CFA三级十年真题 (2008-2017)：level_III_essay_questions_2015.docx

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1、TheMorningSessionofthe2015LevelIIICFAExaminationhas11questions.Forgradingpurposes,themaximumpointvalueforeachquestionisequaltothenumberofminutesallocatedtothatquestion.QuestionTopicMinutes1PortfolioManagement-Institutional142PortfolioManagement-Institutional173PortfolioManagementFixedIncome194Portfo

2、lioManagementAlternativeInvestments205PortfolioManagement-PerformanceEvaluation156PortfolioManagement-RiskManagement147PortfolioManagement-Individual188PortfolioManagement-Individual169PortfolioManagement-AssetAllocation1510PortfolioManagement-Economics1411PortfolioManagement-IndividualZBehavioral18

3、Total:180Questions1and2relatetoSaylorGuitarsandSandeepNayar.Atotalof31minutesisallocatedtothesequestions.Candidatesshouldanswerthesequestionsintheorderpresented.QUESTION1HASTHREEPARTS(A,B,C)FORATOTALOF14MINUTES.SayIorGuitarswasestablished25yearsagointheUS.Today,thecompanyemploysahighly-skilledworkfo

4、rcetoproducehandmadeguitars.Tenyearsago,thecompanyinstitutedadefincd-bcnefitpensionplan(thePlan).Thereisnoprovisionforearlyretirement.Theaverageageoftheworkforceis35years,andtherearenocurrentpensionrecipients.Untillastyear,SaylormadeannualcontributionstothePlanandithadasurplus.However,thelatestecono

5、micdownturnreducedsalesofSaylor,spremium-pricedguitars,whichresultedinlowerprofitability.ThisledthecompanytoomitPlancontributionsandnowthePlanisjustfullyfundedwithnosurplus.Customerordershavebeguntoincreasewithanimprovementintheoveralleconomy.Basedonpastexperience,thecompanyisforecastingthatitwillre

6、turntoitstypicalhighprofitlevelsinthenextseveralmonths.SayloralsoexpectstoresumeitscontributionstothePlaninthefirsthalfoftheupcomingyear.TheaverageannualreturnonthePlan,sassetportfoliosinceinceptionhasbeen4.8%.Theportfolioiswell-diversifiedacrossassetclassesandhaslowreturncorrelationwiththebroadequi

7、tymarket.Saylorusesadiscountrateof4.5%tocomputeitspensionbenefitobligation.Theexpectedinflationrateis1.5%.Saylor,sdebt-to-assetsratiois0.42comparedtotheindustryaverageof0.40.A.DeterminewhethertherisktoleranceofthePlanisbelow-averageorabove-average.JUStifyyourresponsewithAvoreasons.Note:Restatingcase

8、factsisanincompletejustificationandwillnotreceivecredit.(5minutes)B.StatetheminimumreturnrequirementofthePlan.Explainyourresponse.(4minutes)Onemonthlater,Saylortsmanagementdecidestooffertoemployeesoverage50,aone-timelump-sumearlyretirementoptionthatwillbepayablenextyear.TenpercentofSaylor,semployees

9、acceptthisoption.C.Discusshowtheacceptanceoftheearlyretirementoptionchangedeachofthefollowing:i.Liquidityrequirementii.DurationofPlanliabilities(5minutes)AnswerQuestion1onThisPageCFAINSTITUTEUSEONLYnCFA INSTITUTEUSE ONLYAnswerQuestion1onThisPageAnswerQuestion1onThisPageCFAINSTITUTEUSEONLYnTHISPAGEIN

10、TENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQuestions1and2relatetoSaylorGuitarsandSandeepNayar.Atotalof31minutesisallocatedtothesequestions.Candidatesshouldanswerthesequestionsintheorderpresented.QUESTION2HASTHREEPARTS(A,B,C)FORATOTALOF17MINUTES.TwoyearshavepassedandthefindmanagerforSay

11、lorGuitarsdefined-benefitpensionplan(thePlan)isSandeepNayar.ThePlansportfoliocurrentlyhasanassetallocationof80%nominalbondsand20%equities.NayarbelievestheportfolioliesontheefficientfrontierandthereturnshavearelativelylowcorrelationwithSaylor,soperatingresults.TheprofileofthePlanispresentedinExhibit1

12、.Exhibit1SaylorPensionPlanProfileAverageageofworkforce33Retirementage60Percentageofretiredlives8%Expectedannualwagegrowth4%Retirementbenefitsarefullyindexedforinflation.Expectedannualwagegrowthincludeswageinflationof1%andproductivityincreasesof3%.Duringameetingwiththecompanyfounder,TomAnderson,Nayar

13、describeshisapproachtomanagingpensionriskasanasset-onlyapproach.Andersonasksaboutotherapproachestomanagingpensionrisk.Nayarexplainstheliability-relativeapproachtopensionfindinvesting.A.ContrastNayar,sapproachwiththeliability-relativeapproachforeachofthefollowing:i.ThePlan,sliabilityriskexposureii.Th

14、echaracteristicsofalow-riskinvestment(6minutes)B.RecommendwchangestothePlan,scurrentassetallocationthatwouldbeconsistentwiththeliability-relativeapproach.Justifyeachresponse.(6minutes)NayaralsomanagestheinvestmentportfoliooftheAndersonCommunityFoundation(theFoundation).ThepurposeoftheFoundationistop

15、rovidescholarshipstolocalstudentsforgraduatestudyinscience.TheFoundationisintendedtooperateinperpetuity.TheFoundationsBoardinstructsNayartotakeaconservativeapproachtomanagingtheinvestmentportfolio.Thereisa5%annualspendinggoalbutnominimumspendingrequirement.ANSWERQUESTION2-CINTHETEMPLATEPROVIDEDONPAGE11.C.DeterminewhethertheFoundationsabilitytotakeriskislowerthan,equalto,orhigherthanthatoftheSaylorpensionplan.Justifyyourresponsewithhvoreasons.Note:Restatingcasefactsisanincompletejustificationandw