CFA三级十年真题 (2008-2017):level_III_essay_questions_2017.docx

上传人:王** 文档编号:706649 上传时间:2023-12-15 格式:DOCX 页数:70 大小:168.45KB
下载 相关 举报
CFA三级十年真题 (2008-2017):level_III_essay_questions_2017.docx_第1页
第1页 / 共70页
CFA三级十年真题 (2008-2017):level_III_essay_questions_2017.docx_第2页
第2页 / 共70页
CFA三级十年真题 (2008-2017):level_III_essay_questions_2017.docx_第3页
第3页 / 共70页
CFA三级十年真题 (2008-2017):level_III_essay_questions_2017.docx_第4页
第4页 / 共70页
CFA三级十年真题 (2008-2017):level_III_essay_questions_2017.docx_第5页
第5页 / 共70页
CFA三级十年真题 (2008-2017):level_III_essay_questions_2017.docx_第6页
第6页 / 共70页
CFA三级十年真题 (2008-2017):level_III_essay_questions_2017.docx_第7页
第7页 / 共70页
CFA三级十年真题 (2008-2017):level_III_essay_questions_2017.docx_第8页
第8页 / 共70页
CFA三级十年真题 (2008-2017):level_III_essay_questions_2017.docx_第9页
第9页 / 共70页
CFA三级十年真题 (2008-2017):level_III_essay_questions_2017.docx_第10页
第10页 / 共70页
亲,该文档总共70页,到这儿已超出免费预览范围,如果喜欢就下载吧!
资源描述

《CFA三级十年真题 (2008-2017):level_III_essay_questions_2017.docx》由会员分享,可在线阅读,更多相关《CFA三级十年真题 (2008-2017):level_III_essay_questions_2017.docx(70页珍藏版)》请在优知文库上搜索。

1、CFAInstituteCharteredFinancialAnalystExamination2017LevelIIIMorningSessionEssayQuestionsThefollowingisprovidedforinformationalpurposesonlyandmaynotbeusedinanycommercialmannerwithoutpriorwrittenpermissionfromCFAInstitute.2017CFAInstitute.AllRightsReserved.TheMorningSessionofthe2017LevelIIICFAExaminat

2、ionhas10questions.Forgradingpurposes,themaximumpointvalueforeachquestionisequaltothenumberofminutesallocatedtothatquestion.QuestionTopicMinutes1PortfolioManagementAlternativeInvestments192PortfolioManagementInstitutional223PortfolioManagementPerfbnnanceEvaluation154PortfolioManagementIndividual155Po

3、rtfolioManagement-IndividualZBchavioraI156PortfolioManagement-Individual227PortfolioManagement-Economics148PortfolioManagement一AssetAllocation209PortfolioManagement-FixedIncome2110PortfolioManagement-RiskManagement17Total:180LeVelIIlTHISPAGEINTENTIONALLYLEFTBLANKMARKSMADEONTHISPAGEARENOTGRADEDQUESTI

4、ON1HASFOURPARTS(A,B,C,D)FORATOTALOF19MINUTES.MattcrhomInvestmentsisanalternativeinvestmentsfinn.UrsBrunner,ananalyst,isreviewingtheperformanceofMatterhorn,scommoditiesfnd.Brunnerisanalyzingthereturncomponentsofthefind*sinvestmentinthecommodityfuturescontractsshowninExhibit1.Exhibit1FuturesContractDe

5、tails(inUSD)ContractMaturityFuturesPriceatEndOfFebruaryFuturesPriceatEndofJanuaryAugust533.50518.50September528.25514.75BrunnernotesthatfromtheendofJanuarytotheendofFebruary,thespotpriceoftheunderlyingcommodityincreasedbyUSD6.25andthetotalreturnontheAugustfuturescontractwasaprofitofUSD18.00.A.Calcul

6、ate,fortheAugustcontract,the:i.collateralreturn(inUSD)inFebruary.ii.rollreturn(inUSD)inFebruary.Showyourcalculations.4minutes(AnswerI-Aonpage5)Brunnerobservesthatthecurrentshapeofthefuturescurveofadifferentcommodity,nickel,isflat.Hcwantstoanalyzehowthenickelfuturescurvewouldchangeinascenariowherebot

