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

Thefollowingarerepresentativeofquestionsonthe2008Level111exam,MorningSession.Thesequestionsandguidelineanswersillustratehoweachtopicareawastestedonthe2008LevelIIIexam.Forgradingpurposes,themaximumpointvalueforeachquestionisequaltothenumberofminutesallocatedtothatquestion.QuestionTopicMinutes1PortfolioManagement-Individual362PortfolioManagement-IndividualZBehavioral93PortfolioManagement-Institutional364PortfolioManagement-AssetAllocation175PortfolioManagement-FixedIncomeInvestments136PortfolioManagementAlternativeInvestments117PortfolioManagementRiskManagement178PortfolioManagement-ExecutionofPortfolioDecisions149PortfolioManagement-MonitoringandRebalancing910PortfolioManagement-PerformanceEvaluation911PortfolioManagement-GlobalContext9Total:180THISPAGEINTENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQUESTION1HASFOURPARTS(A,B,C,D)FORATOTALOF36MINUTES.RobertoandMarianaCarvalholiveinalargecityinBrazilwiththeirtwochildren,agesfourandtwo.Robcrtois30yearsoldandMarianawillbe30yearsoldlaterthismonth.RobcrtoisamanagerinamanufacturingfacilityandMarianaisamusicianinthelocalsymphonyorchestra.RobertoandMariana,sannualsalariestotal120,000Brazilianreais(BRL)aftertax.Theirsalariesjustcovertheirlivingexpenses.Theaverageannualinflationrateisfourpercentandtheirsalariesandexpensesareexpectedtoincreaseatthisrate.Theyarehealthyandbelievetheirjobsandearningpotentialaresecure.TheCarvalhos,salaries,dividends,andinterestaretaxedat20percent,andcapitalgainsat15percent.Mariana,sparentshavesignificantwealthandfundedanirrevocablepersonaltrustforher.Brazilhasawealthtransfertaxthatappliestotransfersintotrustsandtoinheritances.BrazilhasadoptedthePrudentInvestorRulefortheadministrationoftrusts.ThecurrentvalueofthetrustisBRL1,500,000.ThetermsofthetruststatethatwhenMarianareachestheageof30,shewillreceiveatax-freedistributionofhalfthevalueofthetrust.Thebalanceofthetrustwillremaininvestedandwilldistributeintotaltoherwhenshereachesage40.Sinceshedoesnothaveaccesstotheremainingbalancefortenyears,thisbalanceisnotconsideredapartoftheCarvalhos,investableassets,butispartoftheirtotalnetworth.Inaddition,Marianaexpectstoinheritasubstantialsumofmoneyuponthedeathofbothparents.TheCarvalhoshaveBRL500,000ininvestableassets,currentlyallinshort-termbankdeposits.Itistheirintentiontomaintainatleastthisamountininvestableassets,onaninflation-adjustedbasis,inthefuture.TheCarvalhoscurrentlylivewithMariana'sparents,butarenowpurchasingahome.ThepurchasepriceofthehomeisBRL850,000.Thedownpaymentis30percentofthecostofthehomeandwillbefundedfromthetrustdistribution.TheCarvalhoswilltakeoutafixedratemortgageforthebalanceofthepurchaseprice.Theafter-taxmortgagecostwillbefixedatBRL55,000(principalandinterest)annuallyfor30years,withthefirstannualpaymentdueoneyearfromnow.TheCarvalhos5immediateinvestmentgoalistohavetheirinvestmentportfoliocoverthecostofthemortgage,whilemaintainingtheportfolio'sination-adjustedvalue.Theyplantoretireattheageof60andtheirlong-tengoalistohaveaninvestmentportfoliothatwillprovideanannualincomecomparabletotheircurrentsalariesadjustedbyinflation.TheirfamilyhealthinsuranceisprovidedbyRoberto,semployer,bothnowandinretirement.Theyarehopefilltheirtwochildrenwillattendthelocaluniversityatnocost.Theuniversitydoesnotchargetuitionfeesforqualifiedstudentswhopassitsentranceexam.Thosewhodonotpasstheexamarerequiredtopayfulltuition,whichishighrelativetotheCarvalhos,livingexpenses.Inordertomeettheirinvestmentgoals,theCarvalhosrealizetheyneedtoconsiderinvestmentsotherthanshort-tebankdeposits.TheCarvalhoshireLuizOliveira,CFA,tomanageaninvestmentportfoliothattheywillfundwiththeirBRL500,000inbankdepositsandthenetproceedsofMariana,strustdistributionatage30.A.i.PreparethereturnobjectivesportionoftheCarvalhos,investmentpolicystatement(IPS).ii.Calculatetheafter-taxnominalrateofreturnthatisrequiredforthenextyear.Showyourcalculations.(12minutes)B.i.IdentifyhvofactorsintheCarvalhos,situationthatincreasetheirabilitytotakerisk.ii.IdentifytwofactorsintheCarvalhos,situationthatdecreasetheirabilitytotakerisk.iii.DeterminewhethertheCarvalhoshavebelow-average,average,oraboveaverageabilitytotakerisk.AnswerQuestion1BintheTemplateprovidedonpage7.(10minutes)C.PreparethefollowingconstraintsoftheCarvalhos5IPS:i.Liquidityii.TimehorizonAnswerQuestionI-CintheTemplateprovidedonpage8(6minutes)Twenty-fiveyearshavepassed*TheCarvalhosarenow55yearsoldandtheirtwochildrenaregrownandfinanciallyindependent.Mariana,sparentspassedawayearlierthisyearandleftheraninheritanceofBRL8,000,000after-tax.TheCarvalhoshavefiveyearsremainingontheirmortgageandtheBRL55,000annualmortgagepaymentwillcontinuetobefundedfromtheirinvestmentportfolio.Theyintendtoworkanotherfiveyearsandthenretireatage60.Thcirsalariesareexpectedtocontinuetocovertheirlivingexpensesuntilretirement.Theirinvestmentportfolio,includingtheinheritance,nowtotalsBRL10,200,000.TheCarvalhosexplaintoOliveirathatinreti