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1、CFAInstituteCharteredFinancialAnalystExamination2017LevelIIIMorningSessionEssayQuestionsThefollowingisprovidedforinformationalpurposesonlyandmaynotbeusedinanycommercialmannerwithoutpriorwrittenpermissionfromCFAInstitute.2017CFAInstitute.AllRightsReserved.TheMorningSessionofthe2017LevelIIICFAExaminat
2、ionhas10questions.Forgradingpurposes,themaximumpointvalueforeachquestionisequaltothenumberofminutesallocatedtothatquestion.QuestionTopicMinutes1PortfolioManagementAlternativeInvestments192PortfolioManagementInstitutional223PortfolioManagementPerfbnnanceEvaluation154PortfolioManagementIndividual155Po
3、rtfolioManagement-IndividualZBchavioraI156PortfolioManagement-Individual227PortfolioManagement-Economics148PortfolioManagement一AssetAllocation209PortfolioManagement-FixedIncome2110PortfolioManagement-RiskManagement17Total:180LeVelIIlTHISPAGEINTENTIONALLYLEFTBLANKMARKSMADEONTHISPAGEARENOTGRADEDQUESTI
4、ON1HASFOURPARTS(A,B,C,D)FORATOTALOF19MINUTES.MattcrhomInvestmentsisanalternativeinvestmentsfinn.UrsBrunner,ananalyst,isreviewingtheperformanceofMatterhorn,scommoditiesfnd.Brunnerisanalyzingthereturncomponentsofthefind*sinvestmentinthecommodityfuturescontractsshowninExhibit1.Exhibit1FuturesContractDe
5、tails(inUSD)ContractMaturityFuturesPriceatEndOfFebruaryFuturesPriceatEndofJanuaryAugust533.50518.50September528.25514.75BrunnernotesthatfromtheendofJanuarytotheendofFebruary,thespotpriceoftheunderlyingcommodityincreasedbyUSD6.25andthetotalreturnontheAugustfuturescontractwasaprofitofUSD18.00.A.Calcul
6、ate,fortheAugustcontract,the:i.collateralreturn(inUSD)inFebruary.ii.rollreturn(inUSD)inFebruary.Showyourcalculations.4minutes(AnswerI-Aonpage5)Brunnerobservesthatthecurrentshapeofthefuturescurveofadifferentcommodity,nickel,isflat.Hcwantstoanalyzehowthenickelfuturescurvewouldchangeinascenariowherebot
7、hthecostofstorageandtheconvenienceyieldsimultaneouslydecreasebydifferentamounts.B.Determinethemostlikelyshapeofthenickelfuturescurve(contango,flat,backwardation,orcannotbedetermined),givenBnnner,sproposedscenario.Justifyyourresponse.Note:Interestratesandthespotpriceremainunchanged.3minutes(AnswerI-B
8、onpage6)Matterhorn*smanagementisconsideringchangestooneofitshedgefunds.Brunnerreviewsthelikelyeffectofeachchangeonthefund,sreportedSharperatio.Thepotentialchangesare:Change1:Increasethefundsholdingsincommoditiesthattradeinfrequently.Change2:Whencalculatingthefind,sannualizedrateofreturnandstandardde
9、viation,switchfrommonthlytodailyobservations.C.Determinethemostlikelyeffect(decrease,nochange,increase)ofeachchangeonthefundsreportedSharpcratio.Justifyeachresponse.Note:Considereachchangeindependently.6minutes(AnswerI-Conpage7)Matterhornmanagesadifferenthedgefundthatusesahedgedequitystrategy.Itsben
10、chmarkforthisfundisaninvestable,manager-basedindexwithamonthlyreturnseries.Mattcrhorniscompensatedbasedonitsfind,sperformancecomparedtothisindex,whichhasthefollowingadditionalcharacteristics:Indexconsistsof50active,hedgedequitymanagerswhoelecttoreportmonthlyreturnsandholdings.lndex*shistoricalreturn
11、seriesincludespastpcrfbnnanccofmanagerswhostopreportingreturns.Indexweightsarebasedoneachhedgedequitymanagersassetsundermanagementandarerebalancedannually.Whenamanagerisaddedtotheindex,theindexproviderdoesnotincludethatmanager,spastperformance.D.Discusstwoweaknessesofusingthisbenchmarktomeasurethepe
12、rformanceofMatterhom,shedgefund.6minutes(AnswerI-Donpage8)AnswerQuestiononThisPageCalculate,fortheAugustcontract,the:(seei.andii.below)Showyourcalculations.i.collateralreturn(inUSD)inFebruary.ii.rollreturn(inUSD)inFebruary.AnswerQuestionI-BonThisPageDeterminethemostlikelyshapeofthenickelfuturescurve
