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1、Thefollowingarerepresentativeofquestionsonthe2008Level111exam,MorningSession.Thesequestionsandguidelineanswersillustratehoweachtopicareawastestedonthe2008LevelIIIexam.Forgradingpurposes,themaximumpointvalueforeachquestionisequaltothenumberofminutesallocatedtothatquestion.QuestionTopicMinutes1Portfol
2、ioManagement-Individual362PortfolioManagement-IndividualZBehavioral93PortfolioManagement-Institutional364PortfolioManagement-AssetAllocation175PortfolioManagement-FixedIncomeInvestments136PortfolioManagementAlternativeInvestments117PortfolioManagementRiskManagement178PortfolioManagement-ExecutionofP
3、ortfolioDecisions149PortfolioManagement-MonitoringandRebalancing910PortfolioManagement-PerformanceEvaluation911PortfolioManagement-GlobalContext9Total:180THISPAGEINTENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQUESTION1HASFOURPARTS(A,B,C,D)FORATOTALOF36MINUTES.RobertoandMarianaCarvalholiv
4、einalargecityinBrazilwiththeirtwochildren,agesfourandtwo.Robcrtois30yearsoldandMarianawillbe30yearsoldlaterthismonth.RobcrtoisamanagerinamanufacturingfacilityandMarianaisamusicianinthelocalsymphonyorchestra.RobertoandMariana,sannualsalariestotal120,000Brazilianreais(BRL)aftertax.Theirsalariesjustcov
5、ertheirlivingexpenses.Theaverageannualinflationrateisfourpercentandtheirsalariesandexpensesareexpectedtoincreaseatthisrate.Theyarehealthyandbelievetheirjobsandearningpotentialaresecure.TheCarvalhos,salaries,dividends,andinterestaretaxedat20percent,andcapitalgainsat15percent.Mariana,sparentshavesigni
6、ficantwealthandfundedanirrevocablepersonaltrustforher.Brazilhasawealthtransfertaxthatappliestotransfersintotrustsandtoinheritances.BrazilhasadoptedthePrudentInvestorRulefortheadministrationoftrusts.ThecurrentvalueofthetrustisBRL1,500,000.ThetermsofthetruststatethatwhenMarianareachestheageof30,shewil
7、lreceiveatax-freedistributionofhalfthevalueofthetrust.Thebalanceofthetrustwillremaininvestedandwilldistributeintotaltoherwhenshereachesage40.Sinceshedoesnothaveaccesstotheremainingbalancefortenyears,thisbalanceisnotconsideredapartoftheCarvalhos,investableassets,butispartoftheirtotalnetworth.Inadditi
8、on,Marianaexpectstoinheritasubstantialsumofmoneyuponthedeathofbothparents.TheCarvalhoshaveBRL500,000ininvestableassets,currentlyallinshort-termbankdeposits.Itistheirintentiontomaintainatleastthisamountininvestableassets,onaninflation-adjustedbasis,inthefuture.TheCarvalhoscurrentlylivewithMarianaspar
9、ents,butarenowpurchasingahome.ThepurchasepriceofthehomeisBRL850,000.Thedownpaymentis30percentofthecostofthehomeandwillbefundedfromthetrustdistribution.TheCarvalhoswilltakeoutafixedratemortgageforthebalanceofthepurchaseprice.Theafter-taxmortgagecostwillbefixedatBRL55,000(principalandinterest)annually
10、for30years,withthefirstannualpaymentdueoneyearfromnow.TheCarvalhos5immediateinvestmentgoalistohavetheirinvestmentportfoliocoverthecostofthemortgage,whilemaintainingtheportfoliosination-adjustedvalue.Theyplantoretireattheageof60andtheirlong-tengoalistohaveaninvestmentportfoliothatwillprovideanannuali
11、ncomecomparabletotheircurrentsalariesadjustedbyinflation.TheirfamilyhealthinsuranceisprovidedbyRoberto,semployer,bothnowandinretirement.Theyarehopefilltheirtwochildrenwillattendthelocaluniversityatnocost.Theuniversitydoesnotchargetuitionfeesforqualifiedstudentswhopassitsentranceexam.Thosewhodonotpas
12、stheexamarerequiredtopayfulltuition,whichishighrelativetotheCarvalhos,livingexpenses.Inordertomeettheirinvestmentgoals,theCarvalhosrealizetheyneedtoconsiderinvestmentsotherthanshort-tebankdeposits.TheCarvalhoshireLuizOliveira,CFA,tomanageaninvestmentportfoliothattheywillfundwiththeirBRL500,000inbank
