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1、Question:1Topic:PortfolioManagement-IndividualMinutes:36ReadingReferences:15.uManagingIndividualInvestorPortfolios,Ch.2ManagingInvestmentPortfolios:ADynamicProcess,3rdedition,JamesW.Bronson,MatthewH.Scanlan,andJanR.Squires(CFAInstitute,2007)20.ttGoaIs-BasedInvesting:IntegratingTraditionalandBehavior
2、alFinance,”DanielNevins,JournalofWealthManagement(InstitutionalInvestors,2004)Purpose:Testindividualportfoliomanagementconcepts.1.OS:2008-I11-4-15-j,k,1,n15.“ManagingIndividualInvestorPortfblios”Thecandidateshouldbeableto:j)explainhowtosetriskandreturnobjectivesforindividualinvestorportfoliosanddisc
3、usstheimpactthatabilityandwillingnesstotakeriskhaveonrisktolerance;k)identifyandexplaineachofthemajorconstraintcategoriesincludedinanindividualinvestorsinvestmentpolicystatement;1)formulateandjustifyaninvestmentpolicystatementforanindividualinvestor;n)compareandcontrasttraditionaldeterministicversus
4、MonteCarloapproachestoretirementplanningandexplaintheadvantagesofaMonteCarloapproach.1.OS:2008-11I-4-20-c,d20.t4Goals-BasedInvesting:IntegratingTraditionalandBehavioralFinance,c)justifytheuseofabsoluteperformanceandcashflowmatchingobjectivestomeetthegoalOflifcstylcprotection;d)comparelifestyleprotec
5、tionstrategieswithfixedhorizonstrategiesandexplainwhentheuseofeachapproachisappropriate.Question:1Topic:PortfolioManagement-IndividualMinutes:36GuidelineAnswer:PARTAi.ThereturnobjectivefortheCarvalhos,portfolioisto:-provideforthemortgagepaymentsforahome-supporttheirlivingexpensesinretirement-maintai
6、ntheinflation-adjustedvalueoftheportfolioii.CASHFLOWSCurrentYear1InflowsSalaryTrustDistributionsTotalInflows120,000124,800750,0000870,000124,800Outflows1.ivingExpensesDownpaymentonhomeMortgageonhomeTotalOutflows120,000124,800255,0000055,000375,000179,800NetInflowsZ(Outflows)495,000(55,000)INVESTABLE
7、ASSETSInvestableAssetsCurrentsavingsportfolioCurrentyearnetinflowTotalInvestableAssets500,000495,000995,000CALCULATIONOFREQUIREDRETURNOutflowsrequirednextyearDividedbyinvestableassets55,000995,000=5.53%PlusexpectedinflationRequiredAfter-TaxNominalReturn-arithmeticOrRequiredAfterTaxNominalReturn-geom
8、etric4.00%9.53%1.0553xL0400=9.75%Question:Topic: Minutes:1PortfolioManagement-Individual36PARTBTemplateforQuestionI-BiIdentifyAt笫factorsintheCarvaIhosSitUatiOnthatincreasetheirabilitytotakerisk.-Theyhavealongtimehorizon-Theyareyoungandhavemorehumancapital-Theywillreceiveanothertrustpayoutin10years-T
9、heywillpotentiallyinheritalargesumofmoneyfromMariana,sparents-TheyhavestableincomeiiIdentifyAvofactorsintheCarVaIhosSitUatiOnthatdecreasetheirabilitytotakerisk.-Theyhaveamoderateassetbaserelativetorequiredcashflowsfromtheportfolio-Thereisnoassurancethechildrenseducationwillbecoveredbyascholarshipand
10、thecostcouldbesubstantialiii.DeterminewhethertheCarvalhoshavebelow-average,average,orabove-averageabilitytotakerisk.(CirCIeOne)Below-averageAverageAbove-average)Question:1Topic:PortfolioManagement-IndividualMinutes:36PARTCTemplateforQuestionI-CConstraintPreparethefollowingconstraintsoftheCarvalhos,I
11、PS.i.LiquidityTheCarvalhosneedtheirinvestmentportfoliotoprovideBRL55,000fornextycar,smortgagepayment.ii.TimehorizonTheCarvalhoshavealong-termmulti-stagetimehorizon.Intheshortterm,theymustpaylivingexpensesandprovideahomefortheirfamily.Theymayalsohavetopaytuitionfortheirchildren.Theirsecondstageisreti
12、rement,thirtyyearsfromnow.PARTDi.TherevisedreturnobjectivefortheCarvalhos,portfolioisto:-provideforthemortgageontheirhome-supporttheirlivingexpensesinretirement-supportcharitableendeavorsinretirement-provideabequestfortheirchildren.ii.Theafter-taxnominalrateofreturnis8.48%.Thereturniscalculatedusing
