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1、TheMorningSessionofthe2012LevelIIICFArExaminationhas9questions.Forgradingpurposes,themaximumpointvalueforeachquestionisequaltothenumberofminutesallocatedtothatquestion.MinutesQuestionTopic1PortfolioManagement-Individual272PortfolioManagement-Individual91 4 42 L 2 33PortfolioManagement-Monitor/Rebala
2、nce/Execution4PortR1沁-Mana3ememIndivid&al/Beha3oral9PortfolioManagemenI-EeeRefi46PortfolioManagement-Institutional7PortfolioManagementFixedIncome238PortfolioManagementDerivatives139PortfolioManagementDerivatives12Total:180THISPAGEINTENTIONALLYLEFTBLANKANYMARKSMADEONTHISPAGEWILLNOTBEGRADEDQuestions1a
3、nd2relatetoJuanPabloAlonso.Atotalof36minutesisallocatedtothesequestions.CandidatesshouldanswerthesequestionsintheOFderpresented.QUESTION1HASFIVEPARTS(A,B,C,D,E)FORATOTALOF27MINUTES.JuanPabloAlonso,age40,isthemanagerofanational,publicly-fundedsoccerteamlocatedinacountrythatusestheU.S.dollar(USD)asits
4、currency.ThiscountrysdebtisratedAAA.Alonsohasaone-yearemploymentcontractthathasbeenrenewedforseveralyears.Heisconfidentthathecanmaintainthisjob,orasimilarmanagingposition,untilhisplannedretirementatage55.Alonsoisdivorcedandthefatherofteenagechildren.Hcwantstofundadedicatedtrusttoprovideforhischildre
5、n,sneedsuntiltheyreachage25.HewillneedUSD250,000withinthenextfewmonthstofundthetrust.Alonso,sincometaxrateis30%.Otherthanasmallcashreserve,heholdsallofhisinvestmentassetsinatax-exemptaccountwithacurrentvalueofUSD900,000.Contributionstothisaccountaremadeaftertax.Withdrawalsareentirelytax-free,without
6、penalty.AlonsosavesUSD25,000ofhisafter-taxincomeeveryyear,andplanstocontinuedoingsountilretirement.Hisnextcontributionwillbemadeinoneyear.Aspartofhisnormalexpenses,AlonsoannuallyprovidesapproximatelyUSD30,000ofsupporttolocalyouthsportingleagues.WhenAlonsoretiresin15years,heplanstopurchasea25-yearann
7、uitythatpaysUSD100,000aftertaxannually.HewillneedUSD1,600,000atretirementtofundtheannuity.Alonsoexpectstheannualpayouttobesufficienttomeetallhisneedsonaninflation-adjustedbasis.Hcdocsnotplantoleaveanyestateathisdeath.A.CalculatetherequiredannualreturnthatwouldenableAlonsotopurchasetheretirementannui
8、tyatage55.Showyourcalculations.Note:Assumeallcashflowsoccurattheendofeachperiod.(5minutes)B.DiscussZworeasonswhyAlonso,sabilitytotakeriskcouldbeconsideredaboveaverage,(4minutes)Fiveyearshavepassed,andAlonso,age45,signsa10-yearemploymentcontract,whichincludesaone-timesigningbonus,withacorporate-owned
9、professionalsoccerclub.Hisannualbasesalarywiththisclubishigherthanhisprevioussalaryandisindexedtoinflation.Becausetheclubhashadfinancialdifficultiesinthepast,theowneragreestoguaranteeAlonso,ssalaryoverthelifeofthecontract.Alonsointendstokeephislivingexpensesunchangedandincreasehisannualsavings.Alons
10、ostillplanstoretireattheendofthe10-yearcontract.Givenhisimprovedfinancialposition,henowplanstodependoncashflowfromhisinvestmentportfoliotomeetretirementexpensesratherthanpurchasethe25-yearannuity.C.i.DescribeonechangeinAlonsoscircumstancesthathasdecreasedhisearningsriskandonechangethathasincreasedhi
11、searningsrisk.ii.DescribeonechangeinAlonso,scircumstancesthathasdecreasedhisfinancialmarketriskinretirementandonechangethathasincreasedhisfinancialmarketriskinretirement.ANSWERQUESTIONI-CINTHETEMPLATEPROVIDEDONPAGE7.(8minutes)D.DiscusshoweachofthefollowinginvestmentconstraintshaschangedforAlonso:i.t
12、imehorizonii.liquidityneeds(4minutes)Alonsohasabuy-and-holdportfolioOfindividualsecurities,includingtreasurybills,asset-backedsecurities(ABS),governmentbonds,andequities.HiscurrentportfolioallocationisshowninExhibit1.Exhibit1AlonsoSCurrentPortfolioAllocationAssetClassPortfolioWeightTreasurybills5%A-
13、ratedcorporateamortizingABS10%AAA-ratedgovernmentbonds10%Small-capdomesticequities25%Large-capinternationalequities50%E.DeterminewhichoneassetclassinAlonso,sportfoliomostcloselyresembleshiscurrenthumancapital.JustifyyourresponsewithZhqreasons.ANSWERQUESTIONI-EINTHETEMPLATEPROVIDEDONPAGE9(6minutes)AN
14、YMARKSMADEONTHISPAGEWILLNOTBEGRADEDAnswerQuestiononThisPageTemplateforQuestionI-Ci.DescribeoechangeinAlonso,scircumstancesthathas:decreasedhisearningsrisk.increasedhisearningsrisk.ii.DescribecchangeinAlonso9Scircumstancesthathas:decreasedhisfinancialmarketriskinretirement.increasedhisfinancialmarket
15、riskinretirement.AnswerQuestiononThisPageTemplateforQuestionI-EDeterminewhichoneassetclassinAlonso,sportfoliomostcloselyresembleshiscurrenthumancapital,(circleone)JustiKyourresponsewith加，。reasons.TreasurybillsA-ratedcorporateamortizingABSAAA-ratedgovernmentbondsSmall-capdomesticequities1.arge-capinternationalequitiesL2.Questions1and2relatetoJuanPabloAlonso.Atotalof36minutesisallocatedtothesequestions.Candidatesshouldanswerthesequestionsintheorderpresented.QUESTION2HASTWOPARTS(A,B)FORATOTALOF9MINUTES.JuanPabloAlonsoisnowage54andanticipatingretirement.Approximately60%ofhistotalinvestments
