CFA三级十年真题 (2008-2017)：level_III_guideline_answers_2013.docx

Question:1Topic:IndividualPMMinutes:20ReadingReferences:10.tfcManagingIndividualInvestorPortfbIioSJCh.2,ManagingInvestmentPortfolios:ADynamicProcess,3rdedition,JamesW.Bronson,MatthewH.Scanlan,andJanR.Squires(CFAInstitute,2007).1.OS:2013-III-4-10-j-m10.tfcManagingIndividualInvestorPortfbliosThecandidateshouldbeableto:a)discusshowsourceofwealth,measureofwealth,andstageoflifeaffcctanindividualinvestor'srisktolerance;b)explaintheroleofsituationalandpsychologicalprofilinginunderstandinganindividualinvestor;c)comparethetraditionalfinanceandbehavioralfinancemodelsofinvestordecisionmaking;d)explaintheinfluenceofinvestorpsychologyonrisktoleranceandinvestmentchoices;e)explaintheuseofapersonalitytypingquestionnaireforidentifyinganinvestor*spersonalitytype;f)compareriskattitudesanddecision-makingstylesamongdistinctinvestorpersonalitytypes,includingcautious,methodical,spontaneous,andindividualisticinvestors;g)explainthepotentialbenefits,forbothclientsandinvestmentadvisers,ofhavingaformalinvestmentpolicystatement;h)explaintheprocessinvolvedincreatinganinvestmentpolicystatement;i)distinguishbetweenrequiredreturnanddesiredreturnandexplaintheimpactthesehaveontheindividualinvestor'sinvestmentpolicy;j)explainhowtosetriskandreturnobjectivesforindividualinvestorportfoliosanddiscusstheimpactthatabilityandwillingnesstotakeriskhaveonrisktolerance;k)discusseachofthemajorconstraintcategoriesincludedinanindividualinvestor'sinvestmentpolicystatement;I)formulateandjustifyaninvestmentpolicystatementtoranindividualinvestor;m)determinethestrategicassetallocationthatismostappropriateforanindividualinvestor'sSPeCifiCinvestmentobjectivesandconstraints;n)compareMontcCarloandtraditionaldeterministicapproachestoretirementplanningandexplaintheadvantagesofaMonteCarloapproach.Question:1Topic:IndividualPMMinutes:20GuidelineAnswer:PartARequiredAfter-taxRateofReturnCalculationCashNeedNeXtYearTotalexpenseslastyear300,000x(1+Inflationrate)L025Totalexpensesnextyear307,500Lessaftcr-taxretirementincome125,000x(1-0.30)87,500Netcashneedincomingyear220,000InvestableAssetsNetfromSaleofBusinessGrossproceedsfromsale10,000,000Taxratedueonsale15%Netfromsaleofbusiness8,500,000CurrentInvestmentPortfolio2,500,000TotalInvestableAssets11,000,000Requiredftcr-taxRateofReturnCashNeed220,000InvestableAssets11,000,000RealRequiredAfter-taxRateofReturn2.00%NominalRequiredAfter-taxRateofReturn(2.0%+Inflationof2.5%)=4.50%Or,geometricreturnof4.55%(1.02x1.025-1)Question:1Topic:IndividualPMMinutes:20ALTERNATEANSWERRemovetheUSD250,000cashreservefromtheinvestableassetbase,reducingtheinvestableassetbasetoUSD10,750,000.Thisresultsin:RealRequiredAfter-taxRateofReturn(220,000/10,750,000)=2.05%NominalRequiredAfter-taxRateofReturn(2.05%+Inflationof2.5%)=4.55%Or,geometricreturnof4.60%(1.0205x1.025-1)PartBFactorsthatindicatetheVoorts*abilitytoassumeriskisaboveaverage:Theyarerelativelyyoungandhavealongtimehorizon,sotheyarelikelytohavetimetorecoverfromanyunanticipatedadversefinancialevent.Theyhaveasubstantialassetbaserelativetotheirspendingneeds.Thecouplehasrelativelystablespendinghabitsanddoesnotexpectanysignificantcashoutflowsinthefuture.Theyownahomeandhavenodebt,sothehomecouldbesoldorborrowedagainstifcashisneeded.Theyarerelativelyyoungandhavetheabilitytoseekemploymentifnecessary.PartCTheliquidityrequirementfortheVoortsinthecomingyearhastwocomponents:netcashneedsforlivingexpensesandanemergencyreserve.Thcirannualexpensesarcestimatedtoincreasebyinflationof2.5%(USD300,000lastyearX1.025=USD307,500).Retirementincomeisreducedbytaxesof30%(USD125,000x(1-0.30)=USD87,500).ThenetcashneedforexpensesisthusUSD220,000.Inaddition,theVoortswanttoestablishandmaintainacashreserveofUSD250,000.Therefore,theVoorts,totalliquidityrequirementforthenextyearisUSD470,000(USD220,000+USD250,000).PartDThenvtappropriateportfoliofortheVoortsmustmeetthefollowingrequirements:1.Realafter-taxreturnof3.5%ormore(pre-taxreturn×(1-taxrate)-inflationrate)2.Shortfallriskofnolowerthan-10%inanyoneyear(equaltonominalpre-taxexpectedreturnminustwotimesstandarddeviation)Question:1Topic:IndividualPMMinutes:20Thefollowinganalysisshowswhethereachportfoliomeets(pass/fail)thespecifiedreturnandriskrequirements:PortfolioXReturnObjective:Realafter-taxreturn:9.3%X(I-30%)-2.5%=4.0%>3.5%;passShortfallriskconstraint:Shortfallrisk:9.3%-(2×11.0%)=-12.7%<-10.0%;failPortfolioYReturnObjective:Realafter-taxreturn:8.4%×(1-30%)-2.5%=3.4%<3.5%;failShortfallriskconstraint:Shortfallrisk:8.4%-(2×8.7%)=-9.0%<-10.0%;passPortfolioZReturnObjective:Realafter-taxreturn:8.8%×(1-30%)-2.5=3.7>3.5;passShortfallriskconstraint:Shortfallrisk:8.8%-(2×9.3%)=9.8%>-10.0%;passPorfolioXdoesnotmeettheshortfallriskconstraintandPortfolioYdoesnotmeetthereturnobjective.PortfolioZistheonlyoneofthethreeproposedportfoliosthatmeetsboththereturnobjectiveandtheshortfallriskconstraint.Question:2Topic:IndividualPMMinutes:15ReadingReferences:12."EstatePlanninginaGlobalContext/'*StephenM.Horan,CFA,andThomasR.Robinson,CFA(CFAInstitute,2009).1.OS:2013-III-4-12-a,b,d-g12.uEstatePlanninginaGlobalContext”Thecandidateshouldbeabletoa)discussthepurposeofestateplanningandexplainthebasicconceptsofdomesticestateplanningsincludingestates,willsandprobate;b)explainthetwoprincipalformsofwealthtransfertaxesanddi§cu§§theimpactofimportantnon-taxissues,suchaslegalsystem,forcedheirship,andmaritalpropertyregime;c)determineafamily'scorecapitalandexcesscapital,basedonmortalityprobabilitiesandMonteCarloanalysis;d)evaluatetherelativeafter-taxvalueoflifetimegiftsandtestamentarybequests;e)explaintheestateplanningbenefitofmakinglifetimegiftswhengifttaxesarepaidbythedonor,ratherthantherecipient;f)evaluatetheafter-taxbenefitsofbasicestateplanningstrategies,includinggenerationskipping,spousalexemptions,valuationdiscounts,andcharitablegifts;g)explainthebasicstructureofatrustanddiscussthedifferencesbetweenrevocableandirrevocabletrusts;h)explainhowlifeinsurancecanbeatax-efficientmeansofwealthtransfer;i)discussthetwoprincipalsystems(sourcejurisdictionandresidencejurisdiction)forestablishingacountry'staxjurisdiction;j)discussthepossibleincomeandestatetaxconsequencesofforeignsituatedassetsandforeign-sourcedincome;k)evaluateaclientstaxliabilityundereachofthreebasicmethods(credit,exemption,anddeduction)thatacountrymayusetoproviderelieffromdoubletaxation;1)discusstheimpactofincreasinginternationaltransparencyandinfbnationexchangeamongtaxauthoritiesoninternationalestateplanning.Question:2Topic:IndividualPMMinutes:15GuidelineAnswer:PartAPuente,stotalestateisUSD26million.Hiscurrentwifeisentitledtoreceiveeither:aminimumof25percentofthetotalestateunderforcedheirship:USD26millionx0.25=USD6.5million;or50percentoftheincreaseinthevalueofthetotalestateduringhiscurrentmarriageundercommunityproperty:(USD26million-USD12million)x0.50=USD7.0millionTherefore,theminimumamountthatPuente,scurrentwifewouldreceive,beforeestatetaxesareconsidered,ifPuenteweretodietoday,isthegreaterofhershareunderforcedheirshiporcommunityproperty;thatis,USD7.0million.PartBAtrustisanarrangementcreatedbyasettlororgrantor(inthiscase,Puente),whotransfersassetstoatrustee.Thetrusteeholdsandmanagestheassetsforthebenefitofthebeneficiaries(Puente,scurrentwifeandhisfourchildren-threesonsfromhiscurrentmarriageandonedaughterfromhispreviousmarriage).