2009 l3 sample exam v1 qa

NEW-Level III (Free) 2009 Sample exam Frank Litman Case Scenario Frank Litman, CFA, has recently been hired as a portfolio manager for Twain Investments, a small regional asset management firm For the past ten years, Litman has managed a limited number of accounts belonging to family and friends He started managing these accounts when he was enrolled in graduate school All the accounts are too small to meet Twain’s minimum balance requirement of $5 million, and they generate only modest fees for Litman Litman disclosed the arrangement to the Human Resources (HR) manager when he interviewed for the position of portfolio manager The HR manager agreed that the accounts were too small and would probably never be large enough to meet Twain’s minimum requirement Upon accepting the position with Twain, Litman met with each of his non-Twain clients and recommended that they find another financial advisor Each of them asked Litman to continue managing their money as a personal favor, arguing that a different advisor would undoubtedly charge higher fees Following the meetings, Litman sent letters to both his Twain HR manager and his non-Twain clients explaining his employment relationship to each The following month, Litman updated the promotional material he shares with clients and prospects The material summarizes Litman’s portfolio trading strategy, which he developed by analyzing 20 years of historical data In his analysis, Litman determined that his strategy, which invests in large-capitalization U.S stocks, would have outperformed the S&P 500 Index over the last 20 years—with an average annual return of 10.91 percent versus 10.42 percent for the S&P 500 The concluding paragraph of the brochure states, "Using this trading strategy over the long term will lead to superior performance compared with the S&P 500." The brochure does not provide the supporting data, but it summarizes these results and includes a footnote in small print stating, “Simulated results Past performance cannot guarantee future results.” At Twain, Litman has discretionary authority over the portfolios of individual stocks and bonds for about 30 clients His ten largest clients vary widely in age, occupation, and wealth For a variety of reasons, each of these accounts requires significant attention The remaining twothirds of Litman’s clients are stable, long-term investors, all of whom are saving for retirement Litman performs comprehensive quarterly reviews with the owners of the ten largest accounts and similar annual reviews with the remaining clients Recently, he made an exception to this rule when he learned that one of his smaller, less active clients had unexpectedly inherited $600,000 from an aunt’s estate Litman met with the client and performed a comprehensive review of the client’s financial situation even though only three months had passed since their last meeting With a new CEO, Twain, which adheres to the Asset Manager Code of Professional Conduct, experiences significant change during the year when management hires a compliance officer The compliance officer immediately begins to update the firm's policies and procedures After a thorough analysis, the firm decides to outsource its back-office operations and hires an independent consultant to review client portfolio information At the same time, they add several research and investment staff and upgrade the information management system They eliminate paper records in favor of electronic copies and develop a business-continuity plan based on current staffing Eighteen months later, the compliance officer resigns Rather than hire externally, management designates one of its senior portfolio managers as the new compliance officer The compliance officer reviews both firm and employee transactions and reports to the chief investment officer Question According to CFA Institute Standards, for Litman to comply with the Standards in regards to Twain and non-Twain clients, he must which of the following? Select exactly answer(s) from the following: A Inform his immediate supervisor B Obtain written consent from both Twain and his non-Twain clients C Nothing more as he has already informed Twain management and his non-Twain clients explaining the relationship Correct Answer = B "Guidance" for Standards I — VII, CFA Institute 2009 Modular Level III, Vol 1, pp 75, 89-91 Study Session 1-2-a Demonstrate a thorough knowledge of the Code of Ethics and Standards of Professional Conduct by interpreting the Code and Standards in various situations involving issues of professional integrity According to Standard IV (B), Duties to Employers: Additional Compensation Arrangements, Litman must obtain written permission from all parties involved According to CFA Institute Standards and Procedures for Compliance, which of the following information in regards to Litman managing funds for his family and friends is least likely required for him to comply with the Duty to Employer? Select exactly answer(s) from the following: A The names of his non-Twain clients B The amount and type of compensation received C The duration of the investment management agreements Correct Answer = A "Guidance" for Standards I — VII, CFA Institute 2009 Modular Level III, Vol 1, pp 67, 75 Study Session 1-2-a Demonstrate a thorough knowledge of the Code of Ethics and Standards of Professional Conduct by interpreting the Code and Standards in various situations involving issues of professional integrity According to the recommended Procedures for Compliance for Standard IV (B), Duties to Employers: Additional Compensation Arrangements, members should disclose the terms of any agreement under which a member will receive additional compensation Terms include the nature of the compensation, the approximate amount of compensation, and