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1、2020年12月CFA三级写作题ETHICALANDPROFESSIONALSTANDARDS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
2、编写，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!EthicalandProfessionalStandardsCase1:CompanyCCompanyCmanagesmoneyforbothretailandinstitutionalclients.TherearetwoautonomousgroupswithinCompanyC:CompanyCInstitutionalInvestment
3、Management/whichmanagesinstitutionalassets,andCompanyCRetailInvestors/7whichmanagesretailassets.HowshouldCompanyCdefineitselfasafirmtocomplywiththeGIPSstandards?Solution:TheGIPSstandardsencouragefirmstoadoptthebroadest,mostmeaningfuldefinitionofafirm.CompanyCshouldconsiderdefiningitselftoincludethea
4、ssetsmanagedbyboththeinstitutionalentityandtheretailentityforthepurposesofclaimingcompliancewiththeGIPSstandards.However,CompanyCcoulddefinethetwoautonomousentitiesasseparatefirmsifeachsubsidiaryisheldouttoclientsandpotentialclientsasadistinctbusinessunit.(SeeSection3.1ofthereading.)Case2:Definition
5、ofthefirmFirmAisamultinationalinvestmentfirm,withofficesaroundtheworldincludingJapan,Australia,theUnitedKingdom,andtheUnitedStates.Althoughallofitsofficesarepartoftheglobalparent,eachofficeisregisteredwiththeappropriatenationalregulatoryauthorityandeachisheldouttoclientsandpotentialclientsasadistinc
6、tbusinessentity.FirmA(US)claimscompliancewiththeGIPSstandards.Whatshouldthedefinitionofthefirmdisclosurebe?Solution:SampleDisclosure:wFirmAisdefinedasanindependentmanagementfirmwithofficesinJapan,Australia,theUnitedKingdom,andtheUnitedStates.FirmA(US)isasubsidiaryofFirmAservingUSclients.FirmAalsohas
7、subsidiariesintheUnitedKingdom,Australia,andJapan/(SeeSection3.1ofthereading.)Case3:RecordsFirmAclaimscompliancewiththeGIPSstandards.Itmaintainshardcopiesoftherecordssupportingcomplianceforthreeyearsanddiscardsallrecordsolderthanthreeyearsinanefforttosaveofficespace.Theperformancereportedonallitscom
8、positepresentationsshowsfiveyearsofhistory.IsthefirmincompliancewiththeGIPSstandards?Solution:No.Afirmmustmaintaindatanecessarytosupportafirmsclaimofcompliance.BecauseFirmApresentsfiveyearsofperformancehistory,itmustmaintaintherecordstosupportthefirmsfive-yearhistoryandallotherrelevantdataonthefirms
9、compositepresentations.BecausetheStandardsrequirefirmstobuildaten-yearperformancehistory,thefirmmustcontinuetomaintaintherecordstosupportthefirmseventualten-yearperformancehistory.(SeeSection3.2ofthereading.)Usetheinformationinthefollowingtabletoanswerthisquestion(amountsin):DateFairVaIueExternalCas
10、hFlowMarketValuePostCashFlow31December2015200,00031January2016208,016February2016217,000+40,000257,00028February2016263,00022March2016270,000-30,0240,00031March2016245,000CalculatetherateofreturnforthisportfolioforJanuary,February,March,andthefirstquarterof2016usingrevaluingforlargecashflowsmethodol
11、ogy(assumelargeisdefinedasgreaterthan5%).Solution:January:Rjan=(208,000-200,000)/200,000=4.00%February:Rfebiis=(217,000-208,000)/208,000=4.33%RFebl6-28=(263,000-257,000)/257,000=2.33%RFebl-28=(1+00433)(1+0.0233)-1=6.76%March:RMarI21二(270,000-263,000)/263,000=266%RMar2231=(245z000-240,000)/240,000=2.
