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1、Question:1Topic:IndividualPM(IPSandHumanCapital)Minutes:27ReadingReferences:1.evelIII,Volume2,StudySession4,ReadingIOManagingIndividualInvestorPortfblioSjCh.2,JamesW.Bronson,CFA,MatthewH.Scanlan,CFA,andJanR.Squires,CFA,ManagbiffInvestmentPortfolios:ADynamicProcess、ThirdEdition(CFAInstitute,2007).1.e
2、velIII,Volume2,StudySession4,Reading14LifetimeFinancialAdvice:HumanCapital,AssetAllocation,andInsurance,”RogerG.Ibbotson,MosheA.Milevsky,PengChen,CFA,KevinX.Zhu(TheResearchFoundationofCFAInstitute,2007).1.OS:2012-11I-2-10-aJ,kJfcfcManagingIndividualInvestorPortfolioswThecandidateshouldbeableto:a)dis
3、cusshowsourceOfwealth,measureofwealth,andstageoflifeaffectanindividualinvestorsrisktolerance;b)explaintheroleofsituationalandpsychologicalprofilinginunderstandinganindividualinvestor;c)comparethetraditionalfinanceandbehavioralfinancemodelsofinvestordecisionmaking;d)explaintheinfluenceofinvestorpsych
4、ologyonrisktoleranceandinvestmentchoices;e)explaintheuseofapersonalitytypingquestionnaireforidentifyinganinvestor,spersonalitytype;f)compareriskattitudesanddecision-makingstylesamongdistinctinvestorpersonalitytypes,includingcautious,methodical,spontaneous,andindividualisticinvestors;g)explainthepote
5、ntialbenefits,forbothclientsandinvestmentadvisers,ofhavingaformalinvestmentpolicystatement;h)explaintheprocessinvolvedincreatinganinvestmentpolicystatement;i)distinguishbetweenrequiredreturnanddesiredreturnandexplaintheimpactthesehaveontheindividualinvestor,sinvestmentpolicy;j)explainhowtosetriskand
6、returnobjectivesforindividualinvestorportfoliosanddiscusstheimpactthatabilityandwillingnesstotakeriskhaveonrisktolerance;k)discusseachofthemajorconstraintcategoriesincludedinanindividualinvestorsinvestmentpolicystatement;I)formulateandjustifyaninvestmentpolicystatementforanindividualinvestor;m)deter
7、minethestrategicassetallocationthatismostappropriateforanindividualinvestor5sspecificinvestmentobjectivesandconstraints;Question:1Topic:IndividualPM(IPSandHumanCapital)Minutes:27n)compareMonteCarloandtraditionaldeteinisticapproachestoretirementplanningandexplaintheadvantagesofaMonteCarloapproach.201
8、2-I11-2-14-b,c,gLifetimeFinancialAdvice:HumanCapital,AssetAllocation,andInSUraliceThecandidateshouldbeableto:a)explaintheconceptanddiscussthecharacteristicsofuhumancapitalasacomponentofaninvestorstotalwealth;b)discusstheearningsrisk,mortalityrisk,andlongevityriskassociatedwithhumancapitalandexplainh
9、owtheseriskscanbereducedbyappropriateportfoliodiversification,lifeinsurance,andannuityproducts;c)explainhowassetallocationpolicyisinfluencedbytheriskcharacteristicsofhumancapitalandtherelativerelationshipsofhumanCaPitaLfinancialcapital,andtotalwealth;d)discusshowassetallocationandtheappropriatelevel
10、oflifeinsuranceareinuencedbythejointconsiderationofhumancapital,financialcapital,bequestpreferences,risktolerance,andfinancialwealth;e)discussthefinancialmarketrisk,longevityrisk,andsavingsriskfacedbyinvestorsinretirementandexplainhowtheseriskscanbereducedbyappropriateportfoliodiversification,insura
11、nceproducts,andsavingsdiscipline;f)discusstherelativeadvantagesoffixedandvariableannuitiesashedgesagainstlongevityrisk;g)recommendbasicstrategiesforassetallocationandriskreductionwhengivenaninvestorprofileofkeyinputs,includinghumancapital,financialcapital,stageoflifecycle,bequestpreferences,risktole
12、rance,andfinancialwealth.Question:1Topic:IndividualPM(IPSandHumanCapital)Minutes:27GuidelineAnswer:PartATocalculatetherequiredreturnneededtoreachthetargetannuityfuturevalue,usethefollowinginputs:Numberofyearstoretirement=15Annualsavings=-25,000Currentportfoliovalue-650,000(900,000-250,000trustcontri
