CFA三级十年真题 (2008-2017)：level_III_essay_questions_2017.docx

CFAInstituteCharteredFinancialAnalyst®Examination2017LevelIIIMorningSessionEssayQuestionsThefollowingisprovidedforinformationalpurposesonlyandmaynotbeusedinanycommercialmannerwithoutpriorwrittenpermissionfromCFAInstitute.©2017CFAInstitute.AllRightsReserved.TheMorningSessionofthe2017LevelIIICFA®Examinationhas10questions.Forgradingpurposes,themaximumpointvalueforeachquestionisequaltothenumberofminutesallocatedtothatquestion.QuestionTopicMinutes1PortfolioManagementAlternativeInvestments192PortfolioManagementInstitutional223PortfolioManagementPerfbnnanceEvaluation154PortfolioManagementIndividual155PortfolioManagement-IndividualZBchavioraI156PortfolioManagement-Individual227PortfolioManagement-Economics148PortfolioManagement一AssetAllocation209PortfolioManagement-FixedIncome2110PortfolioManagement-RiskManagement17Total:180LeVelIIlTHISPAGEINTENTIONALLYLEFTBLANKMARKSMADEONTHISPAGEARENOTGRADEDQUESTION1HASFOURPARTS(A,B,C,D)FORATOTALOF19MINUTES.MattcrhomInvestmentsisanalternativeinvestmentsfinn.UrsBrunner,ananalyst,isreviewingtheperformanceofMatterhorn,scommoditiesfnd.Brunnerisanalyzingthereturncomponentsofthefind*sinvestmentinthecommodityfuturescontractsshowninExhibit1.Exhibit1FuturesContractDetails(inUSD)ContractMaturityFuturesPriceatEndOfFebruaryFuturesPriceatEndofJanuaryAugust533.50518.50September528.25514.75BrunnernotesthatfromtheendofJanuarytotheendofFebruary,thespotpriceoftheunderlyingcommodityincreasedbyUSD6.25andthetotalreturnontheAugustfuturescontractwasaprofitofUSD18.00.A.Calculate,fortheAugustcontract,the:i.collateralreturn(inUSD)inFebruary.ii.rollreturn(inUSD)inFebruary.Showyourcalculations.4minutes(AnswerI-Aonpage5)Brunnerobservesthatthecurrentshapeofthefuturescurveofadifferentcommodity,nickel,isflat.Hcwantstoanalyzehowthenickelfuturescurvewouldchangeinascenariowhereboththecostofstorageandtheconvenienceyieldsimultaneouslydecreasebydifferentamounts.B.Determinethemostlikelyshapeofthenickelfuturescurve(contango,flat,backwardation,orcannotbedetermined),givenBnnner,sproposedscenario.Justifyyourresponse.Note:Interestratesandthespotpriceremainunchanged.3minutes(AnswerI-Bonpage6)Matterhorn*smanagementisconsideringchangestooneofitshedgefunds.Brunnerreviewsthelikelyeffectofeachchangeonthefund,sreportedSharperatio.Thepotentialchangesare:Change1:Increasethefund'sholdingsincommoditiesthattradeinfrequently.Change2:Whencalculatingthefind,sannualizedrateofreturnandstandarddeviation,switchfrommonthlytodailyobservations.C.Determinethemostlikelyeffect(decrease,nochange,increase)ofeachchangeonthefund'sreportedSharpcratio.Justifyeachresponse.Note:Considereachchangeindependently.6minutes(AnswerI-Conpage7)Matterhornmanagesadifferenthedgefundthatusesahedgedequitystrategy.Itsbenchmarkforthisfundisaninvestable,manager-basedindexwithamonthlyreturnseries.Mattcrhorniscompensatedbasedonitsfind,sperformancecomparedtothisindex,whichhasthefollowingadditionalcharacteristics:Indexconsistsof50active,hedgedequitymanagerswhoelecttoreportmonthlyreturnsandholdings.lndex*shistoricalreturnseriesincludespastpcrfbnnanccofmanagerswhostopreportingreturns.Indexweightsarebasedoneachhedgedequitymanager'sassetsundermanagementandarerebalancedannually.Whenamanagerisaddedtotheindex,theindexproviderdoesnotincludethatmanager,spastperformance.D.DiscusstwoweaknessesofusingthisbenchmarktomeasuretheperformanceofMatterhom,shedgefund.6minutes(AnswerI-Donpage8)AnswerQuestiononThisPageCalculate,fortheAugustcontract,the:(seei.andii.below)Showyourcalculations.i.collateralreturn(inUSD)inFebruary.ii.rollreturn(inUSD)inFebruary.AnswerQuestionI-BonThisPageDeterminethemostlikelyshapeofthenickelfuturescurve,givenBrunner'sproposedscenario,(circleone)contangoflatbackwardationcannotbedeterminedJustifyyourresponse.(Note:Interestratesandthespotpriceremainunchanged.)AnswerQuestionI-ConThisPageChangeDeterminethemostlikelyeffectofeachchangeonthefund,sreportedSharperatio,(circleone)Justifyeachresponse.(Note:Considereachchangeindependently.)decreaseChange1nochangeincreasedecreaseChange2nochangeincreaseAnswerQuestionI-DonThisPageHgCA0y)WeAkneSqCSQFIlqingthishenchmnrktQmrasiirethePerfinrmAnrteCfMAttrhcrn'qhedgeRind1.2.THISPAGEINTENTIONALLYLEFTBLANKMARKSMADEONTHISPAGEARENOTGRADEDQUESTION2HASFOURPARTS(A,B,C,D)FORATOTALOF22MINUTES.MarvelStoresisaretailer,basedinthecountryofVibrania,thatOffcrSitsemployeesadcfincd-bcncfitpensionplan.Themandatoryretirementageis65,butemployeesmayelecttoretireearlyandbeginreceivingbenefitsatage57.Marvelisrequiredtofundtheplan,saccruedbenefits,whichincludeestimatedfuturewageincreases.Inaddition.Marvelhasanobjectiveforeachannualplancontributiontobelowerthanthatycar,sincreaseinaccruedbenefits.Thecompanyexpectsthatreturnsontheplanportfoliowillmakeupthedifferenceover