12、08%RMa11-3i=(l+0.0266)(1+0.0208)-1=4.80%Quarter1:Rqti=(1+0.0400)(1+0.0676)(1+0.0480)-1=1636%(SeeSection3.3ofthereading.)Case5:EuropeanequitycompositeAEuropeanequitycompositecontainsthreeportfolios.Forconvenience,thecashflowweightingfactorsarepresentedbelow.CashFlowWeightingFactorPortfolio(millions)A
13、BCFairvalueasof31July74.9127.6110.4Externalcashflows:8August0.742-1512August0.6137.519August0.387-515Fairvalueasof31August853109.8128.41.CalculatethereturnsofPortfolioA,PortfolioB,andPortfolioCforthemonthofAugustusingtheModifiedDietzformula.Solution:Portfolioreturns:X5.3 - 74.9 - 7.574.9 +(7.5 0.613
14、)2 9,= 0.0365 = 3.65%79.5109.8-127.6 - (-15) - (-5)12 7.6 + (-15 O.742) (-5 0.3 8 7)114.535= 0.01921.92%128.4-110.4-15110.4+ (15 x 0.3X7)=116.205=0.0258 = 2.58%2.CalculatetheAugustcompositereturnbyasset-weightingtheindividualportfolioreturnsusingbeginning-of-periodvalues.Solution:Tocalculatethecompo
15、sitereturnbasedonbeginningassets,firstdeterminethepercentofbeginningcompositeassetsrepresentedbyeachportfolio;thendeterminetheweighted-averagereturnforthemonth:Beginningcompositeassets=74.9+127.6+110.4=312.9PortfolioA=74.9/312.9=0.239=23.9%PortfolioB=127.6/312.9=0.408=40.8%PortfolioC=110.4/312.9=0.3
16、53=35.3%rComp=(0.03650.239)+(0.01920.408)+(0.02580.353)=0.0257二2.57%3.CalculatetheAugustcompositereturnbyasset-weightingtheindividualportfolioreturnsusingamethodthatreflectsbothbeginning-of-periodvaluesandexternalcashflows.Solution:Tocalculatethecompositereturnbasedonbeginningassetspluscashflows,fir
17、stusethedenominatoroftheModifiedDietzformulatodeterminethepercentageoftotalbeginningassetsplusweightedcashflowsrepresentedbyeachportfolio,andthencalculatetheweighted-averagereturn:Beginningcompositeassets+Weightedcashflows=74.9+(7.50.613)+127.6+(-150.742)+(-5X0.387)+110.4+(150387)=79.5+114.535+116.2
18、05=310.24PortfolioA=79.5/310.24=0.256=25.6%PortfolioB=114.535/310.24=0.369=36.9%PortfolioC=116.205/310.24=0.375=37.5%rComp=(0.03650.256)+(0.01920369)+(0.0258X0.375)=0.0261=2.61%Amathematicallyequivalentmethodconsistssimplyinsummingbeginningassetsandintra-periodexternalcashflows,treatingtheentirecomp
19、ositeasthoughitwereasingleportfolioandthencomputingthereturndirectlywiththeModifiedDietzformula.323.5-312.9-(-15+7.5+10)omp一312.9+(-15)0.742+7.50.613+10O.37=0.0261=2.61%Case6:AsingleportfolioCanafirmincludeasingleportfolioinmorethanoneofthefirmscomposites?Solution:Yes.TheStandardsstatethatfirmsmusti
20、ncludeallactual,discretionary,fee-payingportfoliosinatleastoneofthefirmscomposites.Iftheportfoliomeetsthedefinedcriteriaforinclusioninmorethanonecomposite,thefirmmustincludetheportfolioinallthefirm,sappropriatecomposites.Forexample,afirmmayhavealarge-capcompositeandalarge-capgrowthcomposite.Ifthefir
21、mmanagesaportfoliothatmeetsthecriteriaforinclusioninthelarge-capcompositeaswellasthelarge-capgrowthcomposite,thefirmmustincludetheportfolioinbothcomposites.(SeeSection3.7ofthereading.)Case7:BarrySmithBarrySmithInvestmentManagement(BarrySmith)specializesinbalancedaccountmanagementformidsizepensionpla
22、ns.On12March2006,acontributionof$2,265,000ismadetoDennettElectronics*PensionPlan,whichisincludedinBarrySmith,sBalancedTax-ExemptComposite.ThisistheonlyexternalcashflowforMarch.BarrySmithinveststhecontributionon13March.Thepensionplan,sportfoliohadafairvalueof$16,575,000atthebeginningofMarch.Forthepur
23、poseofcalculatingportfolioperformance,howshouldBarrySmithhandletheexternalcashflow?AssumethatBarrySmithhasadoptedalargecashflowpolicyasof1January2006,allexternalcashflowsareassumedtotakeplaceattheendofday,andthe12March2006cashflowmeetsthedefinitionOfTargeSolution:BarrySmithmusthaveadocumented,compos