13、depositsandthenetproceedsofMariana,strustdistributionatage30.A.i.PreparethereturnobjectivesportionoftheCarvalhos,investmentpolicystatement(IPS).ii.Calculatetheafter-taxnominalrateofreturnthatisrequiredforthenextyear.Showyourcalculations.(12minutes)B.i.IdentifyhvofactorsintheCarvalhos,situationthatin
14、creasetheirabilitytotakerisk.ii.IdentifytwofactorsintheCarvalhos,situationthatdecreasetheirabilitytotakerisk.iii.DeterminewhethertheCarvalhoshavebelow-average,average,oraboveaverageabilitytotakerisk.AnswerQuestion1BintheTemplateprovidedonpage7.(10minutes)C.PreparethefollowingconstraintsoftheCarvalho
15、s5IPS:i.Liquidityii.TimehorizonAnswerQuestionI-CintheTemplateprovidedonpage8(6minutes)Twenty-fiveyearshavepassed*TheCarvalhosarenow55yearsoldandtheirtwochildrenaregrownandfinanciallyindependent.Mariana,sparentspassedawayearlierthisyearandleftheraninheritanceofBRL8,000,000after-tax.TheCarvalhoshavefi
16、veyearsremainingontheirmortgageandtheBRL55,000annualmortgagepaymentwillcontinuetobefundedfromtheirinvestmentportfolio.Theyintendtoworkanotherfiveyearsandthenretireatage60.Thcirsalariesareexpectedtocontinuetocovertheirlivingexpensesuntilretirement.Theirinvestmentportfolio,includingtheinheritance,nowt
17、otalsBRL10,200,000.TheCarvalhosexplaintoOliveirathatinretirement,theywouldliketomaintaintheircurrentstandardoflivingandstartaregularprogramofdonatingmoneytotheirfavoritecharities.TheyalsohopetoleaveaninheritanceofBRL5,000,000toeachoftheirtwochildrenattheirdeath.Olivciracalculatestheywillneedaportfol
18、iovalueofBRL15,000,000whentheyretireinordertosupportthesegoals.D.i.PreparethecurrentreturnobjectivesportionoftheCarvalhos,IPS.ii.Calculatetheafter-taxnominalrateofreturnthatisrequiredfortheportfolio.Showyourcalculations.(8minutes)AnswerQuestion1onThisPageTemPIatefurQIIeStion1BiIdeIltifyZwofactorsint
19、heCarvalhosSitUationthatincreasetheirabilityt。takerisk.ii.Identify*ofactorsintheCarvalhossituationthatdecreasetheirabilitytotakerisk.iii.DeterminewhethertheCarvalhoshavebelow-average,average,orabove-averageabilitytotakerisk.(circleone)Bclow-averageAverageAbove-averageAnswerQuestion1onThisPageTemplat
20、eforQuestionI-CConstraintPreparethefollowingconstraintsoftheCarvalhos,IPS.i.Liquidityii.TimehorizonQUESTION2HASONEPARTFORATOTALOF9MINUTES.1.ouDonaldsonandhisneighbor,bothU.S.residents,aremeetingatalocalrestaurant.Duringlunch,theydiscussinvestingandDonaldson,age45,makesthefollowingstatements:1.“Myfat
21、herwasabuy-and-holdinvestorbutIamanactivetrader.Tokeeptradingcostslow,Iuseanonlinebrokeragefirm.IhavedonewellinvestingintechnologycompaniesbecauseIknowtheindustry/52.“IamholdingalargepositioninOmegaCorporationwithalargeunrealizedloss.Omega,sstockpricedeclinedlastyearwhenreportedsalesandearningsfaile
22、dtomeetanalystexpectations.Itookadvantageofthedeclinetoincreasemyposition.Omegasalesgrowthhascontinuedtoslowoverthelastyear,butIbelievethestockisstillagoodinvestment.”3.“Ireadanewspaperarticlereportingthatcommercialpropertyvaluesinthecityhaveincreased14percentannuallysince2000.Accordingtothearticle,
23、theaveragecommercialpropertyinthecitysoldfor$1.5millionlastyear.ThismakesmeveryhappybecauseIjustpurchasedapieceofcommercialpropertylastmonth.Thereisnodoubtthatitwillbeagoodinvestment.Selectthebehavioralfinanceconcept(naivediversification,overconfidence,representativeness,regretavoidance,orself-contr
24、ol)bestexhibitedineachofDonaldson,sthreestatements.ExplainhowthebehavioralfinanceconceptyouselectedaftectsDonaldson,sinvestmentdecisionmaking.Note:Nobehavioralfinanceconceptcanbeusedmorethanonce.AnswerQuestion2intheTemplateprovidedonpages13and14.(9minutes)AnswerQuestion2onThisPageTemplateforQuestion