the duration of the agreement because such arrangement may affect loyalties and objectivity, thus creating a potential conflict of interest According to Standard III (E), Duties to Clients: Preservation of Confidentiality, members must keep information about current and prospective clients confidential In his promotional material about the performance of his portfolio trading strategy, is Litman in compliance with CFA Institute Standards of Professional Conduct with respect to the footnote? Select exactly answer(s) from the following: A Yes B No, because he doesn't state whether the results are net or gross of fees C No, because he should not be using simulated results to make a comparison Correct Answer = A "Guidance" for Standards I — VII, CFA Institute 2009 Modular Level III, Vol 1, pp 64- 65 Study Session 1-2-a Demonstrate a thorough knowledge of the Code of Ethics and Standards of Professional Conduct by interpreting the Code and Standards in various situations involving issues of professional integrity The footnote is a standard disclaimer regarding the performance numbers presented (simulated) as well as expectations of the future in that past results not necessarily reflect future performance The Code does not prohibit the use of simulated performance analysis as long as it is clearly stated that the results are simulated Did Litman violate any CFA Institute Standards in regards to his performance reviews? Select exactly answer(s) from the following: A No B Yes, with respect to the frequency of reviews for his ten largest clients C Yes, with respect to his recent review for the client with the inheritance Correct Answer = A 2009 Modular Level III, Vol 1, pp 60-62 Study Session 1-2-a Demonstrate a thorough knowledge of the Code of Ethics and Standards of Professional Conduct by interpreting the Code and Standards in various situations involving issues of professional integrity According to Standard III (C), Duties to Clients: Suitability, members shall make a reasonable inquiry into a client or prospective client's investment experience, risk and return objectives, and financial constraints prior to making any investment recommendations or taking investment action and must update this information regularly Such an inquiry should be repeated at least annually and prior to material changes to specific investment recommendations or decisions on behalf of the client Are Twain's actions and procedures during the first year of the new CEO's tenure in compliance with the Asset Manager Code of Professional Conduct? Select exactly answer(s) from the following: A Yes B No, because it outsourced its back-office operations C No, because by hiring an independent consultant it violates client confidentiality Correct Answer = A Asset Manager Code of Professional Conduct: Compliance and Support, including Appendix A (CFA Institute, Centre for Financial Market Integrity, 2005) 2009 Modular Level III, Vol 1, pp 194-195, 203 Study Session 2-6-b Interpret the Asset Manager Code in situations presenting issues of compliance, disclosure, or professional conduct The Code allows outsourcing, although managers retain the liability and responsibility for any outsourced work Managers have a responsibility to ensure that the information they provide to clients is accurate and complete By receiving an independent third-party confirmation or review of that information, clients can have an additional level of confidence that the information is correct and can enhance the Manager's credibility Such verification is also good business practice With respect to its most recent compliance officer, are Twain's actions and procedures in compliance with the recommendations and requirements of the Asset Manager Code of Professional Conduct? Select exactly answer(s) from the following: A Yes B No, because the compliance officer should not be an existing employee C No, because the compliance officer should not report to the chief investment officer Correct Answer = C Asset Manager Code of Professional Conduct: Compliance and Support, including Appendix A (CFA Institute, Centre for Financial Market Integrity, 2005) 2009 Modular Level III, Vol 1, pp 210-211 Study Session 2-6-b Interpret the Asset Manager Code in specific situations presenting issues of compliance, disclosure, or professional conduct According to the Code, the compliance officer should report directly to the CEO or board of directors so that this person is independent from the investment personnel Depending on the size and complexity of the Manager's operations, some Managers may designate an existing employee to also serve as the compliance officer Dena Pearson Case Scenario Dena Pearson is a recent hire at a large international bank She is currently working a rotation in the Risk Management Group, where she has received several assignments For her first assignment, Pearson must draft a response to an inquiry from a client seeking information about value at risk or VAR The client’s email stated: “This month’s report states that using a 95 percent confidence level, the portfolio has an average daily VAR of $1 million I need clarification on what this means I would also like to understand what would happen to the VAR measure if the confidence level was increased to 99 percent and the frequency was changed from daily to monthly In the notes, the report states that the VAR is based on the analytical or variance-covariance method What are the key advantages and disadvantages of this method? Why doesn't the bank use the historical simulation method or the Monte Carlo simulation method?” Pearson drafts a response to the client’s questions In her response, she states: “Assuming 250 trading days in a year, the current VAR estimate indicates that the daily portfolio loss will likely exceed $1 million