(1-Wr)750)$(WT及4.00)6.00=7.50一7.50w丁+4.00Wr-1.50=-3.50WTWt=42.86%TheweightOfTauraviab
27、ondsintheportfolioneededtoachieveaportfoliodurationof6.00is42.86%.Answer Questionon This Page2-B.Calculatetheminimumchange(inbps)intheyieldfortheTauraviabondthatwouldeliminateitsquarterlyyieldadvantagerelativetotheScorponiabond.Showyourcalculations.Note:Ignoretheimpactofcurrencymovements.Thebreakeve
28、nspreadwideninganalysisisbasedonthehigherofthetwobondsdurations.BecauseTauraviabonds*durationishigherthantheScorponiabondsduration,theanalysisisbasedonchangesintheyieldforTauraviabonds.TheyieldspreadbetweentheTauraviaandScorponiabondsis320basispoints(7.50%-4.30%),sothequarterlyyielddifferentialis0.8
29、0%or80basispoints(320/4).Thechangeinpricewillneedtoeliminatethatadvantage.LetWdenotethespreadwidening.Changeinprice=DurationChangeinyield:80bps=8.0W.Thespreadwidening(W)thatwouldeliminatethequarterlydifferentialbetweenthebondsis10bpsor0.10%.IftheyieldinTauraviabondsincreasesby10basispoints,thequarte
30、rlyyieldadvantagefromTauraviabondswillbeeliminatedforScorponiainvestors.Answer Question2-Con This Page2-C.DeterminewhethertheTauraviabondswouldhaveahigherexpectedreturnoverthecomingyearifthecurrencyexposureisfullyhedgedorunhedged.Justifyyourresponse.Showyourcalculations.Note:AssumeMacDougasspotexcha
31、ngerateforecastiscorrectandtherearenochangesintheyieldcurves.TheTauraviabondshaveahigherexpectedreturnifunhedged.Theunhedgedreturnisapproximatelyequaltotheforeignbondreturninlocalcurrencyterms,r/,plusthecurrencyreturn,e,whichistheexpectedpercentagechangeinthespotexchangeratestatedintermsofthehomecur
32、rencyperunitofforeigncurrency.Theunhedgedreturn+e.TheexpectedchangeinthespotrateoftheTRFis:C(St+SJJSt=(1.972.00)/2.00=-0.015or-1.5%TheunhedgedreturnH7.50%+(-1.50%)=6.00%.IfMacDougalhedgesthecurrencyriskusingaforwardcontract,thehedgedreturnwillbeapproximatelyequaltothelocalriskpremium,plusthedomestic
33、interestrate.Altcniatively,thehedgedreturnisapproximatelyequaltothelocalreturnplustheforwardpremium(thedifferencebetweenthedomesticandforeignrisk-freeinterestrates).Thisistruebecause,byenteringintotheforwardcontract,MacDougalwouldbeeffectivelypayingtheforeigninterestrateandearningthedomesticinterest
34、rate.Therefore,thefullyhedgedreturnis:HedgedReturn+(if)=+().Thefullyhedgedreturn1.80%+(7.50%-4.00%)=1.80%+3.50%=5.30%.Alternatively,theexpectedcurrencychangeof-1.50%isgreaterthantheTRFforwardpremiumof-2.20%(=1.80%-4.00%)underIRP.Therefore,theexpectedcurrencylossislessifthebondisunhedgedthanifitished
35、ged,andtheTauraviabondshaveahigherexpectedreturnifunhedged.Alternativeresponse:ThesameconclusioncanbereachedbycomparingtheIRPforwardratewiththefutureforecastspotexchangerate.Futureforecastexchangerate=1.97SCF/TRFTheIRPforwardratecanbecalculatedas:2.00spotrate(1.018/1.04)=1.9577SCF/TRFSincetheIRPforw
36、ardrateislowerthanthefutureforecastspotexchangerate,thecurrencyriskshouldbeleftunhedged.AnswerQuestion2-DonThisPageHedgingstrategySelect,foreachofthefollowing,themostappropriatehedgingstrategy(buylongorsellshort)thatwouldaddressMacDougaPsconcernusingacreditspread:(circleone)Determinewhethereachstrat
37、egyhasanegative,zero,orpositivepayofftoEtherealifthecreditspreadis150bpsatexpiration,(circleone)i.forwardcontract.buyIOngsellshortnegativezerobsitiveii.calloptioncontract.buyIOngsellshortnegativezeropositiveThefollowingexplanationsareprovidedforinformationalpurposes.i.ForwardcontractGivenMacDougalls