13、thefollowinginputs:Mortgagepaymentsremaining5Annualmortgageamount$35,000Investmentportfoliovalue(current)$10,200,000Investmentportfoliovalue(target)$15,000,000UsingtheHP12-Ccalculator,thefollowingfiguresareusedinthecalculationwhensolvingfori:N=5,PV=10,200,000,PMT=-55,000,FV=-15,000,000,computei=8.48
14、%orN=5,PV=-10,200,000,PMT=55,000,FV=15,000,000,computei=8.48%Note:SalariesZexpensesareawash.Question:2Topic:PortfolioManagement-IndividuaIZBehavioralMinutes:9ReadingReferences:7.t4Heuristic-DrivenBias:TheFirstTheme,Ch.2,BeyondGreedandFear:UnderstandingBehavioralFinanceand?ePSyChOlOgyofInvesting,Hers
15、hShefrin(OxfordUniversitySchoolPress,2002)8.fctFrameDependence:TheSecondTheme；Ch.3,BeyondGreedandFear:UnderstandingBehavioralFinanceandthePsycholoofInvestingHcrshShcfrin(OxfordUniversitySchoolPress52002)11.InvestmentDecisionMakinginDefinedContributionPensionPlans,”Pensions,AlistairByrne,(PalgraveMcM
16、iIlan2004)13.ASurveyofBehavioralFinance/9Ch.18,HandbookoftheEconomicsofFinanceNicholasBarberisandRichardThaler(ElsevierScienceB.V.,2003)Purpose:Testbehavioralfinanceconceptsforindividual1.OS:2008-IlI-3-7-a7.Heuristic-DrivenBias:TheFirstTheme,Thecandidateshouldbeableto:a)evaluatetheimpactofhcuristic-
17、drivcnbiasesoninvestmentdecision-makingincludingrepresentativeness,overconfidence,anchoring-and-adjustment,andaversiontoambiguity.1.OS:2008III-38a,b8.FrameDependence:TheSecondThemeThecandidateshouldbeableto:a)explainhowlossaversioncanresultininvestors,willingnesstoholdontodeterioratinginvestmentposi
18、tions;b)evaluatetheimpactsthattheemotionalframesofself-control,regretminimization,andmoneyillusionhaveoninvestorbehavior;1.OS:2008-I11-3-ll-b11.InvestmentDecisionMakinginDefinedContributionPensionPlans”Thecandidateshouldbeableto:b)evaluatetheimpactsofstatusquobias,myopiclossaversion,1/ndiversificati
19、on,andtheendorsementcfibctonDCplanparticipantsinvestmentdecisionsandtheriskprofileoftheirinvestmentplans.Question:2Topic:PortfolioManagement-IndividuaIZBehavioralMinutes:9GuidelineAnswer:TemplateforQuestion2DonaIdson9SstatementSelectthebehavioralfinanceconceptbestexhibitedineachofDonaldson9Sthreesta
20、tements.Note:Nobehavioralfinanceconceptcanbeusedmorethanonce.(circleone)ExplainhowthebehavioralfinanceconceptyouselectedaffectsDonaldson5Sinvestmentdecisionmaking.Myfatherwasabuy-and-holdinvestorbutIamanactivetrader.Tokeeptradingcostslow,Iuseanonlinebrokeragefirm.Ihavedonewellinvestingintechnologyco
21、mpaniesbecauseIknowtheindustry.,NaivediversificationRepresentativenessRegretavoidanceSelf-controlDonaldsonknowsthetechnologyindustryandheconsidershimselfanexpertinvestor.OverconfidencefrequentlyleadstoexcessivetradingandUnderperfbnnance.“IamholdingalargepositioninOmegaCorporationwithalargeunrealized
22、loss.Omega,sstockpricedeclinedlastyearwhenreportedsalesandearningsfailedtomeetanalystexpectations.Itookadvantageofthedeclinetoincreasemyposition.Omegasalesgrowthhascontinuedtoslowoverthelastyear,butIbelievethestockisstillagoodinvestment.NaivediversificationOverconfidenceRepresentativenessRegretavoid
23、anceJSelf-controlDonaldson,sreluctancetosellhislosingpositionreflectsbothregretavoidanceandbeliefperseverance.Toavoidthestressassociatedwithadmittingamistake,hehopesthestockwillrecover.Despitenewinfbnation(slowingsalesandlowerthanexpectedsalesandearnings),Donaldsonhasheldontohisbeliefs.Hehasincrease
24、dhispositionratherthanadmitamistakebytakingtheloss.Question:2Topic:PortfolioManagement-IndividuaIZBehavioralMinutes:9TemplateforQuestion2(continued)DonaldsonsstatementSelectthebehavioralfinanceconceptbestexhibitedineachofDonaIdson9Sthreestatements.Note:Nobehavioralfinanceconceptcanbeusedmorethanonce