13、,givenBrunnersproposedscenario,(circleone)contangoflatbackwardationcannotbedeterminedJustifyyourresponse.(Note:Interestratesandthespotpriceremainunchanged.)AnswerQuestionI-ConThisPageChangeDeterminethemostlikelyeffectofeachchangeonthefund,sreportedSharperatio,(circleone)Justifyeachresponse.(Note:Con
14、sidereachchangeindependently.)decreaseChange1nochangeincreasedecreaseChange2nochangeincreaseAnswerQuestionI-DonThisPageHgCA0y)WeAkneSqCSQFIlqingthishenchmnrktQmrasiirethePerfinrmAnrteCfMAttrhcrnqhedgeRind1.2.THISPAGEINTENTIONALLYLEFTBLANKMARKSMADEONTHISPAGEARENOTGRADEDQUESTION2HASFOURPARTS(A,B,C,D)F
15、ORATOTALOF22MINUTES.MarvelStoresisaretailer,basedinthecountryofVibrania,thatOffcrSitsemployeesadcfincd-bcncfitpensionplan.Themandatoryretirementageis65,butemployeesmayelecttoretireearlyandbeginreceivingbenefitsatage57.Marvelisrequiredtofundtheplan,saccruedbenefits,whichincludeestimatedfuturewageincr
16、eases.Inaddition.Marvelhasanobjectiveforeachannualplancontributiontobelowerthanthatycar,sincreaseinaccruedbenefits.Thecompanyexpectsthatreturnsontheplanportfoliowillmakeupthedifferenceovertime.InVibrania,theratioofactivelivestoretiredlivesfortheaveragecompanyspensionplanis60%/40%.Theexpectedlong-ter
17、minflationrateis2%peryear.Marvelhasadebt-to-equityratioof30%comparedto45%foritspeergroup.FurtherinformationpertainingtotheMarvelpensionplanisshowninExhibit1.Vibrania,scurrencyistheVibraniaCurrencyUnit(VCU).Exhibit1MarvelPensionPlanInformation31December2016Accumulatedbenefitobligation(ABO)VCU650milli
18、onProjectedbenefitobligation(PBO)VCU900millionPlanassetsVCU800millionDiscountrateforplanliabilities6%Ratioofactivelivestoretiredlives75%/25%A.Discuss,foreachofthefollowing,twofactorsthatindicatetheMarvelplanhasa:i.lowabilitytotakerisk.ii.highabilitytotakerisk.Note:Restatingcasefactswithoutadditional
19、supportwillnotreceivecredit.8minutes(Answer2-Aonpage12)TheMarvelplan,sinvestmentcommitteeaskstheplan,sactuarytoanalyzethefollowingpossiblescenarios:Scenario1:Decreasethediscountrateforplanliabilitiesby100basispoints.Scenario2:Increasethediscountrateforplanliabilitiesby100basispoints.Scenario3:Stophi
20、ringnewemployeesforanindefiniteperiodoftime.Scenario4:Increasetheminimumageto60fortheearlyretirementelection.Theinvestmentcommitteeisconcernedabouttheeffectofthesepossiblescenariosontheplanstimehorizon.B.DeterminewhichscenariowouldmostlikelyshortentheMarvelplan,stimehorizon.Justifyyourresponse.4minu
21、tes(Answer2-Bonpage13)Twomonthslater.MarvelacquiresGrantStores,whichisalsobasedinVibrania.Grantalsooffersadefined-benefitpensionplanbuthassignificantlyfeweremployeesthanMarvel.Marveldecidestokeepthetwoplansseparate.Theinvestmentcommitteeisconcernedaboutuncertaintyinbenefitpaymentsattributabletonon-n
22、arket-relatedexposuresfortheMarvelandGrantplans.Theplans5actuarynotesthatonefactorcreatingthistfcIiabilitynoiseisuncertaintyrelatedtounderlyingactuarialprobabilities.Althoughtheseprobabilitiesarethesameforbothplans,theactuarystatesthatoneoftheplanswillstillhavemoreliabilitynoisethantheother.TheGrant
23、planisinvestedconservativelyandholdsonlynominalbondsandasmallamountofcash.Benefitpaymentstoretiredemployeesarcnotindexedtoinflation.TheGrantplanpaysretirementbenefitsbasedontheaverageofeacheligibleemployeeslastfiveyearsofwages.Grantisrequiredtofundtheplan,saccruedbenefits,whichincludeestimatedfturew
