CFA三级写作课后题（2020.12）9.docx

2020年12月CFA三级写作题Portfolomanagementforinstitutionalinvestors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!PortfoloManagementforInstitutionalInvestorsCase1:BernZangBernZangistherecentlyhiredchiefinvestmentofficeroftheJansonUniversityEndowmentInvestmentOffice.TheJansonUniversityEndowmentFund(theFund)isbasedintheUnitedStatesandhascurrentassetsundermanagementof$12billion.Ithasalong-terminvestmenthorizonandrelativelylowliquidityneeds.TheFundisoverseenbyanInvestmentCommitteeconsistingofboardmembersfortheFund.TheInvestmentOfficeisresponsibleforimplementingtheinvestmentpolicysetbytheFUncrSInvestmentCommittee.TheFund'scurrentinvestmentapproachincludesaninternallymanagedfundthatholdsmostlyequitiesandfixed-incomesecurities.Itislargelypassivelymanagedwithtighttrackingerrorlimits.Thetargetassetallocationis55%equities,40%fixedincome,and5%alternatives.TheFundcurrentlyholdsprivaterealestateinvestmentstomeetitsalternativeinvestmentallocation.1.IdentifytheinvestmentapproachcurrentlybeingusedbytheInvestmentCommitteeformanagingtheFund.Justifyyourresponse.IdentifytheinvestmentapproachcurrentlybeingusedbytheInvestmentCommitteeformanagingtheFund,(circleone)NorwayModelEndowmentModelCanadianModelLDIModelJustifyyourresponse.SolutionIdentifytheinvestmentapproachcurrentlybeingusedbytheInvestmentCommitteeformanagingtheFund,(circleone)NorwayModelEndowmentModelCanadianModelLDIModelJustifyyourresponse.TheinvestmentapproachcurrentlyusedtomanagetheFund,sassetsistheNorwaymodel.Thisapproachischaracterizedbyaheavyallocationtopublicequitiesandfixed-incomesecuritieswithlittleallocationtoalternativesandlargelypassivelymanagedassetswithtighttrackingerrorlimits.2.DiscusstheadvantagesandthedisadvantagesoftheinvestmentapproachcurrentlybeingDiscusstheadvantagesandthedisadvantagesoftheinvestmentapproachcurrentlybeingusedbytheInvestmentCommittee.AdvantagesDisadvantagesSolutionDiscusstheadvantagesandthedisadvantagesoftheinvestmentapproachcurrentlybeingusedbytheInvestmentCommittee.AdvantagesAdvantagesofusingtheNorwaymodelarethatinvestmentcosts/feesarelow,investmentsaretransparent,managerriskisIow,andthereislittlecomplexityforagoverningboard(themodeliseasytounderstand).DisadvantagesThedisadvantageofusingtheNorwaymodelisthatthereislimitedpotentialforvalue-added(i.e.,alphafromsecurityselectionskills),above-marketreturns.3.DescribehoweachofthefollowingcommoncharacteristicsofinstitutionalinvestorssupportstheFund*sallocationtoprivaterealestate:1.Scaleii.Investmenthorizoniii.GovernanceframeworkDiscusstheadvantagesandthedisadvantagesoftheinvestmentapproachcurrentlybeingusedbytheInvestmentCommittee.ScaleInvestmentHorizonGovernanceFrameworkSolutionDiscusstheadvantagesandthedisadvantagesoftheinvestmentapproachcurrentlybeingusedbytheInvestmentCommittee.ScaleTheFundhas$12billionofassetsundermanagement.Itsrelativelylargesizeallowsitaccesstoabroadinvestmentuniverseandtoinvestmentsthathaveahighminimuminvestmentsize,suchasprivaterealestate.InvestmentHorizonAlternativeinvestments,suchasprivaterealestate,requirealong-terminvestmenthorizon.Janson,likemostuniversityendowments,hasalong-terminvestmenthorizonandrelativelylowliquidityneeds.Thismakesprivaterealestateanappropriateinvestmentandalsohelpstheendowmentmaintainlong-termpurchasingpower.Institutionalinvestorsusuallyoperateunderaformalgovernanceframework.Jansonhasawell-structuredGovernanceFrameworkgovernanceCommitteeframeworkthatispartthatincludesoftheboardanInvestmentoverseeingtheincludesanInvestmentOfficethatimplementstheinvestmentpolicyapprovedbytheInvestmentCommittee.Thedecisiontoinvestinprivaterealestatehadtogothroughanapprovalprocessthatissetandmaintainedbythegovernancestructureinplace.Afterathoroughinternalreview,ZangconcludesthatthecurrentinvestmentapproachwillresultinadeteriorationofthepurchasingpoweroftheFundovertime.Heproposesanew,activemanagementapproachthatwillsubstantiallydecreasetheallocationtopubliclytradedequitiesandfixedincomeinordertopursueahigherallocationtoprivateinvestments.Themanagementofthenewinvestmentswillbeoutsourced.4.IdentifythenewinvestmentapproachproposedbyZangformanagingtheFund.Justifyyourresponse.IdentifythenewinvestmentapproachproposedbyZangformanagingtheFund,(circleone)NorwayModelEndowmentModelCanadianModelIDlModeFJustifyyourresponse.SolutionIdentifythenewinvestmentapproachproposedbyZangformanagingtheFund,(circleone)NorwayModelEndowmentModelCanadianModelLDIModelJustifyyourresponse.ThenewinvestmentapproachproposedbyZangistheendowmentmodel.Thismodelischaracterizedbysignificantactivemanagement,ah