2025年CFA三級(jí)案例分析專項(xiàng)訓(xùn)練考試時(shí)間：______分鐘總分：______分姓名：______CaseStudy1:PortfolioRebalancingandAlternativeInvestmentIntegrationMr.andMrs.Smithareamarriedcoupleintheirlate40s,withMr.SmithbeingacorporatelawyerandMrs.Smithworkingasanexecutiveassistant.Theyhavetwochildren,ages15and18.Theycurrentlyresideinanapartmentinanurbanareaandareplanningtopurchaseasuburbanhouseinthenext2-3years.Theirinvestmentportfolio,managedbyyou,consistsprimarilyofpubliclytradedstocksandbonds.Theyhaveexpressedconcernsaboutportfolioperformancevolatilityandpotentialunderperformanceagainstmarketindicesoverthepasttwoyears.Theyalsoindicateaninterestindiversifyingtheirinvestmentsbeyondtraditionalstocksandbondstopotentiallyincludeprivateequityandrealestateinvestmenttrusts(REITs).Theircurrentportfoliovalueis$1.2million,withaallocationof60%tostocks(domesticlarge-cap40%,domesticmid-cap20%,internationaldevelopedmarkets20%,internationalemergingmarkets20%)and40%tobonds(governmentbonds25%,corporatebonds15%).Theirrisktoleranceisassessedasmoderate-to-high,withatimehorizonof10-15yearsformostoftheirinvestments,thoughtheyhaveaseparate$150,000emergencyfundwithaveryshorttimehorizon.Theirtargetretirementageis65.Mr.Smithhasbeenapproachedbyacolleaguewhoworksataprivateequityfirm,suggestingthataportionoftheSmiths'portfoliocouldbeinvestedinaspecializedprivateequityfundfocusingonhealthcareinfrastructure.Hementionspotentialforhighreturnsbutalsowarnsofilliquidityandhigherrisk.Mrs.SmithisinterestedinREITsfordiversificationandpotentialincome,butsheisconcernedabouttheircorrelationwiththestockmarket.YouhaveconductedduediligenceonbothoptionsbuthavenotyetpresentedyourfindingstotheSmiths.Thecurrentmarketenvironmentshowsrelativelyhighvaluationsinthepublicequitymarkets,withconcernsaboutrisinginterestratespotentiallyimpactingbothstockvaluationsandbondyields.Theprivateequityfundtheyareconsideringhasaminimuminvestmentof$100,000andalock-upperiodof5years.TheREITmarkethasshownresiliencebutalsoincreasedvolatilitycomparedtohistoricalnorms.Questions:1.DescribetheprocessyouwouldfollowtodetermineanappropriateportfoliorebalancingstrategyfortheSmiths,consideringtheirinvestmentgoals,timehorizon,risktolerance,andconcerns.Discussthekeyfactorsyouwouldconsiderandhowyouwouldcommunicateyourproposedrebalancingplantothem.2.AnalyzethepotentialbenefitsandrisksofallocatingaportionoftheSmiths'portfoliotothehealthcareinfrastructureprivateequityfund.Evaluatethesuitabilityofthisinvestmentoptiongiventheircurrentfinancialsituation,investmentobjectives,andthecharacteristicsofthefund.Discusshowyouwouldassessthefund'sperformanceandriskprofile.3.EvaluatethesuitabilityofREITsforinclusionintheSmiths'portfolio.CompareandcontrastthecharacteristicsofREITswithtraditionalstocksandbondsintermsofrisk,return,incomegeneration,andliquidity.DiscusspotentialportfolioallocationlevelsandhowREITscouldcontributetothediversificationgoalsoftheSmiths.ConsiderthecurrentmarketconditionsandpotentialcorrelationsbetweenREITsandotherassetclasses.4.ConsideringtheSmiths'interestinalternativeinvestmentsandtheircurrentportfoliocomposition,outlinethekeyconsiderationsandstepsyouwouldtakeinmakingadecisionaboutincludingprivateequityand/orREITsintheirinvestmentportfolio.Discusstheimportanceofdiversificationbenefits,riskmanagement,andtheintegrationoftheseassetsintotheiroverallinvestmentstrategy.Howwouldyouaddresstheirconcernsregardingilliquidityandmarketcorrelation?