2025年CFA三級(jí)綜合案例試卷（含答案）考試時(shí)間：______分鐘總分：______分姓名：______CaseStudy1YouareaportfoliomanageratNorthStarAssetManagement,afirmspecializinginmanagingmid-capgrowthstocks.Yourclient,Mr.DavidChen,awealthyindividualinvestorwithahighrisktolerance,hasaportfoliocurrentlyworth$10million,primarilyinvestedintechnologystocks.Hehasexpressedinterestindiversifyinghisportfoliobyallocatingaportionofhisassetstoalternativeinvestments,specificallyprivateequityandhedgefunds.Hehasreadsomearticlessuggestingthataddingalternativeinvestmentscouldpotentiallyenhancetherisk-adjustedreturnsofhisportfolioandprovidesomeuncorrelatedexposure.Hehasaskedyoutoprepareareportoutliningthepotentialbenefitsandrisksofaddingprivateequityandhedgefundstohisportfolio,analyzingthreespecificpotentialinvestments(twoprivateequityfundsandonehedgefund),andprovidingrecommendationsonhowtoproceed.Mr.Chen'scurrentportfoliohasabetaof1.2andanexpectedreturnof12%.Histargetallocationistohave20%ofhistotalportfolioinalternatives.Youhaveaccesstothefollowinginformationforthethreepotentialinvestments:PotentialPrivateEquityFund1(GrowthOpportunitiesFund):*Thefundfocusesoninvestinginthegrowthstagesoftechnologyandhealthcarecompanies.*Thefundmanagerhasatrackrecordof15%annualreturnsoverthepastfiveyears,withastandarddeviationof10%.*Thefundchargesa2%managementfeeanda20%carry(performancefee)onprofits.*Thefundhasa10-yearlock-upperiod.*Youestimatethatthefund'sreturnswillhaveacorrelationof0.3withthereturnsofMr.Chen'sexistingportfolio.PotentialPrivateEquityFund2(InfrastructureFund):*Thefundinvestsininfrastructureprojectssuchastollroads,bridges,andrenewableenergyfacilities.*Thefundmanagerhasatrackrecordof8%annualreturnsoverthepastfiveyears,withastandarddeviationof6%.*Thefundchargesa1.5%managementfeeanda15%carryonprofits.*Thefundhasa7-yearlock-upperiod.*Youestimatethatthefund'sreturnswillhaveacorrelationof0.1withthereturnsofMr.Chen'sexistingportfolio.PotentialHedgeFund(GlobalMacroFund):*Thefundemploysaglobalmacrostrategy,takingpositionsinvariousassetclassesbasedonmacroeconomictrends.*Thefundmanagerhasatrackrecordof12%annualreturnsoverthepastfiveyears,withastandarddeviationof15%.*Thefundchargesa1%managementfeeanda2%performancefeeonprofits.*Thefundhasa2-yearlock-upperiodwitha2%withdrawalfeeforearlyredemption.*Youestimatethatthefund'sreturnswillhaveacorrelationof0.2withthereturnsofMr.Chen'sexistingportfolio.Mr.Chenisalsoconsideringtheimpactoftaxes.Heisinthehighestfederaltaxbracket(35%)andthehigheststatetaxbracket(8%).Assumethatprivateequityandhedgefunddistributionsaretaxedasordinaryincome,andthetaxefficiencyofthefundsisapproximately80%duetovariousstrategiesemployedbythemanagers.Considerthefollowingconceptsinyouranalysis:portfoliotheory,assetallocation,riskandreturn,correlation,beta,alternativeinvestments,privateequity,hedgefunds,performancefees,lock-upperiods,taxefficiency,andrisktolerance.CaseStudy2YouareafinancialadvisoratSouthwoodAdvisors,afirmthatprovideswealthmanagementservicestoindividualsandfamilies.Youaremeetingwithanewclient,Ms.JaneSmith,whois55yearsoldandplanstoretireatage65.Shehasaportfoliocurrentlyworth$2million,consistingofstocks(60%),bonds(30%),andcash(10%).Herportfoliohasanexpectedreturnof8%andastandarddeviationof12%.Ms.Smithhasamoderaterisktoleranceandisconcernedaboutoutlivinghersavings.Shehasalsoheardaboutthebenefitsofannuitiesforretirementincomeplanningandhasaskedyoutoprovideadetailedanalysisofannuities,includingtheirtypes,features,benefits,anddrawbacks,andtoevaluatewhetheranannuitywouldbesuitableforhersituation.Sheisspecificallyinterestedinlearningaboutfixedannuitiesandvariableannuities.YougatherthefollowingadditionalinformationaboutMs.Smith:*Herannuallivingexpensesarecurrently$100,000,andyouexpectherexpensestoincreaseby3%annuallyduetoinflation.*Shewantstoensurethatherretirementincomelastsforatleast30years.*Shehasaguaranteedpensionof$20,000peryearstartingatage65.*Sheisinthemediumtaxbracket(25%federalandstate).*Shehasalong-termcareinsurancepolicythatprovidescoveragefor$200,000inbenefits.*Sheexpectstoleavea$500,000inheritancetoherchildren.*Sheisconsideringtwoannuityoptions:OptionA:FixedAnnuity*Providesaguaranteedminimumannualincomeof$80,000startingatage65.*Theannuitypaymentincreasesby3%annuallytokeeppacewithinflation.*Theannuityhasasurrenderchargeof5%inthefirstyear,4%inthesecondyear,andsoon,decliningby1%eachyearuntilitreaches0%inthetenthyear.*Theannuityispurchasedwithasinglepremiumpayment.*Theinternalrateofreturn(IRR)ontheannuity,consideringthefeesandexpenses,is4%.OptionB:VariableAnnuity*AllowsMs.Smithtoinvestinaportfolioofsubaccounts,similartomutualfunds.*Theannuityoffersaminimumguaranteedreturnof2%.*Thesubaccountshavevaryinglevelsofriskandpotentialreturns.*Theannuitychargesa6%front-endload,0.5%annualmanagementfee,and0.25%annualexpenseratioforeachsubaccount.*Ms.Smithchoosesasubaccountwithanexpectedreturnof7%andastandarddeviationof5%.*Thesubaccount'sreturnsaretaxedasordinaryincome.Considerthefollowingconceptsinyouranalysis:retirementplanning,annuities,fixedannuities,variableannuities,annuitypayments,inflation,surrendercharges,internalrateofreturn,subaccounts,risktolerance,taxefficiency,andlegacyplanning.試卷答案CaseStudy1AnalysisandRecommendationsforMr.DavidChen1.BenefitsandRisksofAddingPrivateEquityandHedgeFunds*Benefits:*Diversification:Privateequityandhedgefundsoftenhavelowcorrelationwithtraditionalpublicmarkets(stocksandbonds),potentiallyreducingportfoliovolatility.Theestimatedcorrelationsof0.3(PEFund1),0.1(PEFund2),and0.2(HedgeFund)withMr.Chen'sportfoliosuggestpotentialdiversificationbenefits.*AlternativeReturns:Theseassetclassesemploydifferentinvestmentstrategies(growth,infrastructure,macro)thatmaygeneratereturnsuncorrelatedwithpublicmarketcycles.*PotentialforEnhancedRisk-AdjustedReturns:Byimprovingtherisk-adjustedreturnoftheoverallportfoliothroughdiversification,alternativeinvestmentscanpotentiallyincreasetheSharperatio.*AccesstoDifferentMarkets/Investments:Privateequityprovidesaccesstoprivatecompaniesandinfrastructureinvestments,whilehedgefundscanexploitvariousmacroeconomictrendsandstrategiesnotavailableinpublicmarkets.*Risks:*Illiquidity:Privateequityandhedgefundstypicallyhavelonglock-upperiods(7-10years),restrictingaccesstocapitalduringmarketdownturnsorwhenMr.Chenneedsfunds.Earlywithdrawalpenaltiesalsoaddtothisconstraint.*HigherFees:Thesefundsgenerallychargehigherfees(managementfeesandperformancefees)thantraditionalinvestments,whichcansignificantlyimpactnetreturns.*PerformanceUncertainty:Whilepastperformanceisindicative,itisnotguaranteed.Thestandarddeviations(10%,6%,15%)indicatevaryinglevelsofriskandpotentialforsignificantunderperformance.*Complexity:Theseinvestmentscanbecomplex,withlesstransparencythanpublicmarketinvestments.Understandingthefund'sstrategy,managertrackrecord,andfeesiscrucial.*Leverage:Somehedgefundsuseleverage,whichcanamplifybothgainsandlosses.*TaxConsiderations:Thetaxesondistributions(ordinaryincometax)andtheimpactoftaxefficiency(80%)shouldbeconsideredinthenetreturncalculation.2.AnalysisofPotentialInvestments*PrivateEquityFund1(GrowthOpportunitiesFund):**Pros:*Higherpotentialreturns(15%trackrecord),focusonhigh-growthsectorspotentiallyrelevanttoMr.Chen'scurrentstockexposure.**Cons:*Highestfees(2%management+20%carry),higheststandarddeviation(10%),longestlock-up(10years).**Evaluation:*Offersthehighestpotentialreturnbutalsothehighestriskandfees.SuitableifMr.Chenseekshighgrowthandcantolerateilliquidityandhighcosts.*PrivateEquityFund2(InfrastructureFund):**Pros:*Lowerfees(1.5%management+15%carry),lowerrisk(6%standarddeviation),shorterlock-up(7years),lowercorrelation(0.1),providesexposuretodefensive,long-durationassets.**Cons:*Lowerpotentialreturns(8%trackrecord),focusonaspecificsector(infrastructure)whichmaynotalwaysperformwell.**Evaluation:*Offersabalanceoflowerrisk,reasonablereturns,andshorterlock-upcomparedtoFund1.Providesgooddiversificationbenefitsduetolowcorrelation.*HedgeFund(GlobalMacroFund):**Pros:*Moderatepotentialreturns(12%trackrecord),moderaterisk(15%standarddeviation),moderatelock-up(2years),lowerfeescomparedtoPE(1%management+2%carry),potentialfordiversification(0.2correlation).**Cons:*Relativelyhighstandarddeviation,returnsdependonmacroeconomicpredictionswhichcanbedifficulttogetright,earlywithdrawalpenalty(2%).**Evaluation:*Offersablendofpotentialreturnsandrisk,withashorterlock-upandlowerfeesthanPEfunds.Itscorrelationof0.2providessomediversificationbenefits.3.Recommendations*AllocationDecision:BasedonMr.Chen'shighrisktoleranceandthedesirefordiversification,allocatingaportionofhisportfolio(e.g.,10-20%)toalternativesisreasonable.Withinthisallocation,diversifyingacrossdifferenttypesofalternativesisprudent.*InvestmentSelection:*Giventhetrade-offs,adiversifiedapproachacrossthethreeoptionsmightbesuitable,butwithcaveats.*PrivateEquityFund2(InfrastructureFund)appearstobethemostbalancedchoice,offeringlowerrisk,reasonablereturns,lowerfees,andgooddiversification.Itcouldformthecoreofthealternativeallocation.*AsmallerallocationtoPrivateEquityFund1(GrowthOpportunitiesFund)couldbeconsideredforpotentialupside,butonlyifMr.Cheniscomfortablewithitshigherriskandfeesandunderstandsthatitmaynotprovidesignificantdiversification.*TheHedgeFund(GlobalMacroFund)couldalsobeincludedinsmalleramountstofurtherdiversifyawayfromtheexpecteddirectionofthemarket,butitshigherstandarddeviationandrelianceonmacroeconomictimingshouldbecarefullyconsidered.*Implementation:Mr.Chenshouldconductfurtherduediligenceoneachpotentialfund,includingreviewingthefund'sprospectus,understandingthefundmanager'sstrategyandtrackrecord,andassessingthefund'sfeesandexpensesindetail.Heshouldalsoensurethatthechosenfundsalignwithhisoverallinvestmentgoalsandrisktolerance.