CFA三级十年真题 (2008-2017)：level_III_guideline_answers_2013.docx

Question:1Topic:IndividualPMMinutes:20ReadingReferences:10.tfcManagingIndividualInvestorPortfbIioSJCh.2,ManagingInvestmentPortfolios:ADynamicProcess,3rdedition,JamesW.Bronson,MatthewH.Scanlan,andJanR.Squires(CFAInstitute,2007).1.OS:2013-III-4-10-j-m10.tfcManagingIndividualInvestorPortfbliosThecandidateshouldbeableto:a)discusshowsourceofwealth,measureofwealth,andstageoflifeaffcctanindividualinvestor'srisktolerance;b)explaintheroleofsituationalandpsychologicalprofilinginunderstandinganindividualinvestor;c)comparethetraditionalfinanceandbehavioralfinancemodelsofinvestordecisionmaking;d)explaintheinfluenceofinvestorpsychologyonrisktoleranceandinvestmentchoices;e)explaintheuseofapersonalitytypingquestionnaireforidentifyinganinvestor*spersonalitytype;f)compareriskattitudesanddecision-makingstylesamongdistinctinvestorpersonalitytypes,includingcautious,methodical,spontaneous,andindividualisticinvestors;g)explainthepotentialbenefits,forbothclientsandinvestmentadvisers,ofhavingaformalinvestmentpolicystatement;h)explaintheprocessinvolvedincreatinganinvestmentpolicystatement;i)distinguishbetweenrequiredreturnanddesiredreturnandexplaintheimpactthesehaveontheindividualinvestor'sinvestmentpolicy;j)explainhowtosetriskandreturnobjectivesforindividualinvestorportfoliosanddiscusstheimpactthatabilityandwillingnesstotakeriskhaveonrisktolerance;k)discusseachofthemajorconstraintcategoriesincludedinanindividualinvestor'sinvestmentpolicystatement;I)formulateandjustifyaninvestmentpolicystatementtoranindividualinvestor;m)determinethestrategicassetallocationthatismostappropriateforanindividualinvestor'sSPeCifiCinvestmentobjectivesandconstraints;n)compareMontcCarloandtraditionaldeterministicapproachestoretirementplanningandexplaintheadvantagesofaMonteCarloapproach.Question:1Topic:IndividualPMMinutes:20GuidelineAnswer:PartARequiredAfter-taxRateofReturnCalculationCashNeedNeXtYearTotalexpenseslastyear300,000x(1+Inflationrate)L025Totalexpensesnextyear307,500Lessaftcr-taxretirementincome125,000x(1-0.30)87,500Netcashneedincomingyear220,000InvestableAssetsNetfromSaleofBusinessGrossproceedsfromsale10,000,000Taxratedueonsale15%Netfromsaleofbusiness8,500,000CurrentInvestmentPortfolio2,500,000TotalInvestableAssets11,000,000Requiredftcr-taxRateofReturnCashNeed220,000InvestableAssets11,000,000RealRequiredAfter-taxRateofReturn2.00%NominalRequiredAfter-taxRateofReturn(2.0%+Inflationof2.5%)=4.50%Or,geometricreturnof4.55%(1.02x1.025-1)Question:1Topic:IndividualPMMinutes:20ALTERNATEANSWERRemovetheUSD250,000cashreservefromtheinvestableassetbase,reducingtheinvestableassetbasetoUSD10,750,000.Thisresultsin:RealRequiredAfter-taxRateofReturn(220,000/10,750,000)=2.05%NominalRequiredAfter-taxRateofReturn(2.05%+Inflationof2.5%)=4.55%Or,geometricreturnof4.60%(1.0205x1.025-1)PartBFactorsthatindicatetheVoorts*abilitytoassumeriskisaboveaverage:Theyarerelativelyyoungandhavealongtimehorizon,sotheyarelikelytohavetimetorecoverfromanyunanticipatedadversefinancialevent.Theyhaveasubstantialassetbaserelativetotheirspendingneeds.Thecouplehasrelativelystablespendinghabitsanddoesnotexpectanysignificantcashoutflowsinthefuture.Theyownahomeandhavenodebt,sothehomecouldbesoldorborrowedagainstifcashisneeded.Theyarerelativelyyoungandhavetheabilitytoseekemploymentifnecessary.PartCTheliquidityrequirementfortheVoortsinthecomingyearhastwocomponents:netcashneedsforlivingexpensesandanemergencyreserve.Thcirannualexpensesarcestimatedtoincreasebyinflationof2.5%(USD300,000lastyearX1.025=USD307,500).Retirementincomeisreducedbytaxesof30%(USD125,000x(1-0.30)=USD87,500).ThenetcashneedforexpensesisthusUSD220,000.Inaddition,theVoortswanttoestablishandmaintainacashreserveofUSD250,000.Therefore,theVoorts,totalliquidityrequirementforthenextyearisUSD470,000(USD220,000+USD250,000).PartDThenvtappropriateportfoliofortheVoortsmustmeetthefollowingrequirements:1.Realafter-taxreturnof3.5%ormore(pre-taxreturn×(1-taxrate)-inflationrate)2.Shortfallriskofnolowerthan-10%inanyoneyear(equaltonominalpre-taxexpectedreturnminustwotimesstandarddeviation)Question:1Topic:IndividualPMMinutes:20Thefollowinganalysisshowswhethereachportfoliomeets(pass/fail)thespecifiedreturnandriskrequirements:PortfolioXReturnObjective:Realafter-taxreturn:9.3%X(I-30%)-2.5%=4.0%>3.5%;passShortfallriskconstraint:Shortfallrisk:9.3%-(2×11.0%)=-12.7%<-10.0%;failPortfolioYReturnObjective:Realafter-taxreturn:8.4%×(1-30%)-2.5%=3.4%<3.5%;failShortfallriskconstraint:Shortfallrisk:8.4%-(2×8.7%)=-9.0%<-10.0%;passPortfolioZReturnObjective:Realafter-taxreturn:8.8%×(1-30%)-2.5=3.7>3.5;passShortfallriskconstraint:Shortfallrisk:8.8%-(2×9.3%)=9.8%>-10.0%;passPorfolioXdoesnotmeettheshortfallriskconstraintandPortfolioYdoesnotmeetthereturnobjective.PortfolioZistheonlyoneofthethreeproposedportfoliosthatmeetsboththereturnobjectivea