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1、TheMorningSessionofthe2015LevelIIICFAExaminationhas11questions.Forgradingpurposes,themaximumpointvalueforeachquestionisequaltothenumberofminutesallocatedtothatquestion.QuestionTopicMinutes1PortfolioManagement-Institutional142PortfolioManagement-Institutional173PortfolioManagementFixedIncome194Portfo
2、lioManagementAlternativeInvestments205PortfolioManagement-PerformanceEvaluation156PortfolioManagement-RiskManagement147PortfolioManagement-Individual188PortfolioManagement-Individual169PortfolioManagement-AssetAllocation1510PortfolioManagement-Economics1411PortfolioManagement-IndividualZBehavioral18
3、Total:180Questions1and2relatetoSaylorGuitarsandSandeepNayar.Atotalof31minutesisallocatedtothesequestions.Candidatesshouldanswerthesequestionsintheorderpresented.QUESTION1HASTHREEPARTS(A,B,C)FORATOTALOF14MINUTES.SayIorGuitarswasestablished25yearsagointheUS.Today,thecompanyemploysahighly-skilledworkfo
4、rcetoproducehandmadeguitars.Tenyearsago,thecompanyinstitutedadefincd-bcnefitpensionplan(thePlan).Thereisnoprovisionforearlyretirement.Theaverageageoftheworkforceis35years,andtherearenocurrentpensionrecipients.Untillastyear,SaylormadeannualcontributionstothePlanandithadasurplus.However,thelatestecono
5、micdownturnreducedsalesofSaylor,spremium-pricedguitars,whichresultedinlowerprofitability.ThisledthecompanytoomitPlancontributionsandnowthePlanisjustfullyfundedwithnosurplus.Customerordershavebeguntoincreasewithanimprovementintheoveralleconomy.Basedonpastexperience,thecompanyisforecastingthatitwillre
6、turntoitstypicalhighprofitlevelsinthenextseveralmonths.SayloralsoexpectstoresumeitscontributionstothePlaninthefirsthalfoftheupcomingyear.TheaverageannualreturnonthePlan,sassetportfoliosinceinceptionhasbeen4.8%.Theportfolioiswell-diversifiedacrossassetclassesandhaslowreturncorrelationwiththebroadequi
7、tymarket.Saylorusesadiscountrateof4.5%tocomputeitspensionbenefitobligation.Theexpectedinflationrateis1.5%.Saylor,sdebt-to-assetsratiois0.42comparedtotheindustryaverageof0.40.A.DeterminewhethertherisktoleranceofthePlanisbelow-averageorabove-average.JUStifyyourresponsewithAvoreasons.Note:Restatingcase
8、factsisanincompletejustificationandwillnotreceivecredit.(5minutes)B.StatetheminimumreturnrequirementofthePlan.Explainyourresponse.(4minutes)Onemonthlater,Saylortsmanagementdecidestooffertoemployeesoverage50,aone-timelump-sumearlyretirementoptionthatwillbepayablenextyear.TenpercentofSaylor,semployees
9、acceptthisoption.C.Discusshowtheacceptanceoftheearlyretirementoptionchangedeachofthefollowing:i.Liquidityrequirementii.DurationofPlanliabilities(5minutes)AnswerQuestion1onThisPageCFAINSTITUTEUSEONLYnCFA INSTITUTEUSE ONLYAnswerQuestion1onThisPageAnswerQuestion1onThisPageCFAINSTITUTEUSEONLYnTHISPAGEIN
10、TENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQuestions1and2relatetoSaylorGuitarsandSandeepNayar.Atotalof31minutesisallocatedtothesequestions.Candidatesshouldanswerthesequestionsintheorderpresented.QUESTION2HASTHREEPARTS(A,B,C)FORATOTALOF17MINUTES.TwoyearshavepassedandthefindmanagerforSay
11、lorGuitarsdefined-benefitpensionplan(thePlan)isSandeepNayar.ThePlansportfoliocurrentlyhasanassetallocationof80%nominalbondsand20%equities.NayarbelievestheportfolioliesontheefficientfrontierandthereturnshavearelativelylowcorrelationwithSaylor,soperatingresults.TheprofileofthePlanispresentedinExhibit1
12、.Exhibit1SaylorPensionPlanProfileAverageageofworkforce33Retirementage60Percentageofretiredlives8%Expectedannualwagegrowth4%Retirementbenefitsarefullyindexedforinflation.Expectedannualwagegrowthincludeswageinflationof1%andproductivityincreasesof3%.Duringameetingwiththecompanyfounder,TomAnderson,Nayar