24、ageincreasesthatarebasedbothoninflationandrealgrowth.TheGrantplanisfullyfundedduetogenerousplancontributions.MarvesinvestmentcommitteeproposestoshifttheGrantplantoaliabilitymimickingportfoliotoensurethattheplanremainsfullyfundedinthefuture.C.Determinewhichplan(MarvelorGrant)mostlikelyhasproportional
25、lymoreliabilitynoise.JIIStifyyourresponse.4minutes(Answer2-Conpage14)D.DeterminehvoadditionalassetclassesthatshouldbeaddedtotheGrantplan,sportfoliotobestimplementtheproposal.Describethespecificmarket-relatedexposureofthepensionliabilitythatwouldbehedgedbyeachadditionalassetclass.AnswerQuestiononThis
26、PageDiscuss,foreachofthefollowing,twofactorsthatindicatetheMarvelplanhasa:(Note:Restatingcasefactswithoutadditionalsupportwillnotreceivecredit.)i.lowabilitytotakerisk.1.ii.highabilitytotakerisk.1.2.AnswerQuestionJflonThisPageDeterminewhichscenariowouldmostlikelyshortentheMarvelplantstimehorizon,(cir
27、cleone)I234JIIStifyyourresponse.AnswerQuestion2-ConThisPageDeterminewhichplanmostlikelyhasproportionallymoreliabilitynoise,(circleone)GrantMarvelJIIStifyyourresponse.AnswerQuestiononThisPageDetermine two additional assetclasses that should be added tothe Grant plan,s portfolio tobest implement the P
28、roPoSaLDescribethespecificmarket-relatedexposureofthepensionliabilitythatwouldbehedgedbyeachadditionalassetclass.2.QUESTION3HASTHREEPARTS(A,B,C)FORATOTALOF15MINUTES.FrcdcricCollignonisawealthyindividualwhoasksTonySprcdcman,anindependentadvisor,toreviewtheperformanceofhisinvestmentaccountoverthepastf
29、ouryears.Theaccountismanagedbyanexternaladvisor,butCollignonhasfullcontroloverthetimingandsizeofthecashflowsbeinginvestedintoandwithdrawnfromtheaccount.Sprcdcmancalculatesboththetime-weightedreturn(TWR)andmoney-weightedreturn(MWR)fortheaccount.Accountvaluesandyear-endcashflowsarereportedinExhibit1.E
30、xhibit1CollignonAccountValuesandCashFlows(inUSDmillions)YearYear-endCashFlowYear-endValue(includingyear-endcashflow)2012902013510020145HO20151202302016-30250A.Determinewhichannualizedreturnmeasure(TWRorMWR)ishigherfortheperiod2013-2016.ExplainthecauseofthedifferencebetweentheaccountsTWRandMWR.Note:C
31、alculationsofTWRandMWRarenotrequired.3minutes(Answer3-Aonpage18)B.Determinewhichreturnmeasure(TWRorMWR)ismoreappropriatetouseinevaluatingtheexternaladvisorsinvestmentpcrfonance.Justifyyourresponse.SpredemancomparestheperfbnanceoftwoequitymanagerswhoarecandidatestoreplaceCollignon,sexternaladvisor.He
32、gathersdatatoevaluateeachmanagershistoricalperformancebasedonthefollowingcriteria:Criterion1:RewardperunitofsystematicriskCriterion2:RewardperunitoftotalriskCriterion3:Rewardperincrementalunitofriskcreatedbydeviatingfromthebenchmark,sholdingsExhibit2summarizesSprcdcman,sdata.Bothmanagershavethesameb
33、enchmarkandtherisk-freeratefortheevaluationhorizonis2%.Exhibit2PerformanceDatafor5-YearPeriodending31December2016(Annualised)PerformanceMeasureManager1Manager2Rateofreturn(%)18.0018.00Sharperatio1.021.05Informationratio1.380.72Treynormeasure(%)16.6714.95Sortinoratio0.500.52C.Determine,foreachcriteri
34、on,themostappropriateperformancemeasurefromExhibit2.Explain,foreachofthesemeasures,thesourceofthedifferenceinperfbnancebetweenthetwomanagers.9minutes(Answer3-Conpage20)AnswerQuestion3-AonThisPageDeterminewhichannualizedreturnmeasureishigherfortheperiod2013-2016.(circleone)TWRMWRExplainthecauseofthed
35、ifferencebetweentheaccount,sTWRandMWR.(Note:CalculationsofTWRandMWRarenotrequired.)AnswerQuestioni-BonThisPageDeterminewhichreturnmeasureismoreappropriatetouseinevaluatingtheexternaladvisor,sinvestmentperformance.(circleone)TWRMWRJustifyyourresponse.301017AnswerQuestion3-ConThisPageCriterionDetermin
