CFA三级十年真题 (2008-2017)：level_III_guidelines_answers_2017.docx

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1、CFAInstituteCharteredFinancialAnalystExamination2017LevelIIIMorningSessionEssayGuidelineAnswersThefollowingisprovidedforinformationalpurposesonlyandmaynotbeusedinanycommercialmannerwithoutpriorwrittenpermissionfromCFAInstitute.2017CFAInstitute.AllRightsReserved.Question:#1Topic:AlternativeInvestment

2、sMinutes:19ReadingReferences:#24-AlternativeInvestmentsPortfolioManagementbyJotK.Yau,PhD,CFA,ThomasSchneeweis,PhD,ThomasR.Robinson,PhD,CFA,andLisaR.Weiss,CFA.2016LevelII-#30-Equity一ReturnConceptsbyJeraldE.Pinto,PhD,CFA,ElaineHenry,PhD,CFA,ThomasR.Robinson,PhD,CFAandJohnD.Stowe,PhD,CFA.2016LevelII-#4

3、2-APrimeronCommodityInvestingbyFrankJ.Fabozzi,PhD,CPA,CFA,RolandFuss,PhD,andDieterG.KaiserPhD1.OS:#24:Thecandidateshouldbeableto:a.describecommonfeaturesofalternativeinvestmentsandtheirmarketsandhowalternativeinvestmentsmaybegroupedbytheroletheytypicallyplayinaportfolio;b.explainandjustifythemajordu

4、ediligencecheckpointsinvolvedinselectingactivemanagersofalternativeinvestments;c.explaindistinctiveissuesthatalternativeinvestmentsraiseforinvestmentadvisersofprivatewealthclients;d.distinguishamongtheprincipalclassesofalternativeinvestments,includingrealestate,privateequity,commodityinvestments,hed

5、gefunds,managedfutures,buyoutfunds,infrastructurefunds,anddistressedsecurities;ediscusstheconstructionandinterpretationofbenchmarksandtheproblemOfbenchmarkbiasinalternativeinvestmentgroups;evaluatethereturnenhancementand/orriskdiversificationeffectsofaddinganalternativeinvestmenttoareferenceportfoli

6、o(forexample,aportfolioinvestedsolelyincommonequityandbonds);g.describeadvantagesanddisadvantagesofdirectequityinvestmentsinrealestate;h.discussthemajorissuersandsuppliersofventurecapital,thestagesthroughwhichprivatecompaniespass(seedstagethroughexit),thecharacteristicsourcesoffinancingateachstage,a

7、ndthepurposeofsuchfinancing;pareventurecapitalfundsandbuyoutfunds;j.discusstheuseofconvertiblepreferredstockindirectventurecapitalinvcsncnt;k.explainthetypicalstructureofaprivateequityfund,includingthecompensationtothefbndssponsor(generalpartner)andtypicaltimelines;1.discussissuesthatmustbeaddressed

8、informulatingaprivateequityinvestmentstrategy;pareindirectanddirectcommodityinvestment;n.explainthethreecomponentsofreturnforacommodityfuturescontractandtheeffectthatanupward-ordownward-slopingtermstructureoffuturespriceswillhaveonrollyield;o.describetheprincipalrolessuggestedforcommoditiesinaportfo

9、lioandexplainwhysomecommodityclassesmayprovideabetterhedgeagainstinflationthanothers;p.identifyandexplainthestyleclassificationofahedgefund,givenadescriptionofitsinvestmentstrategy;q.discussthetypicalstructureofahedgefund,includingthefeestructure,andexplaintherationaleforhigh-watermarkprovisions;r.d

10、escribethepurposeandcharacteristicsoffund-of-ftndshedgefunds;s.discussconcernsinvolvedinhedgefundperformanceevaluation;t.describetradingstrategiesofmanagedfuturesprogramsandtheroleofmanagedfuturesinaportfolio;u.describestrategicsandrisksassociatedwithinvestingindistressedsecurities;v.explaineventris

11、k,marketliquidityrisk,marketrisk,and,J-factorriskinrelationtoinvestingindistressedsecurities.2016LevelII-#30:Thecandidateshouldbeableto:a.distinguishamongrealizedholdingperiodreturn,expectedholdingperiodreturn,requiredreturn,returnfromconvergenceofpricetointrinsicvalue,discountrate,andinternalrateof

12、return;b.calculateandinterpretanequityriskpremiumusinghistoricalandforward-lookingestimationapproaches;c.estimatetherequiredreturnonanequityinvestmentusingthecapitalassetpricingmodel,theFama-Frenchmodel,thePastor-Stambaughmodel,macroeconomicmultifactormodels,andthebuild-upmethod(e.g.,bondyieldplusri

13、skpremium);d.explainbetaestimationforpubliccompanies,thinlytradedpubliccompanies,andnonpubliccompanies;e.describestrengthsandweaknessesofmethodsusedtoestimatetherequiredreturnonanequityinvestment;explaininternationalconsiderationsinrequiredreturnestimation;g.explainandcalculatetheweightedaveragecost

14、ofcapitalforacompany;h.evaluatetheappropriatenessofusingaparticularrateofreturnasadiscountrate,givenadescriptionofthecashflowtobediscountedandotherrelevantfacts.2016LevelII-#42:Thecandidateshouldbeableto:a.describetypesofmarketparticipantsincommodityfuturesmarkets;b.explainstorabilityandrenewability

15、inthecontextofcommoditiesanddeterminewhetheracommodityisstorableand/orrenewable;c.explaintheconvenienceyieldandhowitrelatestothestock(inventorylevel)ofacommodity;d.distinguishamongcapitalassets,storc-of-valucassets,andconsumableortransferableassetsandexplainimplicationsforvaluation;parewaysofpartici

16、patingincommoditymarkets,includingadvantagesanddisadvantagesofeach;explainbackwardationandcontangointermsofspotandfuturesprices;g.describethecomponentsofreturntoacommodityfuturesandaportfolioofcommodityfutures;h.explainhowthesigiloftherollreturndependsonthetermstructureoffuturesprices;paretheinsuranceperspective,thehedgingpressurehypothesis,andthetheory