13、describeshisapproachtomanagingpensionriskasanasset-onlyapproach.Andersonasksaboutotherapproachestomanagingpensionrisk.Nayarexplainstheliability-relativeapproachtopensionfindinvesting.A.ContrastNayar,sapproachwiththeliability-relativeapproachforeachofthefollowing:i.ThePlan,sliabilityriskexposureii.Th
14、echaracteristicsofalow-riskinvestment(6minutes)B.RecommendwchangestothePlan,scurrentassetallocationthatwouldbeconsistentwiththeliability-relativeapproach.Justifyeachresponse.(6minutes)NayaralsomanagestheinvestmentportfoliooftheAndersonCommunityFoundation(theFoundation).ThepurposeoftheFoundationistop
15、rovidescholarshipstolocalstudentsforgraduatestudyinscience.TheFoundationisintendedtooperateinperpetuity.TheFoundationsBoardinstructsNayartotakeaconservativeapproachtomanagingtheinvestmentportfolio.Thereisa5%annualspendinggoalbutnominimumspendingrequirement.ANSWERQUESTION2-CINTHETEMPLATEPROVIDEDONPAG
16、E11.C.DeterminewhethertheFoundationsabilitytotakeriskislowerthan,equalto,orhigherthanthatoftheSaylorpensionplan.Justifyyourresponsewithhvoreasons.Note:Restatingcasefactsisanincompletejustificationandwillnotreceivecredit.(5minutes)ANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDAnswerQuestion2OnThisPageTemplate
17、forQuestion2-CNote:Restatingcasefactsisanincompletejustificationandwillnotreceivecredit.DeterminewhethertheFoundationsabilitytotakeriskislowerthan,equalto,orhigherthanthatoftheSaylorpensionplan,(circleone)Justifyyourresponsewithtworeasons.lowerthanequaltohigherthan1.2.THISPAGEINTENTIONALLYLEFTBLANKA
18、NYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQUESTION3HASFoURPARTS(A,B,C,D)FORATOTALOF19MINUTES.CamilleBlancisafixedincomemanagerwhorecentlystartedtheOptimamutualfund.Thefundisinvestedinadiversifiedportfolioofgovernmentandcorporatebonds.Thefund,smandaterequirestheeffectivedurationofitsportfoliotomatchthatofi
19、tsbenchmark.Blanc,sobjectiveistooutperformafixed-incomebenchmarkbyusinganenhanccd-indexingstrategy.BlancevaluatesthepricesensitivitiesofOptimarelativetoitsbenchmarkforchangesintheyieldcurveusingscenarioanalysis:ScenarioI:Shesimulatesanimmediate10basispoint(bps)parallelshiftintheyieldcurveandfindsnod
20、ifferenceinthepricesensitivitiesbetweenOptimaanditsbenchmark.Scenario2:Shesimulatesanimmediate30bpschangeinthe5-yearspotrateandholdsallotherratesconstant.Shefindsa19bpsdifferenceinthepricesensitivitiesbetweenOptimaanditsbenchmark.A.DeterminewhetherOptimamostlikelyviolatesitsmandateundereachofthefoll
21、owing:i.Scenario1ii.Scenario2Justifyyourresponseforeachscenario.Note:Considereachscenarioindependently.(6minutes)BothOptimaanditsbenchmarkholdpositionsinTreasurybonds,non-callablecorporatebonds,andcallablecorporatebonds.Basedonheranalysisofthemarket,Blancexpectscreditspreadstonarrowandyieldstoexperi
22、enceadownwardparallelshift.Sheevaluatesthefollowingtrade:buyacallablecorporatebondandsellanon-callablecorporatebondofthesamematurityandcreditquality.Bothbondsaretradingatpar.B.Determine,givenBlanc,sexpectations,whethersheshouldimplementthetrade.Justifyyourresponse.Note:Ignoretransactioncostsandassum
23、evolatilityisunchanged.Oneyearlater,Blancismanaginganothermutualfund.Intrepid,whichismoreactivelymanagedthanOptima.Blancforecastsastrongereconomyandanupwardparallelshiftintheyieldcurve.Sheevaluatesthefollowingtwotrades:Trade1:Buya10-yearBalBBconsumercyclicalsectorbondandsella10-yearBaa3BBB-consumerc
