2025年CFA三级《综合案例》.docxVIP

2025年CFA三级《综合案例》

考试时间：______分钟总分：______分姓名：______

CaseStudy1:PortfolioManagementPerformanceEvaluation

YouareaportfoliomanageratAlphaInvestments,afirmmanagingassetsforhigh-net-worthindividuals.Yourclient,Mr.Smith,hasaportfoliocurrentlyworth$10million,consistingofthefollowingholdings:

*StockA:500,000shares,Price$50pershare

*StockB:200,000shares,Price$120pershare

*BondFundC:$3million(Investedinadiversifiedportfolioofinvestment-gradecorporatebonds)

Mr.Smithisconcernedaboutrecentmarketvolatilityandhasexpressedadesiretoreducehisexposuretoequitieswhilemaintainingareasonablelevelofexpectedreturn.Hehasprovidedyouwiththefollowinginformationandrequirements:

*RequiredReturn:Mr.Smithscurrentportfoliogeneratesanestimatedannualreturnof8%.Heexpectsarisk-freerateof2%overthenextyearanddesireshisoverallportfolioreturntobeatleast7%.

*RiskTolerance:Heconsidersthecurrentstandarddeviationofhisportfolioreturnstobe15%.Hewantsthenewportfoliosstandarddeviationtobenomorethan12%.

*Constraints:Hecannotinvestmorethan60%oftheportfolioinbonds.HewantstomaintainhiscurrentexposuretoStockAandStockB.HeisconsideringinvestingineitherStockD(expectedreturn12%,standarddeviation20%,correlationwithSmithsportfolio-0.1)oraRisk-FreeAsset(rate2%).

PrepareareportforMr.Smithoutliningyouranalysisandrecommendations.Inyourreport,addressthefollowing:

1.CalculatethecurrentweightsofeachassetinMr.Smithsportfolio.

2.AnalyzewhethertheconstraintofmaintainingexposuretoStocksAandBalignswiththegoalofreducingequityexposure.Explainthepotentialimplications.

3.EvaluatethesuitabilityofStockDforinclusioninMr.Smithsportfolio.Calculatetheexpectedreturn,standarddeviation,andSharperatioforaportfolioconsistingofStockA,StockB,