25、2DonaldsonsstatementSelectthebehavioralfinanceconceptbestexhibitedineachofDonaldsonsthreestatements.Note:Nobehavioralfinanceconceptcanbeusedmorethanonce.(circleone)ExplainhowthebehavioralfinanceconceptyouselectedaffectsDonaldsonsinvestmentdecisionmaking.“Myfatherwasabuy-and-holdinvestorbutIamanactiv
26、etrader.Tokeeptradingcostslow,Iuseanonlinebrokeragefirm.Ihavedonewellinvestingintechnologycompaniesbecause1knowtheindustry/5NaivediversificationOverconfidenceRepresentativenessRegretavoidanceSelf-controlIamholdingalargepositioninOmegaCorporationwithalargeunrealizedloss.Omcga,sstockpricedeclinedlasty
27、earwhenreportedsalesandearningsfailedtomeetanalystexpectations.Itookadvantageofthedeclinetoincreasemyposition.Omegasalesgrowthhascontinuedtoslowoverthelastyear,butIbelievethestockisstillagoodinvestment.”NaivediversificationOverconfidenceRepresentativenessRegretavoidanceSelf-controlTemplateforQuestio
28、n2continuedonpage14AnswerQuestion2onThisPageTemplateforQuestion2(continued)DonaldsonsstatementSelectthebehavioralfinanceconceptbestexhibitedineachofDonaldsonsthreestatements.Note:Nobehavioralfinanceconceptcanbeusedmorethanonce,(circleone)ExplainhowthebehavioralfinanceconceptyouselectedaffectsDonalds
29、onsinvestmentdecisionmaking.Ireadanewspaperarticlereportingthatcommercialpropertyvaluesinthecityhaveincreased14percentannuallysince2000.Accordingtothearticle,theaveragecommercialpropertyinthecitysoldfor$1.5millionlastyear.ThismakesmeveryhappybecauseIjustpurchasedapieceofcommercialpropertylastmonth.T
30、hereisnodoubtthatitwillbeagoodinvestment/*NaivediversificationOverconfidenceRepresentativenessRegretavoidanceSelf-controlTHISPAGEINTENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQUESTION3HASSEVENPARTS(A,B,C,D,E,F,G)FORATOTALOF36MINUTES.TitanAirlinesisaU.S.-basedfirmwithaglobalroutestructur
31、e.ThefirmsponsorstheTitanEmployeesDefinedBenefitPensionPlan(TEPP)coveringallofitsemployees.Activeemployeesaccruebenefitsbasedonyearsofserviceandcompensation.TEPP,sinvestmentsareheldinatrustdirectedandmanagedbyaboardofindependenttrustees.AsaU.S.-basedpensiontrust,TEPP,sinvestmentincomeandcapitalgains
32、areexemptfromtax.PamelaRichisapensionconsultantwithCedarCounselors,aninvestmentpolicyadvisoryfirm.TheTEPPtrusteeshiredCedarCounselorsearlyin2008.Duringtheduediligenceprocess,RichgathersdataaboutTEPP,Titan,andtheairlineindustryasshowninExhibits1and2.Exhibit1TEPP-SelectedFinancialData2007YearEnd(dolla
33、ramountsinmillions)Projectedbenefitobligation(PBO)$12,477Pensionassets$8,734Fundingshortfall(PBOminuspensionassets)$3,743Paymentstobeneficiaries,includinglump-sumdistributions*$1,092Averagedurationofpensionliabilities14yearsNominaldiscountrateforcalculatingPBO7.00%Excessreturntarget2.50%Assetallocat
34、ionpolicy:U.S.equities45%Non-U.S.equities15%U.S.governmentbonds40%Calendaryear2007Exhibit2CalendarYear2007SelectedData(dollaramountsinmillions)TitanAirlinesAirlineIndustryAverageTotalassets*$26,356$139,501Totaldebt,includingcapitalleases*$12,540$54,200Dcbt/assctratio*0.480.39Operatingrevenue$11,621$
35、67,606Operatingmargin-7.63%-4.01%*2007yearendRichalsonotesthefollowinginfoation:ThefundingshortfallinTEPPissignificantlylargerthantheairlineindustryaverage.TheaverageageofTEPPparticipantsin2008,includingretirees,is47.Thisisabovetheindustryaverage.TEPPprovidesretireebenefitsintheformoflifeannuities.T
36、EPPannuitypaymentsarenotadjustedforinflation.TEPPprovidesthatretireesmayelecttoreceiveupto50percentofthepresentvalueoftheirretirementbenefitsinalumpsumatthetimeofretirementwiththeremainderpaidoutasalifeannuity.TEPPprovidesthatemployeesoverage50arepermittedtoretireearly.MostU.S.airlinesdonotgrantthei