25、,(circleone)ExplainhowthebehavioralfinanceconceptyouselectedaffectsDonaIdSonsinvestmentdecisionmaking.Ireadanewspaperarticlereportingthatcommercialpropertyvaluesinthecityhaveincreased14percentannuallysince2000.Accordingtothearticle,theaveragecommercialpropertyinthecitysoldfor$1.5millionlastyear.This
26、makesmeveryhappybecauseIjustpurchasedapieceofcommercialpropertylastmonth.Thereisnodoubtthatitwillbeagoodinvestment.NaivediversificationOverconfidenceRepresentativenessRegretavoidanceSelf-controlDonaldsonmayhaveboughtlateinthecycle,butbelievesthatcommercialpropertyvalueswillcontinuetoincrease.Donalds
27、on,byrelyingontherepresentativenessheuristic,hasbecomeoverlyoptimisticaboutapastwinner.Question:3Topic:PortfolioManagement-InstitutionalMinutes:36ReadingReference:21.ManagingInstitutionalInvestorPortfblios,Ch.3,ManagingInvestmentPortfolios:ADynamicProcess,3rdedition,R.CharlesTschampion,LaurcnccB.Sie
28、gel,DeanJ.Takahashi,andJohnL.Maginn(CFAInstitute,2007)Purpose:Testinstitutionalportfoliomanagementconcepts1.OS:2008-111-21-b,c,d,e,f21.“ManagingInstitutionalInvestorPortfoliosThecandidateshouldbeableto:b)discussinvestmentobjectivesandconstraintsfordefined-benefitplans;c)evaluatepensionfundrisktolera
29、ncewhenriskisconsideredfromtheperspectiveofthe(1)plansurplus,(2)sponsorfinancialstatusandprofitability,(3)sponsorandpensionfundcommonriskexposures,(4)planfeatures,and(5)workforcecharacteristics;d)formulateaninvestmentpolicystatementforadefined-benefitplan;e)evaluatetheriskmanagementconsiderationsini
30、nvestingpensionplanassets;f)formulateaninvestmentpolicystatementforadcfincd-contributionplan;Question:3Topic:PortfolioManagement-InstitutionalMinutes:36GuidelineAnswer:PARTAThemostlikelyeffectofadecreaseinthediscountrateto6.5%from7.0%wouldbetoincreasethecalculatedpresentvalueofTEPP,sliabilities(i.e.
31、,projectedbenefitobligationorPBO).PARTBTheexcessreturntargetin2008willincreaseto3.0percentfrom2.5percent.Thisisbecausethetotalreturntarget,9.5%,in2008willremainthesameasin2007,butthediscountrateisreducedto6.5percentfrom7.0percent.Theexcessreturntargetfor2008iscalculatedasfollows.ArithmeticApproachGe
32、ometricApproach2007DiscountRate7.0%1.0700Plus:2007ExcessReturnTarget+2.5%1.02502007TotalReturnObjective9.5%1.0968-1=9.68%2008TotalReturnObjective95%1.0968Less:2008DiscountRate-6.5%1.06502008ExcessReturnTarget3.0%1.0298-1=2.98%PARTCTEPP,sriskobjectiveistoinvestsoastominimizetheprobabilitythatthemarke
33、tvalueofplanassetswillfallbelow65%ofPBO.Question:3Topic:PortfolioManagement-InstitutionalMinutes:36PARTDTemplateforQuestion3-DAttributeDeterminewhethereachofthefourattributesindicatesTEPP飞abilitytotakeriskisaboveorbelowtheairlineindustryaverage,(circleone)Justifyeachdeterminationbasedononecomparison
34、betweenTEPPandtheairlineindustryrelatedtotheattribute.Note:Considereachattributeindependently.i.sponsorfinancialconditionAboveTitan,sdebt/assetratioof.48ishigherthantheindustryaverageof.39.Titansoperatinglossmarginof(7.63%)isbelowtheindustryaveragelossmarginof(4.01%);ii.planfundingstatusAboveBelow2Z
35、TEPP,sfundinglevelof70%ofPBOislessthantheairlineindustryaverage.TEPPanticipatessponsorcontributionsofonly90%ofthepaymentstobeneficiaries,whichislessthanaveragefortheairlineindustry.iii.planprovisionsAboveTitanemployeesoverage50areallowedtoretireearly,whilemostairlineindustryemployeesarenotallowedtor
36、etireearly.TheearlyretirementfeatureincreasesthepresentvalueofTEPP,sbenefitpaymentscomparedtotheairlineindustry.Titan,sretiringparticipantshavetheoptiontoreceiveupto50%oftheirbenefitinalumpsum,whilemostairlineindustryemployeesdonothavethisoption.Thelump-sumoptionincreasesthepresentvalueofTEPP,sbenef