13、bution)Targetportfoliovalue=1,600,000Thensolvefori:i=3.6467%or,roundedto3.65%PartBAlonso,sabilitytotakeriskappearstobeaboveaverageforthefollowingreasons:Hehastheabilitytoconsistentlysavepartofhisannualearnings.Hehasarelativelylargeassetbaseincomparisontohisgoal,andthusalowrequiredrctu,allowinghimtow
14、ithstandshort-tcnnmarketvolatility.Alonsomakesasubstantialgifteveryyeartoachildrenssportsprogram.Ifnecessary,hecoulddecreaseoreliminatethegift,reducinghisexpenses.Alonsohasamedium-tolong-terminvestmenthorizonforsavingthefundsneededatretirementAlonsodoesnotplantoleaveanestate.Question:1Topic:Individu
15、alPM(IPSandHumanCapital)Minutes:27PartCTemplateforQuestionI-Ci.Describeonechangeinlonsoa,scircumstancesthathas:decreasedhisearningsrisk.Alonsonowhasalongerterm(guaranteed10-year)contract,insteadofaone-yearcontract.Thisreducestheriskofasubstantialdropinhisincome.ORAlonsosincreasedsavingscanhelptooffs
16、ethisearningsrisk.increasedhisearningsrisk.TheguaranteeonAlonso,semploymentcontractisbackedbycorporateownership,subjectingAlonsotothecreditriskoftheownersandthepossibilityofasubstantialdropinhisincomeincaseofdefault.ii.DescribeonechangeinAlonso,scircumstancesthathas:decreasedhisfinancialmarketriskin
17、retirement.Alonso,sincreasedsavingsratewillallowhimtoaccumulatealargerassetbaseatretirement.Thiswouldallowtheportfoliotoabsorbgreaterlossesfrommarketfluctuationsbeforeaffectinghisabilitytosupporthimself.Inaddition,hewillnotbeexposedtothecreditriskoftheissueroftheannuity.increasedhisfinancialmarketri
18、skinretirement.Alonsonolongerplanstopurchaseanannuitytofundhisretirementspendingneeds.HenowintendstorelyonhisinvestmentportfoliotomeethisspendingneedsFundingforlivingexpenseswillnowbesubjecttomarketfluctuationsinretirement.Question:1Topic:IndividualPM(IPSandHumanCapital)Minutes:27PartDi.Timehorizon:
19、Atbothage40andage45,Alonsohasalong-termtimehorizon.Initially,Alonsofacedathree-stagehorizonconsistingof:(I)15yearsuntilhisplannedretirementdate;(2)the25-yearannuityperiod;and(3)hispost-annuityretirementyears(ifheoutlivestheannuity).Currently,Alonsofacesatwo-stagehorizonconsistingof:(1)thenext10years
20、untilretirement;and(2)hisremaininglifeexpectancyduringretirement.Duringhisretirement,theinvestmentportfoliowillcoverexpenses.ii.Liquidity:Intheprevioustimeperiod,AlonsohadaneedtofundatrustforhischildrenintheamountofUSD250,000.Currentlyhehasnoknownliquidityneeds.Question:1Topic:IndividualPM(IPSandHum
21、anCapital)Minutes:27PartETemplateforQuestionI-EDeterminewhichoneassetclassinAlonso,sportfoliomostcloselyresembleshiscurrenthumancapital,(circleone)Justifyyourresponsewithtworeasons.TreasurybillsA-ratcdcorporateamortizingABSAAA-ratedgovernmentbondsSmall-capdomesticequities1.arge-capinternationalequit
22、iesAlonso,shumancapitalisbond-like,notequity-like,becauseofthefixedpaymentsprovidedinhiscontract.HiscontractextendsoverIOyears,muchlongerthanTreasurybillmaturities.Hiscontractissubjecttothecreditworthinessoftheteamowner.Suchcreditriskissimilartocorporatesecurities*creditrisk,ratherthantogovernmentcr
23、editrisk.Alonso,shumancapitalwillgraduallydeplete(asheworkstowardage55),similartotheprincipalofcorporateABSsecuritiesandunlikegovernmentbondsAlthoughamortizingABSpaymentsarcnottypicallyindexedforinflation(asAlonso,ssalaryis),thestructureandpaymentstreamofcorporateamortizingABSmostcloselyresemblehish
24、umancapital,fromamongthechoicesgiven.Question:2Topic:IndividualPM(Taxes)Minutes:9ReadingReferences:1.evelIII,Volume2,StudySession4,Reading114fcTaxesandPrivateWealthManagementinaGlobalConlextJSiephenM.Horan,CFA,andThomasR.Robinson,CFA(CFAInstitute,2008).1.OS:2012-I1I-2-U-Gd,e,f4fcTaxesandPrivateWealt
