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1、Question:1Topic:IndividualPortfolioManagementMinutes:35QUESTION1HASFIVEPARTS(A,B,CD,E)FORATOTALOF35MINUTES.ElisaLimaisa34-year-oldwidowresidinginacountrythatusesU.S.dollars(USD)asitscurrency.Shehastwochildren:age10andage6.LimaworksasthedirectorofmarketingatRelexCorporation.Exhibit1presentsdetailsoft
2、hefinancialenvironmentinLima,shomecountry.Exhibit1SelectedDatafromLimasHOmeCountryTaxesFlatincometaxrateof25%.Wages,realizedcapitalgains,andinterestaretaxedasincome.Dividendsarenottaxed.Realizedlossesmaybeoffsetagainstincomeandmaybecarriedforwardtooffsetincomeinfutureyears.HealthinsuranceGovernmentp
3、rovidesatnodirectcosttocitizens.Tax-deferredaccounts(TDAs)ContributionsarepretaxandannualmaximumisUSD40,000.Incomeandgainsgrowtax-dcfbrrcdandportfolioreallocationsarenotsubjecttotax.Incometaxesarepaidonfullamountofwithdrawals.Nopenaltiesonwithdrawalsforhousingoreducation.1.imascurrentpretaxannualcom
4、pensationisUSD140,000andhercurrentannuallivingexpensesareUSD96,000.Herfuturesalaryincreasesareexpectedtomatchanyincreasesinlivingexpensesonapretaxbasis.Limaisingoodhealth,ownsherhome,andhasnodebt.1.imaisadisciplinedinvestor,butarecentequitymarketdeclinecausedhergreatanxiety.Sheisworriedaboutherabili
5、tytofundherchildrenseducationandherretirement.Limameetswithherfinancialadvisor,MarkDuBord,toreviewherfinancialplan.DuBordnotesthefollowingfactors:1.imainvestsUSD12,000(pretax)inaTDAattheendofeveryyearandintendstocontinuedoingsountilsheretires.ThecurrentvalueoftheTDAisUSD250,000.1.imamakesannualcontr
6、ibutionstocharityofUSD6,000.Thesecontributionsarcincludedinherannuallivingexpenses.Shewillprepayherchildrensfutureeducationcostsattheendofthisyear.LimaparticipatesinRelex,sexecutiveretirementprogram.Atthemandatoryretirementageof60,shewillreceiveapretaxpaymentofUSD1,000,000.Question:Topic:Minutes:#1I
7、ndividualPortfolioManagement35DuBorddeterminesthattheprepaideducationcostsforbothchildrenwillrequireatotalofUSD50,000,includingalltaxes.HerecommendsthatLimapurchasealifeannuitytofundherretirement.DuBordcalculatesshewillneedUSD3,000,000(pretax)topurchasetheannuityatage60.LimaagreeswithDuBord,srecomme
8、ndation.Question:1Topic:IndividualPortfolioManagementMinutes:35A.FormulateeachofthefollowingconstraintsofLima,sinvestmentpolicystatement(ips)：i.liquidityii.timehorizon(4minutes)Oneyearlater,afterprepayingherchildren,seducationcostsandaftermakingherannualTDAcontribution,LimahasUSD225,000investedinher
9、TDA.Limasotherfinancialinformationremainsthesame.B.i.StatethereturnobjectiveportionofLimasIPS.ii.CalculateLima,srequiredaverageannualpretaxnominalrateofreturnuntilherretirementin25years.Showyourcalculations.(12minutes)DuBordalsoadvisesAbellaRual,Lima,ssister,a37-year-oldsinglewomanwithnochildren.Rua
10、lworksasabankruptcylawyerandispresidentofherownfirm.RuasannualincomeisUSD450,000andherannuallivingexpensesareUSD180,000.Sheisingoodhealth,ownsherhome,andhasnodebt.RuasinvestmentportfolioiscurrentlyvaluedatUSD1,500,000.Rualisconfidentthatlongtermequitymarketreturnswillmorethanoffsetlossesinmarketdown
11、turns.Shecontinuestoinvestregularly.Rualplanstoretireatage52,sellherbusiness,anddonatetheproceedstocharity.Herinvestmentportfoliowillfundherretirementexpenses.C.i.IdentifytwofactorsthatincreaseLia,sabilitytotakerisk,ii.IdentifyfwofactorsthatincreaseRuasabilitytotakerisk.(8minutes)D.DeterminewhetherL
12、imaorRualhasagreaterwillingnesstotakerisk.Justifyyourresponsewithonereason.(3minutes)DuringarecentreviewwithRual,DuBordnotesthattaxlawchanges,effectivenextyear,willlowerthetaxoncapitalgainsto15%buteliminatetheabilitytooffetincomewithrealizedlosses.TominimizeRuastaxliability,DuBordisconsideringtheopt
