CFA三級基礎段培訓項目：項目管理案例研究-制度

Casein:InstitutionalLevelIIISessionContentETHICS&PROFESSIONAL(1)&(2)FINANCESession1-2Session3Session4Session5Session6Session7-8MARKETNEW】【ANDDECISIONSINPORTFOLIOMANAGEMENTANDCURRENCYMANAGEMENTNEWFIXED-INCOMEPORTFOLIOMANAGEMENT(1)&(2)【】Session9-10EQUITYPORTFOLIOMANAGEMENT(1)&(2)Session11INVESTMENTSPORTFOLIOMANAGEMENTNEWSession12-13MANAGEMENT(1)&(2)NEW【】【】Session14Session15StudySession【】PORTFOLIOMANAGEMENTINSTITUTIONALNEWTRADING,PERFORMANCEMANAGERSELECTIONNEW】【CASESINPORTFOLIOMANAGEMENTANDRISKMANAGEMENTNEW】【37Case:InstitutionalManagingLiquidityRisk?LiquidityandTime-to-CashInstitutional?RebalancingandCommitments??EarninganPremiumQUINCOCase?QUINCOInvestment?AssetAllocation?LiquidityManagement?AssetManagerSelection?AssetAllocation?AssetAllocationRebalancingManagingRiskLiquidityriskrefersaportfoliohavingdisposesecuritiesadeepdiscountduringtroubledmarkets.Fourkeymethodsmanageriskincludeandtime-to-cashtables,rebalancingandcommitmentstrategies,stresstestinganalyses,derivatives.andTime-to-CashForanendowment,thepotentialcashinflowsandoutflowsmustbedetermined.Cashoutflowsincludedistributionstotheuniversityandmeetingcapitalcallrequirementsforilliquidinvestments.Forexample,realassets,privatehedgefunds,andstructuredproducts).Cashinflowswouldtypicallyincludedonationsandinvestmentincomeearnedfromtheportfolio.Thenextstepistoestablishatimelinethatinvolvesconstructingaliquidityclassificationschedule(time-to-cashtable).Thatschedulewouldhavethreedistinctcomponents:amountoftimeneededtoconvertassetstocash(TimetoCashliquidityclassificationlevel(LiquidityClassificationliquiditybudget.領取最新資料微：xuebajun888sandTime-to-CashTime-to-CashandLiquidityBudget.Liquidity(%TimetoCashLiquidityClassification<1<1<1HighlyliquidLiquid10%35%50%Upto50%Semi-liquidIlliquid>1andTime-to-CashTheliquiditycloselytheamounttimeliquidateaninvestmentwithouthavingamajorimpactonmarkets.Thelatterwouldbedemonstratedbyaminimaldifferentialtheexpectedmarketpriceimmediatelybeforeandafteraselltransaction.Inaddition,aninvestmentthatoveroneyearexitwouldbeconsideredThetimetomayincludeafullrangeperiodsbeyondthoseillustratedtheaforementionedTime-to-Cashtable,dependingonwhethertheycorrespondtheinvestorcashoutflows.Theliquiditybudgetwillthenprovideminimumormaximumpercentageallocationsforthedifferenttimeperiods.andTime-to-Cashdevelopthebudget,theremustbepreliminaryworkperformedobservingthetraitstheinvestmentsoverareasonabletimeperiod.Withinaspecificassetclass,thevariousinvestmentscouldhaveverydiversecharacteristics.Forexample,exchange-tradedfunds(ETFs)maybemoreliquidthancommingledfunds.thesametypeinvestment(e.g.,commingledfund)mayofferdifferentlevelsliquidity;onemayoffersemiannualbecausefocusedonsmall-capforeignstocks,whiletheothermayoffermonthlybecausefocusedonlarge-capforeignstocks.Thatwhyimportantanalyzetheinvestmentsgreaterdetail.andTime-to-CashAnexcerptaliquidityforaportfolioAssetClassLiquidityClassificationSemi-AssetClassAllocation(%Allocation(%HighlyLiquidLiquidIlliquidLiquidincomeaccount14%5%100%0%0%0%Commingledfund8%1%8%100%100%0%0%0%0%0%0%0%0%DomesticequityCommingledfund17%50%50%account8%1%0%100%0%0%0%0%0%Futures100%andInadditionmanagingnecessarymaintaintheoverallriskwithinadesired(quantitative)rangebecauseovertimeandduringtimesmarketstress,assetchange—sometimesverydramatically—thusgreatlyalteringthedesiredbalanceseachassetclass.Itimportanthavesufficientliquidassetsandrebalancingmechanismsplace.Rebalancingmechanismsincludethefollowing.Systematicrebalancing.Rebalancingdisciplines,suchascalendarrebalancingandpercent-rangerebalancing,intendedcontrolriskthestrategicassetallocation.Automaticadjustmentmechanisms.Thesemechanismsdesignedmaintainastableriskwhenexposuredriftstargetedexposure.andMulti-yearfundingstrategiesformarketsthatincorporateasteadypacecommitmentsreachatargetallocationand/orkeeptheallocationclosetargetovertimeothermeansensuretheportfolioremainsconsistentwithdesiredriskobjectives.Investingmarketfundsmakesmoredifficultfortheportfoliokeepastableorspecificallocationlevelthelongtermbecausewithinagivenfund,thetimingandfrequencywhenthecommittedcapitaldrawnandthereturncapitaldistributionsbeyondthecontroltheByinvestingmultiplefunds,thetimingandfrequencybecomesmorestable.Theobjectiveamulti-yearfundingstrategydesignacommitment-pacingstrategythatwillresultthedesiredportfolioexposuretheassetclassovertime.theusecantheanalysisfurtheraccountforvariousmarketconditions.Overtime,thelevelannualcommitmentswillneedbeadjustedasneeded.testingexplicitlyconsidershowtheneedsaportfoliowillchangeduringaperiodmarketstress.Theideaconductanalysisassume“worstcase”orveryextrememarketconditionsandtheimpactonbothassetsandatthesametime.Thestresstestscanbebasedonanycombinationthefollowing:models,and.Derivativesfarlesscashthaninvestingunderlyingassets,whichmakesderivativesanidealmethodforrebalancing.Inaddition,afuturesoverlayallowsforrebalancingmany(butnotassetclasseswithoutalteringanytheassetallocationsdeterminedbytheexternalactivemanagers.Withleverage,takingalongfuturespositionrequiresonlyminimalcashrequirementsformargin.EarninganItisoftenthecasethatrelativelyilliquidinvestmentssuchasprivateequityandrealestatewillearnanadditionalreturn(overthemarketreturn)fortakingontheriskofholdingupcapitalforanunknownamountoftime.Thisisknownastheilliquidity(orliquidity)premiumearned.haveshownthattheilliquiditypremiumincreaseswiththeamountoftime(thinkofanupward—slopingyieldcurve,forexample).Adifferentwaytomodeltheilliquiditypremiumistothinkofitasthevalueofaputoptionwherethestrikepriceisthemarketableprice(atheoreticallyestimatedprice,asifitwerefreelytraded)oftheilliquidassetwhenitwaspurchased.領取最新資料微：xuebajun888sThatleadstothecomputationofthepriceoftheilliquidassetasfollows:assetprice=marketableassetprice-putpriceEarninganUsingthemarketableandtheprices,wecanderivetheexpectedreturnsforboth,andthedifferenceexpectedreturnswouldbethepremiumpercentagetermsasfollows:premium(%)=expectedreturnonasset(%)-expectedreturnonmarketableasset(%)Thereasubstantialnumberstudiessupportthepositivecorrelationbetweenandexpectedreturnsforpubliclytradedstocks.ExampleAportfolioanalystthefollowingtwostatements:StatementThepremiumeasydetermineStatementCalendarandpercent-rangerebalancingexamplesautomaticadjustmentmechanisms.Howmanythestatementscorrect?A.Zero.One.C.ExampleAnswer:AStatement1incorrect.Inpractice,thepremiumchallengingaccuratelydeterminegivenalltheotherfactorsthatinteractdeterminingequityreturns.Inaddition,marketindexesusedestimatepremiums,eventhoughthetypicalinvestornothavesuchabreadthinvestmentexposure.Statement2incorrect.Calendarandpercent-rangerebalancingexamplessystematicrebalancingpolicies.ExampleDescribehowfuturesandoptionscanbeusedforleverageandpurposes.Answer:alongfuturespositionrequiresonlyminimalcashrequirementsformargin,whichaformaleveragedinvestment.Therefore,anycashnotrequiredforcanbeusedinvestotherassetswithdifferinglevelsormeetotherrequirements.Optionscanbepurchasedatpremiumsthatoftenonlyafractionthecosttheunderlyingasset,therebyservingasaformleverage.optionscanbesoldearnpremiumincomethathelpsgenerateCaseTheQuadriviumUniversityendowmentwassetupmanyyearsagowiththepurposeofferingfinancialassistanceundergraduatestudents.Thecurrenttheendowmentbillion,andaboutthatamounthasunrestricteduse,withtheotherbeingsubjectdonor-specifieduserestrictions.annualoperatingbudgetmillion,andthatamountcoverstheremunerationfacultyandadministrativeInaddition,thebudgetcoverdebtpayments,maintenancecosts,andfundsrelatedresearchandfinancialaid.Theendowmentmakesannualdistributionsfundaboutoperatingbudget,andthedollaramountshavebeenincreasingforeachthepastyears.Greaterstabilitythedistributionshasbeenrequestedbythethesothatregard,thespendingrulewaschangedafterthefinancialcrisisoveryearsago.CasePre-crisis,asimplespendingruleexistedbasedonthemarkettheendowmentatthebeginningthePost-crise,thespendingruleincorporatesgeometricsmoothing(theformula)andexpressedasfollows:Spendingforcurrentfiscalyear=×spendingforpreviousfiscalyear)+××endowmentmarketattheendthepreviousfiscalyear)computetheendowment’sspendingforthecurrentthepreviousyearspendingwasandtheendowment’smarketattheendthepreviousfiscalyearwasmillion.Spendingforcurrentfiscalyear=×million)+××million)=CaseTheendowment’sinvestmentobjectiveearnasufficientreturnoverthelongtermcovertheannualspendingandmaintaintherealtheendowment.anannualspendingrate,-annualinflationapplicableuniversities,andannualdonations1%,theendowmenthasanannualnominalreturnrequirement-9%.Theriskobjectivebetweenaandannualstandarddeviationportfolioreturns.Atrustees(“theoverseestheactivitiesQU.TheQuadriviumUniversityInvestmentCompany(QUINCO)theuniversityinvestmentofficeandresponsibleformanagingtheendowment.AaronWinterthepresidentandhereportstheuniversitypresidentandtheQUINCOdirectors(“theTheconsistsmembersappointedbytheandthedealswithapprovinginvestmentpolicyandguidelines.QUINCOstaffchargedwithimplementingtheinvestmentCaseinvestmentprofessionalsemployedbyQU.investmentmodelinvolvesimplementationinvestmentstrategybyexternalmanagersinsteadhavingin-houseinvestmentmanagement.Instead,internalstaffdealwithassetallocation,riskmanagement,managerselection,andcontinuationdecisionsregardingtheexternalmanagers.Assetsinvestedfixedincome,public,realassets(composedprimarilyrealestateandnaturalresources),anddiversifyingstrategies(primarilyhedgefundstrategiestargetinghighabsolutereturnswithlowcorrelationstraditionalassetclassespublicequityandfixedincome).Thelastthreecategoriescomprisealternativeinvestments.Eachthecategoriesmanagedbyaseniorportfoliomanagerandananalyst.CaseInaddition,theteamincludesaportfoliostrategistchargeassetallocationandriskmanagement,alsosupportedbyananalyst,andthepresidenttheofficewhoactsasthechiefinvestmentofficer(CIO).Theportfoliostrategisthasongoingdutiesinvolvingrebalancing,overlays,andtacticalassetallocation.AnydecisionsmadebyexternalinvestmentmanagersandAdeviationsthetheinternalinvestmentcommittee.Winterleadsthatcommittee,whichincludesallseniorportfoliomanagersandtheportfoliostrategist.themustprovidefinalforthehiringanyexternalmanagers.Investmentinvestmentstrategyconcernedprimarilywiththelongterm.Itsconnectionswithalumninetworkstheindustryhasallowedtheendowmentbenefitfromtheknowledgethebest-in-classmanagers.investmentuniversewasconfinedtraditionalpubliclytradedstocksandbonds.Withgrowththeendowment,thelong-termstrategybeganincludealternativeinvestments,whichmayallowforgreaterdiversificationandhigherrisk-adjustedreturnsequityandrealassets).Alternativeinvestmentshavehelpedboosttheendowment’sreturnsoverthepastyears,althoughallocationalternativeinvestmentsstillbelowaveragecomparedothercomparableendowments.InvestmentSpanninganover20-yearperiodtheendowmentassetallocationhaschangedasfollows:Cashallocationhasremainedconstantat1%.stocks(domestic)andbondsaccountedforalmostassetsbuthavebeenreducedabout30%.Internationalequity(developedmarkets)accountedforalmostassetsbuthavebeenreduced10%.Emergingmarketequityaccountedforandhasincreased-15%.Privateequityaccountedforlessthanandhasincreased-20%.Realassetsaccountedforlessthanandhaveincreased-15%.Diversifyingstrategiesaccountedforandhaveincreased-15%.InvestmentDuringthemostrecentstrategic(SAA)reviewbytheQUINCOtwoyearsago,theyresolvedincreasetheallocationalternativeinvestmentsanddecreasetheallocationdevelopedmarketequities(domesticandinternational).CurrentStrategicAssetInvestmentWinterhasworkedatQUINCOforyearsandbecamethepresidentandCIOoneyearago.HewillbeperforminghisfirstassetallocationWinterhasaportfoliostrategyteamassisthimwiththeTheteamincludesThompson,theteamlead,aswellasherassetallocationanalysisplustheseniorportfoliomanagersforfixedincomeandpublicequities.AfterconsultingwiththeWinteradvisestheteamdealwiththefollowingmatterspertainingthe:Anoptimalandmanagementplanfortheendowment.TheSAAcontexttheinvestmentoutlook;thereanexpectationlowerfuturereturnsmosttraditionalassetclasses.TheuseasacomplementSAAimproverisk-adjustedreturns.Theendowment’sunderperformancecomparedpeers.AssetThestrategyteamhavefinishedtheworkrequestedandwillbemakingapresentationtotheBoard.Aspartoftheireconomicanalysis,theyusedunsmoothingmethodsforprivateequity(arelativelyilliquidassetclass)duetothesmootherreportedreturnsresultingfromthelackoffrequencyofpricingdata.Theunsmoothingmethodsresultedinanupwardadjustmenttothereportedvolatilityofprivate領取最新資料微：xuebajun888sAssetExpectedReturn(NetFees)andAssumptionsExpectedReturngeometricmean,10ExpectedNominalReturn(annualgeometricmean,10DeviationReturnsRatioAssetClass(annual)0.9%1.8%5.0%3.4%4.3%7.6%1.7%6.3%incomeDomesticequity0.140.2318.1%Internationaldevelopedequity4.8%7.4%19.7%0.20Emergingequityequity6.0%8.5%4.5%4.0%8.7%11.2%7.1%6.6%26.6%24.0%13.3%10.0%0.190.320.270.31assetsDiversifyingAssetWithsomeresearch,wasdeterminedthattheprimaryreasonsfortheendowment’sunderperformancepeerswastheloweramountriskandthelowerallocationinvestments,especiallyTherefore,thecurrentandproposedallocationsasfollows:CurrentProposedCashFixedincomeDomesticequityInternationaldevelopedequityEmergingmarketequityequityRealassetsDiversifyingstrategiesNote:assumedAssetProposedvs.CurrentSAA:ExpectedRisk/ReturnProperties7.5%5.0%12.5%0.337.8%5.3%13.2%0.34nominal(annualgeometric,10(annualgeometric,10deviationofreturns(annual)SharpeProbabilityof25%erosioninpurchasingpowerover20with5%spending35%30%Note:TheerosionpurchasingpowerwasderivedbasedonaMonteCarlosimulationwitha20-yearinvestmenthorizon,assumingexpectedreturnandcharacteristicswillbethesameasforthenextyears.TherealsosomereportingMonteCarlosimulationresultsbringattentionthepotentialerosionpurchasingTheacceptanannualizedstandarddeviationreturnsbetweenand14%.AssetThompsonawaretheproposedassetallocationimpliesatheoverallrisktheendowmentasmeasuredbytheportfolioreturnsfortheproposedSAAversusforthecurrentportfolioShebelievesthattheincreaseriskjustifiedby:Lowerfuturereturnsexpectedforallassetclasseswillnecessitatetakingonmoreriskmaintainthesamelevelreturns.endowmentonlessriskthanpeers.TheestimatedSharperatioforfixed-incomeinvestments(lessrisky)meansthatthereshouldnotbeasmuchallocationlessriskyassets.MonteCarlosimulationshaveindicatedthatthelongterm,theproposedassetallocationhasabetterchanceearningthedesiredrealreturnandpreservingpurchasingManagementGiventheincreasingcomplexitytheinvestmentportfolioandtherelianceonregulardistributionstheendowment,QUINCOneedsarobustframeworkformanagingAsparttheirmanagementduties,teamperformscashflowmodelingoverseveraltimehorizonsandundernormalandstressedmarketconditions.Thompsonworriedthatmaydeterioratesignificantlyduringstressedmarketconditionsforthefollowingreasons.Capitalmarketsexceedingcapitaldistributions.gates.Thesmoothingeffect.Managementteamhaspreparedasummaryasfollows:ExistingportfolioNormalconditions:highlysemi-liquidStressconditions:highlyliquidsemi-liquidProposedportfolioNormalconditions:highlysemi-liquidStressconditions:highlyliquidliquidsemi-liquidExamplethreereasonswhytheendowmentshouldincreaseallocationinvestments.Answer:Theendowmenthasalong-terminvestmentfocus,whichincreasesinvestinvestments.Therefore,theadditionsuchassetstheendowment’sinvestmentopportunitiesmayallowtheefficientfrontierbeshiftedupwardsothatachievesahigherreturnforastatedlevelrisk.ExampleAnswer:Theendowmenthasconsistentlyearnedpositivereturnswith(alternative)investmentsovertheyears.Aftersuchalongperiod,theinvestmentsportiontheportfolioclearlyestablishedanddiversified.Withateamindustryexpertsattheirdisposal,includingbest-in-classmanagers,theendowmentshouldexpectcontinueearningstrongreturnsthefuture,whichjustifiesincreasingtheallocationinvestments.Comparedpeers,theendowmentunderinvestedinvestments.Therefore,anincreasedallocationjustifiedovercomeunderperformancecomparedpeers.Exampleoneconcernwithincreasingtheallocationassetsanddescribehowthatconcerncanbemitigated.Answer:Theincreasedallocationassets(especiallyequityandrealassets)introducesmoreunsystematicrisk.Therefore,placingsmalleramountsalargernumberinvestmentsreducemuchthatunsystematicrisk.ExampleUsingtheinformationtheaforementionedtable,tworeasonsthatsupportproposedassetallocation.Answer:Theproposedassetallocationhasabetterrisk-returnrelationshipthantheexistingSAA,asillustratedtheaforementionedtablebytheincreaseSharperatioTheproposedassetallocationhasahigherchanceearningthetargetreturnthelongterm.UsingtheMonteCarlosimulationresults,thereahavingatleastthepurchasingpowerforthenextyears;theresulttheaforementionedtableexplicitlystatesaerosion.UndertheexistingSAA,thereonlyahavingatleastthepurchasingExampletwotradeoffsinvolvedwithimplementingtheproposedassetallocation.Answer:Onetradeofftheproposedassetallocationtheincreaseportfolio—annualstandarddeviationrisesgiventheexpectationlowerreturnsforallassetclasses,greaterriskmustbeearnthesamelevelreturns.Anothertradeoffthetransactioncosts,sinceequityandrealassetsmosthavehigherinvestmentmanagementandperformancefeesthantraditionalpublicstockandbondinvestments.thereturnamountstheaforementionedtable,onanet-of-feesbasis,sotheyaccountfortheincreasedfees.ExampletwoitemsthatThompsonshouldconfirmbeforeimplementingtheproposedassetallocation.Answer:Sheshouldconfirmthatthemetricstheaforementionedtablesuchasthestandarddeviationreturns(increasedandtheerosionpurchasingpoweracceptablewithintheendowment’sriskappetite.Sheshouldconfirmthatafterincreasingtheassetsallocation,thenewassetallocationcontinuesmeetalltheportfoliorequirements.Examplehowacurrentspendingpolicycouldimpactneedswhenmarketconditionsdeteriorate.Answer:Spendingpolicieshaveabuilt-incountercyclicalimpact,sospendingratesendupbeinglessthan5%duringstrongermarketconditionsandmorethan5%duringweakermarketconditions.Asaresult,theliquidityneedsareamplifiedduringstressedmarketconditions.領取最新資料微：xuebajun888sExamplethreetoolsforuseformanagement—cashflowforecastingandcommitmentpacingmodels,budgets,andstresstests.Answer:Cashflowforecastingandcommitmentpacing.modelscanbeusedestimatetheincreasedallocationequityandrealassets.Forexample,cashoutflowsneedbeestimatedforfuturecommitmentsequity;capitalcallslegalobligations.Also,duringmarketdownturns,suchcashoutflowsmaybecomemoreonerousasinflowspriorinvestmentscouldbecurtailedorcompletelystoppedduealackcashasinvestmentsmaynotbeliquidatedduevaluations.Liquiditybudgetscanbecreatedafteraccountingfortheendowment’scashinflowsandoutflows.ExampleAnswer:testscanbeperformedusingbothhistoricalinformationandhypotheticalassumptionswithintheframeworksensitivityanalysisdeterminehowmuchvariancemayoccurandbewithinthebudgetconstraints.ExampleDescribetheimpactonresultingtheproposedassetallocation.Answer:Therebeanoticeableincreasemoreinvestmentsandanoticeabledecreasehighlyinvestments.Forexample,normalconditions,highlyassetsdecreasebyandassetsincreasebyInstressedconditions,highlyassetsdecreasebyandassetsincreasebyoverallbecomemoreduetheincreasedinvestmentequityandrealassets,bothwhichthemostassetclasses.ExampleDescribeanyfollow-upactionsThompsonneedswithrespecttheproposedassetallocation.Answer:Thompsonmustbecertainthattheendowmentbeablemeetallneeds(e.g.,distributionsandrebalancing)fortheproposedallocationanddosostressedmarketconditions.Monitoringattimeswhenthereincreasedrisknotbeingablemeetneeds,aswellasregularstresstests,wouldbesuitablefollow-upitemsperform.AssetManagerThreemonthstheprocesshiringmoreexternalmanagersimplementtheproposedassetallocationchangeshasbegun.Arequestforproposal(RFP)foraequitymanagerwasissued,andonetheresponsescamefromGenexCapitalwithaproposalinvestventurecapitalfundcalledFundownedandoperatedbyVirginiaHall,,whoontheendowmentandhasbeenalong-timeandhighlysupportivedonortheTherefore,boththeuniversitytreasurerandpresidentstronglysupportproposalandhaveindicatedsoontheotherhand,believesthataskedthetwoindividualsadvancetosupportherproposal.Throughtheprocesselimination,thetwofinalistsandanotherventurecapitalfundthatadirectcompetitorcalledBeacherInvestments(Beacher).AssetManagerandBeacherrequestedpresentinvestmentcommittee.JasonAllen,aformercolleagueWinter,managingandhegivesthepresentation.Winterknowsthatthepresentationcontainsconfidentialinformationthatnotpublicly,whichwaspossiblyobtainedtheuniversityInaddition,historicalreturnspresentedwithamountsmateriallygreaterthanthosereportedelsewherebyparties.Beacherthemoreestablishedpickthetwofirms,despitesomeproblemswiththeperformancepreviousfund.Butsomeconcernswereraisedaboutshortexistencedate.BudDavis,oneseniorportfoliomanagersaskedarecommendationonwhichfirmgowith.AssetManagerDavisstatesthatfindingdifficultraisethetargetedforFundIIsinceFundIonlyraisedmillion.InvestorsworriedaboutthethreefoldexpansionandtheuncertaintywhethercanachieveDavistempersthatpointwithstrong,positivecommentsaboutmanagerandinvestmentapproach.Inaddition,Davisconfirmsthatinvestmentmanagementfeebelowered.Basedoncomments,theinvestmentcommitteeagreeswithrecommendationgowithAfterward,WinterspeakswithAllenconveythenews.Duringtheconversation,Allenstatesthatspouse,Andrea,WhenWinterconfrontedDaviswiththatknowledge,Davissimplystatedthatwaswellknownandassumedthateveryoneontheinvestmentcommitteealreadyknewtherelationship.ExampleethicalissuesandpotentialviolationstheCodeandby,thepresidentandAllen,andDavis.(Note:Thecitationspecificstandardnumbersandnamesnotnecessary.)Answer:AaronQUINCOCIOVI(A):Conflicts.WintershouldhavedisclosedthethattheowneralreadyverycloselyassociatedwiththeExampleAnswer:AaronQUINCOCIOI(B):IndependenceObjectivity.WinterunderpressuresomememberstheuniversityawardthepositionwhichwouldimpacthisindependenceandWintershouldhavedisclosedthatmanagingdirectoraformercolleagueasthatcouldpotentiallyWinterindependenceandllI(E):PreservationConfidentiality.Wintersuspectedthatusedconfidentialinformationpresentation,andheshouldhavedisclosedhisconcernstheExampleAnswer:AaronQUINCOCIOI(C):MisrepresentationandIII(D):PerformancePresentation.Wintersuspiciousastheprecisionthehistoricalresultsprovided.V(A):DiligenceandBasis.WinternotconfirmordispelhissuspicionsbydoinganysubsequentresearchorprobingwithExampleAnswer:trustee,ownerVI(A):Conflicts.IfHalltryinginfluencethehiringdecisionfavorherthenthereaconflictinterest.positionasatrusteeandherownershipalsoaconflictasonethefinalists.beconsideredforhiringasanexternalportfoliomanagerfortheendowment.IV(A):.potentiallyputtingherownbusinessinterestsaheadthebestintereststheuniversity(sheatrustee),HallwouldbeherdutyIII(E):PreservationConfidentiality.Hallmayhaveobtainedconfidentialinformationandusedpresentationchancesbeinghired.ExampleAnswer:QUpresidentandQUtreasurer(botharemembersoftheQUBoard)StandardIV(A):Loyalty.BoththepresidentandtreasurermustactinthebestinterestsbyhiringonlythebestportfolioTheyareviolatingStandardIV(A)bypressuringWintertohireGVCgivencloseassociationwiththeStandardIII(E):PreservationofConfidentiality.TheymayalsobeinviolationofStandardIII(E)iftheyweretheculpritswhoprovidedtheconfidentialinformationintheGVCpresentation.StandardVI(A):DisclosureofConflictsandStandardI(B):IndependenceandObjectivity.Forexample,theyshouldhavedisclosedtheirbiastowardHallgivenherpastgenerositytotheFurthermore,theyshouldhaveabstainedfromanyvotingdecisionsontheexternalmanagergiventheirlackofindependenceand領取最新資料微：xuebajun888sExampleAnswer:Allen,managingdirectorMisrepresentationIII(D):Presentation.Alleninformation,unknowinglyorinhisBudDavis,QUINCOseniorportfoliomanagerDisclosureConflictsI(B):IndependenceandObjectivity.Davisobjectiveinahiringdecision.hisisowneraserioushisshoulddisclosedAssetThehasapprovedamuchlargeractiveriskbudgetforproposedplan.Theannualtrackingerrorwasspecificallyincreasedfrombpsbpstryincreaseoverallportfolioreturns.WinterandhisstaffcompletelyresponsibleforimplementingthenewAplan,andtheyhavetheauthorityusebpsthebpsbudgetdoso.becausetheusederivativestheimplementationwouldresultincreasedleverage,theapprovedamaximumleveragepositiontheportfolioWinterthinksthattheAplanallowforoverweightandunderweightpositionsacceptableassetclassesandallowforinvestingassetsbeyondthepolicyportfoliobenchmarkuniversethatstillconsistentwiththeinvestmentpolicInimplementingtheplan,Winterbeganwithfairandmeanreversionbycreatingfairmodelsfortheportfolioassets.Relevanteconomicandfinancialdataknownhavepredictivepowerweregatheredandusedestimatefutureriskandreturnforperiodsrangingfromonethreeyears.AssetTheoutputthemodels(i.e.,theoreticallycorrectfairthencomparedactualpricesassesswhetheranyvariancessignificantenoughbeexploited,afterconsideringthecostsinvolveddoingso.Subsequentandthoroughbacktestingrevealedthatthemodelsworkedwell.large-capU.S.equitieswerepricedfarbelowtheirfairandmeanreversionwouldoccuraboutaThompsonusesthatinformationandproposesoverweightU.S.equitiesbyusingeitheratotalreturnswap,equityfutures,orETFs.Theobjectiveminimizeusecashandtransactioncosts.AssetCostComparisonAssumingaFully-FundedMandateETF4.009.502.5015.004.000.000.0035.002.00ReturnCommission(roundtrip)Management(annual)Bid/offer(roundtrip)Priceimpact(roundtrip)Mispricing(trackingannual)torollthefuturescontractFundingcost5.000.006.000.000.000.0040.0051.000.002.0010.008.0020.000.0042.00cost—swapsaa(bps)otherwiseAssetThompsonfeelsthatETFstoomuchup-frontcashtheorthatthepermittedmarginwouldonlylimitedleverageopportunitiesinvestmentwithprovidedcashandborrowed).SherealizesthatusingfuturesandtotalreturnswapsobtainexposurewouldfarlesscashthantherequiredusingETFs.theotherhand,ETFsandfuturesmoreliquid-theywidelytradedandhavelowtransactioncosts.Bothinstrumentsallowforearlytermination,shouldmarketconditionswarrantandThompsonhasmadeknownthattheimportantreturnswapstradedoverthecounterthatthetermsnegotiatedandfeaturescustomizedbetweenthecounterparties.withfutures,Thompsondoesnotthedailymarginmonitoringtasks.shehasconcernsoverinterestrateandcounterpartycreditrisk.Theoverlaywillbeperformedontheassumptionaleveragelevelmeaningtheinvestmentprovidedcashandborrowed.Financingcostsbasedona3-monthLIBORrateforfuturesandswaps,withanadditionalfinancingcostforETFs.AssetItnowthreemonthsaftertheoverweightposition