CFA三级写作课后题（2020.12）1.docx
2020年12月CFA三级写作题ETHICALANDPROFESSIONALSTANDARDS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!EthicalandProfessionalStandardsCase1:CompanyCCompanyCmanagesmoneyforbothretailandinstitutionalclients.TherearetwoautonomousgroupswithinCompanyC:"CompanyCInstitutionalInvestmentManagement/'whichmanagesinstitutionalassets,and"CompanyCRetailInvestors/7whichmanagesretailassets.HowshouldCompanyCdefineitselfasafirmtocomplywiththeGIPSstandards?Solution:TheGIPSstandardsencouragefirmstoadoptthebroadest,mostmeaningfuldefinitionofafirm.CompanyCshouldconsiderdefiningitselftoincludetheassetsmanagedbyboththeinstitutionalentityandtheretailentityforthepurposesofclaimingcompliancewiththeGIPSstandards.However,CompanyCcoulddefinethetwoautonomousentitiesasseparatefirmsifeachsubsidiaryisheldouttoclientsandpotentialclientsasadistinctbusinessunit.(SeeSection3.1ofthereading.)Case2:DefinitionofthefirmFirmAisamultinationalinvestmentfirm,withofficesaroundtheworldincludingJapan,Australia,theUnitedKingdom,andtheUnitedStates.Althoughallofitsofficesarepartoftheglobalparent,eachofficeisregisteredwiththeappropriatenationalregulatoryauthorityandeachisheldouttoclientsandpotentialclientsasadistinctbusinessentity.FirmA(US)claimscompliancewiththeGIPSstandards.Whatshouldthedefinitionofthefirmdisclosurebe?Solution:SampleDisclosure:wFirmAisdefinedasanindependentmanagementfirmwithofficesinJapan,Australia,theUnitedKingdom,andtheUnitedStates.FirmA(US)isasubsidiaryofFirmAservingUSclients.FirmAalsohassubsidiariesintheUnitedKingdom,Australia,andJapan/'(SeeSection3.1ofthereading.)Case3:RecordsFirmAclaimscompliancewiththeGIPSstandards.Itmaintainshardcopiesoftherecordssupportingcomplianceforthreeyearsanddiscardsallrecordsolderthanthreeyearsinanefforttosaveofficespace.Theperformancereportedonallitscompositepresentationsshowsfiveyearsofhistory.IsthefirmincompliancewiththeGIPSstandards?Solution:No.Afirmmustmaintaindatanecessarytosupportafirm'sclaimofcompliance.BecauseFirmApresentsfiveyearsofperformancehistory,itmustmaintaintherecordstosupportthefirm'sfive-yearhistoryandallotherrelevantdataonthefirm'scompositepresentations.BecausetheStandardsrequirefirmstobuildaten-yearperformancehistory,thefirmmustcontinuetomaintaintherecordstosupportthefirm'seventualten-yearperformancehistory.(SeeSection3.2ofthereading.)Usetheinformationinthefollowingtabletoanswerthisquestion(amountsin):DateFairVaIueExternalCashFlowMarketValuePostCashFlow31December2015200,00031January2016208,016February2016217,000+40,000257,00028February2016263,00022March2016270,000-30,0240,00031March2016245,000CalculatetherateofreturnforthisportfolioforJanuary,February,March,andthefirstquarterof2016usingrevaluingforlargecashflowsmethodology(assume"large"isdefinedasgreaterthan5%).Solution:January:Rjan=(208,000-200,000)/200,000=4.00%February:Rfebiis=(217,000-208,000)/208,000=4.33%RFebl6-28=(263,000-257,000)/257,000=2.33%RFebl-28=(1+00433)×(1+0.0233)-1=6.76%March:RMarI21二(270,000-263,000)/263,000=266%RMar2231=(245z000-240,000)/240,000=2.08%RMa11-3i=(l+0.0266)×(1+0.0208)-1=4.80%Quarter1:Rqti=(1+0.0400)×(1+0.0676)×(1+0.0480)-1=1636%(SeeSection3.3ofthereading.)Case5:EuropeanequitycompositeAEuropeanequitycompositecontainsthreeportfolios.Forconvenience,thecashflowweightingfactorsarepresentedbelow.CashFlowWeightingFactorPortfolio(millions)ABCFairvalueasof31July74.9127.6110.4Externalcashflows:8August0.742-1512August0.6137.519August0.387-515Fairvalueasof31August853109.8128.41.CalculatethereturnsofPortfolioA,PortfolioB,andPortfolioCforthemonthofAugustusingtheModifiedDietzformula.Solution:Portfolioreturns:X5.3 - 74.9 - 7.574.9 +(7.5 × 0.613)2 9,= 0.0365 = 3.65%79.5109.8-127.6 - (-15) - (-5)12 7.6 + (-15× O.742) ÷ (-5 × 0.3 8 7)114.535= 0.01921.92%128.4-110.4-15110.4+ (15 x 0.3X7)=116.205=0.0258 = 2.58%2.CalculatetheAugustcompositereturnbyasset-weightingtheindividualportfolioreturnsusingbeginning-of-periodvalues.Solution:Tocalculatethecompositereturnbasedonbeginningassets,firstdeterminethepercentofbeginningcompositeassetsrepresentedbyeachportfolio;thendeterminetheweighted-averagereturnforthemonth:Beginningcompositeassets=74.9+127.6+110.4=312.9PortfolioA=74.9/312.9=0.239=23.9%PortfolioB=127.6/312.9=0.408=40.8%PortfolioC=110.4/312.9=0.353=35.3%rComp=(0.0365×0.239)+(0.0192×0.408)+(0.0258×0.353)=0.0257二2.57%3.CalculatetheAugustcompositereturnbyasset-weightingtheindividualportfolioreturnsusingamethodthatreflectsbothbeginning-of-periodvaluesand