試卷答案CaseStudy1:PortfolioRebalancingandAlternativeInvestmentIntegrationQuestion1:TodetermineanappropriateportfoliorebalancingstrategyfortheSmiths,Iwouldfollowthesesteps:1.ReviewFinancialGoalsandConstraints:Reaffirmtheirlong-termretirementgoals,housepurchasetimeline,andrisktolerance.Confirmthe$150,000emergencyfundisadequateandseparatelymanaged.2.AssessCurrentPortfolioPerformanceandRisk:Analyzetherealizedreturnandvolatilityofthecurrent60/40portfolioagainstrelevantbenchmarks.Evaluatetheunderperformanceconcerns.3.BenchmarkComparison:ComparetheSmiths'portfolioweightsagainsttheirtargetallocationsbasedonmodernportfoliotheoryandtheirrisktolerance.Thecurrent60%stocks/40%bondsmightbehighfortheirmoderate-to-highrisktolerance,especiallygivenmarketvaluations.4.DetermineTargetAllocations:Basedontheirgoalsandrisktolerance,establishtargetallocations.Giventheir10-15yearhorizonandmoderate-to-highrisktolerance,ahigherstockallocation(e.g.,70-80%)mightbeappropriate,withacorrespondingreductioninbonds.Asmallallocation(e.g.,5-10%)toalternativeslikeREITscouldbeconsideredinitiallyfordiversification.5.CalculateRebalancingNeeds:Computethedifferencebetweencurrentandtargetweightsforeachassetclass.Identifywhichassetsneedtobesold(overweight)andwhichneedtobepurchased(underweight).6.MethodologySelection:Decideontherebalancingmethod.Optionsinclude:*Time-BasedRebalancing:Rebalanceannuallyorsemi-annuallyregardlessofdeviationlevels.*Threshold-BasedRebalancing:Rebalanceonlywhenassetclassweightsdeviatebyacertainpercentage(e.g.,+/-5%).*Combination:Ahybridapproach.Consideringtheirpotentialinterestinalternativesandmarketconditions,acombinationapproachmightbesuitable.7.ConsiderTransactionCosts:Estimatepotentialbrokerageandtransactioncostsassociatedwithrebalancingandfactorthemintothedecision.8.CommunicatethePlan:Presenttherebalancingstrategyclearly.Explaintherationaleforthetargetallocations,therebalancingmethodology,potentialtaximplications,andtheexpectedimpactonportfoliodiversificationandrisk-returnprofile.Usevisualaids(liketargetvs.currentallocationcharts)ifappropriate,thoughexplicitlyrequestednottousetables/graphsinthepromptforthesimulation.Emphasizethatrebalancingisadynamicprocessdrivenbymarketmovementsandtime-basedreviews.Question2:Thepotentialbenefitsofallocatingtothehealthcareinfrastructureprivateequityfundinclude:1.HighReturnPotential:Privateequity,particularlyinspecializedsectorslikehealthcareinfrastructure,canofferhigherreturnsthantraditionalpublicmarketsduetoleverage,activemanagement,andinvestmentinhigh-demandareas.2.Diversification:Privateequitytypicallyhasalowcorrelationwithpublicequitiesandbonds,potentiallyreducingoverallportfoliovolatility.3.AccesstoUndervaluedAssets:Thefundmayinvestinspecializedinfrastructureprojects(e.g.,hospitals,medicalfacilities)withlong-termdemanddrivers.4.PotentialInflationHedging:Infrastructureassetsoftenhavepricingpowerthatcanhelphedgeagainstinflation.Thepotentialrisksinclude:1.LiquidityRisk:The$100,000minimuminvestmentand5-yearlock-upperiodrestrictaccesstocapital,whichisunsuitablefortheirshort-termemergencyfundorpotentialnear-termhousingpurchaseneeds.2.IlliquidityRisk:Theunderlyingassetsarenotpubliclytraded,makingvalueassessmentdifficultandpotentialearlywithdrawalimpossibleorsubjecttosignificantpenalties.3.HighManagementFees:Privateequityfundstypicallychargesubstantialmanagementfees(e.g.,2%annualfee)andperformancefees(e.g.,20%ofprofits),potentiallyerodingreturns.4.CreditRisk:Ifthefundusesleverage,defaultriskoftheunderlyingassetsorborrowerscouldimpactperformance.5.PerformanceRisk:Privateequityperformanceisdependentonthefundmanager'sexpertiseandmarketconditions.Notallfundsoutperformpublicmarkets.6.ComplexityandLackofTransparency:Theinvestmentstrategyandvaluationsmaybelesstransparentthanpublicmarketinvestments.GiventheSmiths'situation,thesuitabilityisquestionable.The5-yearlock-upconflictswiththeirshorter-termfinancialneedsandtimehorizonforaportionoftheirportfolio.Whilediversificationisabenefit,thehighfeesandilliquidityposesignificantrisksthatmayoutweighthepotentialreturnsfortheirmoderate-to-highrisktolerance,especiallygiventhelackofurgencyindicatedbytheir10-15yeartimehorizonformostassets.Athoroughduediligenceprocessisessential,includingevaluatingthefundmanager'strackrecord,feestructure,investmentstrategyalignment,andthespecificrisksoftheunderlyingassets.Performanceshouldbemeasuredonanabsolutebasisandcomparedtorelevantbenchmarks,consideringfees.Question3:REITscanbesuitablefortheSmithsforseveralreasons:1.IncomeGeneration:REITsarerequiredtodistributeatleast90%oftheirtaxableincomeasdividends,providingpotentialcurrentincome,whichalignspartiallywithMrs.Smith'sinterest.2.Diversification:REITsoftenhavelowcorrelationwithstocksandbonds,offeringdiversificationbenefits.Theyrepresentownershipinrealassets(property).3.PotentialCapitalAppreciation:Likestocks,REITscanappreciateinvaluebasedonpropertyperformance,rentalincomegrowth,andmarketconditions.4.Liquidity:MostREITsarepubliclytradedonstockexchanges,offeringrelativelyhighliquiditycomparedtoprivateequity.However,theydifferfromtraditionalassets:1.Taxation:Dividendsaretypicallytaxedasordinaryincome,whichcanbelessfavorablethanqualifieddividendsfromstocks.2.MarketCorrelation:Whilegenerallylowerthanstocks,REITscancorrelatemorestronglywiththeoverallstockmarket,especiallyduringeconomicdownturnsimpactingcommercialrealestate.3.Volatility:REITpricescanbevolatile,influencedbyinterestrates(asrealestateissensitivetoborrowingcosts),propertymarketcycles,andeconomicconditions.4.ManagementQuality:Performancevariessignificantlybasedonthequalityofpropertymanagementanddevelopment.Suitabilityconsiderations:Giventheirmoderate-to-highrisktolerance,asmallallocation(e.g.,5-10%oftheentireportfolio,or0.05*$1.2M=$60,000)toREITscouldenhancediversificationwithoutsignificantlyincreasingoverallportfoliorisk.Thisalignswiththeirinterestandaddressesthedesiretodiversifybeyondtraditionalassets.Theallocationshouldbecarefullymonitored.Inthecurrentenvironment,assesssector-specificrisks(e.g.,industrialvs.office)andpotentialovervaluationconcerns.REITscouldbeintegratedintotheirstockallocation,perhapsbyreplacingsomedomesticlarge-capstockswithREITETFsorindividualREITs.Question4:Keyconsiderationsandstepsforintegratingalternatives(privateequity/REITs):1.DefineObjectives:Clarifythegoals:diversification,returnenhancement,oraccessingspecificexpertise(privateequityinhealthcareinfrastructure).Isthegoalprimarilydiversificationoralphageneration?2.AssessRiskCapacityandTolerance:ConfirmtheSmithsunderstandandacceptthehigherrisk,lowerliquidity,andilliquidityassociatedwithalternatives,especiallythe5-yearlock-upofthePEfund.Ensuretheallocationfitswithintheiroverallriskframework.3.EvaluateAlternativeOptions:*PrivateEquity:Conductthoroughduediligenceonthespecifichealthcareinfrastructurefund(managerexpertise,trackrecord,fees,investmentstrategy,dealflow,risks).ComparedirectlyagainsttheSmiths'needsandconstraints.*REITs:ResearchspecificREITsorREITETFs,consideringsectors,geographies,managementquality,dividendyield,payoutratio,andvaluation.Assesstheircorrelationwiththeexistingportfolio.4.DiversificationAnalysis:Quantifytheexpecteddiversificationbenefitsbyanalyzingthecorrelationcoefficientsbetweenthealternativeinvestmentsandtheexistingportfolioassets.Lowcorrela