2020年CFA三級模考1（題目+解析）

201QUESTION5HASTHREE(A,B,C)A19MINUTESisacommercialbankoperatingU.S.chiefinvestmentoficerSamuelMilleranderKiraneingimplicationstheeconomynearingrecessiontheneth.Asthecreditspreadsonloans,havenanowedthebank'sboardofdirectorshasdecidedto(1)cutbacknewlending,(2)sellp叩thebank'sexistingloandecreaseleverageandincreaseequitycapitalizationratio.entstmceofthebank'sbalanceetis?Anequitycapitalratioof10%?ddmationofassets2.5?ddmationofliabilitiesis1.15TheproposedgivenbythemanagementandapprovedbytheBoDinvolvesloweringassetdmationbyrebalanc:ingthebank'sinvestmentdec1easingleveragebyissuingcommonstock.?Anequitycapitalratioof20%and?dationofassets2.25?ddmationofliabilities1.15Millerstatesbesidesearningapositiveretluninvestedcapital,theyshouldconsidertheofproposedchangesonthedurationoftheequitycalculatesthechangeinthemodi?eddmationoftheequitycapital.rsmallchanges,thattheyieldonab屾esexpectedtomover、eve1y100bpsofyieldtheasseti.Calculatethemodi?eddmationofequityinthentCalculatetheddmationoftequitycapitalintheproposedce.yomcalculations.ANSWERQUESTION5-AINTHETEMPLATE(5minutes)Millerpointsoutdmationanalysiswillonlycapesmallchangesinoveralllevelsofinterestratesonlyovertimeals.thevolatilityofequit:ycapitalwillbankdecreasesleverageissuingresultinginahigherequityratioof20%Atequityratioof10%,conelationbetweenassetandliab山ty26/57201CFAlevell3-?？糽QUESTION8HASFOURPARTS(A,B,C,D)FORATOTALOF14MINUTESAntarisWealthManagement廿aditionallyfollowsavalueinvestingapproach.hiringnewproficientinquantwantstoitsinvestmentprocessbyinco1poratingaquantitativeelement.einvestmentcommitteecallsameetingitsmemberstodiscussprosconsaddingaquantitativeoveseniorinvestmentofstatesthebene?tstomemberstheinvestmentcommitteeaddingquantitativemodelsainvestmentapproach:"Quantitativeinvestingisbasedonbuilmodels丘omthousandsofstocks.general,theperformanceofquantitativestrateg比sishighlycoIelatedwithprovidesomediversificationbenefittoomrAddingaquantitativeoverlaymayprocesses.(6minutes)Wahlberg,anfm,isaskedbytoFundIinvestmentbythefnm.FundIisalanactiveriskof9.5%,anActiveShare0.66andsectordeviations20%.emaxiinlunriskcontiibutionasinglesecmityisdto4%.DeterminewhetherFI'scharacteristicsareconsistentwithapureinded,faasectorrotatorfund.Supportmresponsewithreasons.minutes)in＿Exhibit1AssetZAssetXI0.0042039/57201一手貨源微信：xuebajun888sCFAlevell3-模考lPreetKhawaja,CFAamanagerrecentlyeda?xed-incomeinvestedina小versifiedtflioofgovenmentporatemeetsGerber,analystwhothecreditofsecm山esherKhawajaaskshimabouthisthecreditspreadmeasmesExhibit1:TheTRGWireless0%bondissuedue06March2024.TheTRGBondCallableScheduleCallableonorafter06September201906Septemb