CFA三级写作课后题(2020.12)7.docx

上传人:p** 文档编号:632128 上传时间:2023-12-15 格式:DOCX 页数:13 大小:30.88KB
下载 相关 举报
CFA三级写作课后题(2020.12)7.docx_第1页
第1页 / 共13页
CFA三级写作课后题(2020.12)7.docx_第2页
第2页 / 共13页
CFA三级写作课后题(2020.12)7.docx_第3页
第3页 / 共13页
CFA三级写作课后题(2020.12)7.docx_第4页
第4页 / 共13页
CFA三级写作课后题(2020.12)7.docx_第5页
第5页 / 共13页
CFA三级写作课后题(2020.12)7.docx_第6页
第6页 / 共13页
CFA三级写作课后题(2020.12)7.docx_第7页
第7页 / 共13页
CFA三级写作课后题(2020.12)7.docx_第8页
第8页 / 共13页
CFA三级写作课后题(2020.12)7.docx_第9页
第9页 / 共13页
CFA三级写作课后题(2020.12)7.docx_第10页
第10页 / 共13页
亲,该文档总共13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三级写作课后题(2020.12)7.docx》由会员分享,可在线阅读,更多相关《CFA三级写作课后题(2020.12)7.docx(13页珍藏版)》请在第壹文秘上搜索。

1、2020年12月CFA三级写作题ALTERNATIVEINVESTMENTSFORPORTFOLIOMANAGEMENT今年由于疫情的缘故,CFA考试被迫延期。虽然给了大家更多的复习时间,但也不可掉以轻心。近年来,CFA考试的难度在逐步提高,并且在三级中更偏向实务与理论结合的考察。相比2019年考纲,2020年考纲发生了较多的变化。其中关于经济学的部分,更名为资本市场预期,并进行了重大改变;衍生产品与资产配置中的外汇管理合并在一起,并进行了较大的改写;另类投资的内容完全重新改写;交易与业绩评估合并在一起.并重新编写。而一向是考试重点的私人财富管理和机构组合管理也发生了较大变化,其中私人财富管理

2、的第一个RCading重新编写,而机构组合管理也进行了重新编写,这些变化需引起考生重视。为了全面应对考试,我们全面推出了的各种学习平台,如金程网校、手机APP、金程CFA答疑等活动,请各位充分利用。如有学术问题,请登录至金程网校提问。祝大家好运,顺利通过CFA三级考试,加油!AlternativeInvestmentsforPortfolioManagementCase1:BernZangBernZangisthechiefinvestmentofficeroftheJansonUniversityEndowmentInvestmentOffice.TheJansonUniversityEnd

3、owmentFund(theFund)isbasedintheUnitedStatesandhascurrentassetsundermanagementof$10billion,withminimalexposuretoalternativeinvestments.ZangcurrentlyseekstoincreasetheFund*sallocationtohedgefundsandconsidersfourstrategies:dedicatedshortbias,mergerarbitrage,convertiblebondarbitrage,andglobalmacro.Atame

4、etingwiththeFund,sboardofdirectors,theboardmandatesZangtoinvestonlyinevent-drivenandrelativevaluehedgefundstrategies.Determine,amongthefourstrategiesunderconsiderationbyZang,thetwothatarepermittedgiventheboard,smandate.Justifyyourresponse.i.Dedicatedshortbiasii.Mergerarbitrageiii.Convertiblebondarbi

5、tragev.GlobalmacroDetermine,amongthefourstrategiesunderconsiderationbyZang,thetwothatarepermittedgiventheboardsmandate,(circletwo)Justifyyourresponse.DedicatedshortbiasMergerarbitrageConvertiblebondarbitrageGlobalmacrostrategiesSolution:Determine,amongthefourstrategiesunderconsiderationbyZang,thetwo

6、thatarepermittedgiventheboardsmandate,(circletwo)Justifyyourresponse.DedicatedshortbiasAdedicatedshortbiashedgefundstrategyisanexampleofanequityhedgefundstrategy,notanevent-drivenorrelativevaluestrategy.Equityhedgefundstrategiesfocusprimarilyontheequitymarkets,andthemajorityoftheirriskprofilescontai