24、yclicalsectorbondofanotherissuerTrade2:Buya3-yearnon-callablebondwitha5%couponandsella3-yearnon-callablcbondwithazerocouponofthesameissuerandcreditqualityANSWERQUESTION3-CINTHETEMPLATEPROVIDEDONPAGE17.C.Determinetheexpectedeffect(negative,noeffect,positive)onIntrepid5Sperformancefromeachofthefollowi
25、ngtrades,assumingBlanc,sforecastsarcrealized:i.Trade1ii.TrHde2JUStifyeachresponse.Note:Ignoretransactioncostsandassumevolatilityisconstant.(6minutes)BlancdecidestoaddanotherbondtotheIntrepidportfolio.Sheusesmean-reversionanalysistodeterminewhichofthethreebondsshowninExhibit1topurchase.Thethreebondsh
26、avesimilardurations.Theircreditspreadsarenormallydistributedandnostructuralchangesareexpectedinthemarket.Exhibit1ProposedBondPurchasesCreditSpreadandStandardDeviation(inbps)BondCurrentSpreadHistoricalMeanSpreadStandardDeviationofSpreadAries30021050Libra32023030Taurus34024040D.Determinethemostappropr
27、iatebondtopurchaseusingmean-reversionanalysis.Justifyyourresponse.(4minutes)ANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDCFAINSTITUTEUSEONLYAnswerQuestion3onThisPageAnswerQuestion3onThisPageTemplateforQuestion3-CNote:Ignoretransactioncostsandassumevolatilityisconstant.TradeDeterminetheexpectedeffect(negativ
28、e,noeffect,positive)onIntrePidsperformancefromeachofthefollowingtrades,assumingBlancsforecastsarerealized,(circleone)Justifyeachresponse.i.Trade1negativenoeffectpositiveii.Trade2negativenoeffectpositiveCFA INSTITUTEUSE ONLYAnswerQuestion3onThisPageCFA INSTITUTEUSE ONLYAnswerQuestion3onThisPageTHISPA
29、GEINTENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQUESTION4HASFIVEPARTS(A,B,C,D,E)FORATOTALOF20MINUTES.TheVizyonFoundationpromotesscientificresearchintheUS.Vizyon,sinvestmentportfolioisallocated60%toequitiesand40%tobonds.Giventhelow-returnenvironment,Vizyonisresearchingopportunitiestoexpa
30、ndintodifferentassetsandhiresananalyst,OliviaAndrich,toleadthiseffort.VizyorfstrusteesareevaluatingtheexpectedimpactontheFoundationsportfoliocharacteristicsiftheyreallocate10%ofexistingequitiestonon-leverageddirectrealestateinvestments.Andrichwantstodeterminetheindexthatbestrepresentstheportfoliocha
31、racteristicsofdirectrealestateinvestmentsandexaminestheindicesinExhibit1.TheexpectedSharperatioofVizyon,scurrentportfoliois0.70.EXhibitlRealEstateIndexAnalysisIndexIndexCharacteristicsExpectedSharpeRatiooftheIndexNAREITSecurity-based0.81NAREIT(hedged)Security-based0.71NCRElFAppraisal-based0.79NCREIF
32、(unsmoothed)Appraisal-based0.74A.DeterminethemostappropriateindextorepresenttheexpectedcharacteristicsofVizyon,sproposedinvestmentinrealestate.Justifyyourresponsewithtworeasons.(5minutes)ViZyonstrusteesrecentlyreceivedtworealestateinvestmentproposals.Thefirstproposalistoacquireaprivatelyownedshoppin
33、gcentervaluedatUSD230million.Thesecondproposalistoacquire10%oftheequityinapubliclylistedhotelchainwithaUSD2.3billionmarketcapitalization.AndrichsummarizesthekeypointsofthetwoproposalsinExhibit2.Sheexpectsahigherreturnfromtheshoppingcenter.Exhibit2SummaryrofInvestmentPn)PoSakDirectInvestmentinShoppin
34、gCenterLuxuryshoppingcenterlocatedinafashionabledistrict100%privatelyownedbytheoriginalownersincedevelopment7yearsagoFixedtransactioncostofUSD18millionPublicEquityInvestmentinHotelChainBudgethotelchainofferingaffordableaccommodationsacrosstheUSListedontheNewYorkStockExchangefor10years10millionshares
35、outstandingEstimatedtransactioncostof18basispoints(bps)Hotelchainsboardrejectedseveralbuyoutoffersfromdifferentinvestorsinthepast5yearsB.Discuss,basedonlyontheinfbnationprovided,threedisadvantagestoVizyonofadirectinvestmentintheshoppingcenterrelativetoaninvestmentinthepubliclytradedequityofthehotelc