25、hManagementinaGlobalContext”Thecandidateshouldbeableto:a)comparebasicglobaltaxationregimesastheyrelatetothetaxationOfdividendincome,interestincome,realizedcapitalgains,andunrealizedcapitalgains;b)dctcinetheimpactofdifferenttypesoftaxesandtaxregimesonfuturewealthaccumulation;c)calculateaccrualequival
26、enttaxratesandafter-taxreturns;d)explainhowinvestmentreturnandinvestmenthorizonaffectthetaximpactassociatedwithaninvestment;e)discussthetaxprofilesofdifferenttypesofinvestmentaccountsandexplaintheirimpactonafter-taxreturnsandfutureaccumulations;f)explainhowtaxesaffectinvestmentrisk;g)discusstherelat
27、ionbetweenafter-taxreturnsanddifferenttypesofinvestortradingbehavior;h)explainthebenefitsoftaxlossharvestingandhighest-infrst-out(HlFO)taxlotaccounting;i)demonstratehowtaxesandassetlocationrelatetomean-varianceoptimization.Question:2Topic:IndividualPM(Taxes)Minutes:9GuidelineAnswer:PartATemplateforQ
28、uestion2-ADetermine,basedonlyontaxConsiderations9whetherAlonsosadvisoriscorrectorincorrect(circleone)withrespecttolonso,s:Justifyeachresponsewithonereason.i.after-taxreturnAlonsosafter-taxreturnwouldhavebeengreaterthanorequaltohisactualreturn,allelseequal,ifagreaterproportionofhisinvestmentshadbeeni
29、ntaxableaccounts.Thisisbecausehecanuselossestooffsetotherincomeorrealizedgains.correctincorrectii.investmentriskcorrectTaxexemptinvestorsbearalloftheriskassociatedwithreturnsintheiraccounts.Taxableaccountshavetheeffectofsharinginvestmentriskbetweentheinvestorandthetaxingauthority.Innegative-returnye
30、ars,lossescanoffsettaxesonotherincomeorgains.Inpositive-returnyears,after-taxreturnislowerthanpre-taxreturn.Thissmoothingeffectoftaxesoninvestmentreturns(lowerreturnsinpositiveyearsandhigherreturnsinnegativeyears)reducestheoverallvolatilityofthereturnstreamand,allelseequal,reducesinvestmentrisk.ncor
31、rcclPartBTheestimatedaccrualequivalentreturnishigherforthe15-yearperiodthanthatofthe3-yearperiodasaresultofdeferringtaxesonrealizedgainsovertime.Inthecaseofthisportfolio,thedifferenceoccursbecauseonlyamaximumofhalfofthecapitalgainsarcrealizedandtaxedeachyear,allowingforcompoundearningsonthereinveste
32、dbalances.Question:3Topic:Execution/Monitoring/RcbalancingMinutes:21ReadingReferences:1.evelIII,Volume6,StudySession16,Reading39ExecutionofPortfolioDecisions/*Ch.10,AnanthMadhavan,JackL.Treynor,andWayneH.Wagner,ManagingInvestmentPortfolios:ADynamicProcess,ThirdEdition(CFAInstitute,2007)*1.evelIII,Vo
33、lume6,StudySession16,Reading40“MonitoringandRebalancing/Ch.11,RobertD.Arnott,TerenceE.Burns,LisaPlaxco,CFA,andPhilipMoore,ManainInvestmentPortfolios:ADynamicProcess.ThirdEdition(CFAInstitute,2007).1.OS:2012-III-6-39-c,e,h,k-mfcfcExecutionofPortfolioDecisionsThecandidateshouldbeableto:a)comparemarket
34、orderswithlimitorders,includingthepriceandexecutionuncertaintyofeach;b)calculateandinterprettheeffectivespreadofamarketorderandcontrastittothequotedbid-askspreadasameasureoftradingcost;c)comparealternativemarketstructuresandtheirrelativeadvantages;d)comparetherolesofbrokersanddealers;e)explainthecri
35、teriaofmarketqualityandevaluatethequalityofamarketwhengivenadescriptionofitscharacteristics;f)explainthecomponentsofexecutioncosts,includingexplicitandimplicitcosts,andevaluateatradeintermsofthesecosts;g)calculateanddiscussimplementationshortfallasameasureoftransactioncosts;h)contrastvolumeweighteda
36、verageprice(VWAP)andimplementationshortfallasmeasuresoftransactioncosts;i)explaintheuseofeconometricmethodsinpretradeanalysistoestimateimplicittransactioncosts;j)discussthemajortypesoftraders,basedontheirmotivationtotrade,timeversuspricepreferences,andpreferredordertypes;k)describethesuitableusesofm
