《CFA三级写作课后题（2020.12）6.docx》由会员分享，可在线阅读，更多相关《CFA三级写作课后题（2020.12）6.docx（11页珍藏版）》请在课桌文档上搜索。
1、2020年12月CFA三级写作题FIXEDINCOMEPORTFOLIOMANAGEMENT今年由于疫情的缘故，CFA考试被迫延期。虽然给了大家更多的复习时间，但也不可掉以轻心。近年来，CFA考试的难度在逐步提高，并且在三级中更偏向实务与理论结合的考察。相比2019年考纲，2020年考纲发生了较多的变化。其中关于经济学的部分，更名为资本市场预期，并进行了重大改变；衍生产品与资产配置中的外汇管理合并在一起，并进行了较大的改写；另类投资的内容完全重新改写；交易与业绩评估合并在一起，并重新编写。而一向是考试重点的私人财富管理和机构组合管理也发生了较大变化，其中私人财富管理的第一个RCading重新编
2、写，而机构组合管理也进行了重新编写，这些变化需引起考生重视。为了全面应对考试，我们全面推出了的各种学习平台，如金程网校、手机APP、金程CFA答疑等活动，请各位充分利用。如有学术问题，请登录至金程网校提问。祝大家好运，顺利通过CFA三级考试，加油!FixedincomePortfolioManagementCase1:ChaoprayaAvChaoprayaAvisaninvestmentadvisorforhigh-net-worthindividuals.Oneofherclients,SchuylkillCy,planstofundhergrandson*scollegeeducatio
3、nandconsiderstwooptions:Option1Contributealumpsumof$300,000in10years.Option2Contributefourlevelannualpaymentsof$76,500startingin10years.Thegrandsonwillstartcollegein10years.Cyseekstoimmunizethecontributiontoday.ForOption1,Avcalculatesthepresentvalueofthe$300,000as$234,535.Toimmunizethefuturesingleou
4、tflow,Avconsidersthreebondportfoliosgiventhatnozero-coupongovernmentbondsareavailable.Thethreeportfoliosconsistofnon-callable,fixed-rate,coupon-bearinggovernmentbondsconsideredfreeofdefaultrisk.Avpreparesacomparativeanalysisofthethreeportfolios,presentedinExhibit1.Exhibit1ResultsofComparativeAnalysi
5、sofPotentialPortfoliosPortfolioAPortfolioBPortfolioCMarketvalue$235,727S233,428$235,306Cashflowyield2.504%2.506%2.502%Macaulayduration9.99810.29.503Convexity119.055121.498108.091AvevaluatesthethreebondportfoliosandselectsonetorecommendtoCy.1.RecommendtheportfolioinExhibit1thatwouldbestachievetheimmu
6、nization.Justifyyourresponse.TemplateforQuestion1RecommendtheportfolioinExhibit1thatwouldbestachievetheimmunization,(circleone)Justifyyourresponse.PortfolioAPortfolioBPortfolioCSolution:PortfolioAisthemostappropriateportfoliobecauseitistheonlyonethatsatisfiesthethreecriteriaforimmunizingasinglefutur
7、eoutflow(liability),giventhatthecashflowyieldsaresufficientlycloseinvalue:MarketValue:PortfolioAsinitialmarketvalueof$235,727exceedstheoutflowspresentvalueof$234,535.PortfolioBisnotappropriatebecauseitsmarketvalueof$233,428islessthanthepresentvalueofthefutureoutflowof$234,535.Abondportfoliostructure
8、dtoimmunizeasingleliabilitymusthaveaninitialmarketvaluethatequalsorexceedsthepresentvalueoftheliability.MacaulayDuration:PortfolioAsMacaulaydurationof9.998closelymatchesthe10-yearhorizonoftheoutflow.PortfolioCisnotappropriatebecauseitsMacaulaydurationof9.503isfurthestawayfromtheinvestmenthorizonof10
9、years.Convexity:AlthoughPortfolioChasthelowestconvexityat108.091,itsMacaulaydurationdoesnotcloselymatchtheoutflowamount.Oftheremainingtwoportfolios.PortfolioAhasthelowerconvexityat119.055;thislowerconvexitywillminimizestructuralrisk.Defaultrisk(creditrisk)isnotconsideredbecausetheportfoliosconsistof
10、governmentbondsthatpresumablyhavedefaultprobabilitiesapproachingzero.CyandAvnowdiscussOption2.Avestimatesthepresentvalueofthefourfuturecashflowsas$230,372,withamoneydurationof$2,609,700andconvexityof135.142.Sheconsidersthreepossibleportfoliostoimmunizethefuturepayments,aspresentedinExhibit2.Exhibit2
11、DataforBondPortfoliostoImmunizeFourAnnualContributionsPortfolioAPortfolioBPortfolioCMarketvalue$245,178$248,230$251,337Cashflowyield2.521%2.520%2.516%Macaulayduration2,609,9812,609,4422l609z707Convexity147.640139.851132.8652.DeterminethemostappropriateimmunizationportfolioinExhibit2.Justifyyourdecis
12、ion.TemplateforQuestion2DeterminethemostappropriateimmunizationportfolioinExhibit2.(circleone)Justifyyourresponse.Portfolio1Portfolio2Portfolio3Solution:Portfolio2isthemostappropriateimmunizationportfoliobecauseitistheonlyonethatsatisfiesthefollowingtwocriteriaforimmunizingaportfolioofmultiplefuture
