2020年CFA三级模考1（题目+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,theyshouldconsidertheofproposedchangesonthedurationoftheequitycalculatesthechangeinthemodifieddmationoftheequitycapital.rsmallchanges,thattheyieldonab屾esexpectedtomover、eve1y100bpsofyieldtheasseti.CalculatethemodifieddmationofequityinthentCalculatetheddmationoftequitycapitalintheproposedce.yomcalculations.ANSWERQUESTION5-AINTHETEMPLATE(5minutes)Millerpointsoutdmationanalysiswillonlycapesmallchangesinoveralllevelsofinterestratesonlyovertimeals.thevolatilityofequit:ycapitalwillbankdecreasesleverageissuingresultinginahigherequityratioof20%Atequityratioof10%,conelationbetweenassetandliab山ty26/57201CFAlevell3-模考lQUESTION8HASFOURPARTS(A,B,C,D)FORATOTALOF14MINUTESAntarisWealthManagement廿aditionallyfollowsavalueinvestingapproach.hiringnewproficientinquantwantstoitsinvestmentprocessbyinco1poratingaquantitativeelement.einvestmentcommitteecallsameetingitsmemberstodiscussprosconsaddingaquantitativeoveseniorinvestmentofstatesthebenefitstomemberstheinvestmentcommitteeaddingquantitativemodelsainvestmentapproach:"Quantitativeinvestingisbasedonbuilmodels丘omthousandsofstocks.general,theperformanceofquantitativestrateg比sishighlycoIelatedwithprovidesomediversificationbenefittoomrAddingaquantitativeoverlaymayprocesses.(6minutes)Wahlberg,anfm,isaskedbytoFundIinvestmentbythefnm.FundIisalanactiveriskof9.5%,anActiveShare0.66andsectordeviations20%.emaxiinlunriskcontiibutionasinglesecmityisdto4%.DeterminewhetherFI'scharacteristicsareconsistentwithapureinded,faasectorrotatorfund.Supportmresponsewithreasons.minutes)in＿Exhibit1AssetZAssetXI0.0042039/57201一手货源微信：xuebajun888sCFAlevell3-模考lPreetKhawaja,CFAamanagerrecentlyedafixed-incomeinvestedina小versifiedtflioofgovenmentporatemeetsGerber,analystwhothecreditofsecm山esherKhawajaaskshimabouthisthecreditspreadmeasmesExhibit1:TheTRGWireless0%bondissuedue06March2024.TheTRGBondCallableScheduleCallableonorafter06September201906Septemb