37、remployeesearlyretirementandlumpsumprovisions.AsignificantnumberofolderTitanemployeesrecentlytookadvantageofboththeearlyretirementandlumpsumprovisions.Asaresult,30percentofTEPPparticipantsarcretired,alevelhigherthantheairlineindustryaverage.Titan,s2008pensioncontribution,asapercentageofpaymentstoben
38、eficiaries,willbesmallerthantheairlineindustryaverage.Inrecentyears,theTEPPtrusteeshavesetatargetforexcessreturnoverthenominaldiscountrateinanefforttoreducethefundingshortfall.Theyintendtomaintainthesametotalreturnobjectiveforassetsin2008astheyhadin2007.ThenominaldiscountrateforcalculatingPBOin2008w
39、illbereducedto6.5percentfrom7.0percentin2007.Thenominaldiscountrateinboth2007and2008includesacomponentforexpectedinflation.Titancontributed$77milliontoTEPPin2006,and$144millionin2007.ChangestoU.S.taxlawwillrequireTitantocontributeS927millionin2008.Inits2007annualreport,Titan,smanagementcommented,44W
40、canticipatebenefitspaymentsunderTEPPwillequal$1,030millionin2008andexceed$800millionineachofthefollowingthreeyears.TEPPwillclosetonewentrantsin2009.ActiveparticipantsinTEPPattheendof2008willcontinuetoaccruebenefitsforadditionalyearsofserviceandsalaryincreases.,Titan,scorporateriskmanagementcommittee
41、hassetagoaltomaintainthemarketvalueofpensionassetsatorabove65percentofPBOin2008.A.Evaluatethemostlikelyeffectofthechangeinthediscountratefor2008onTitan,sPBO,holdingallelseconstant.Note:Nocalculationsarenecessary.B.FormulateTEPP,sexcessreturntargetfor2008.Showyourcalculations.(4minutes)C.Stateanappro
42、priateriskobjectiveforTEPP.Note:Nocalculationsarenecessary.(4minutes)D.DeterminewhethereachofthefollowingfourattributesindicatesTEPP,sabilitytotakeriskisaboveorbelowtheairlineindustryaverage:i.sponsorfinancialconditionii.planfundingstatusiii.planprovisionsiv.participantcharacteristicsJustifyeachdete
43、rminationbasedonoecomparisonbetweenTEPPandtheairlineindustryrelatedtotheattribute.Note:Considereachattributeindependently.AnswerQuestion3-DintheTemplateprovidedonpage24.(12minutes)E.Preparetheliquidityconstraintfor2008forTEPP,sinvestmentpolicystatement.Showyourcalculations.(3minutes)Duringherfirstme
44、etingwithTEPP*sboard.RichnotesthatTEPPisclosingtonewparticipants.RichsuggestsdividingTEPP,sliabilitiesintoseparateportionsforactiveandretiredlives,toreflectdifferencesinreturnobjectives,risk,liquidityneeds,andtimehorizon.F.Describeonedifferencebetweentheactive-livesandretired-livesportionsOfliabilit
45、iesforeachofthefollowing:i.inflationsensitivityii.durationRogerBarrowsrepresentsTitan,smanagementonTEPP,sboardoftrustees.HankTaterepresentsemployeeplanparticipants*BarrowsandTatemakethefollowingstatementsatthemeeting:Barrows:“Toincreasetheprobabilitythatpensionplanassetswillbesufficienttofundpension
46、planbenefits,TEPPshouldinvestmostofitsassetswithequitymanagershavingthebesttrackrecordsasmeasuredagainstmarketindexbenchmarks.Tate:Toavoidtheriskofmarketlossesmakingthefundingshortfallworseoverthenextyear,weshouldlimitTEPP,sinvestmentstoshort-term,risk-freesecurities.G.Giveonereasonwhyeachstatementi
47、sincorrectbasedonthepensionplanliabilities.(6minutes)AnswerQuestion3onThisPageTemplateforQuestion3-DAttributeDeterminewhethereachofthefourattributesindicatesTEPP,sabilitytotakeriskisaboveorbelowtheairlineindustryaverage,(circleone)JustifyeachdeterminationbasedononecomparisonbetweenTEPPandtheairlinei
48、ndustryrelatedtotheattribute.Note:Considereachattributeindependently.i.sponsorfinancialconditionAboveBelowii.planfundingstatusAboveBelowiii.planprovisionsAboveBelowiv.participantcharacteristicsAboveBelowTHISPAGEINTENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQUESTION4HASTHREEPARTS(A,B,C)FORATOTALOF17MINUTES.ThurlowCorporationisaU.