*MonitorandReview:Thealternativeinvestmentsshouldbemonitoredregularly,andtheallocationshouldbereviewedperiodically(e.g.,annually)toensureitremainsappropriateforMr.Chen'schangingcircumstancesandmarketconditions.CaseStudy2AnalysisofAnnuityOptionsforMs.JaneSmith1.OverviewofAnnuities*Annuities:Contractswithinsurancecompaniesprovidingastreamofincomeinexchangeforaninitialpremiumoraseriesofpremiums.Theycanbeusedforretirementincomeplanning.*FixedAnnuity:Offersaguaranteedrateofreturnandaguaranteedminimumincomestream.Theprincipalisgenerallyprotected,andpaymentsarepredictable.*VariableAnnuity:Allowstheinvestortochoosefromarangeofinvestmentoptions(subaccounts),similartomutualfunds.Thereturnandincomestreamvarybasedontheperformanceofthechosensubaccounts.Thereisanelementofriskinvolved.2.EvaluationofAnnuitySuitabilityforMs.Smith*RetirementIncomeNeeds:Ms.Smithneedsastableincomestreamtocover$100,000peryear,adjustedforinflation,foratleast30years,inadditiontoherpensionof$20,000peryear.Thissuggestsaneedforasignificantannuityincometocoverher$80,000annualshortfall($100,000-$20,000pension).*InflationRisk:Bothannuityoptionsofferinflationprotection(OptionAviaCPIadjustments,OptionBviaminimumreturn),whichiscrucialformaintainingpurchasingpowerinretirement.*RiskTolerance:Ms.Smithhasamoderaterisktolerance.Afixedannuity(OptionA)providescertainty,whichalignswithamoderateriskprofile,especiallyinretirement.Avariableannuity(OptionB)offerspotentialforhigherreturnsbutalsoexposeshertomarketrisk,whichmaybelesssuitable.*TaxConsiderations:Annuityincomeistypicallytaxedasordinaryincome,whichcouldbeaconcerngivenMs.Smith'scurrenttaxbracket(25%).However,thetaxefficiencyofOptionB(duetosubaccounttreatment)mightbeslightlybetterifshechoosesalower-risksubaccount,butit'sstilllesstax-efficientthanOptionA.*EstatePlanning:Ms.Smithwantstoleavea$500,000inheritance.Annuitiesreducetheamountofwealththatcanbepassedontoheirscomparedtoinvestingassetsoutsideofanannuity.OptionAprovidesmorecontrolovertheremainingportfoliovalueatherdeath,whileOptionB'svalueistiedtothesubaccountperformance.*Long-TermCare:Shehaslong-termcareinsurance,butannuitiesdonotprovidedirectcoverageforlong-termcareneeds.3.ComparisonofOptionA(FixedAnnuity)andOptionB(VariableAnnuity)*OptionA(FixedAnnuity):**Pros:*Guaranteedminimumincome($80,000),inflationprotection(3%annualincrease),lowerfees,tax-deferredgrowth,potentiallymoretax-efficientinthelongruncomparedtoOptionB,providescertaintyandsecurity.**Cons:*Lowerminimumreturn(guaranteedminimum),surrenderchargesiffundsneedtobeaccessedearly,lesspotentialforhigherreturnscomparedtoOptionB.**Analysis:*OptionAseemstobethemoresuitablechoiceforMs.Smithgivenhermoderaterisktolerance,needforguaranteedincome,anddesireforcertaintyinretirement.Theguaranteedminimumincomeof$80,000providesasolidfoundationforherretirementbudget,andtheinflationprotectionhelpsmaintainherpurchasingpower.Thetax-deferredgrowthandlowerfeesareadditionaladvantages.*OptionB(VariableAnnuity):**Pros:*Potentialforhigherreturnsthroughsubaccountinvestments,minimumguaranteedreturn(2%),someflexibilityinchoosingsubaccounts.**Cons:*Higherfees(front-endload,managementfees,expenseratio),incomestreamuncertainanddependentonsubaccountperformance,potentiallylesstax-efficientduetoordinaryincometaxationofdistributions,greatercomplexity.**Analysis:*OptionBoffer