7、nequity-orientedrisk.possibleshortsellingtargetsamongcompaniesthatareovervalued,thatareexperiencingdecliningrevenuesand/orearnings,orthathaveinternalmanagementconflicts,weakcorporategovernance,orevenpotentialaccountingfrauds.MergerarbitrageAmergerarbitragehedgefundstrategyisanexampleofanevent-driven

8、strategy,whichispermittedundertheboard,smandate.Event-drivenhedgefundstrategiesfocusoncorporateevents,suchasgovernanceevents,mergersandacquisitions,bankruptcy,andotherkeyeventsforcorporations.Mergerarbitrageinvolvessimultaneouslypurchasingandsellingthestocksoftwomergingcompaniestocreaterisklessprofi

9、ts.ConvertiblebondarbitrageAconvertiblebondarbitragehedgefundstrategyisanexampleofarelativevaluestrategy,whichispermittedundertheboard,smandate.Relativevaluehedgefundstrategiesfocusontherelativevaluationbetweentwoormoresecurities.Relativevaluestrategiesareoftenexposedtocreditandliquidityrisksbecause

10、thevaluationdifferencesfromwhichthesestrategiesseektobenefitareoftenduetodifferencesincreditqualityand/orliquidityacrossdifferentsecurities.Aclassicconvertiblebondarbitragestrategyistobuytherelativelyundervaluedconvertiblebondandtakeashortpositionintherelativelyovervaluedunderlyingstock.Globalmacros

11、trategiesAglobalmacrohedgefundstrategyisanexampleofanopportunistichedgefundstrategy,notanevent-drivenorrelativevaluestrategy.Opportunistichedgefundstrategiestakeatop-downapproach,focusonamulti-assetopportunityset,andincludeglobalmacrostrategies.Globalmacromanagersusebothfundamentalandtechnicalanalys

12、istovaluemarketsaswellasdiscretionaryandsystematicmodesofimplementation.Case2:JaneShaindyJaneShaindyisthechiefinvestmentofficerofalargepensionfund.ThepensionfundisbasedintheUnitedStatesandcurrentlyhasminimalexposuretohedgefunds.Thepensionfundsboardhasrecentlyapprovedanadditionalinvestmentinalong/sho

13、rtequitystrategy.AspartofShaindy,sduediligenceonahedgefundthatimplementsalong/shortequitystrategy,sheusesaconditionallinearfactormodeltouncoverandanalyzethehedgefundsriskexposures.Sheisinterestedinanalyzingseveralriskfactors,butsheisspecificallyconcernedaboutwhetherthehedgefund,slong(positive)exposu

14、retoequitiesincreasesduringturbulentmarketperiods.1.DescribehowtheconditionallinearfactormodelcanbeusedtoaddressShaindysconcern.Solution:Alinearfactormodelcanprovideinsightsintotheintrinsiccharacteristicsandrisksinahedgefundinvestment.Sincehedgefundstrategiesaredynamic,aconditionalmodelallowsforthea

15、nalysisinaspecificmarketenvironmenttodeterminewhetherhedgefundstrategiesareexposedtocertainrisksunderabnormalmarketconditions.Aconditionalmodelcanshowwhetherhedgefundriskexposurestoequitiesthatareinsignificantduringcalmperiodsbecomesignificantduringturbulentmarketperiods.Duringnormalperiodswhenequit

16、iesarerising,thedesiredexposuretoequities(S&P500Index)shouldbelong(positive)tobenefitfromhigherexpectedreturns.However,duringcrisisperiodswhenequitiesarefallingsharply,thedesiredexposuretoequitiesshouldbeshort(negative).Duringamonthlyboardmeeting,Shaindydiscussesherupdatedmarketforecastforequitymarkets.Duetoarecentlargeincreaseininterestratesandgeopoliticaltensions,herforecasthaschangedfromon

展开阅读全文
相关资源
猜你喜欢
相关搜索

当前位置:首页 > 高等教育 > 习题/试题

copyright@ 2008-2023 1wenmi网站版权所有

经营许可证编号:宁ICP备2022001189号-1

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。第壹文秘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,请立即通知第壹文秘网,我们立即给予删除!