38、concernsaboutacreditspreadincrease,heshouldbuythecreditspreadforwardcontract(long).Ifthecreditspreadwidensto150bps,thestrategywouldhaveapositivepayoff.Payofffromthecreditspreadforward=(Creditspreadatforwardcontractmaturity一Contractedcreditspread)NotionalamountRiskfactor.Payoff=(150bps-100bps)Notiona
39、lamountXRiskfactor,whichispositive.ii.CalloptioncontractGivenMacDougasconcerns,heshouldbuyacreditspreadcalloption(long).Ifthecreditspreadwidensto150bps,thestrategywouldhaveapositivepayoff.Payoff=Max(Sreadattheoptionmaturity一creditstrikespread)NotionalamountXRiskfactor,0=Max(150bps-100bps)NotionalAmo
40、untXRiskfactor,0,whichispositive.Answer Question2-Eon This PageDeterminewhetherMacDougalshouldbuyorsellinterestratefuturestoachievehisdurationobjective,(circleone)CalculatethenumberofcontractsMacDougalshouldtrade.Showyourcalculations.IbUylBecauseMacDougalhasatargetdurationgreaterthanthecurrentdurati
41、on,heshouldpurchasefuturescontractstoachievethatobjective.Tolengthentheportflio,sdurationtotheobjectiveof10.00,thenumberofcontractsthatneedtobepurchasedcanbeestimatedby:(DTD)PNumberofContracts=-111XConversionFactorofCTDbondCTDPCTDWhere:QT=thetargetdurationoftheportfolioDl=theinitialdurationoftheport
42、folioP/=theinitialmarketvalueoftheportfolioDctd=thedurationofthecheapest-to-deliverbondPctd=thepriceofthechcapcst-to-dcliverbondsell(10.00-8.00)200,000,000NumberofContracts=0.85=432.24contracts7.6X103,500MacDougalshouldbuy432contractstoachievehisobjective.Question:#3Topic:EquityMinutes:19ReadingRefe
43、rences:#23-uEquityPortfolioManagemenLbyGaryL.Gastineau,AndrewR.OIma,CFA,andRobertG.Zielinski,CFA1.OS:Thecandidateshouldbeableto:a.discusstheroleofequitiesintheoverallportfolio;b.discusstherationalesforpassive,active,andsemiactive(enhancedindex)equityinvestmentapproachesanddistinguishamongthoseapproa
44、cheswithrespecttoexpectedactivereturnandtrackingrisk;c.recommendanequityinvestmentapproachwhengivenaninvcstor,sinvestmentpolicystatementandbeliefsconcerningmarketefficiency;d.distinguishamongthepredominantweightingschemesusedintheconstructionofmajorequitymarketindicesandevaluatethebiasesofeach;parea
45、lternativemethodsforestablishingpassiveexposuretoanequitymarket,includingindexedseparateorpooledaccounts,indexmutualfnds,exchange-tradedfunds,equityindexfutures,andequitytotalreturnswaps;parefullreplication,stratifiedsampling,andoptimizationasapproachestoconstructinganindexedportfolioandrecommendana
46、pproachwhengivenadescriptionoftheinvestmentvehicleandtheindextobetracked;g.explainandjustifytheuseofequityinvestment-styleclassificationsanddiscussthedifficultiesinapplyingstyledefinitionsconsistently;h.explaintherationalesandprimaryconcernsofvalueinvestorsandgrowthinvestorsanddiscussthekeyrisksofea
47、chinvestmentstyle;icomparetechniquesforidentifyinginvestmentstylesandcharacterizethestyleofaninvestorwhengivenadescriptionoftheinvestorssecurityselectionmethod,detailsontheinvestorssecurityholdings,ortheresultsofareturnsbasedstyleanalysis;parethemethodologiesusedtoconstructequitystyleindices;k.interprettheresultsofanequitystyleboxanalysisanddiscusstheconsequencesofstyledrift;1.distinguishbetweenpositiveandnegativescreensinvolvingsociallyresponsibleinvestingcriteriaanddiscusstheirpotentialeffectsonaportfblio,sstylecharact