13、imallocation(tax-Question:1Topic:IndividualPortfolioManagementMinutes:35deferredortaxable)forherassetspriortothetaxlawchanges.DuBordandRualagreetomaintainRuascurrentassetallocation.RuasinvestmentportfolioandassetlocationareshowninExhibit2.Exhibit2RuasInvestmentPortfolioAssetClassTax-deferredAccountT
14、axableAccountCurrentValue(USD)CurrentVralue(USD)CostBasis(USD)Bonds250,000500,000550,000Equities500,000250,000150,000Total750,000750,000700,000DuBordrecommendsthetransactionsnecessarytoachievethemosttaxefficientassetallocationofbondsandequitiesineachaccount.E.i.Determinethesellamountofbondsandthe4ts
15、clamountofequitiestoachievethemosttax-efficientallocationineachaccount(tax-deferredandtaxable).ii.Determinethe“buyamountofbondsandthe“buyamountofequitiestoachievethemosttax-efficientallocationineachaccount(tax-deferredandtaxable).iii.Justify,withtworeasons,whythisisthemosttax-efficientallocation.Not
16、e:Assumenotransactioncostsorliquidityneeds.ANSWERQUESTIONI-EINTHETEMPLATEPROVIDEDONPAGE5.(8minutes)Question:1Topic:IndividualPortfolioManagementMinutes:35TemplateforQuestionI-ENote:Assumenotransactioncostsorliquidityneeds.AssetCIaSSi.Determinethesellamountofbondsandthe“sei】amountofequitiestoachievet
17、hemosttax-efficientallocationineachaccount(tax-deferredandtaxable).Tax-deferredAccountTaxableAccountBondsEquitiesAssetclassii.Determinethe“buy”amountofbondsandthe“buy”amountofequitiestoachievethemosttax-efficientallocationineachaccount(tax-deferredandtaxable).Tax-deferredAccountTaxableAccountBondsEq
18、uitiesiii.Justify9withtworeasons,whythisisthemosttax-efficientallocation.2.Question:1Topic:IndividualPortfolioManagementMinutes:35ReadingReferences:14.ManagingIndividualInvestorPortfolios/*ManagingInvestmentPortfolios:ADynamicPrOCeSs,3rdedition,JamesW.Bronson,MatthewH.Scanlan,andJanR.Squires(CFAInst
19、itute,2007).15.“TaxesandPrivateWealthManagementinaGlobalContextSteveM.HoranandThomasR.RobinsonCFA(CFAInstitute,2009).Purpose:Totestthecandidates:(1)understandingoftheinvestmentpolicystatementforanindividualinvestor,(2)abilitytoassesspertinentfactorsforaninvestor,sabilitytoassumerisk,(3)abilitytocalc
20、ulateaninvestorsrequiredreturn,(4)understandingofaninvestorsotherconstraintfactors(5)abilitytoassessthebenefitofTaxLossharvesting,and(6)abilitytodistinguishkeydifferencesbetweenhumanandfinancialcapital.1.OS2010-III-3-14-a,h,i,j,k,1ManagingIndividualInvestorPortfbliosThecandidateshouldbeableto:a)disc
21、usshowsourceofwealth,measureofwealth,andstageoflifeaffectindividualinvestorsrisktolerance;b)explaintheroleofsituationalandpsychologicalprofilinginunderstandingindividualinvestors;c)compareandcontrastthetraditionalfinanceandbehavioralfinancemodelsofinvestordecisionmaking;d)explaintheinfluenceofinvest
22、orpsychologyonrisktoleranceandinvestmentchoices;e)explaintheuseofapersonalitytypingquestionnaireforidentifyinganinvestorspersonalitytype;f)compareandcontrastriskattitudesanddecision-makingstylesacrossdistinctinvestorpersonalitytypes,includingcautious,methodical,spontaneous,andindividualisticinvestor
23、s;g)explainthepotentialbenefits,forbothclientsandinvestmentadvisors,ofhavingaformalinvestmentpolicystatement;h)explaintheprocessinvolvedincreatinganinvestmentpolicystatement;i)distinguishbetweenrequiredreturnanddesiredreturnandexplaintheimpactthesehaveontheindividualinvestorsinvestmentpolicy;j)expla
24、inhowtosetriskandreturnobjectivesforindividualinvestorsanddiscusstheimpactthatabilityandwillingnesstotakeriskhaveontolerance;k)identifyandexplaineachofthemajorconstraintcategoriesincludedinanindividualinvestor,sinvestmentpolicystatement;I)formulateandjustifyaninvestmentpolicystatementforanindividual