37、ajortradingtactics9evaluatetheirrelativecosts,advantages,andweaknesses,andrecommendatradingtacticWhengivenadescriptionoftheinvestorsmotivationtotrade,thesizeofthetrade,andkeymarketcharacteristics;I)explainthemotivationforalgorithmictradinganddiscussthebasicclassesofalgorithmictradingstrategies;m)dis
38、cussthefactorsthattypicallydeterminetheselectionofaspecificalgorithmictradingstrategy,includingordersize,averagedailytradingvolume,bid-askspread,andtheurgencyoftheorder;n)explainthemeaningandcriteriaofbestexecution;Question:3Topic:Execution/Monitoring/RcbalancingMinutes:21o)evaluateafirm,sinvestment
39、andtradingprocedures,includingprocesses,disclosures,andrecordkeeping,withrespecttobestexecution;p)discusstheroleofethicsintrading.1.OS:2012-III-6-40-h,ij“MonitoringandRebalancing*9Thecandidateshouldbeableto:a)discussafiduciarysresponsibilitiesinmonitoringaninvestmentportfolio;b)discussthemonitoringo
40、finvestorcircumstances,market/economicconditions,andportfolioholdingsandexplaintheeffectsthatchangesineachoftheseareascanhaveontheinvestorsportfolio;c)recommendandjustifyrevisionstoaninvestor,sinvestmentpolicystatementandstrategicassetallocation,givenachangeininvestorcircumstances;d)discussthebenefi
41、tsandcostsofrebalancingaportfoliototheinvestor,sstrategicassetallocation;e)contrastcalendarrebalancingtopercentage-oportfbliorebalancing;f)discussthekeydeterminantsoftheoptimalcorridorwidthofanassetclassinapercentage-of-portfoliorebalancingprogram;g)compareandcontrastthebenefitsofrebalancinganassetc
42、lasstoitstargetportfolioweightversusrebalancingtheassetclasstostaywithinitsallowedrange;h)explaintheperformanceconsequencesinup,down,andnontrendingmarketsof1)rebalancingtoaconstantmixofequitiesandbills,2)buyingandholdingequities,and3)constantproportionportfolioinsurance(CPPI);i)distinguishamonglinea
43、r,concave,andconvexrebalancingstrategies;j)judgetheappropriatenessofconstantmix,buyandhold,andCPPlrebalancingstrategieswhengivenaninvestorsrisktoleranceandassetreturnexpectations.Question:3Topic:Execution/Monitoring/RcbalancingMinutes:21GuidelineAnswer:PartATemplateforQuestion3-AIdentifythreemarketc
44、haracteristicsthatsupportKadar9SconclusionthatBetaniahasahigherqualitymarket.Justifyeachresponsewithonereason.Bid-askspreadBecauseBetaniahastighterspreadsthanAlphastan,thecostoftradingsmallamountsofanassetislower.Asaresult,investorscantradepositionswithoutexcessivelossofvalue.Ifbid-askspreadsarewide
45、,investorscannotprofitablytradeoninformation,exceptwhentheinformationisofgreatvalue.Narrowerspreads,therefore,leadtohighermarketquality.MarkethoursTheBetaniamarketisopenfivedaysperweekversusonlythreedaysperweekforAlphastan.ThisgivesBetaniagreaterconvenienceandmoreopportunitytotrade,leadingtohigherma
46、rketquality.MarketdepthBasedonthetypicalquotesgiven,theBctaniamarkethasalargernumberofsharesateachpricelevelintheorderbook.Therefore,thecostoftradingalargeamountofsharesinBetaniaislowerandmarketqualityishigher.NumberofmemberfirmsThepresenceofmanybuyersandsellerscontributestoincreasedmarketliquidity.
47、BctaniahasalargernumberofmemberfirmsthanAlphastan(32vs.5).Sincebothmarketsarequotedriven,Betaniahasmorepotentialbuyersandsellers.Theadditionalbuyersandsellerscreatemorecompetitionandgreaterdiversityofopinion,leadingtohighermarketquality.Note:AnythreeofthefouranswerstoQuestion3-Aaboveareacceptable.Qu
48、estion:3Topic:Execution/Monitoring/RcbalancingMinutes:21PartBTemplateforQuestion3-BDeterminewhichalgorithmicparticipationstrategyvolume-weightedaverageprice(VWAP),timc三wcightcdaverageprice(TWAP),orimplementationshortfallismostappropriateforKadarstrades,(circleone)Justifyyourresponsewithfworeasons.volume-weightedaveragepr