AtrustwouldprovidePuentethefollowingbenefits:Transferofassetstohiswifeandchildrenwithoutthepotentialpublicityassociatedwithprobate.Pucntchasexpressedaneedforprivacy.Protectionoftheassetswithinthetrustfromclaimsagainsthimorhiswifeandchildren,bothnowandinthefuture.Pucntewantstosecuretheirfinancialfutureandworriesaboutclaimsfromoutsideofthefamily.Avoidsdisputeswithinthefamily(amonghiswifeandfourchildren).Responsiblestewardshipofassetswhilehischildrenareminors,andafterwardsiftheyareunabletomanagetheassetsthemselves.Question:2Topic:IndividualPMMinutes:15PartCTworeasonswhytaxconsiderationsfavorPuentemakingacurrentgifttohisdaughterratherthantransferringwealthtoherthroughabequestuponhisdeath:Becausehisdaughter'sincometaxrateislowerthanPucntc,sandtheirpre-taxreturnsareassumedtobethesame,thefutureafter-taxvalueofanygiftedamountwillbegreaterthanifthisamountstayedinPucnte,sestate.BecausegifttaxesarepaidfromPuente,sestate,thesizeofhistaxableestateisreduced.Becausehisdaughter'sestatewillnotbetaxed,thislowerstheultimateestatetaxthatwillbepaid.Thepresentvalueofthistaxbenefitisequaltothegifttaxrate,multipliedbytheestatetaxrate,multipliedbythesizeofthegift.PartDGeneration-skippingisastrategyforreducingtaxesbytransferringassetsdirectlytothethirdgeneration(grandchild)fromthefirstgeneration(Puente).Transferringassetstothesecondgeneration(daughter)wouldincurtransfertaxes.Asecondlayeroftaxeswouldbeassessedwhenassetsarctransferredfromhisdaughtertohisgrandchild.Thegeneration-skippingstrategythroughadirectgifttohisgrandchildavoidsthisdoublelayeroftaxation,therebyreducingoveralltaxes.Question:3Topic:PM-BehavioralMinutes:16ReadingReferences:7.“TheBehavioralFinancePerSPeCtiVejMichaelM.Pompian,CFA(CFAInstitute,2011)9.k4BehavioralFinanceandInvestmentProcesses/*MichaelM.Pompian,CFA,ColinMcLcan,andAlistairBryrnc,CFA(CFAInstitute,2011)1.OS:2013-11L3-7-a1d7.“TheBehavioralFinancePerSPeClive"Thecandidateshouldbeableto:a.contrasttraditionalandbehavioralfinanceperspectivesoninvestordecisionmaking;b.contrastexpectedutilityandprospecttheoriesofinvestmentdecisionmaking;c.discusstheeffectsofcognitiveandknowledgecapacitylimitationsoninvestmentdecisionmaking;dcomparetraditionalandbehavioralfinanceperspectivesonportfolioconstructionandthebehaviorofcapitalmarkets.1.OS:2013-III-3-9-c,d9.tfcBehavioralFinanceandInvestmentProcesses”Thecandidateshouldbeableto:a.explaintheusesandlimitationsofclassifyinginvestorsintovarioustypes;b.discusshowbehavioralfactorsaffcctadviser-clientinteractions;c.discusshowbehavioralfactorsinfluenceportfolioconstruction;d.explainhowbehavioralflnancecanbeappliedtotheprocessofportfolioconstruction;e.discusshowbehavioralfactorsaffectanalystforecastsandrecommendremedialactionsforanalystbiases;£discusshowbehavioralfactorsaffectinvestmentcommitteedecisionmakingandrecommendtechniquesformitigatingtheireffects;g.describehowbehavioralbiasesofinvestorscanleadtomarketanomaliesandobservedmarketcharacteristics.©2013CFAInstitute.Allrightsreserved.Question:3Topic:PM-BehavioralMinutes:16GuidelineAnswer:PartASiosanhasarisk-seeking(convex)utilityRinctionforgainsandarisk-averse(concave)utilityfunctionforlosses.ThisisconsistentwithaFriedman-Savageutilityfunctioncharacterizedbyaninflectionpointwherethefunctionturnsfromconcavetoconvex.Thistypeoffunctionexplainswhypeoplemaytakelow-probability,high-payoffrisks(e.g.,out-of-the-moneyoptions)whileatthesametimeinsuringagainstlow-probability,low-payofTrisks(e.g.,earthquakeinsurance).Theconcaveportionoftheutilityfunctionexplainspurchasinglow-payoffinsuranceagainstlow-probabilitylosses,whiletheconvexportionofthefunctionexplainsrisktakingwithoptions.Traditionalfinancetheoryassumesriskaversion(concaveutilityfunction)atalllevelsofwealth,whichwouldleadtorejectionofallgambleshavinganon-positiveexpectedreturn.Question:3Topic:PM-BehavioralMinutes:16PartTemplateforQuestion3-BBehavioralbiasDiscusshowSiosan,sbehaviorreflectseachbias.Explainhowarationaleconomicindividualintraditionalfinancewouldbehavedifferentlywithrespecttoeachbias.i.self-controlSiosanexhibitsaself-controlbiasbyspendingallofhercurrentsalaryincomeandhalfherbonusincomeoncurrentconsumption,pursuingshort-tensatisfactiontothedetrimentoflong-tenfinancialsecurity.Arationaleconomicindividualusesself-controltopursuelong-termgoalsratherthanshort-tcnsatisfaction,achievinganoptimalconsumptionplanthatmaximizesexpectedutilityoverhisorherlifetime.ii.mentalaccountingSiosanisengaginginmentalaccountingbyclassifyinghersourcesofwealthintothreeaccounts:currentincome,currently-ownedassets,andthepresentvalueoffutureincome.Herconsumptionandsavingsdecisionsarcbasedonthesourceofherwealth.Shespendshersalaryandone-halfofherbonusincome,doesnotspendcurrently-ownedassets(retirementaccounts),anddoesnotconsumebasedonexpectationsoffutureincome(heronlydebtisasmallmortgageonherhomedespiteexpectationsofhighfuturecarnings).Siosanisalsoengaginginmentalaccountingbyconsideringherinvestmentsseparatelybasedontheirpurposes*Herretirementaccountisforlong-termfinancialsecurityandheroptionstradingaccountisforshort-termgainswhentheyareexercisedin-the-money.Arationaleconomicindividual:docsnotusementalaccounts,buttreatsmoneyandwealthasfungible;optimizesspendingandinvestmentdecisionsregardlessofthesourceofwealth;anddoesnotsegregateinvestmentsbasedontheirpurposes,butviewsallassetsinaportfoliocontext,consideringcorrelationsbetweenassetstoconstructanoptimalportfolio.Question:3Topic:PM-BehavioralMinutes:16PartCMurrayiscorrectthatSiosan,sretirementportfolioallocationisconsistentwithBehavioralPortfolioTheory(BPT)andnotconsistentwithamcan-varianccframework(MVF).ABPTinvestormaximizesexpectedwealthsubjecttoasafetyconstraint.Asaresult,theoptimalportfolioofaBPTinvestorisacombinationofbondsorrisklessassetsandhighlyspeculativeassets.Siosan,sportfolioisconsistentwithBPTandisconstructedinlayers,whichmaybetheresultofmentalaccounting.AnMVFinvestorconstructsportfoliosinacomprehensivemanner.MVFportfoliosaremeanvarianceefficientandtakeintoaccounttheinvestor,srisktolerance,investmentobjectivesandconstraints,andcircumstances.Siosan,sportfolioisnotmean-varianceefficientbecauseitappearsthatnoconsiderationhasbeengiventothecovarianceofreturnsbetweendifferentassets,andthereisnoevidencethatSiosanhasconsideredherrisktolerance,investmentobjectivesandconstraints,orcircumstances.Question:4Topic:EquityMinutes:17ReadingReferences:27."EquityPortfolioManagement,Ch.7,ManagingInvestmentPortfolios:ADynamicProcess,3rdedition,GaryGastineau,AndrewR.Olma,andRobertG.Zielinski(CFAInstitute,2007).29.InternationalEquityBenchmarks,Ch.10,BenchmarksandInvestmentManagementLaurenceB.Siegel(TheResearchFoundationofAIMR,2003).1.OS:2013-III-ll-27-j27.“EquityPortfolioManagement"Thecandidateshouldbeableto:a)discusstheroleofequitiesintheoverallportfolio;b)discusstherationalesforpassive,active,andsemiactive(enhancedindex)equityinvestmentapproachesanddistinguishamongthoseapproacheswithrespecttoexpectedactivereturnandtrackingrisk;c)recommendanequityinvestmentapproachwhengivenaninvestor'sinvestmentpolicystatementandbeliefsconcerningmarketefficiency;d)distinguishamongthepredominantweightingschemesusedintheconstructionofmajorequityshareindicesandevaluatethebiasesofeach;e)comparealternativemethodsforestablishingpassiveexposuretoanequitymarket,includingindexedseparateorpooledaccounts,indexmutualf