25、investor;Question:1Topic:IndividualPortfolioManagementMinutes:35m)determinethestrategicassetallocationthatismostappropriateforanindividualinvestorsspecificinvestmentobjectivesandconstraints;n)compareandcontrasttraditionaldeterministicversusMonteCarloapproachestoretirementplanningandexplaintheadvanta
26、gesofaMonteCarloapproach.1.OS2010-III-3-15-e,h“TaxesandPrivateWealthManagementinaGlobalContexf,Thecandidateshouldbeableto:a)compareandcontrastbasicglobaltaxationregimesastheyrelatetothetaxationofdividendincome,interestincome,realizedcapitalgains,andunrealizedcapitalgains;b)determinetheimpactofdiffer
27、enttypesoftaxesandtaxregimesonfuturewealthaccumulation;c)calculateaccrualequivalenttaxratesandaftcr-taxrates;d)explainhowinvestmentreturnandinvestmenthorizonaffectthetaximpactassociatedwithaninvestment;e)discussthetaxprofilesofdifferenttypesofinvestmentaccountsandexplaintheirimpactonafter-taxreturns
28、andfutureaccumulations;f)explainhowtaxesaffectinvestmentrisk;g)discusstherelationshipbetweenaftcr-taxreturnsanddifferenttypesofinvestortradingbehavior;h)explainthebenefitsoftaxlossharvestingandhighest-in/first-out(HIFO)taxlotaccounting;i)demonstratehowtaxesandassetlocationrelatetomean-varianceoptimi
29、zation;Question:1Topic:IndividualPortfolioManagementMinutes:35GuidelineAnswer:PARTAi.LiquidityNeedsforElisaLima:1.imawillfundeducationexpensesforherchildreninoneyearatacostofUSD50,000.Limahasnootherliquidityneeds.ii.TimeHorizonConstraintforElisaLima:1.imahasalong-term,multi-stagetimehorizon.Thefirst
30、stageisoneyearuntileducationcostsarepaid.ThenextstageisLima,semploymentyears,25years,untilherretirement.Thelaststagebeginsatherretirement.PARTBi.ReturnObjectiveStatement1.ima,sreturnobjectiveistogrowtheinvestabletax-deferredportfoliotopurchaseaUSD3,000,000pretaxannuityin25yearsatage60.Sinceshewillre
31、ceiveapretaxpaymentofUSD1,000,000uponretirementfromRelex,theinvestmentportfolioneedstoprovideUSD2,000,000ofthenecessaryUSD3,000,000.1.ima,sexpensesareUSD96,000.Giventhetaxrateof25%,Limawillneed96,000/(1-0.25)orUSD128,000ofpre-taxincometogeneratetheafter-taxincomeformeetingtheseexpenses.ThereforeLima
32、,scurrentpretaxannualcompensationofUSD140,000willsupportatax-deferredcontributionof140,000-128,000orUSD12,000.Lirna,sincomeisexpectedtogrowwithherexpensesovertheremainderofherworkinglife;therefore,theUSD12,000contributiontotheTDAcanbecontinuedannually.Question:Topic:Minutes:1IndividualPortfolioManag
33、ement35ii.ReturnCalculationInvestmentPortfolio(pretax)CurrentportfolioUSD225,OOOAssetsNeededtoPurchaseAnnuityatage60(pretax)Requiredportfoliovalue1.ump-sumbenefitatage60RequiredvalueofTDA3,000,0001,000,0002,000,000RequiredReturnCalculationPresentValue(PV)FutureValue(FV)AnnualSavings(PMT)NumberofYear
34、s(N)(225,000)2,000,000(12,000)25CPTIr-TVMregistryofcalculator7.05%pretaxnominalPARTCi.FactorsthatincreaseLima,sabilitytotakerisk:1.imahasalongtimehorizonuntilretirement(25years)alonginvestmenttimehorizon.1.imareceivesaUSD1,000,000paymentatage60(retirement).1.imahastheflexibilitytostoptheannualpaymen
35、tstocharityofUSD6,000.1.imahasnodebt.ii.FactorsthatincreaseRuasabilitytotakerisk:Ruascurrentincomesignificantlyexceedshercurrentlevelofspending.SheonlyneedstoprovideforherselfRuascurrentportfoliovalue(USD1,500,000)islargerelativetoherlivingexpenses.Rualdoesnothavetomakethecharitablecontributionupont
36、hesaleofherbusiness.Rualhasaflexibleretirementdatealong(15years)investmenthorizon.Rualhasnodebt.PARTDRualhasagreaterwillingnesstotakeriskbecause:Rualownsherbusiness.Rualplanstoretirerelativelyearlyatage52.Rualisconfidentthatequitieswilldeliverpositivereturns.Question:1Topic:IndividualPortfolioManage
