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1、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.tfcManagingIndividualInvestorPortfbliosThecandid
2、ateshouldbeableto:a)discusshowsourceofwealth,measureofwealth,andstageoflifeaffcctanindividualinvestorsrisktolerance;b)explaintheroleofsituationalandpsychologicalprofilinginunderstandinganindividualinvestor;c)comparethetraditionalfinanceandbehavioralfinancemodelsofinvestordecisionmaking;d)explainthei
3、nfluenceofinvestorpsychologyonrisktoleranceandinvestmentchoices;e)explaintheuseofapersonalitytypingquestionnaireforidentifyinganinvestor*spersonalitytype;f)compareriskattitudesanddecision-makingstylesamongdistinctinvestorpersonalitytypes,includingcautious,methodical,spontaneous,andindividualisticinv
4、estors;g)explainthepotentialbenefits,forbothclientsandinvestmentadvisers,ofhavingaformalinvestmentpolicystatement;h)explaintheprocessinvolvedincreatinganinvestmentpolicystatement;i)distinguishbetweenrequiredreturnanddesiredreturnandexplaintheimpactthesehaveontheindividualinvestorsinvestmentpolicy;j)
5、explainhowtosetriskandreturnobjectivesforindividualinvestorportfoliosanddiscusstheimpactthatabilityandwillingnesstotakeriskhaveonrisktolerance;k)discusseachofthemajorconstraintcategoriesincludedinanindividualinvestorsinvestmentpolicystatement;I)formulateandjustifyaninvestmentpolicystatementtoranindi
6、vidualinvestor;m)determinethestrategicassetallocationthatismostappropriateforanindividualinvestorsSPeCifiCinvestmentobjectivesandconstraints;n)compareMontcCarloandtraditionaldeterministicapproachestoretirementplanningandexplaintheadvantagesofaMonteCarloapproach.Question:1Topic:IndividualPMMinutes:20
7、GuidelineAnswer:PartARequiredAfter-taxRateofReturnCalculationCashNeedNeXtYearTotalexpenseslastyear300,000x(1+Inflationrate)L025Totalexpensesnextyear307,500Lessaftcr-taxretirementincome125,000x(1-0.30)87,500Netcashneedincomingyear220,000InvestableAssetsNetfromSaleofBusinessGrossproceedsfromsale10,000
8、,000Taxratedueonsale15%Netfromsaleofbusiness8,500,000CurrentInvestmentPortfolio2,500,000TotalInvestableAssets11,000,000Requiredftcr-taxRateofReturnCashNeed220,000InvestableAssets11,000,000RealRequiredAfter-taxRateofReturn2.00%NominalRequiredAfter-taxRateofReturn(2.0%+Inflationof2.5%)=4.50%Or,geometr
9、icreturnof4.55%(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%
10、+Inflationof2.5%)=4.55%Or,geometricreturnof4.60%(1.0205x1.025-1)PartBFactorsthatindicatetheVoorts*abilitytoassumeriskisaboveaverage:Theyarerelativelyyoungandhavealongtimehorizon,sotheyarelikelytohavetimetorecoverfromanyunanticipatedadversefinancialevent.Theyhaveasubstantialassetbaserelativetotheirsp
11、endingneeds.Thecouplehasrelativelystablespendinghabitsanddoesnotexpectanysignificantcashoutflowsinthefuture.Theyownahomeandhavenodebt,sothehomecouldbesoldorborrowedagainstifcashisneeded.Theyarerelativelyyoungandhavetheabilitytoseekemploymentifnecessary.PartCTheliquidityrequirementfortheVoortsintheco
12、mingyearhastwocomponents:netcashneedsforlivingexpensesandanemergencyreserve.Thcirannualexpensesarcestimatedtoincreasebyinflationof2.5%(USD300,000lastyearX1.025=USD307,500).Retirementincomeisreducedbytaxesof30%(USD125,000x(1-0.30)=USD87,500).ThenetcashneedforexpensesisthusUSD220,000.Inaddition,theVoo
13、rtswanttoestablishandmaintainacashreserveofUSD250,000.Therefore,theVoorts,totalliquidityrequirementforthenextyearisUSD470,000(USD220,000+USD250,000).PartDThenvtappropriateportfoliofortheVoortsmustmeetthefollowingrequirements:1.Realafter-taxreturnof3.5%ormore(pre-taxreturn(1-taxrate)-inflationrate)2.
