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1、TheMorningSessionofthe2013LevelIIICFAExaminationhas11questions.Forgradingpurposes,themaximumpointvalueforeachquestionisequaltothenumberofminutesallocatedtothatquestion.QuestionTopicMinutes1PortfolioManagement-Individual202PortfolioManagement-Individual153PortfolioManagement-IndividualZBchavioral164P
2、ortfolioManagementEquity175PortfolioManagementEconomics206PortfolioManagement-Institutional187PortfolioManagement-Institutional148PortfolioManagement-FixedIncome179PortfolioManagement一FixedIncome910PortfolioManagement-RiskManagement1811PortfolioManagement-PerformanceEvaluation16Total:180THISPAGEINTE
3、NTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQUESTIONIHASFOURPARTS(A,B,C,D)FORATOTALOF20MINUTES.ThomasandElizabethVoort,bothage45,aremeetingwiththeirfinancialadvisor,MarcLenard.LenardiscreatinganinvestmentpolicystatementfortheVoorts.Thomassoldhisconsultingbusinessatyear-endandretired.TheVo
4、ortswillrelyontheirinvestmentportfoliotomeetfutureexpensesinexcessofThomas,retirementincome.Elizabethisnotemployed.Financialdetailsinclude:IncomeThomaswillreceiveretirementpaymentsofUSD125,000peryearforhislifetimefromthebusinesshesold.Theretirementpaymentsarcnotindexedforfutureinflationandarefullyta
5、xableasordinaryincome.ExpensesTheVoorts,totallivingexpenseslastyearwereUSD300,000,andtheyareexpectedtogroweachyearattheinflationrate.Taxesaredueimmediatelyonthegainfromthesaleofthebusinessatarateof15%.TheVoortsdonotexpectanyothersignificantcashoutflowsinthefuture.Thetaxrateonordinaryincomeandallinve
6、stmentreturnsis30%.Theinflationrateisexpectedtobe2.5%peryear.AssetsTheVoortsowntheirhome,valuedatUSD1,250,000,mortgage-free.TheyhaveataxableinvestmentportfoliowithacurrentmarketvalueofUSD2,500,000.Thisportfoliohasnoprevioustaxliabilitydueinthecomingyear.Thomasreceivedalump-sumUSD10,000,000paymentfro
7、mthesaleofhisbusiness;hiscostbasisiszero.ThenetproceedsofthesalewillbeaddedtotheVoorts,investmentportfolio.Theirgoalsaretogrowtheassetbaseoftheportfolioovertimetomaintainitsafter-taxpurchasingpowerandtoestablishandmaintainacashreserveofUSD250,000.A.DeterminetheVoortsnominalafter-taxrequiredrateofret
8、urnforthecomingyear.Showyourcalculations.(8minutes)B.StatehvoreasonswhytheVoorts,abilitytoassumeriskintheirinvestmentportfolioisaboveaverage.(4minutes)C.DeterminetheVoorts*liquidityrequirement(inUSD)forthecomingyear.Showyourcalculations.(3minutes)Twoyearslater,theVoortsaskLcnardtoconstructanewlong-t
9、ermstrategicassetallocationwithamoreaggressivegoalofachievingatleast3.5%annualizedgrowthintheafter-taxpurchasingpoweroftheportfolio.Theyindicatethattheportfolioshouldhaveonlyasmallprobabilityofdecliningmorethan10%innominalpre-taxtermsinanyoneyear.LenardexplainstotheVoortsthatanonaldistributioncanbeu
10、sedtomodeltheportfolioreturns.TheVoortsagreetouseatwo-standard-deviationapproachtomonitortheshortfallriskoftheportfolio.Expectedinflationremains2.5%peryearandthetaxrateremains30%.Basedonhiscurrentmarketoutlook,LenardconsidersthreepotentialportfolioallocationsfortheVoortsasshowninExhibit1.Exhibit1Pot
11、entialLong-ermStrategicPortfoliosAssetClassExpectedAnnualReturnPortfolioXPortfolioYPortfolioZStocks11.0%70%55%60%Bonds6.0%25%35%35%Cash2.5%5%10%5%Pre-taxexpectedreturn(nominal)9.3%8.4%8.8%Expectedstandarddeviation(nominal)11.0%8.7%9.3%D.DeterminethemostappropriateportfoliofromExhibit1fortheVoorts,gi
