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BooK 2 - INSTITUTIONAL IVESTORS, CAPITAL KET EXPECTATIONs, EcoNOMIC CoNCEPTs, AND AssET ALLocATION
Readings and Learning Outcome Statements .......................................................... 3
Study Session 5 - Portfolio Management for Institutional Investors ........................ 9
Self-Test - Portfolio Management for Institutional Investors ................................. 77
Study Session 6 - Capital Market Expectations in Portfolio Management .............. 80
Study Session 7 - Economic Concepts for Asset Valuation in Portfolio Management.. 136
Self-Test-Economic Concepts ................................................................................... 175
Study Session 8-Asset Allocation .............................................................................. 178
Self-Test-Asset Allocation ......................................................................................... 257
Formulas ............................................................................................................ 262
Index ................................................................................................................. 264
SCHWESERNOTES™ 2013 CFA LEVEL III BOOK 2: INSTITUTIONAL INVESTORS, CAPITAL MARKET EXPECTATIONS, ECONOMIC CONCEPTS, AND ASSET
ALLOCATION
©20 12 Kaplan, Inc. All rights reserved. Published in 2012 by Kaplan Schweser.
Printed in the United States of America. ISBN: 978-1-4277-4239-1 I 1-4277-4239-1 PPN: 3200-2856
If this book does not have the hologram with the Kaplan Schweser logo on the back cover, it was distributed without permission of Kaplan Schweser, a Division of Kaplan, Inc., and is in direct violation of global copyright laws. Your assistance in pursuing potential violators of this law is greatly appreciated.
Required CFA Institute disclaimer: "CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. CFA Institute (formerly the Association for Investment Management and Research)
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Certain materials contained within this text are the copyrighted property of CFA Institute. The following
is the copyright disclosure for these materials: "Copyright, 2012, CFA Institute. Reproduced and republished from 2013 Learning Outcome Statements, Level I, II, and III questions from CFA® Program
Materials, CFA Institute Standards of Professional Conduct, and CFA Institute`s Global Investment Performance Standards with permission from CFA Institute. All Rights Reserved."
These materials may not be copied without written permission from the author. The unauthorized duplication of these notes is a violation of global copyright laws and the CFA Institute Code of Ethics. Your assistance in pursuing potential violators of this law is greatly appreciated.
Disclaimer: The Schweser Notes should be used in conjunction with the original readings as set forth by CFA Institute in their 2013 CFA Level III Study Guide. The information contained in these Notes covers topics contained in the readings referenced by CFA Institute and is believed to be accurate. However,
their accuracy cannot be guaranteed nor is any warranty conveyed as to your ultimate exam success. The authors of the referenced readings have not endorsed or sponsored rhese Notes.
Page 2 ©2012 Kaplan, Inc.
READINGS AND
LEARNING OuTCOME STATEMENTS
READINGS
The following material is a review of the Institutional Investors, Capital Market Expectations, Economic Concepts, and Asset Allocation principles designed to address the learning outcome statements setforth by CPA Institute.
STUDY SESSION 5
Reading Assignments
Porfolio Management for Institutional Investors, CPA Program Curriculum, Volume Level III
Managing Institutional Investor Portfolios Linking Pension Liabilities to Assets
Allocating Shareholder Capital to Pension Plans
page 9 page page
STUDY SESSION 6
Reading Assignment
Capital Market Expectations in Porfolio Management, CPA Program Curriculum, Volume Level III
Capital Market Expectations page
STUDY SESSION 7
Reading Assignments
Economic Concepts for Asset Valuation in Porfolio Management, CPA Program Curriculum, Volume Level III
Equity Market Valuation page Dreaming with BRICs: The Path to page
STUDY SESSION 8
Reading Assignments
Asset Allocation, CPA Program Curriculum, Volume Level III Asset Allocation
The Case for International Diversification
©20 12 Kaplan, Inc.
page 178 page
Page 3
Book 2 - Institutional Investors, Capital Market Expectations, Economic Concepts, and Asset Alocation Readings and Learning Outcome Statements
LEARNING OuTcOME STATEMENTS (LOS)
STUDY SESSION 5
The topical coverage corresponds with the following CPA Institute assigned reading: 15. Managing Institutional Investor Portfolios
The candidate should be able to:
a. contrast a defined-benefit plan to a defined-contribution plan, from the perspective of the employee and employer and discuss the advantages and disadvantages of each. (page 10)
b. discuss investment objectives and constraints for defined-benefit plans. (page 10) c. evaluate pension fund risk tolerance when risk is considered from the perspective
of the 1) plan surplus, 2) sponsor financial status and profitability, sponsor and pension fund common risk exposures, 4) plan features, and 5) workforce characteristics. (page 11)
d. an investment policy statement for a defined-benefit plan. (page 12) e. evaluate the risk management considerations in investing pension plan assets.
(page 14)
f. an investment policy statement for a defined-contribution plan. (page 15)
g. discuss hybrid pension plans (e.g., cash balance plans) and employee stock ownership plans. (page 15)
h. among various types of foundations, with respect to their description, purpose, source of funds, and annual spending requirements. (page 16)
1. the investment objectives and constraints of foundations, endowments, insurance companies, and banks. (page 17)
J. an investment policy statement for a foundation, an endowment, an insurance company, and a bank. (page 17)
k. contrast investment companies, commodity pools, and hedge funds to other types of institutional investors. (page
l. discuss the factors that determine investment policy for pension funds, foundations, endowments, life and nonlife insurance companies, and banks. (page
m. the asset/liability management needs of pension funds, foundations, endowments, insurance companies, and banks. (page 30)
the investment objectives and constraints of institutional investors given relevant data, such as descriptions of their financial circumstances and attitudes toward risk. (page
The topical coverage corresponds with the following CPA Institute assigned reading: 16. Linking Pension Liabilities to Assets
The candidate should be able to:
a. contrast the assumptions concerning pension liability risk in asset-only and liability-relative approaches to asset allocation. (page 53)
discuss the fundamental and economic exposures of pension liabilities and asset types that mimic these liability exposures. (page 54)
c. pension portfolios built from a traditional asset-only perspective to portfolios designed relative to liabilities and discuss why corporations may choose not to implement fully the liability mimicking portfolio. (page 57)
Page 4 ©2012 Kaplan, Inc.
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