36、e,foreachcriterion,themostappropriateperformancemeasurefromExhibit2.Explain,foreachofthesemeasures,thesourceofthedifferenceinperformancebetweenthetwomanagers.Criterion1Criterion2Criterion3THISPAGEINTENTIONALLYLEFTBLANKMARKSMADEONTHISPAGEARENOTGRADEDQUESTION4HASTHREEPARTS(A,B,C)FORTOTALOF15MINUTES.Ma
37、rgaretWaldisaninvestorinthecountryofCommonland,whereinterestanddividendsarctaxedannuallyandcapitalgainsaretaxedonlywhenrealized.Bothinvestmentincomeandrealizedcapitalgainsaretaxedataflatrateof20%.Commonland,scurrencyistheCLC.Waldmeetswithherfinancialadvisortoevaluatetwonewinvestmentaccounts,oneholdi
38、ngonlydividend-payingequitiesandoneholdingonlynon-dividend-payingequities.EachaccountisvaluedatCLC100,000.Bothaccountshaveanexpectedreturnof8%peryearandacostbasisofCLC100,000.Allofthereturntothedividend-payingaccountisassumedtocomefromdividendincome.WalddoesnotplantomakeanyCOntribUtions,withdrawals,
39、orsales,andshewillliquidatebothaccountsin10years.Wald,sadvisordemonstratesthatthefutureafter-taxvalueofthedividend-payingaccountin10yearsisCLC185,959andthatitsaccrualequivalenttaxrateis20%.A.Calculatetheaccrualequivalenttaxrateforthenon-dividend-payingaccount.Explainthereasonforthedifferenceinfuture
40、after-taxwealthbetweenthetwoaccounts.Showyourcalculations.8minutes(Answer4-Aonpage23)WaldhasarealizedcapitalgainofCLC50,000inanothertaxableaccount.HeradvisorreviewsthataccountandnoticesthatStockYhasanunrealizedlossofCLC45,000andacostbasisofCLC220,000.TheadvisorexplainstwoalternateplanstoWald:PlanA:S
41、ellStockYinYear1torealizethelossandreplaceitwithStockZ,whichtheadvisorbelieveswillhavethesameexpectedreturnasStockY.InYear2,sellStockZatanexpectedmarketvalueofCLC250,000.PlanB:HoldStockYuntilYear2andthensellitatanexpectedmarketvalueofCLC250,000.B.DemonstratethattheamountofWald,stotaltwo-ycartaxliabi
42、lityisthesameforbothplans.Showyourcalculations.4minutes(Answer4-Bonpage24)Eventhoughthetwoplanshavethesametotaltaxes,theadvisorrecommendsPlanA.TheadvisorstatesthatPlanAcouldincreaseWald,sexpectedafter-taxaccountvalueattheendofYear2.C.ExplainhowPlanAcouldincreaseWald,sexpectedafter-taxaccountvalueatt
43、heendofYear2,3minutes(Answer4-Conpage25)Answer Question ；Aon This PageCalculatetheaccrualequivalenttaxrateforthenon-dividend-payingaccount.Explainthereasonforthedifferenceinfitureafter-taxwealthbetweenthetwoaccounts.Showyourcalculations.DemonstratethattheamountofWald,stotaltwo-yeartaxliabilityisthes
44、ameforbothplans.PlanTaxLiabilityYearTaxLiabilityYear2TotalTaxLiabilityYear1+Year2PlanAPlanBAnswer Questionon This PageAnswerQuestionI-ConThisPageEXPlainhowPlanAcouldincreaseWald,sexpectedafter-taxaccountvalueattheendofYear2.QUESTION5HASFOURPARTS(A,B,C,D)FORATOTALOF15MINUTES.1.auraStoneisafinancialad
45、visorataninvestmentfinwithclientswhoarcactivetraders.ShedeterminesthatseveralofherclientsroutinelyexhibitthebehavioralbiasesshowninExhibit1.ClientBEKhihitlehavioralBiasesClientBiasClient1ConservatismClient2RepresentativenessClient3ConfirmationClient4RegretaversionClient5Self-attributionStonebelieves
46、thattheseclientsactprimarilyonthebasisoftheirbiases.Sheschedulesmeetingswiththeseclientstoevaluatetheirinvestmentportfoliosandmakerecommendations.Client1andClient2BothclientsownsharesinAERO,acompanyintheairlineindustry.AEROhasexperiencedfouryearsofearningsgrowthabovetheairlineindustryaverage.However,inthetwomostrecentquarters,AERO,searningshavebeenbelowanalystsexpectations.A.Determine,basedontheirobservedbiases,whethereachofthefollowingclientswillmostlikelyholdorsellAERO:i.Client1ii.Client2Justifyeachresponse.6minutes(Answer5-Aonpage28)Client3Client3stronglyprefersvalueinvestingandbelieves