12、ventheirobjectivesandconstraints.JustifyyourresponsewithAwreasons.(5minutes)ANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDAnswerQuestion1onThisPageCFAINSTITUTEUSEONLYMCFAINSTITUTEUSEONLYAnswerQuestion1onThisPage1AnswerQuestion1onThisPageCFAINSTITUTEUSEONLYMCFAINSTITUTEUSEONLYAnswerQuestion1onThisPage1AnswerQ
13、uestion1onThisPageCFAINSTITUTEUSEONLYMCFAINSTITUTEUSEONLYAnswerQuestion1onThisPage1AnswerQuestion1onThisPageCFAINSTITUTEUSEONLYITHISPAGEINTENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQUESTION2HASFOURPARTS(A,B,C,D)FORATOTALOF15MINUTES.GerardoPuente,age70,isaretiredentrepreneurwithadesiref
14、orprivacyinhisfinancialaffairs.Hiswifeis45yearsoldandtheyhavethreeyoungsons.Puentehasonedaughterfromapreviousmarriage.ThePuentesliveinacountrythatisacommunitypropertyregimewiththeU.S.dollarasitscurrency.Thecommunitypropertyregimeentitlesasurvivingspousetoreceiveaone-halfinterestinassetsaccumulateddu
15、ringthemarriage.Puente,stotalestatehasgrownfromUSD12milliontoUSD26millionduringhiscurrentmarriage.TheforcedheirshiprulesinPucntc,scountryentitlehiscurrentwifetoreceiveaminimumof25%ofthetotalestateandallchildrentoequallyshareaminimumof25%ofthetotalestate.Pucntcwouldliketosecureasoundfinancialfuturefo
16、rhisfamily.Hcworriesaboutpotentiallegalclaimsfromoutsidethefamilyanddisputesamonghischildren.Asaresult,Puenteconsultshisinvestmentadvisor,whorecommendsthatPuenteestablishatrust.A.DeterminetheminimumamountthatPuente,scurrentwifewouldbeentitledtoreceive,beforeestatetaxesareconsidered,ifheweretodietoda
17、y.Showyourcalculations.(4minutes)B.Discusstwobenefits,specifictoPuente,scircumstances,ofestablishingatrust.(4minutes)Puente,sdaughterfromhispreviousmarriageis30yearsold.HerincometaxrateislowerthanPuente,s.Puenteaskshisinvestmentadvisoraboutthetaxbenefitofmakingacurrentgifttohisdaughterratherthantran
18、sferringwealthtoherthroughabequestuponhisdeath.Thecountry,sgifttaxrateisflat,withnoannualorlifetimeexemptions.Theestatetaxrateisalsoflatandequaltothegifttaxrate.Thelawsofthecountryrequirethedonortopayanygifttaxes.Theinvestmentadvisormakesthefollowingassumptions:Puente,sestatewillbesubjecttoestatetax
19、.Hisdaughter,sestatewillnotbetaxedbecauseitsvaluewillbebelowtheminimumtaxablethreshold.Hisdaughter,spre-taxinvestmentreturnsonanygiftedassetswillbeequaltoPuente,s.C.JustifywithtworeasonswhytaxconsiderationsfavorPuentemakingacurrentgifttohisdaughterratherthantransferringwealthtoheruponhisdeath.Note:N
20、ocalculationsarerequired.(4minutes)FiveyearshavepassedandPucntc,sdaughternowhasathree-year-oldsonwhoisPucnte,sonlygrandchild.PuentebelieveshehasUSD1millionofexcesscapitalthatcouldbetransferredtohisgrandson.Ductoachangeinfinancialcircumstances,theinvestmentadvisornowassumesthatPuente,sdaughtersestate
21、willbesubjecttoestatetax.D.ExplainthetaxbenefitofadirecttransferofassetsfromPucntetohisgrandson.Note:Nocalculationsarerequired.(3minutes)ANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDAnswerQuestion2onThisPageCFAINSTITUTEUSEONLYHCFA INSTITUTEUSE ONLYAnswerQuestion2onThisPage2AnswerQuestion2onThisPageCFAINSTIT
22、UTEUSEONLYHCFA INSTITUTEUSE ONLYAnswerQuestion2onThisPage2AnswerQuestion2onThisPageCFAINSTITUTEUSEONLYHQUESTION3HASTHREEPARTS(A,B,C)FORTOTALOF16MINUTES.JoyceSiosanisa42-year-oldlawyerataprestigiouslawfirm.SheismeetingwithJoelMurray,afinancialadvisor,toorganizeherfinances.Duringtheinterviewprocess,Si
