CFA三级十年真题 (2008-2017)：level_III_essay_questions_2016.docx

TheMorningSessionofthe2016LevelIIICFA®Examinationhas10questions.Forgradingpurposes,themaximumpointvalueforeachquestionisequaltothenumberofminutesallocatedtothatquestion.MinutesQuestionTopic1PortfolioManagement-Institutional202PortfolioManagement-FixedIncome223PortfolioManagement-Equity】94PortfolioManagement-AssetAllocation135PortfolioManagement-Trading,Monitoring,Rebalancingi36PortfolioManagementIndividual227PortfolioManagementIndividualH8PortfolioManagementRiskManagement209PortfolioManagementEconomics1810PortfolioManagement-IndividuaIZBehavioral16Total:180THISPAGEINTENTIONALLYLEFTBLANKMARKSMADEONTHISPAGEARENOTGRADEDQUESTION1HASFOURPARTS(A,B,C,D)FORATOTALOF20MINUTES.SophoCollegeisasmall,privateuniversity.TheuniversitylibraryhasanendowmentcurrentlyvaluedatUSD21,000,000.Theendowment'sonlypurposeistofullyfundthelibrary,sannualsubscriptionexpenseforonlineacademicjournals.ThejournalsareconsideredessentialtokeepSophocompetitive.Sophoischangingthelibrary'ssubscriptionservicetoanewprovider.TheproviderofferstwosubscriptionoptionsasshowninExhibit1.Theadministrationdesiresthehighestlevelsubscriptionthattheendowmentcanfundinperpetuity.MarkMadison,afinancialadvisortotheendowment'sboard,isanalyzingthesubscriptionoptionsandreviewingtheIPS.Exhibit1SUmmaryofSubscriptionOptionsOptionOne-timeInitiationFee(dueimmediately)AnnualSubscriptionExpense(dueatyearend)ExpectedIncreaseinAnnualSubscriptionExpenseBasicUSD500,000USD800,000Inflationplus1%PremiumUSD1,000,000USD1,000,000Inflationplus1%Theobjectiveoftheendowmentistofullyfundthesubscriptioncostsinperpetuityandmaintainthepurchasingpoweroftheinvestableassetbaseafterpaymentoftheone-timeinitiationfee.Theendowment'sriskmanagementpracticesrequireMadisontouseMonteCarlosimulationstoaccountforreturnvolatilityinevaluatingtheriskofpurchasingpowererosion.Givencapitalmarketexpectationsandtheendowment'sassetallocation,theexpectedlong-termtotalreturnoftheendowmentis8.5%peryearwithanexpectedstandarddeviationof18.0%.Annualmanagementfeesarc0.5%ofthemarketvalueoftheendowment'sassets.Theendowment'sboardunderstandsthatthespendingrateaffectsrisktolerance,andtheyarecomfortablewithanabove-averageriskexposure.Theendowmentreinvestsanyportfoliosurplus.Nodonationsareexpectedintheforeseeablefture.Economy-wideinflationisforecasttobe2.0%peryear.A.Calculatethereturnrequirementtofullyfundeachsubscriptionoption.Determinewhichsubscriptionoptionismostappropriatefortheendowment,givenitsobjectiveandriskmanagementpractices.Justifyyourresponse.Note:Usearithmeticreturns,ratherthangeometricreturns,forthereturnrequirementcalculations.8minutes(AnswerI-Aonpage5)B.Discuss,otherthantheportfolioreturnrequirement,onefactorthat:i.decreasestheendowment,sabilitytotakerisk.ii.increasestheendowment'sabilitytotakerisk.Note:Restatingcasefactswithoutadditionalsupportwillnotreceivecredit.4minutes(AnswerI-Bonpage6)MadisonalsoadvisestheboardofPrairicFoundation.Thefoundationfundsannualresearchgrantsonadiscretionarybasisforthedevelopmentofagriculturaltechnologies.Thefoundation'sreturnobjectiveistoearnthehighesttotalreturnconsistentwithitsriskobjectivewhilemaintainingthepurchasingpoweroftheinvestableassetbase.Thelegallyrequiredminimumspendingrateforthefoundationtomaintainitstax-exemptstatusis4.0%.Thefoundation,sspendingrateisslightlyabovethatat4.3%.Annualmanagementfeesare0.2%ofthemarketvalueofassetsandarenotincludedintheminimumspendingratecalculationfortaxpurposes.ThecurrentmarketvalueofthefoundationportfolioisUSD20,000,000.ThefoundationrecentlyreceivedadonationcommitmentofUSD2,000,000foreachofthenextfiveyears.Followingthisnewdevelopment,MadisonreviewsthefoundationIPS.C.Determinewhetherthefoundation'sabilitytotakeriskislowerthan,thesameas,orhigherthanthatoftheSophoCollegelibraryendowment.Justifyyourresponsewithfworeasons.5minutes(AnswerI-Conpage7)Threeyearslater,thefoundation,sportfoliovaluehasdecreased.Atthebeginningoftheyear,theboarddecidestoswitchfromthecurrentfixedtargetspendingratetoarollingthrcc-ycaraveragespendingrule,withthesamespendingrateof4.3%.D.Determinewhetherthefoundation'stargetspendingforthecomingyearwillbelower,thesame,orhigherusingthenewspendingruleinsteadoftheoldspendingrate.Justifyyourresponse.3minutes(AnswerI-DonPage8)AnswerQuestionI-AonThisPage1-A.Calculatethereturnrequirementtofullyfundeachsubscriptionoption.Determinewhichsubscriptionoptionismostappropriatefortheendowment,givenitsobjectiveandriskmanagementpractices.Justifyyourresponse.Note:Usearithmeticreturns,ratherthangeometricreturns,forthereturnrequirementcalculations.AnswerQuestionI-BonThisPage1-B.Discuss,otherthantheportfolioreturnrequirement,onefactorthat:(seei.andii.below)Note:Restatingcasefactswithoutadditionalsupportwillnotreceivecredit.i.decreasestheendowment'sabilitytotakerisk.ii.increasestheendowment'sabilitytotakerisk.AnswerQuestiononThisPageDetermi