CFA三级写作课后题（2020.12）7.pdf

2020 年12 月CFA 三级写作题 ALTERNATIVE INVESTMENTS FOR PORTFOLIO MANAGEMENT 今年由于疫情的缘故，CFA 考试被迫延期。虽然给了大家更多的复习时间，但也不可掉 以轻心。近年来，CFA 考试的难度在逐步提高，并且在三级中更偏向实务与理论结合的考察。 相比2019 年考纲，2020 年考纲发生了较多的变化。其中关于经济学的部分，更名为资本市 场预期，并进行了重大改变；衍生产品与资产配置中的外汇管理合并在一起，并进行了较大 的改写；另类投资的内容完全重新改写；交易与业绩评估合并在一起，并重新编写。而一向 是考试重点的私人财富管理和机构组合管理也发生了较大变化，其中私人财富管理的第一个 Reading 重新编写，而机构组合管理也进行了重新编写，这些变化需引起考生重视。为了全 面应对考试，我们全面推出了的各种学习平台，如金程网校、手机APP、金程CFA 答疑等活 动，请各位充分利用。如有学术问题，请登录至金程网校提问。祝大家好运，顺利通过CFA 三级考试，加油！ 1-13 Alternative Investments for Portfolio Management Case 1: Bern Zang Bern Zang is the chief investment officer of the Janson University Endowment Investment Office. The Janson University Endowment Fund (the “Fund”) is based in the United States and has current assets under management of $10 billion, with minimal exposure to alternative investments. Zang currently seeks to increase the Fund’s allocation to hedge funds and considers four strategies: dedicated short bias, merger arbitrage, convertible bond arbitrage, and global macro. At a meeting with the Fund’s board of directors, the board mandates Zang to invest only in event-driven and relative value hedge fund strategies. Determine, among the four strategies under consideration by Zang, the two that are permitted given the board’s mandate. Justify your response. i. Dedicated short bias ii. Merger arbitrage iii. Convertible bond arbitrage iv. Global macro Determine, among the four strategies under consideration by Zang, the two that are Justify your response. permitted given the board’s mandate. (circle