37、mentMinutes:35PARTETheappropriatedivisionoffundsthatwouldmaximizeRuasadvantagefromthenewtaxlawchangeisaccomplishedbyholdingallofthebondsintheTDA,andalloftheequitiesinthetaxableaccount.Theresultinginvestmentportfolioofbothtaxableandtax-deferredaccountsisasfollows:AbellaRual,sNewAssetLocationAssetClas
38、sTax-deferredAccount(TDA)TaxableAccountBonds750,0000Equities0750,000Total750,000750,000Question:1Topic:IndividualPortfolioManagementMinutes:35TemplateforQuestionI-ENote:Assumenotransactioncostsorliquidityneeds.AssetCIaSSi.Determinethesellamountofbondsandthe“sei】amountofequitiestoachievethemosttax-ef
39、ficientallocationineachaccount(tax-deferredandtaxable).Tax-deferredAccountTaxableAccountBonds0USD500,000EquitiesUSD500,0000Assetclassii.Determinethe“buy”amountofbondsandthe“buy”amountofequitiestoachievethemosttax-efficientallocationineachaccount(tax-deferredandtaxable).Tax-deferredAccountTaxableAcco
40、untBondsUSD500,0000Equities0USD500,000iii.Justify9withtworeasons,whythisisthemosttax-efficientallocation.SellingthebondsinthetaxableaccountresultsinrealizingtaxablelossesequaltoUSD50,000atthecurrenttaxrateof25%,whichcanthenbeusedtooffsetincome.Afterthetaxlawchange,thelosscannotbeusedtooffetorreducet
41、axableincome.Underthenewtaxlaws,interestincomewillcontinuetobetaxedat25%,realizedcapitalgainswillbetaxedat15%anddividendswillnotbetaxed.Thesetradesplacethehighertaxedincome-orientedassetsinthetax-deferredaccountandthelowertaxedcapitalgainanddividendpayingassetsinthetaxableaccount.Inaddition,choosing
42、todefersalesofequitiesthatappreciatedinvalueisjustifiedbecausegainswillbetaxedatalowerrateinthefuture.Question:2Topic:PM-InstitutionalZBehavioraI-InsuranceMinutes:25QUESTION2HASFOURPARTS(A,B,C,D)FORATOTALOF25MINUTES.IslandLifeAssuranceisaspecialtylifeinsurancecompanythatmarketsitsproductsglobally.It
43、ssolebusinessissellingfixed-rateandvariableannuitycontracts.IslandLifemaintainsaccountingrecordsinU.S.dollars(USD)andsegmentsitsfixed-rateandvariablecontractassetsintoseparateinvestmentportfoliostobettermatchassetsandliabilities.Bothfixed-rateandvariablecontractshavesurrenderclauses.Theclausesallowt
44、heownertoterminatethecontractfortheoriginalinvestmentplusaccruedearningsatthetwo-yearanniversaryofthecontract.Afterthetwo-yearperiod,thecontractscannotbesurrenderedfortheremainderoftheoriginalterm.IslandLife,sfixed-rateannuitiesaresoldwithaninitial10-yearterm.Earningratesareguaranteedandarebasedonth
45、e10-yearU.S.Treasurybondyieldatthetimethecontractissold.IslandLifeinvestsitsfixed-rateportfolioingovernmentbondsissuedbyG7countriesandinvestmentgradecorporatebonds.IslandLifecurrentlyhasasmallsurplusinitsfixedratebusiness.Theweightedaveragedurationoftheassetsislowerthantheweightedaveragedurationofth
46、eliabilities.IslandLifseconomistforecaststhatglobalinterestrateswillriseoverthenexttwoyears.IslandLife,svariableannuityproductsaresoldwithaninitial20-yearterm.Thesecontractspayareturnatmaturitybasedononeofseveralglobalstockmarketindexreturnsoverthatperiod.IslandLifepaysitscorporatetaxliabilitiesatye
47、arend.Localtaxregulationsrequire:insurancecompaniesthatconsolidateinvestmentportfoliostopaya10%taxonrealizedgainsfromequityinvestments;insurancecompaniesthatsegmentinvestmentportfoliostopaya10%taxonincomeandrealizedgainsfromallinvestments.Question:2Topic:PM-InstitutionalZBehavioraI-InsuranceMinutes:25A.Determinetheeffect(increase,nochange,decrease)oneachofthefollowingcharacteristicsofthefixed-rateportfolioifIslandLifsglobalinterestrateforecastiscorrect:i.surplusii.reinvestmentriskiii