13、outflows:MoneyDuration:Moneydurationsofallthreepossibleimmunizingportfoliosmatchorcloselymatchthemoneydurationoftheoutflowportfolio.Matchingmoneydurationsisusefulbecausethemarketvaluesandcashflowyieldsoftheimmunizingportfolioandtheoutflowportfolioarenotnecessarilyequal.Convexity:Giventhatthemoneydur
14、ationrequirementismetbyallthreepossibleimmunizingportfolios,theportfoliowiththelowestconvexitythatisabovetheoutflowportfoliosconvexityof135.142shouldbeselected.Thedispersion,asmeasuredbyconvexity,oftheimmunizingportfolioshouldbeaslowaspossiblesubjecttobeinggreaterthanorequaltothedispersionoftheoutfl
15、owportfolio.Thiswillminimizetheeffectofnon-parallelshiftsintheyieldcurve.Portfolio3,sconvexityof132.865islessthantheoutflowportfolio,sconvexity,soPortfolio3isnotappropriate.BothPortfolio1andPortfolio2haveconvexitiesthatexceedtheconvexityoftheoutflowportfolio,butPortfolio2sconvexityof139.851islowerth
16、anPortfoliosconvexityof147.640.Therefore,Portfolio2isthemostappropriateimmunizingportfolio.Theimmunizingportfolioneedstobegreaterthantheconvexity(anddispersion)oftheoutflowportfolio.But,theconvexityoftheimmunizingportfolioshouldbeminimizedinordertominimizedispersionandreducestructuralrisk.Afterselec
17、tingaportfoliotoimmunizeC/smultiplefutureoutflows,Avpreparesareportonhowthisimmunizationstrategywouldrespondtovariousinterestratescenarios.ThescenarioanalysisispresentedinExhibit3.Exhibit3ProjectedPortfolioResponsetoInterestRateScenariosImmunizingPortfolioOutflowPortfolioDifferenceUpwardparallelshif
18、tMarketvalue-6,410-6,42718Cashflowyield0.250%0.250%0.000%PortfolioBPV-9-8-1DownwardparallelshiftMarketvalue6,6266,6224Cashflowyield-0.250%-0.250%0.000%PortfolioBPV981SteepeningtwistMarketvalue-1,912347-2,259Cashflowyield0.074%-0.013%0.087%PortfolioBPV303FlatteningtwistMarketvalue1,9662,309Cashflowyi
19、eld-0.075%0.013%-0.088%PortfolioBPV3033.DiscusstheeffectivenessofAvsimmunizationstrategyintermsofdurationgaps.Asstrategyimmunizeswellforparallelshifts,withlittledeviationbetweentheoutflowportfolioandtheimmunizingportfolioinmarketvalueandBPV.Becausethemoneydurationsarecloselymatched,thedifferencesbet
20、weentheoutflowportfolioandtheimmunizingportfolioinmarketvaluearesmallandthedurationgaps(asshownbythedifferenceinPortfolioBPVs)betweentheoutflowportfolioandtheimmunizingportfolioaresmallforboththeupwardanddownwardparallelshifts.Asstrategydoesnotimmunizewellforthenon-parallelsteepeningandflatteningtwi
21、sts(i.e.fstructuralrisks)showninExhibit3.Inthosecases,theoutflowportfolioandtheimmunizingportfoliomarketvaluesdeviatesubstantiallyandthedurationgapsbetweentheoutflowportfolioandtheimmunizingportfolioarelarge.Case2:KatsukoZhaoKatsukoZhaoandJohanFlanderareportfoliomanagerswithCowilerInvestments,aUS-ba
22、sedcompany.Theyareassessingtheeffectoftheiryieldcurveforecastsontheirbondportfolios.Theyieldcurveiscurrentlyupwardsloping.Zhao,sportfolioiscurrentlyinvestedinUSTreasurysecurities.Zhaoforecastsaninstantaneousparalleldownwardshiftintheyieldcurve.Zhaoconsiderstwoalternativestorepositionhercurrentportfo
23、liogivenheryieldcurveforecastandassessesthetradeoffbetweenconvexityandyield.Exhibit1presentsallocationsforthecurrentandtwoalternativeportfolios.Thedurationsofthecurrentandalternativeportfoliosarecloselymatched.Exhibit1AllocationsforCurrentandAlternativePortfoliosRemainingTermCurrentAlternative1Alter
24、native22years3333%0.00%50.%10years33.33%100.00%0.00%20years33.33%0.00%50.%DeterminewhichalternativeportfolioinExhibit1wouldbemostappropriateforZhaogivenheryieldcurveforecast.Justifyyourselection.TemplateforQuestion1DeterminewhichalternativeportfolioinExhibit1wouldbemostappropriateforZhao,givenheryie