14、Shortfallriskofnolowerthan-10%inanyoneyear(equaltonominalpre-taxexpectedreturnminustwotimesstandarddeviation)Question:1Topic:IndividualPMMinutes:20Thefollowinganalysisshowswhethereachportfoliomeets(pass/fail)thespecifiedreturnandriskrequirements:PortfolioXReturnObjective:Realafter-taxreturn:9.3%X(I-
15、30%)-2.5%=4.0%3.5%;passShortfallriskconstraint:Shortfallrisk:9.3%-(211.0%)=-12.7%-10.0%;failPortfolioYReturnObjective:Realafter-taxreturn:8.4%(1-30%)-2.5%=3.4%3.5%;failShortfallriskconstraint:Shortfallrisk:8.4%-(28.7%)=-9.0%3.5;passShortfallriskconstraint:Shortfallrisk:8.8%-(29.3%)=9.8%-10.0%;passPo
16、rfolioXdoesnotmeettheshortfallriskconstraintandPortfolioYdoesnotmeetthereturnobjective.PortfolioZistheonlyoneofthethreeproposedportfoliosthatmeetsboththereturnobjectiveandtheshortfallriskconstraint.Question:2Topic:IndividualPMMinutes:15ReadingReferences:12.EstatePlanninginaGlobalContext/*StephenM.Ho
17、ran,CFA,andThomasR.Robinson,CFA(CFAInstitute,2009).1.OS:2013-III-4-12-a,b,d-g12.uEstatePlanninginaGlobalContext”Thecandidateshouldbeabletoa)discussthepurposeofestateplanningandexplainthebasicconceptsofdomesticestateplanningsincludingestates,willsandprobate;b)explainthetwoprincipalformsofwealthtransf
18、ertaxesanddicutheimpactofimportantnon-taxissues,suchaslegalsystem,forcedheirship,andmaritalpropertyregime;c)determineafamilyscorecapitalandexcesscapital,basedonmortalityprobabilitiesandMonteCarloanalysis;d)evaluatetherelativeafter-taxvalueoflifetimegiftsandtestamentarybequests;e)explaintheestateplan
19、ningbenefitofmakinglifetimegiftswhengifttaxesarepaidbythedonor,ratherthantherecipient;f)evaluatetheafter-taxbenefitsofbasicestateplanningstrategies,includinggenerationskipping,spousalexemptions,valuationdiscounts,andcharitablegifts;g)explainthebasicstructureofatrustanddiscussthedifferencesbetweenrev
20、ocableandirrevocabletrusts;h)explainhowlifeinsurancecanbeatax-efficientmeansofwealthtransfer;i)discussthetwoprincipalsystems(sourcejurisdictionandresidencejurisdiction)forestablishingacountrystaxjurisdiction;j)discussthepossibleincomeandestatetaxconsequencesofforeignsituatedassetsandforeign-sourcedi
21、ncome;k)evaluateaclientstaxliabilityundereachofthreebasicmethods(credit,exemption,anddeduction)thatacountrymayusetoproviderelieffromdoubletaxation;1)discusstheimpactofincreasinginternationaltransparencyandinfbnationexchangeamongtaxauthoritiesoninternationalestateplanning.Question:2Topic:IndividualPM
22、Minutes:15GuidelineAnswer:PartAPuente,stotalestateisUSD26million.Hiscurrentwifeisentitledtoreceiveeither:aminimumof25percentofthetotalestateunderforcedheirship:USD26millionx0.25=USD6.5million;or50percentoftheincreaseinthevalueofthetotalestateduringhiscurrentmarriageundercommunityproperty:(USD26milli
23、on-USD12million)x0.50=USD7.0millionTherefore,theminimumamountthatPuente,scurrentwifewouldreceive,beforeestatetaxesareconsidered,ifPuenteweretodietoday,isthegreaterofhershareunderforcedheirshiporcommunityproperty;thatis,USD7.0million.PartBAtrustisanarrangementcreatedbyasettlororgrantor(inthiscase,Pue
24、nte),whotransfersassetstoatrustee.Thetrusteeholdsandmanagestheassetsforthebenefitofthebeneficiaries(Puente,scurrentwifeandhisfourchildren-threesonsfromhiscurrentmarriageandonedaughterfromhispreviousmarriage).AtrustwouldprovidePuentethefollowingbenefits:Transferofassetstohiswifeandchildrenwithoutthep
25、otentialpublicityassociatedwithprobate.Pucntchasexpressedaneedforprivacy.Protectionoftheassetswithinthetrustfromclaimsagainsthimorhiswifeandchildren,bothnowandinthefuture.Pucntewantstosecuretheirfinancialfutureandworriesaboutclaimsfromoutsideofthefamily.Avoidsdisputeswithinthefamily(amonghiswifeandf