37、itpaymentscomparedtotheairlineindustry.BelowQuestion:3Topic:PortfolioManagement-InstitutionalMinutes:36iv. participant characteristicsAt47,theaverageageofTEPPparticipantsisolderthantheairlineindustryaverage,resultinginashorterdurationforTEPP,sliabilitiesthanthatoftheairlineindustry.At30%,theproporti
38、onofretiredlivesinTEPPisabovetheairlineindustryaverage,resultinginashorterdurationforTEPP,sliabilitiesthanthatoftheairlineindustry.PARTE1.iquidityrequirementsforTEPParedeteninedbytheexpectednetcashoutflowoftheplandefinedasthedifferencebetweenpaymentstobeneficiariesandcontributionsreceivedfromTitan.T
39、itan,splannedcontributionin2008of$927millionfallsshortofanticipatedbenefitspaymentsof$1,030million.Asaresult,TEPPexpectsanetcashoutflowin2008.Assumingthatexpectedcontributionsandbenefitsarerealized,TEPPwillhavealiquidityrequirementin2008of$103million,($1,030-$927).PARTFi.Benefitpaymentobligationsint
40、heretired-livespoolarcexposedtolessinflationriskbecause,unliketheactive-livespool,paymentsarefixedinnominaltermsanddonotadjustforinflation.Benefitpaymentobligationsintheactive-livespoolareexposedtomoreinflationriskthanintheretired-livespoolbecause,unliketheretired-livespool,activeTitanemployeesaccru
41、epensionbenefitsbasedonsalaryincreases,whichincludeinationasacomponent.ii.Liabilitiesintheactivc-livcspoolwillhavearelativelylongeraveragedurationthanliabilitiesintheretiredlivespool,reflectingthetimeremainingbeforeactiveemployeesretire.Activeemployeestendtobeyoungerthanretiredemployees.Theagediffer
42、enceisindicatedbythefactthattheminimumretirementageis50andthat30%ofallTEPPparticipantsareretired.PARTGBarrowsisincorrect.Titan,sriskmanagementcommitteeindicatedthatanasset-liabilitymanagement(ALM)objectivetomaintainthemarketvalueofpensionassetsatorabove65%ofPBO.FromanALMperspective,pensioninvestment
43、sshouldbemanagedrelativetopensionliabilitiesandnottoexternalindexbenchmarks.TheALMgoalistolimitthevolatilityoftheshortfall,butlargeholdingsinstockswillincreasethevolatilityoftheshortfallbecausechangesinequityvalueswillnotcorrelatecloselytochangesinthevalueofplanliabilities.Theshortfallstandspresentl
44、yat30%Ofliabilities.AdownwardmoveinstockpricesoccurringwhileTitanremainsunabletofullyfundtheplanwouldworsentheshortfall.Tateisincorrect.Themismatchbetweenshort-term,risk-freesecuritiesandthe14-yeardurationofTitan,spensionbenefitobligationimpliesthatchangesinassetvalueswillnotcorrelateQuestion:3Topic
45、:PortfolioManagement-InstitutionalMinutes:36closelytochangesinthevalueofplanliabilities,addingtothevolatilityofthefundingshortfall.Moreover,short-term,riskfreeassetswouldnotbeexpectedtoearnarateofreturnequaltotheactuarialdiscountrateduringaperiodinwhichanormal,upward-slopingyieldcurveprevails,causin
46、gtheshortfalltoworsen.Question:4Topic:PortfolioManagement-AssetAllocationMinutes:17ReadingReferences:25.AssetAllocation,Ch.5,ManagingInvestmentPortfolios:ADynamicProcess.3rdedition,WilliamF.Sharpe,PengChen,JeraldE.Pinto,andDennisW.McLeavey(CFAInstitute,2007)26.LinkingPensionLiabilitiestoAssets,”Aaro
47、nMederandRenatoStaub(UBSGlobalAssetManagement,2006)Purpose:Totestknowledgeanduseofassetallocation1.OS:2008-I11-07-25-d,e,f,m25.“AssetAllocationnThecandidateshouldbeableto:d)contrasttheasset-onlyandasset/liabilitymanagement(ALM)approachestoassetallocation;e)explaintheadvantageofdynamicoverstaticassetallocationandevaluatethetradeoffsofcomplexityandcost;f)evaluatereturnandriskobjectivesinrelationtostrategicassetallocation;m)formulateandjustifyastrategicassetallocation,givenaninvestmentpolicystatem