25、ldcurveforecast,(circleone)Alternative1Alternative2JustifyyourselectionSolution:Alternative2wouldbemostappropriate.Abarbellportfolio(Alternative2)hashigherconvexitythanabulletportfolio(Alternative1).Thehigher-convexitybarbellportfolio(Alternative2)willlikelyoutperformthebulletportfolio(Alternative1)
26、ifthereisaninstantaneousdownwardparallelshiftintheyieldcurvebecauseofthebarbellportfoliosgreatersensitivitytotheexpecteddeclineinyields.higherconvexitythanabulletportfolio.Inaninstantaneousdownwardparallelshift,thehigher-convexitybarbellportfoliowilloutperformthebulletportfoliobecauseofthebarbellpor
27、tfoliosgreatersensitivitytodecliningyields.Portfolioswithhigherconvexityaremostoftencharacterizedbyloweryields.Investorswillbewillingtopayforincreasedconvexitywhentheyexpectyieldstochangebymorethanenoughtocoverthegive-upinyield.BasedonZhao,sforecastofaninstantaneousparalleldownwardshiftintheyieldcur
28、ve,shealsoconsiderssellingaportionoftheUSTreasurysecuritiesinherportfolioandbuyingoneofthefollowingtwoinvestments:Investment1Amortgage-backedsecurity(MBS)Investment2Anear-the-moneycalloptionon20-yearTreasurybondfuturesTheeffectivedurationoftheresultingportfoliowillbecloselymatchedtoZhao,scurrentport
29、folio.2.DeterminewhichinvestmentwouldbemostappropriateforZhaogivenheryieldcurveforecast.Justifyyourresponse.TemplateforQuestion2DeterminewhichinvestmentwouldbemostappropriateforZhao,givenheryieldcurveforecast,(circleone)Investment1Investment2Justifyyourresponse.Solution:Investment2isthemostappropria
30、teinvestmentchoicegivenZhao,syieldcurveforecast.Purchasinganear-the-moneycalloptiononTreasurybondfutureswouldaddconvexityandbetterpositiontheportfoliofortheforecasteddownwardparallelshiftintheyieldcurve.BuyinganMBSwoulddecreaseconvexity,whichwouldnotbeidealgivenZhao,sexpectationofadownwardparallelsh
31、iftintheyieldcurve.Inthecaseofaninstantaneousdownwardparallelshiftintheyieldcurve,aportfoliowithaddedconvexityresultingfromthepurchaseofanear-the-moneyoptiononTreasurybondfutureswouldincreaseinvaluemorethanaportfoliowithoutthecalloption.PurchasinganMBSwoulddecreaseconvexity,whichwouldnotbeidealgiven
32、Zhao,sexpectationofaninstantaneousdownwardparallelshiftintheyieldcurve.Therewouldbenosignificanteffectontheportfolioresultingfromdurationbecausethedurationsarecloselymatched.Flanderforecaststhattheyieldcurvewillsteepenoverthenext12months,withlongratesremainingthesameandshortandintermediateratesfalli
33、ng.Flanderevaluatestheeffectoftheseinterestratechangesonhisthreebondportfolios.Thepartialorkeyratepricevalueofabasispoint(PVBP)dataforFlander,sthreeportfoliosispresentedinExhibit2.Exhibit2PartialorKeyRatePVBPsforShort,Intermediate,andLong-TermMaturitiesTotalShortIntermediateLong2years33.33%0.00%50.0
34、0%0.019110years33.33%100.%0.00%0.019320years33.33%0.00%50.00%0.01023.DeterminewhichportfolioinExhibit2willmostlikelyhavethebestperformanceoverthenext12monthsgivenFlander,syieldcurveforecast.Justifyyourresponse.TemplateforQuestion3DeterminewhichportfolioinExhibit2willmostlikelyhavethebestperformanceo
35、verthenext12monthsgivenFlander,syieldcurveforecast,(circleone)PortfolioAPortfolioBPortfolioCJustifyyourresponse.Solution:PortfolioCwillmostlikelyhavethebestperformancegivenFlander,syieldcurveforecast.PortfolioCshouldoutperformbothPortfolioAandPortfolioBiftheyieldcurvesteepens,becauseofPortfolioCshig
36、herpartialPVBPsforshort-andintermediate-termbonds.PortfolioCisexpectedtooutperformPortfolioAandPortfolioBiftheyieldcurvesteepens,becauseofPortfolioCshigherpartialPVBPsforshort-andintermediate-termbonds.InFIanderzSforecastforayieldcurvesteepening,longyieldswillremainthesamezandshortandlong-termyieldi
