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

TheMorningSessionofthe2015LevelIIICFAExaminationhas11questions.Forgradingpurposes,themaximumpointvalueforeachquestionisequaltothenumberofminutesallocatedtothatquestion.QuestionTopicMinutes1PortfolioManagement-Institutional142PortfolioManagement-Institutional173PortfolioManagementFixedIncome194PortfolioManagementAlternativeInvestments205PortfolioManagement-PerformanceEvaluation156PortfolioManagement-RiskManagement147PortfolioManagement-Individual188PortfolioManagement-Individual169PortfolioManagement-AssetAllocation1510PortfolioManagement-Economics1411PortfolioManagement-IndividualZBehavioral18Total:180Questions1and2relatetoSaylorGuitarsandSandeepNayar.Atotalof31minutesisallocatedtothesequestions.Candidatesshouldanswerthesequestionsintheorderpresented.QUESTION1HASTHREEPARTS(A,B,C)FORATOTALOF14MINUTES.SayIorGuitarswasestablished25yearsagointheUS.Today,thecompanyemploysahighly-skilledworkforcetoproducehandmadeguitars.Tenyearsago,thecompanyinstitutedadefincd-bcnefitpensionplan(thePlan).Thereisnoprovisionforearlyretirement.Theaverageageoftheworkforceis35years,andtherearenocurrentpensionrecipients.Untillastyear,SaylormadeannualcontributionstothePlanandithadasurplus.However,thelatesteconomicdownturnreducedsalesofSaylor,spremium-pricedguitars,whichresultedinlowerprofitability.ThisledthecompanytoomitPlancontributionsandnowthePlanisjustfullyfundedwithnosurplus.Customerordershavebeguntoincreasewithanimprovementintheoveralleconomy.Basedonpastexperience,thecompanyisforecastingthatitwillreturntoitstypicalhighprofitlevelsinthenextseveralmonths.SayloralsoexpectstoresumeitscontributionstothePlaninthefirsthalfoftheupcomingyear.TheaverageannualreturnonthePlan,sassetportfoliosinceinceptionhasbeen4.8%.Theportfolioiswell-diversifiedacrossassetclassesandhaslowreturncorrelationwiththebroadequitymarket.Saylorusesadiscountrateof4.5%tocomputeitspensionbenefitobligation.Theexpectedinflationrateis1.5%.Saylor,sdebt-to-assetsratiois0.42comparedtotheindustryaverageof0.40.A.DeterminewhethertherisktoleranceofthePlanisbelow-averageorabove-average.JUStifyyourresponsewithAvoreasons.Note:Restatingcasefactsisanincompletejustificationandwillnotreceivecredit.(5minutes)B.StatetheminimumreturnrequirementofthePlan.Explainyourresponse.(4minutes)Onemonthlater,Saylortsmanagementdecidestooffertoemployeesoverage50,aone-timelump-sumearlyretirementoptionthatwillbepayablenextyear.TenpercentofSaylor,semployeesacceptthisoption.C.Discusshowtheacceptanceoftheearlyretirementoptionchangedeachofthefollowing:i.Liquidityrequirementii.DurationofPlanliabilities(5minutes)AnswerQuestion1onThisPageCFAINSTITUTEUSEONLYnCFA INSTITUTEUSE ONLYAnswerQuestion1onThisPageAnswerQuestion1onThisPageCFAINSTITUTEUSEONLYnTHISPAGEINTENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQuestions1and2relatetoSaylorGuitarsandSandeepNayar.Atotalof31minutesisallocatedtothesequestions.Candidatesshouldanswerthesequestionsintheorderpresented.QUESTION2HASTHREEPARTS(A,B,C)FORATOTALOF17MINUTES.TwoyearshavepassedandthefindmanagerforSaylorGuitars'defined-benefitpensionplan(thePlan)isSandeepNayar.ThePlan'sportfoliocurrentlyhasanassetallocationof80%nominalbondsand20%equities.NayarbelievestheportfolioliesontheefficientfrontierandthereturnshavearelativelylowcorrelationwithSaylor,soperatingresults.TheprofileofthePlanispresentedinExhibit1.Exhibit1SaylorPensionPlanProfileAverageageofworkforce33Retirementage60Percentageofretiredlives8%Expectedannualwagegrowth4%Retirementbenefitsarefullyindexedforinflation.Expectedannualwagegrowthincludeswageinflationof1%andproductivityincreasesof3%.Duringameetingwiththecompanyfounder,TomAnderson,Nayardescribeshisapproachtomanagingpensionriskasanasset-onlyapproach.Andersonasksaboutotherapproachestomanagingpensionrisk.Nayarexplainstheliability-relativeapproachtopensionfindinvesting.A.ContrastNayar,sapproachwiththeliability-relativeapproachforeachofthefollowing:i.ThePlan,sliabilityriskexposureii.Thecharacteristicsofalow-riskinvestment(6minutes)B.RecommendwchangestothePlan,scurrentassetallocationthatwouldbeconsistentwiththeliability-relativeapproach.Justifyeachresponse.(6minutes)NayaralsomanagestheinvestmentportfoliooftheAndersonCommunityFoundation(theFoundation).ThepurposeoftheFoundationistoprovidescholarshipstolocalstudentsforgraduatestudyinscience.TheFoundationisintendedtooperateinperpetuity.TheFoundation'sBoardinstructsNayartotakeaconservativeapproachtomanagingtheinvestmentportfolio.Thereisa5%annualspendinggoalbutnominimumspendingrequirement.ANSWERQUESTION2-CINTHETEMPLATEPROVIDEDONPAGE11.C.DeterminewhethertheFoundation'sabilitytotakeriskislowerthan,equalto,orhigherthanthatoftheSaylorpensionplan.Justifyyourresponsewithhvoreasons.Note:Restatingcasefactsisanincompletejustificationandw