CFA三级十年真题 (2008-2017)：level_III_guideline_answers_2016.docx

Question:#1Topic:InstitutionalPMMinutes:20ReadingReferences:#13-fc4ManagingInstitutionalInvestorPortfbIiOSJbyR.CharlesTschampion,CFA,LaurenceB.Siegel,DeanJ.Takahashi,andJohnL.Maginn,CFA1.OS:Thecandidateshouldbeableto:a.contrastadefined-benefitplantoadcfined-contributionplananddiscusstheadvantagesanddisadvantagesofeachfromtheperspectivesoftheemployeeandtheemployer;b.discussinvestmentobjectivesandconstraintsfordefined-benefitplans;c.evaluatepensionfundrisktolerancewhenriskisconsideredfromtheperspectiveofthe1)plansurplus,2)sponsorfinancialstatusandprofitability,3)sponsorandpensionfundcommonriskexposures,4)planfeatures,and5)workforcecharacteristics;d.prepareaninvestmentpolicystatementforadefined-benefitplan;e.evaluatetheriskmanagementconsiderationsininvestingpensionplanassets;f.prepareaninvcsncntpolicystatementforaparticipantdirecteddcfincd-contributionplan;g.discusshybridpensionplans(e.g.,cashbalanceplans)andemployeestockownershipplans;h.distinguishamongvarioustypesoffoundations,withrespecttotheirdescription,purpose,andsourceoffunds;icomparetheinvestmentobjectivesandconstraintsoffoundations,endowments,insurancecompanies,andbanks;j.discussthefactorsthatdetermineinvestmentpolicyforpensionfundsfoundationendowments,lifeandnon-lifeinsurancecompanies,andbanks;k.prepareaninvestmentpolicystatementforafoundation,anendowment,aninsurancecompany,andabank;1.contrastinvestmentcompanies,commoditypools,andhedgefundstoothertypesofinstitutionalinvestors;paretheasset/liabilitymanagementneedsofpensionfunds,foundations,endowments,insurancecompanies,andbanks;paretheinvestmentobjectivesandconstraintsofinstitutionalinvestorsgivenrelevantdata,suchasdescriptionsoftheirfinancialcircumstancesandattitudestowardrisk.Answer QuestionI-Aon This Page1-A.Calculatethereturnrequirementtofullyfundeachsubscriptionoption.Determinewhichsubscriptionoptionismostappropriatefortheendowment,givenitsobjectiveandriskmanagementpractices.Justifyyourresponse.Note:Usearithmeticreturns,ratherthangeometricreturns,forthereturnrequirementcalculations.BasicTheinvestablebaseafterpaymentoftheone-timeimmediateinitiationfeeis:InvestablebaseBaSiC=USD21,000,000-USD500,000=USD20,500,000Thereturnrequirementiscalculatedusingthesumoftheannualsubscriptionexpenseasapercentageoftheinvestablebase,themanagementfees,andtotalpriceinflation.USD800,000/USD20,500,000=.0390=3.9%ReturnrequirementBasic=3.9%+0.5%+2%+1%=7.4%PremiumTheinvestablebaseafterpaymentoftheone-timeimmediateinitiationfeeis:Investablebasepremium=USD21,000,000一USD1,000,000=USD20,000,000Thereturnrequirementiscalculatedusingthesumoftheannualsubscriptionexpenseasapercentageoftheinvestablebase,themanagementfees,andtotalpriceinflation.USD1,000,000/USD20,000,000=.0500=5.0%Returnrequirementpremium=5.0%+0.5%+2%÷1%=8.5%TheBasicoptionismostappropriatebecauseitsreturnrequirementisbelowtheendowment'sreturnexpectation.Theexpectedportfoliosurpluscanthenbeusedasacushiontomaintainpurchasingpowerifinvestmentperfbrancedeterioratesintheshortterm.ThePremiumoptionisnotappropriatebecauseitsreturnrequirementexactlyequalstheendowment'stotalreturnexpectation.Thiswouldmostlikelyimpairtheportfblio,sabilitytomaintainpurchasingpowerduetothevolatilityoftheendowment,sexpectedreturns.MonteCarlosimulationsshowthatthereturnrequirementcanbesafelysetequaltothereturnexpectationonlyifexpectedreturnshavenovolatility.Answer QuestionI-Bon This PageIBDiscuss,otherthantheportfolioreturnrequirement,onefactorthat:(seei.andii.below)Note:Restatingcasefactswithoutadditionalsupportwillnotreceivecredit.i.decreasestheendowment'sabilitytotakerisk.Thefactors(unrelatedtothereturnrequirement)thatdecreasetheendowment'sabilitytotakeriskareasfollows:Theendowment'ssupporttotheuniversityisessentialinkeepingtheuniversitycompetitive.Therefore,disruptioninthesubscriptionserviceduetopoorreturnswouldhaveseriousconsequences.Theendowmentisnotexpectedtoreceiveanydonationsintheforeseeablefuture.Lackofadditionalcontributionslimitsthesizeoftheinvestablebaseandreducestheportfolio'sabilitytoabsorblosses.ii.increasestheendowment'sabilitytotakerisk.Thefactors(unrelatedtothereturnrequirement)thatincreasetheendowment'sabilitytotakeriskarcasfollows:Theinvestmenthorizonisperpetual,allowingtimetomakeupforpoorshort-terminvestmentreturns.Thefundreinvestsanysurplus,resultinginanincreasedabilitytomaintainpurchasingpower.AnswerQuestionDeterminewhetherthefoundation'sabilitytotakeriskislowerthan,thesameas,orhigherthanthatoftheSophoCollegelibraryendowment,(circleone)onThisPageJustifyryourresponsewithtworeasons.ThePrairieFoundation'sabilitytotakeriskishigherthanthatoftheSophoCollegeendowmentforthefollowingreasons:lowerthanTheSophoCollegeendowmentdoesnotexpectanyfuturedonations,whereasthePrairiefoundationrecentlyreceivedasubstantialcommitmentrelativetoitsmarketvalue.ThePrairieFoundationdoesnothaveacommitmenttofundspecificgrants,whereastheSophoColleg