37、snotexpectedtochange.Adecreaseinboththeshort-termandintermediate-termrates,however,willcausepriceincreasesinshort-termandintermediate-termbonds.BecausePortfolioChasthehighestpartialPVBPsinbothshort-termandintermediate-termbonds,PortfolioCwouldhavethebestperformanceinthisyieldcurvescenario.Portfolios
38、AandBwouldbeexpectedtounderperformPortfolioCiftheyieldcurvesteepens.PortfoliosAandBhavelowerpartialPVBPsforbothshort-termandintermediate-termbondsthanPortfolioC.Flanderevaluatesanewbulletportfolioandanewbarbellportfolio,eachwitha12-monthtimehorizon,usingzero-couponnotesissuedbytheAustraliangovernmen
39、t.Flanderprojectsthatoverthenext12months,theAustralianzero-couponyieldcurvewillexperienceadownwardparallelshiftof60bps.TheAustraliandollarisprojectedtoremainstablerelativetotheUSdollar.Exhibit3presentsthedataforthetwoportfolios.Exhibit3SelectedDataforAustralianBulletandBarbellPortfolioIntermediateLo
40、ngInvestmenthorizon(years)1.01.0Averagebondpriceforportfoliocurrently98.0098.Averagebondpriceforportfolioinoneyear(assumingstableyieldcurve)99.75100.00Expectedeffectivedurationforportfolio(atthehorizon)3.953.95Expectedconvexityforportfolio(atthehorizon)19.5034.00Expectedchangeingovernmentbondyieldcu
41、rve0.60%-0.60%4.CalculatethetotalexpectedreturnforthebulletandbarbellportfoliospresentedinExhibit3.Showyourcalculations.Identifythecomponentfactorthatcontributesmostoftheoutperformanceofthehigher-performingportfolio.TemplateforQuestion4Calculatethetotalexpectedreturnforthebulletandbarbellportfoliosp
42、resentedinExhibit3.Showyourcalculations.Identifythecomponentfactorthatcontributesmostoftheoutperformanceofthehigher-performingportfolio.Solution:TemplateforQuestion4CalculatethetotalexpectedreturnforthebulletandbarbellportfoliospresentedinExhibit3.Showyourcalculations.ReturnComponentFormulaPortfolio
43、PerformanceBulletBulletYieldincomeAnnualCouponPaymentCurrentBondPriceThebulletandbarbellportfolioscontainonlyzero-couponbonds,sothereisnoyieldincome.0O+Rolldownreturn(99.75-98.00)/98.00=1.7857%(100.00一98.00)/98.00=2.0408%=RollingyieldYieldIncome+RolldownReturn0+1.7857%=1.7857%0+1.7857%=1.7857%+E(Cha
44、ngeinpricebasedonyieldview)-3.95X(-0.60%)+x19.5x(-0.60%)2=2.4051%-3.95(-0.60%)+34(-0.60%)2=2.4312%=TotaIexpectedreturn4.1908%4.4720%Identifythecomponentfactorthatcontributesmostoftheoutperformanceofthehigher-performingportfolio.Thebarbellportfoliooutperformsthebulletportfoliobyapproximately28bps.Rol
45、ldownreturncontributesthemajorityofbarbelloutperformance(approximately25.5bpsofoutperformance),likelyresultingfromstrongpriceappreciationoflonger-maturityzeros.Thegreaterconvexityofthebarbellportfoliocontributedasmallamount(approximately2.6bps)Ofoutperformance.Rolldownreturnisthecomponentfactorthatc
46、ontributesmostoftheapproximately28-bpoutperformanceofthebarbellportfoliocomparedwiththebulletportfolio.Thebulletandbarbellportfolioscontainonlyzero-couponbonds,sotheyieldincomeiszero.Rolldownreturn(androllingyield)contributedapproximately25.5bpsofoutperformance(i.e.,2.0408%-1.7857%),andthegreatercon
47、vexityofthebarbellportfoliocontributedjustover2.6bpsofoutperformance(i.e.,2.4312%-2.4051%).Thestrongrolldowncontributionislikelydrivenbythestrongerpriceappreciation(underthestableyieldcurveassumption)oflonger-maturityzerosinthebarbellportfoliorelativetothepriceappreciationoftheintermediatezerosinthebulletportfolioasthebondsridethecurveovertheone-yearhorizontoashortermaturity.Inthisparticularcase,rollingyieldandrolldownreturnareequal,becauseyieldincomeiszero.