23、osantellsMurraythatshehasbeenpurchasingshort-term,out-of-the-moneycallandputoptions.Siosanacknowledgestheseoptionshavealowprobabilityofpayingoffandthattheexpectedreturnfromheroptionstradingisnegative.However,shestatesthatsheisattractedbythepossibilityofhighreturnswhenshecanexercisein-the-moneyoption
24、s.Atthesametime,MurraynotesthatSiosanhasbeenpurchasinglow-payoffearthquakeinsuranceonherhome,whichislocatedinalow-probabilityearthquakezone.A.DescribeSiosan,sutilityfunction.Contrastherutilityfunctionwiththatassumedintraditionalfinancetheory.(5minutes)Siosanpurchasesanewluxuryvehicleeverytwoyearsand
25、takesexpensiveannualvacations.Shehasareputationforpayingtheentirebillattheupscalerestaurantswhereshedinesregularlywithherfriends.Siosan,sannualconsumption,optionstrading,andhousingexpendituresarepaidforentirelyoutofhersalaryincomeandhalfofhermodestannualbonus.Shedepositstheotherhalfofherannualbonusa
26、ndanyothernon-salarysourcesofincomeintoherrelativelysmallretirementaccount,whichexcludesheroptionstrading.Siosanisreluctanttoincurdebtandhasonlyasmallmortgageonherhome,despitethefactthatshewillsoonbemadeapartnerinherfirmandwillhavemuchhigherearnings.MurraybelievesthatSiosanexhibitsbehavioralbiasesth
27、atinterferewithanoptimalsavingsandconsumptionallocation.Inparticular,hethinksthatsheisnotsavingenoughforretirement.ANSWERQUESTION3-BINTHETEMPLATEPROVIDEDONPAGES22AND23.B.DiscusshowSiosan,sbehaviorreflectsthebiasof:i.self-control.ii.mentalaccounting.Explainhowarationaleconomicindividualintraditionalf
28、inancewouldbehavedifferentlywithrespecttoeachbias.(6minutes)Siosan,sretirementportfolioisallocated50%tomoney-marketsecuritiesand50%toafewspeculativestocksthatshereadaboutinaninvestmentnewsletter.MurrayobservesthatSiosan,sretirementportfolioallocationisconsistentwithBehavioralPortfolioTheoryandnotcon
29、sistentwithamean-varianceframework.C.DeterminewhetherMurraysobservationaboutSiosan,sretirementportfolioallocationiscorrect.Justifyyourresponsewithtworeasons.(5minutes)CFA INSTITUTEUSE ONLYAnswerQuestion3onThisPageTemplateforQuestion3-BBehavioralbiasDiscusshowSiOSaIrSbehaviorreflectseachbias.Explainh
30、owarationaleconomicindividualintraditionalfinancewouldbehavedifferentlywithrespecttoeachbias.i.sell-controlTemplateforQuestion3-Bcontinuedonpage23TemplateforQuestion3-B(continued)BehavioralbiasDiscusshowSiOSaIrSbehaviorreflectseachbias.Explainhowarationaleconomicindividualintraditionalfinancewouldbe
31、havedifferentlywithrespecttoeachbias.ii.mentalaccountingCFA INSTITUTEUSE ONLY3AnswerQuestion3onThisPageAnswerQuestion3onThisPageTHISPAGEINTENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQUESTION4HASTHREEPARTS(A,B,C)FORTOTALOF17MINUTES.KimiCapitalGroupisaproviderofindexservices.Akeygrowthstr
32、ategyforKimiistodevelopmarketindicesforuseasbenchmarksforexchange-tradedindexfunds.Kimi,smanagementrealizesthatthecriteriaitusestoconstructitsindiceswillinfluencetheresultingtransactioncostsincurredbyfundsattemptingtotracktheindices.Thelowerthepotentialtransactioncostsofanindex,themoreattractiveitwi
33、llbetoanindexfundandtoinvestors.Kimiregularlycomparesitsindexconstructioncriteriatothoseofotherindexserviceproviderstoevaluatethecompetitivenessofitsproducts.ExhibitIsummarizesKimi,scurrentcriteriaandthecriteriacurrentlyusedbyitsmaincompetitor.Exhibit1ComparisonofIndexConstructionCriteriaIndexConstr