36、hain.(6minutes)Next,Andrichconsidersaninvestmentindistresseddebt.Sheusesa3-yearhorizonforevaluatingtheinvestment.AndrichanalyzesKhepriCapital,anewlyformeddistresseddebthedgefund,andnotesthefollowingaboutKhcpri:1%annualmanagementfeeonaverageNAV15%pcrfbanccfeepaidmonthlyandcalculatedbasedonthemonthlyc
37、hangeinNAV,subjecttoahigh-watermarkprovision3-ycarlock-upperiod14%ofNAVisinvestedinadistressedautomotivecompanythatrecentlyfiledforbankruptcyprotectionNAVperunitattheendofMaywasanewall-timehighofUSD3OOKhepriCapitaPssubsequentmonth-endNAVperunitwasUSD3,260inJune,USD2,900inJuly,andUSD3,140inAugust.The
38、rewerenointerimcashflowsfromclientsduringthisthree-monthperiod,C.Calculatetheperformancefee(inUSDperunit)forthethreemonthsfromJunetoAugust.(3minutes)D.ExplainwhyKhepriCapitalissubjecttoJ-factorrisk.(3minutes)Andrichlearnsofacompetingdistresseddebthedgefundwithasimilarperformancefeeandexpectedreturn,
39、butonlya1-yearlock-upperiod.AndrichcontactsKhepriCapitalandstatesthatsheisconsideringinvestinginthecompetitorsfund.ArepresentativeforKhepriCapitalrepliesthatits3-yearlock-upperiodislikelytobemorefavorabletoVizyonthanthecompetitors1-yearlock-upperiod.E.SupporttherepresentativesreplyaboutKJiepriCapita
40、lslock-upperiod.(3minutes)ANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDCFA INSTITUTEUSE ONLYAnswerQuestion4onThisPageCFA INSTITUTEUSE ONLYAnswerQuestion4onThisPageCFA INSTITUTEUSE ONLYAnswerQuestion4onThisPageCFA INSTITUTEUSE ONLYAnswerQuestion4onThisPageCFA INSTITUTEUSE ONLYAnswerQuestion4onThisPageTHISPAG
41、EINTENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQUESTION5HASFoURPARTS(A,B,C,D)FORATOTALOF15MINUTES.JavierCostaisananalystforafundsponsorinLatinAmerica.Thefundsponsorusestwoequitymanagers(ManagerAandManagerB)andeachinvestsindevelopedandemergingmarkets.Costapreparesapcrfbnanceattributionan
42、alysisforthetotalfund.Hcidentifiesthefund,ssourcesofreturnanddevelopsthemacroattributiontableinExhibit1.Exhibit1TotalFundLevelMacroAttributionfor1January-31MarchDecision-MakingLevel(InvestmentAlternative)FundValue(inUSD)IncrementalReturnContribution(%)IncrementalValueContributionZ(Withdrawa)(inUSD)B
43、eginningvalue360,000,000一Risk-freeasset361,800,0000.501,800,000Assetcategory388,872,0007.5227,072,000Benchmarks389,376,0000.14504,000Investmentmanagers389,664,0000.08288,000Allocationeffects389,304,000-0.10(360,000)Totalfund389,304,0008.1429,304,000A.Demonstratewhetherthetotalfundoutperformedapurein
44、dexingstrategy.(3minutes)B.Determinehowmuchofthefund,sreturnwasduetoeachofthefollowing:i.Stylebiasii.Activemanagement(4minutes)CostagatherstheinformationinExhibit2toevaluatetheperfbranceOfManagerA.Exhibit2EquityManagerAValuationsandCashFlows(inUSD)DateContributionZ(WitIidrawal)MarketValue(AfterCashF
45、lows)31March121,000,0008April13,000,000I35,OOO,OOO23April(8,000,000)127,000,00030April123,000,000C.Calculatethetime-weightedrateofreturnforManagerAforthemonthofApril.Showyourcalculations.(4minutes)Next,CostapresentsthemicroattributionanalysisforManagerBshowninExhibit3.ManagerB,sobjectiveistooutperfb
46、nherbenchmarkthroughsuperiorsecurityselection.Exhibit3EquityManagerBMicroAttributionSectorPortfolioWeight(%)BenchmarkWeight(%)PortfolioReturn(%)BenchmarkReturn(%)Consumerdurables21.5328.709.474.16Energy34.9145.448.215.43Financial313511.796.824.98Technology122114.07-9.02-L71Totalportfolio100.00100.005.944.01D.CalculateeachofthefollowingforManagerB:i.PuresectorallocationreturnfortheFinancialsectorii.Within-sectorselectionreturnfortheTechnologysectorShowyourcalculations.Note:Ignoreinteractioneffects.(4minutes)ANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDLevelIHPage31AnswerQuestion5onThi