24、ite-specificpolicyforthetreatmentofexternalcashflowsandmustcomputetime-weightedtotalreturnsthatadjustforexternalcashflows.Forperiodsbeginning1January2005,rate-of-returnapproximationmethodsmustadjustforcashflowsonaday-weightedbasis(I.2.A.2).Accordingly,BarrySmithmustuseareturn-calculationmethodologyt
25、hatadjustsfordaily-weightedexternalcashflows,suchastheModifiedDietzmethod.However,the12March2006contributiontotheDennettportfoliorepresents13.67percentoftheportfoliosvalue,anditmaybeclassifiedasalargeexternalcashflow.BarrySmithmustestablishinadvanceapolicyforthetreatmentofexternalcashflowsfortheBala
26、ncedTax-Exemptcomposite.Largeexternalcashflowsmaydistortapproximatedreturns.(SeeSections3.2,3.5,and3.9ofthereading.)The2010versionoftheStandardsincludesarecommendationtovalueportfoliosonthedateofallexternalcashflows.ThisrecommendationiseffectiveforperiodsbeginningonorafterJanuaryL2011(I.1.B.1).AsBar
27、rySmithhasadoptedalargecashflowpolicyasof1January2006andassumesallexternalcashflowstakeplaceattheendoftheday,giventhatthe12March2006cashflowmeetsthedefinitionoflarge,thefirmmustvaluetheportfolioasoftheendofthedayon12March2006.BarrySmithwouldthencomputesub-periodreturnsfortheMarchpartialperiodsbefore
28、andafterthecashflowandlinkthemtocalculateatruetime-weightedrateofreturnforthemonthofMarch.Alternately,ifBarrySmithhadadoptedasignificantcashflowpolicyforthiscompositeandthe12Marchcashflowmetthisdefinition,thefirmwouldeitherdeterminethatthisentireportfoliobeexcludedfromthecompositeforthemonthofMarcho
29、rtreatthecashflowasatemporarynewaccount(I.3.B.2).Case8:Smith&JonesInMarch2007,Smith&JonesAssetManagement,aGIPS-CompIiantfirm,introducedanewtechnicalanalysismodelthatmanagementbelievedwouldbeapowerfultoolintacticalassetallocation.Afterextensiveback-testing,Smith&Jonesbegantousethemodeltomanageactuall
30、iveportfoliosinJune2007,andmanagersconstructedacompositecomposedofactual,fee-paying,discretionaryportfoliosmanagedinaccordancewiththemodel.In2010,afterthreeverysuccessfulyearsofmanagingclientfundsinthisway,managementdecidedthatbecausetheactualperformanceofliveportfoliosvalidatedtheperformanceofthemo
31、del,itshouldpresentthesimulatedperformanceofthemodelthroughtheback-testingperiodtoprospectiveclients.Smith&Jonesproceededtolinktheback-testedreturnstotheactualperformanceofthecompositeandpresents3-,5-and10-yearperformanceasacontinuousrecordtoprospects.DoesthispracticecomplywiththeGIPSstandards?Solut
32、ion:Smith&JonesmaynotclaimtobeincompliancewiththeGIPSstandardsifmodelperformanceislinkedtoactualperformance.TheGIPSstandardsstatethatcompositesmustincludeonlyactualassetsundermanagementwithinthedefinedfirm,andtheyexpresslyprohibitlinkingtheperformanceofsimulatedormodelportfolioswithactualperformance
33、(I.3.A.3).(SeeSection3.7ofthereading.)Case9:MidwestNationalBankMidwestNationalBankmanagesadomesticequityportfoliofortheSpringfieldMunicipalEmployees*RetirementFund(SMERF),amaturedefined-benefitpensionplan.TheSMERFportfoliobelongstoMidwesfsInstitutionalEquitycomposite.Thecompositedescriptionstates,wP
34、ortfoliosincludedintheInstitutionalEquitycompositeareactivelymanagedforlong-termcapitalappreciation/*SMERFsinvestmentpolicystatementincludesthefollowingprovisions:AllsecuritytransactionsmustbeapprovedinadvancebytheSMERFInvestmentCommittee.SMERFanticipatesmakingregularnetwithdrawalsinsubstantialamoun
35、tsfromtheportfoliotomeetpensionliabilities.SMERFstaffwillprepareascheduleofwithdrawalsatthebeginningofeachfiscalyear.Theportfoliomanagermustmanageliquiditysoastodisbursefundsinaccordancewiththewithdrawalschedule.Inviewoftheserestrictions,discusswhetherMidwestNationalBankcanjustifyincludingtheSMERFpo
36、rtfoliointhecomposite.Solution:TheGIPSstandardsprohibitincludingnon-discretionaryportfoliosincomposites.IPSrestrictionsdonotnecessarilyrenderaportfolionon-discretionary.Itisuptotheinvestmentmanagementfirmtodefinediscretionandtodeterminewhetherithasthediscretiontoimplementtheinvestmentstrategy,givent