26、ourchildren).Responsiblestewardshipofassetswhilehischildrenareminors,andafterwardsiftheyareunabletomanagetheassetsthemselves.Question:2Topic:IndividualPMMinutes:15PartCTworeasonswhytaxconsiderationsfavorPuentemakingacurrentgifttohisdaughterratherthantransferringwealthtoherthroughabequestuponhisdeath
27、:BecausehisdaughtersincometaxrateislowerthanPucntc,sandtheirpre-taxreturnsareassumedtobethesame,thefutureafter-taxvalueofanygiftedamountwillbegreaterthanifthisamountstayedinPucnte,sestate.BecausegifttaxesarepaidfromPuente,sestate,thesizeofhistaxableestateisreduced.Becausehisdaughtersestatewillnotbet
28、axed,thislowerstheultimateestatetaxthatwillbepaid.Thepresentvalueofthistaxbenefitisequaltothegifttaxrate,multipliedbytheestatetaxrate,multipliedbythesizeofthegift.PartDGeneration-skippingisastrategyforreducingtaxesbytransferringassetsdirectlytothethirdgeneration(grandchild)fromthefirstgeneration(Pue
29、nte).Transferringassetstothesecondgeneration(daughter)wouldincurtransfertaxes.Asecondlayeroftaxeswouldbeassessedwhenassetsarctransferredfromhisdaughtertohisgrandchild.Thegeneration-skippingstrategythroughadirectgifttohisgrandchildavoidsthisdoublelayeroftaxation,therebyreducingoveralltaxes.Question:3
30、Topic:PM-BehavioralMinutes:16ReadingReferences:7.“TheBehavioralFinancePerSPeCtiVejMichaelM.Pompian,CFA(CFAInstitute,2011)9.k4BehavioralFinanceandInvestmentProcesses/*MichaelM.Pompian,CFA,ColinMcLcan,andAlistairBryrnc,CFA(CFAInstitute,2011)1.OS:2013-11L3-7-a1d7.“TheBehavioralFinancePerSPeCliveThecand
31、idateshouldbeableto:a.contrasttraditionalandbehavioralfinanceperspectivesoninvestordecisionmaking;b.contrastexpectedutilityandprospecttheoriesofinvestmentdecisionmaking;c.discusstheeffectsofcognitiveandknowledgecapacitylimitationsoninvestmentdecisionmaking;dcomparetraditionalandbehavioralfinancepers
32、pectivesonportfolioconstructionandthebehaviorofcapitalmarkets.1.OS:2013-III-3-9-c,d9.tfcBehavioralFinanceandInvestmentProcesses”Thecandidateshouldbeableto:a.explaintheusesandlimitationsofclassifyinginvestorsintovarioustypes;b.discusshowbehavioralfactorsaffcctadviser-clientinteractions;c.discusshowbe
33、havioralfactorsinfluenceportfolioconstruction;d.explainhowbehavioralflnancecanbeappliedtotheprocessofportfolioconstruction;e.discusshowbehavioralfactorsaffectanalystforecastsandrecommendremedialactionsforanalystbiases;discusshowbehavioralfactorsaffectinvestmentcommitteedecisionmakingandrecommendtech
34、niquesformitigatingtheireffects;g.describehowbehavioralbiasesofinvestorscanleadtomarketanomaliesandobservedmarketcharacteristics.2013CFAInstitute.Allrightsreserved.Question:3Topic:PM-BehavioralMinutes:16GuidelineAnswer:PartASiosanhasarisk-seeking(convex)utilityRinctionforgainsandarisk-averse(concave
35、)utilityfunctionforlosses.ThisisconsistentwithaFriedman-Savageutilityfunctioncharacterizedbyaninflectionpointwherethefunctionturnsfromconcavetoconvex.Thistypeoffunctionexplainswhypeoplemaytakelow-probability,high-payoffrisks(e.g.,out-of-the-moneyoptions)whileatthesametimeinsuringagainstlow-probabili
36、ty,low-payofTrisks(e.g.,earthquakeinsurance).Theconcaveportionoftheutilityfunctionexplainspurchasinglow-payoffinsuranceagainstlow-probabilitylosses,whiletheconvexportionofthefunctionexplainsrisktakingwithoptions.Traditionalfinancetheoryassumesriskaversion(concaveutilityfunction)atalllevelsofwealth,w