34、uctionCriterionCurrentCriterionforKimiCapitalCriterionUsedbyMainCompetitorIndexbreadthaspercentoftotalmarketcapitalizationminimum95%minimum80%FloatadjustmentfloatbandssinglepointSelectionofindexconstituentsobjective,clearlystatedrulessubjective,flexiblerulesANSWERQUESTION4-AINTHETEMPLATEPROVIDEDONPA
35、GE29A.DetermineifeachofKimiCapitalsindexconstructioncriteriainExhibit1willmostlikelyresultinlower,nodifferencein,orhighertransactioncostsrelativetoeachofthecriteriaofitsmaincompetitor.Justifyreachresponsewithonereason.(9minutes)KimiCapitalisevaluatingthecountryofBadaarforinclusionineitheritsDevelope
36、dMarketIndexoritsEmergingMarketIndex,whicharebothcapitalization-weighted.Badaar,sequitymarkethascharacteristicsthatmakeitapossiblefitforeitherindex.RelevantcharacteristicsofBadaar,sequitymarketandofKimi,stwoindicesareprovidedinExhibit2.Exhibit2EquityMarketandIndexCharacteristics(amountsinUSDbillions
37、)CharacteristicBadaarEquityMarketDevelopedMarketIndexEmergingMarketIndexAveragemarketcapitalization1.522.11.3Totalmarketcapitalization30010,000550StabilityofcurrencyStableStableMostlystableLiquidityModerateVeryhighModerateB.Discussonereasonthatsupportseachofthefollowingstatements:i.Badaar,sequitymar
38、ketwillbepositivelyimpactedbyBadaar,sinclusionintheDevelopedMarketIndex.ii.IndexfundsthattracktheEmergingMarketIndexwillbenegativelyimpactedbyBadaar,sinclusioninthatindex.(4minutes)KimiCapitalisplanningtointroducestyleindicesbasedonitsDevelopedMarketIndex.ThecompaniesthatmakeuptheDevelopedMarketInde
39、xwillbeplacedintoeitheraGrowthIndexoraValueIndex,butnotboth.Theplacementoffirmsintoeitherindexwillbebasedonanassessmentofmultiplegrowthandvaluationcharacteristics.Kimiwillrebalancetheindiceswithnobuffering.Holdingcompanieswillbeexcludedfrombothstyleindices.C.DiscusstwoaspectsofKimiCapitasstyleindexc
40、onstructionthatwillmostlikelyproducehigherturnoverbetweenthestyleindices,(4minutes)ANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDTemplateforQuestion4-AIndexconstructioncriterionDetermineifeachofKimiCapitaPsindexconstructioncriteriainExhibit1willmostlikelyresultinlower,nodifferencein,orhighertransactioncostsr
41、elativetoeachofthecriteriaofitsmaincompetitor,(circleone)Justifyeachresponsewithonereason.IndexbreadthaspercentoftotalmarketcapitalizationlowernodifferencehigherFloatadjustmentlowernodifferencehigherSelectionofindexconstituentslowernodifferencehigherCFAINSTITUTEUSEONLYAnswerQuestion4onThisPageAnswer
42、Question4onThisPageCFAINSTITUTEUSEONLYHTHISPAGEINTENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQUESTION5HASFOURPARTS(A,B,C,D)FORATOTALOF20MINUTES.AndrewReedisamarketstrategistwithaU.S.-basedassetmanagementfirm.Heiscurrentlyevaluatingseveralemergingmarketeconomiesinordertoidentifyundervalu
43、edmarkets.RccdusestheCobb-Douglasproductionfunction(undertheassumptionofconstantreturnstoscale)toestimatethelong-termgrowthinrealGDPforthecountryofWestria.Exhibit1summarizestheprojectionsthatReedhasgatheredforWestria.Exhibit1AnnualizedEconomicProjectionsforWestria(2013-2043)Growthintotalfactorproductivity1.3%Outputelasticityofcapital0,7Growthintotalpopulation1.8%Growthincapitalstock5.5%Growthinlaborinput2.5%Unemploymentrate8.2%A.CalculatetheprojectedannualgrowthinrealGDPforWestriausingtheCobb-Douglasproductionfunct
