CFA三级写作课后题（2020.12）6.docx

2020年12月CFA三级写作题FIXEDINCOMEPORTFOLIOMANAGEMENT今年由于疫情的缘故，CFA考试被迫延期。虽然给了大家更多的复习时间，但也不可掉以轻心。近年来，CFA考试的难度在逐步提高，并且在三级中更偏向实务与理论结合的考察。相比2019年考纲，2020年考纲发生了较多的变化。其中关于经济学的部分，更名为资本市场预期，并进行了重大改变；衍生产品与资产配置中的外汇管理合并在一起，并进行了较大的改写；另类投资的内容完全重新改写；交易与业绩评估合并在一起，并重新编写。而一向是考试重点的私人财富管理和机构组合管理也发生了较大变化，其中私人财富管理的第一个RCading重新编写，而机构组合管理也进行了重新编写，这些变化需引起考生重视。为了全面应对考试，我们全面推出了的各种学习平台，如金程网校、手机APP、金程CFA答疑等活动，请各位充分利用。如有学术问题，请登录至金程网校提问。祝大家好运，顺利通过CFA三级考试，加油!FixedincomePortfolioManagementCase1:ChaoprayaAvChaoprayaAvisaninvestmentadvisorforhigh-net-worthindividuals.Oneofherclients,SchuylkillCy,planstofundhergrandson*scollegeeducationandconsiderstwooptions:Option1Contributealumpsumof$300,000in10years.Option2Contributefourlevelannualpaymentsof$76,500startingin10years.Thegrandsonwillstartcollegein10years.Cyseekstoimmunizethecontributiontoday.ForOption1,Avcalculatesthepresentvalueofthe$300,000as$234,535.Toimmunizethefuturesingleoutflow,Avconsidersthreebondportfoliosgiventhatnozero-coupongovernmentbondsareavailable.Thethreeportfoliosconsistofnon-callable,fixed-rate,coupon-bearinggovernmentbondsconsideredfreeofdefaultrisk.Avpreparesacomparativeanalysisofthethreeportfolios,presentedinExhibit1.Exhibit1ResultsofComparativeAnalysisofPotentialPortfoliosPortfolioAPortfolioBPortfolioCMarketvalue$235,727S233,428$235,306Cashflowyield2.504%2.506%2.502%Macaulayduration9.99810.29.503Convexity119.055121.498108.091AvevaluatesthethreebondportfoliosandselectsonetorecommendtoCy.1.RecommendtheportfolioinExhibit1thatwouldbestachievetheimmunization.Justifyyourresponse.TemplateforQuestion1RecommendtheportfolioinExhibit1thatwouldbestachievetheimmunization,(circleone)Justifyyourresponse.PortfolioAPortfolioBPortfolioCSolution:PortfolioAisthemostappropriateportfoliobecauseitistheonlyonethatsatisfiesthethreecriteriaforimmunizingasinglefutureoutflow(liability),giventhatthecashflowyieldsaresufficientlycloseinvalue:MarketValue:PortfolioA'sinitialmarketvalueof$235,727exceedstheoutflow'spresentvalueof$234,535.PortfolioBisnotappropriatebecauseitsmarketvalueof$233,428islessthanthepresentvalueofthefutureoutflowof$234,535.Abondportfoliostructuredtoimmunizeasingleliabilitymusthaveaninitialmarketvaluethatequalsorexceedsthepresentvalueoftheliability.MacaulayDuration:PortfolioA'sMacaulaydurationof9.998closelymatchesthe10-yearhorizonoftheoutflow.PortfolioCisnotappropriatebecauseitsMacaulaydurationof9.503isfurthestawayfromtheinvestmenthorizonof10years.Convexity:AlthoughPortfolioChasthelowestconvexityat108.091,itsMacaulaydurationdoesnotcloselymatchtheoutflowamount.Oftheremainingtwoportfolios.PortfolioAhasthelowerconvexityat119.055;thislowerconvexitywillminimizestructuralrisk.Defaultrisk(creditrisk)isnotconsideredbecausetheportfoliosconsistofgovernmentbondsthatpresumablyhavedefaultprobabilitiesapproachingzero.CyandAvnowdiscussOption2.Avestimatesthepresentvalueofthefourfuturecashflowsas$230,372,withamoneydurationof$2,609,700andconvexityof135.142.Sheconsidersthreepossibleportfoliostoimmunizethefuturepayments,aspresentedinExhibit2.Exhibit2DataforBondPortfoliostoImmunizeFourAnnualContributionsPortfolioAPortfolioBPortfolioCMarketvalue$245,178$248,230$251,337Cashflowyield2.521%2.520%2.516%Macaulayduration2,609,9812,609,4422l609z707Convexity147.640139.851132.8652.DeterminethemostappropriateimmunizationportfolioinExhibit2.Justifyyourdecision.TemplateforQuestion2DeterminethemostappropriateimmunizationportfolioinExhibit2.(circleone)Justifyyourresponse.Portfolio1Portfolio2Portfolio3Solution:Portfolio2isthemostappropriateimmunizationportfoliobecauseitistheonlyonethatsatisfiesthefollowingtwocriteriaforimmunizingaportfolioofmultiplefutureoutflows:MoneyDuration:Moneydurationsofallthreepossibleimmunizingportfoliosmatchorcloselymatchthemoneydurationoftheoutflowportfolio.Matchingmoneydurationsisusefulbecausethemarketvaluesandcashflowyieldsoftheimmunizingportfolioandtheoutflowportfolioarenotnecessarilyequal.Convexity:Giventhatthemoneydurationrequirementismetbyallthreepossibleimmunizingportfolios,theportfoliowiththelowestconvexitythatisabovetheoutflowportfolio'sconvexityof135.142shouldbeselected.Thedispersion,asmeasuredbyconvexity,oftheimmunizingportfolioshouldbeaslowaspossiblesubjecttobeinggreaterthanorequaltothedispersionoftheoutflowportfolio.Thiswillminimizetheeffectofnon-parallelshiftsintheyieldcurve.Portfolio3,sconvexityof132.865islessthantheoutflowportfolio,sconvexity,soPortfolio3isnotappropriate.BothPortfolio1andPortfolio2haveconvexitiesthatexceedtheconvexityoftheoutflowportfolio,butPortfolio2'sconvexityof139.851islowerthanPortfoliosconvexityof147.640.Therefore,Portfolio2isthemostappropriateimmunizingportfolio.Theimmunizingportfolioneedstobegreaterthantheconvexity(anddispersion)oftheoutflowportfolio.But,theconvexityoftheimmunizingportfolioshouldbeminimizedinordertominimizedispersionandreducestructuralrisk.Afterselectingaportfol