7、hthecostofstorageandtheconvenienceyieldsimultaneouslydecreasebydifferentamounts.B.Determinethemostlikelyshapeofthenickelfuturescurve(contango,flat,backwardation,orcannotbedetermined),givenBnnner,sproposedscenario.Justifyyourresponse.Note:Interestratesandthespotpriceremainunchanged.3minutes(AnswerI-B

8、onpage6)Matterhorn*smanagementisconsideringchangestooneofitshedgefunds.Brunnerreviewsthelikelyeffectofeachchangeonthefund,sreportedSharperatio.Thepotentialchangesare:Change1:Increasethefundsholdingsincommoditiesthattradeinfrequently.Change2:Whencalculatingthefind,sannualizedrateofreturnandstandardde

9、viation,switchfrommonthlytodailyobservations.C.Determinethemostlikelyeffect(decrease,nochange,increase)ofeachchangeonthefundsreportedSharpcratio.Justifyeachresponse.Note:Considereachchangeindependently.6minutes(AnswerI-Conpage7)Matterhornmanagesadifferenthedgefundthatusesahedgedequitystrategy.Itsben

10、chmarkforthisfundisaninvestable,manager-basedindexwithamonthlyreturnseries.Mattcrhorniscompensatedbasedonitsfind,sperformancecomparedtothisindex,whichhasthefollowingadditionalcharacteristics:Indexconsistsof50active,hedgedequitymanagerswhoelecttoreportmonthlyreturnsandholdings.lndex*shistoricalreturn

11、seriesincludespastpcrfbnnanccofmanagerswhostopreportingreturns.Indexweightsarebasedoneachhedgedequitymanagersassetsundermanagementandarerebalancedannually.Whenamanagerisaddedtotheindex,theindexproviderdoesnotincludethatmanager,spastperformance.D.Discusstwoweaknessesofusingthisbenchmarktomeasurethepe

12、rformanceofMatterhom,shedgefund.6minutes(AnswerI-Donpage8)AnswerQuestiononThisPageCalculate,fortheAugustcontract,the:(seei.andii.below)Showyourcalculations.i.collateralreturn(inUSD)inFebruary.ii.rollreturn(inUSD)inFebruary.AnswerQuestionI-BonThisPageDeterminethemostlikelyshapeofthenickelfuturescurve

13、,givenBrunnersproposedscenario,(circleone)contangoflatbackwardationcannotbedeterminedJustifyyourresponse.(Note:Interestratesandthespotpriceremainunchanged.)AnswerQuestionI-ConThisPageChangeDeterminethemostlikelyeffectofeachchangeonthefund,sreportedSharperatio,(circleone)Justifyeachresponse.(Note:Con

14、sidereachchangeindependently.)decreaseChange1nochangeincreasedecreaseChange2nochangeincreaseAnswerQuestionI-DonThisPageHgCA0y)WeAkneSqCSQFIlqingthishenchmnrktQmrasiirethePerfinrmAnrteCfMAttrhcrnqhedgeRind1.2.THISPAGEINTENTIONALLYLEFTBLANKMARKSMADEONTHISPAGEARENOTGRADEDQUESTION2HASFOURPARTS(A,B,C,D)F

15、ORATOTALOF22MINUTES.MarvelStoresisaretailer,basedinthecountryofVibrania,thatOffcrSitsemployeesadcfincd-bcncfitpensionplan.Themandatoryretirementageis65,butemployeesmayelecttoretireearlyandbeginreceivingbenefitsatage57.Marvelisrequiredtofundtheplan,saccruedbenefits,whichincludeestimatedfuturewageincreases.Inaddition.Marvelhasanobjectiveforeachannualplancontributiontobelowerthanthatycar,sincreaseinaccruedbenefits.Thecompanyexpectsthatreturnsontheplanportfoliowillmakeupthedifferenceover

展开阅读全文
相关资源
猜你喜欢
相关搜索

当前位置:首页 > 资格/认证考试 > 证券从业资格考试

copyright@ 2008-2023 yzwku网站版权所有

经营许可证编号:宁ICP备2022001189号-2

本站为文档C2C交易模式,即用户上传的文档直接被用户下载,本站只是中间服务平台,本站所有文档下载所得的收益归上传人(含作者)所有。装配图网仅提供信息存储空间,仅对用户上传内容的表现方式做保护处理,对上载内容本身不做任何修改或编辑。若文档所含内容侵犯了您的版权或隐私,请立即通知装配图网,我们立即给予删除!