37、herestrictionsoftheIPS.Inthiscase,however,itappearslikelythatSMERF,spolicyrequiringtransactionstobeapprovedinadvancebytheInvestmentCommitteeandthepensionplanxsliquidityneedspreventMidwestNationalBankfromfullyimplementingtheinvestmentobjectiveofachievinglong-termcapitalappreciationthroughactivemanage
38、ment.Ifso,MidwestNationalBankshouldclassifytheSMERFportfolioasnon-discretionaryandexcludeitfromallcomposites.(SeeSection3.7ofthereading.)Case10:MinimumnumberofportfoliosWhatistheminimumnumberofportfoliosthatacompositemustcontaintocomplywiththeGIPSstandards?Mustafirmdisclosethenumberofportfoliosinaco
39、mposite?Solution:UndertheStandards,thereisnominimumormaximumnumberofportfoliosthatacompositemayinclude.TheStandardsrequirethatfirmsdisclosethenumberofportfoliosineachcompositeasoftheendofeachannualperiodpresented,unlesstherearefiveorfewerportfolios(l.5.A.lf).(SeeSection3.12ofthereading.)Case11:Bentw
40、oodBentwoodInstitutionalAssetManagementhasbeenmanagingequity,fixed-income,andbalancedaccountssince1986.ThefirmbecameGIPS-CompIianton1January2001andpreparedcompositeperformancepresentationsforthe1996-2000period.Fixed-incomeperformancewaspoorpriorto2001,whenanewteamofmanagerswasbroughtonboard.WhenChri
41、stopherCooperjoinsBentwoodasmarketingdirectorinJune2006,hesuggestsshowingperformancestartingwithcalendar2001,thefirstyearthatperformancestartedtoimprove.Heproposestoshowcompositeswithreturnsforthefivecalendaryears2001through2005.DoesthiscourseofactioncomplywiththeGIPSstandards?Solution:TheGIPSstanda
42、rdsrequirethatatleastfiveyearsofGIPS-CompIiantperfomancebereported(orfortheperiodsincefirm,sinceptionorthecompositeinceptiondateifthefirmorthecompositehasbeeninexistencelessthanfiveyears).AfterpresentingaminimumoffiveyearsofGIPS-CompIiantperformance(orfortheperiodsincefirmsinceptionorthecompositeinc
43、eptiondateifthefirmorcompositehasbeeninexistencelessthanfiveyears),thefirmmustpresentanadditionalyearofperformanceeachyear,buildinguptoaminimumof10yearsofGIPS-CompIiantperformance(l.5.A.la).BentwoodInstitutionalAssetManagementcouldnotdroptheyearspriorto2001atthetimeCoopersuggestsitdoso.Inadditiontov
44、iolatingaspecificrequirement,CooPersuggestionwasnotinthespiritoffairrepresentationandfulldisclosureofperformance.Technically,thefirmwillbeabledroptheearlyyearsofitscompositepresentationonceithasestablisheda10-yearGIPS-CompIiantrecord,aslongasitcontinuestoshowatleastthemostrecent10years.Forinstance,i
45、twillbeabletoshowjustthe10calendaryears2001-2010afterthecompositereturnsfor2010becomeavailable.However,itisrecommendedthatBentwoodshowitsentireGIPS-compliantperformancerecord(1.5.B.7).(SeeSections312and3.13ofthereading.)Case12:BristolCapitalItis2011.BristolCapitalManagementistheintermediateglobalfix
46、ed-incomemanagerfortheJarvisUniversityendowmentfund.Bristolhaspreparedtheperformancereportshownbelow.JamesChan,consultanttoJarvisUniversity,reviewsthereportandtellsthefund,sinvestmentcommitteethatthereportdoesnotmeettheminimumrequirementsoftheGIPSstandards.IdentifyfouromissionsthatpreventtheBristolC
47、apitalManagementperformancereportfrombeingincompliancewithGIPSstandards.AlsoidentifyfouritemsincludedintheBristolCapitalManagementperformancereport(otherthanomissions)thatdonotcomplywithGIPSstandards.YearGross-of-FeesReturn(%)BenchmarkReturn(%)NumberofPortfoliosCompositeDispersion(%lCompositeAssets;
48、EndofPeriod($millions)PercentofFirmAssetsTotalFirmAssets($millions)200612,710.786.6512212,43820079.57.2124.7780233,39120082.1L5226.51,250274,629200914.214.1253.01,425324,45320104.96.1291.91,712324,891IQ20117.159344.41,994375,389(ReturnsforIQ2011areannualized.)BristolCapitalManagementhaspreparedandpresentedthisreportincompliancewiththeGlobalInvestmentPerform
