CFA三级十年真题 (2008-2017)：level_III_guidelines_answers_2017.docx

CFAInstituteCharteredFinancialAnalyst®Examination2017LevelIIIMorningSessionEssayGuidelineAnswersThefollowingisprovidedforinformationalpurposesonlyandmaynotbeusedinanycommercialmannerwithoutpriorwrittenpermissionfromCFAInstitute.©2017CFAInstitute.AllRightsReserved.Question:#1Topic:AlternativeInvestmentsMinutes:19ReadingReferences:#24-AlternativeInvestmentsPortfolioManagementbyJotK.Yau,PhD,CFA,ThomasSchneeweis,PhD,ThomasR.Robinson,PhD,CFA,andLisaR.Weiss,CFA.2016LevelII-#30-Equity一ReturnConceptsbyJeraldE.Pinto,PhD,CFA,ElaineHenry,PhD,CFA,ThomasR.Robinson,PhD,CFAandJohnD.Stowe,PhD,CFA.2016LevelII-#42-APrimeronCommodityInvestingbyFrankJ.Fabozzi,PhD,CPA,CFA,RolandFuss,PhD,andDieterG.KaiserPhD1.OS:#24:Thecandidateshouldbeableto:a.describecommonfeaturesofalternativeinvestmentsandtheirmarketsandhowalternativeinvestmentsmaybegroupedbytheroletheytypicallyplayinaportfolio;b.explainandjustifythemajorduediligencecheckpointsinvolvedinselectingactivemanagersofalternativeinvestments;c.explaindistinctiveissuesthatalternativeinvestmentsraiseforinvestmentadvisersofprivatewealthclients;d.distinguishamongtheprincipalclassesofalternativeinvestments,includingrealestate,privateequity,commodityinvestments,hedgefunds,managedfutures,buyoutfunds,infrastructurefunds,anddistressedsecurities;ediscusstheconstructionandinterpretationofbenchmarksandtheproblemOfbenchmarkbiasinalternativeinvestmentgroups;£evaluatethereturnenhancementand/orriskdiversificationeffectsofaddinganalternativeinvestmenttoareferenceportfolio(forexample,aportfolioinvestedsolelyincommonequityandbonds);g.describeadvantagesanddisadvantagesofdirectequityinvestmentsinrealestate;h.discussthemajorissuersandsuppliersofventurecapital,thestagesthroughwhichprivatecompaniespass(seedstagethroughexit),thecharacteristicsourcesoffinancingateachstage,andthepurposeofsuchfinancing;pareventurecapitalfundsandbuyoutfunds;j.discusstheuseofconvertiblepreferredstockindirectventurecapitalinvcsncnt;k.explainthetypicalstructureofaprivateequityfund,includingthecompensationtothefbnd'ssponsor(generalpartner)andtypicaltimelines;1.discussissuesthatmustbeaddressedinformulatingaprivateequityinvestmentstrategy;pareindirectanddirectcommodityinvestment;n.explainthethreecomponentsofreturnforacommodityfuturescontractandtheeffectthatanupward-ordownward-slopingtermstructureoffuturespriceswillhaveonrollyield;o.describetheprincipalrolessuggestedforcommoditiesinaportfolioandexplainwhysomecommodityclassesmayprovideabetterhedgeagainstinflationthanothers;p.identifyandexplainthestyleclassificationofahedgefund,givenadescriptionofitsinvestmentstrategy;q.discussthetypicalstructureofahedgefund,includingthefeestructure,andexplaintherationaleforhigh-watermarkprovisions;r.describethepurposeandcharacteristicsoffund-of-ftndshedgefunds;s.discussconcernsinvolvedinhedgefundperformanceevaluation;t.describetradingstrategiesofmanagedfuturesprogramsandtheroleofmanagedfuturesinaportfolio;u.describestrategicsandrisksassociatedwithinvestingindistressedsecurities;v.explaineventrisk,marketliquidityrisk,marketrisk,and",J-factorrisk"inrelationtoinvestingindistressedsecurities.2016LevelII-#30:Thecandidateshouldbeableto:a.distinguishamongrealizedholdingperiodreturn,expectedholdingperiodreturn,requiredreturn,returnfromconvergenceofpricetointrinsicvalue,discountrate,andinternalrateofreturn;b.calculateandinterpretanequityriskpremiumusinghistoricalandforward-lookingestimationapproaches;c.estimatetherequiredreturnonanequityinvestmentusingthecapitalassetpricingmodel,theFama-Frenchmodel,thePastor-Stambaughmodel,macroeconomicmultifactormodels,andthebuild-upmethod(e.g.,bondyieldplusriskpremium);d.explainbetaestimationforpubliccompanies,thinlytradedpubliccompanies,andnonpubliccompanies;e.describestrengthsandweaknessesofmethodsusedtoestimatetherequiredreturnonanequityinvestment;£explaininternationalconsiderationsinrequiredreturnestimation;g.explainandcalculatetheweightedaveragecostofcapitalforacompany;h.evaluatetheappropriatenessofusingaparticularrateofreturnasadiscountrate,givenadescriptionofthecashflowtobediscountedandotherrelevantfacts.2016LevelII-#42:Thecandidateshouldbeableto:a.describetypesofmarketparticipantsincommodityfuturesmarkets;b.explainstorabilityandrenewabilityinthecontextofcommoditiesanddeterminewhetheracommodityisstorableand/orrenewable;c.explaintheconvenienceyieldandhowitrelatestothestock(inventorylevel)ofacommodity;d.distinguishamongcapitalassets,storc-of-valucassets,andconsumableortransferableassetsandexplainimplicationsforvaluation;parewaysofparticipatingincommoditymarkets,includingadvantagesanddisadvantagesofeach;£explainbackwardationandcontangointermsofspotandfuturesprices;g.describethecomponentsofreturntoacommodityfuturesandaportfolioofcommodityfutures;h.explainhowthesigiloftherollreturndependsonthetermstructureoffuturesprices;paretheinsuranceperspective,thehedgingpressurehypothesis,andthetheory