37、hichwouldleadtorejectionofallgambleshavinganon-positiveexpectedreturn.Question:3Topic:PM-BehavioralMinutes:16PartTemplateforQuestion3-BBehavioralbiasDiscusshowSiosan,sbehaviorreflectseachbias.Explainhowarationaleconomicindividualintraditionalfinancewouldbehavedifferentlywithrespecttoeachbias.i.self-
38、controlSiosanexhibitsaself-controlbiasbyspendingallofhercurrentsalaryincomeandhalfherbonusincomeoncurrentconsumption,pursuingshort-tensatisfactiontothedetrimentoflong-tenfinancialsecurity.Arationaleconomicindividualusesself-controltopursuelong-termgoalsratherthanshort-tcnsatisfaction,achievinganopti
39、malconsumptionplanthatmaximizesexpectedutilityoverhisorherlifetime.ii.mentalaccountingSiosanisengaginginmentalaccountingbyclassifyinghersourcesofwealthintothreeaccounts:currentincome,currently-ownedassets,andthepresentvalueoffutureincome.Herconsumptionandsavingsdecisionsarcbasedonthesourceofherwealt
40、h.Shespendshersalaryandone-halfofherbonusincome,doesnotspendcurrently-ownedassets(retirementaccounts),anddoesnotconsumebasedonexpectationsoffutureincome(heronlydebtisasmallmortgageonherhomedespiteexpectationsofhighfuturecarnings).Siosanisalsoengaginginmentalaccountingbyconsideringherinvestmentssepar
41、atelybasedontheirpurposes*Herretirementaccountisforlong-termfinancialsecurityandheroptionstradingaccountisforshort-termgainswhentheyareexercisedin-the-money.Arationaleconomicindividual:docsnotusementalaccounts,buttreatsmoneyandwealthasfungible;optimizesspendingandinvestmentdecisionsregardlessoftheso
42、urceofwealth;anddoesnotsegregateinvestmentsbasedontheirpurposes,butviewsallassetsinaportfoliocontext,consideringcorrelationsbetweenassetstoconstructanoptimalportfolio.Question:3Topic:PM-BehavioralMinutes:16PartCMurrayiscorrectthatSiosan,sretirementportfolioallocationisconsistentwithBehavioralPortfol
43、ioTheory(BPT)andnotconsistentwithamcan-varianccframework(MVF).ABPTinvestormaximizesexpectedwealthsubjecttoasafetyconstraint.Asaresult,theoptimalportfolioofaBPTinvestorisacombinationofbondsorrisklessassetsandhighlyspeculativeassets.Siosan,sportfolioisconsistentwithBPTandisconstructedinlayers,whichmay
44、betheresultofmentalaccounting.AnMVFinvestorconstructsportfoliosinacomprehensivemanner.MVFportfoliosaremeanvarianceefficientandtakeintoaccounttheinvestor,srisktolerance,investmentobjectivesandconstraints,andcircumstances.Siosan,sportfolioisnotmean-varianceefficientbecauseitappearsthatnoconsiderationh
45、asbeengiventothecovarianceofreturnsbetweendifferentassets,andthereisnoevidencethatSiosanhasconsideredherrisktolerance,investmentobjectivesandconstraints,orcircumstances.Question:4Topic:EquityMinutes:17ReadingReferences:27.EquityPortfolioManagement,Ch.7,ManagingInvestmentPortfolios:ADynamicProcess,3r
46、dedition,GaryGastineau,AndrewR.Olma,andRobertG.Zielinski(CFAInstitute,2007).29.InternationalEquityBenchmarks,Ch.10,BenchmarksandInvestmentManagementLaurenceB.Siegel(TheResearchFoundationofAIMR,2003).1.OS:2013-III-ll-27-j27.“EquityPortfolioManagementThecandidateshouldbeableto:a)discusstheroleofequiti
47、esintheoverallportfolio;b)discusstherationalesforpassive,active,andsemiactive(enhancedindex)equityinvestmentapproachesanddistinguishamongthoseapproacheswithrespecttoexpectedactivereturnandtrackingrisk;c)recommendanequityinvestmentapproachwhengivenaninvestorsinvestmentpolicystatementandbeliefsconcerningmarketefficiency;d)distinguishamongthepredominantweightingschemesusedintheconstructionofmajorequityshareindicesandevaluatethebiasesofeach;e)comparealternativemethodsforestablishingpassiveexposuretoanequitymarket,includingindexedseparateorpooledaccounts,indexmutualf
