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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