approximately twelve to thirteen times over a period of one year Switching to a 99 percent confidence level would provide a less conservative VAR estimate.” Later in the response, she writes: "Disadvantages of the historical simulation method include that the model: 1) is nonparametric, 2) relies completely on events of the past, and 3) applies historical price changes to the current portfolio The chief disadvantage of the Monte Carlo method is that it relies on historical data to generate outcomes based on a normal probability distribution For these reasons, we prefer the analytical method." Pearson's second assignment is to evaluate the credit risk of several positions, including: A call option the bank purchased from a dealer for $30 The current market price of the option is $35 A short position in a one-year forward contract with a forward price of $200 that has six months remaining until expiry The forward price was determined based on a risk-free rate of 5.5 percent The current spot price of the underlying asset is $207 Question #7 out of 30 Pearson's draft response to the client clarifying the meaning of the current VAR measure is: Select exactly answer(s) from the following: A correct B incorrect, because VAR represents a maximum loss that will not be exceeded C incorrect, because over a full year, the VAR will be larger than the amount for a single day Correct Answer = A "Risk Management," Don M Chance, Kenneth Grant, and John Marsland 2009 Modular Level III, Vol 5, pp 211-213 Study Session 14-40-e, g Interpret and compute value at risk (VAR) and explain its role in measuring overall and individual position market risk Discuss the advantages and limitations of VAR and its extensions, including cash flow at risk, earnings at risk, and tail value at risk Assuming 250 trading days per year, if daily VAR at 95 percent confidence level (violated percent of the time) is $1 million, over one year a daily loss exceeding $1 million should occur approximately percent of 250 days or 12.5 days To address the client's question regarding a shift from a daily to a monthly VAR measure, Pearson's most accurate response would be that the VAR estimate for the portfolio would: Select exactly answer(s) from the following: A increase B decrease C not change Correct Answer = A "Risk Management," Don M Chance, Kenneth Grant, and John Marsland 2009 Modular Level III, Vol 5, pp 211-213 Study Session 14-40-e Interpret and compute value at risk (VAR) and explain its role in measuring overall and individual position market risk The longer the time period chosen, the greater the VAR number will be because the magnitude of potential losses varies directly with the time span over which they are measured Pearson decides to expand her answer regarding the bank's method for estimating VAR to add discussion about the key advantages of the analytical method One of the key advantages of the analytical method that she could discuss is the: Select exactly answer(s) from the following: A simplicity of the method B assumption that returns are normally distributed C ability to incorporate optionality into the analysis Correct Answer = A "Risk Management," Don M Chance, Kenneth Grant, and John Marsland 2009 Modular Level III, Vol 5, pp 213-218 Study Session 14-40-f Compare and contrast the analytical (variance-covariance), historical, and Monte Carlo methods for estimating VAR and discuss the advantages and disadvantages of each The model for the analytical method uses readily available data and simple calculations 10 Are Pearson's three statements regarding the disadvantages of the historical method for estimating VAR correct? Select exactly answer(s) from the following: A Yes B No, the first statement is not a disadvantage C No, the third statement is not a disadvantage Correct Answer = B "Risk Management," Don M Chance, Kenneth Grant, and John Marsland 2009 Modular Level III, Vol 5, pp 218-221 Study Session 14-40-f Compare and contrast the analytical (variance-covariance), historical, and Monte Carlo methods for estimating VAR and discuss the advantages and disadvantages of each The nonparametric feature of the historical method is an advantage, not a disadvantage The historical method requires minimal probability-distribution assumptions compared to other methods 11 For the bank's long call option position, Pearson's most appropriate estimate of the amount at risk of a credit loss is: Select exactly answer(s) from the following: A $0 B $30 C $35 Correct Answer = C "Risk Management," Don M Chance, Kenneth Grant, and John Marsland 2009 Modular Level III, Vol 5, pp 234-236 Study Session 14-40-i Evaluate the credit risk of an investment position, including forward contract, swap, and option positions The current failure (e.g., bankruptcy) of the option seller would mean the option holder (the bank) would lose the entire market value 12 For the forward contract position, Pearson's most appropriate estimate of the amount of potential credit risk is: A $0 B $1.53 C $12.28 Correct Answer = A "Risk Management," Don M Chance, Kenneth Grant, and John Marsland 2009 Modular Level III, Vol 5, pp 232-233 Study Session 14-40-i Evaluate the credit risk of an investment position, including forward contract, swap, and option positions The value of the long position is +$12.28 = $207 — $200 / (1.055)0.5 This means the short (the bank) owes the long, so the short (the bank) has no credit risk 13 Bae Chung Case Scenario Bae Chung, CFA, is the owner of Kyung Securities, a small boutique firm that manages US$4.2 billion in leveraged fixed income portfolios for clients Chung has been meeting with managers of a pension fund that is interested in placing $500 million under Kyung's management and is preparing a proposal for them At a meeting with the pension fund's representatives, Chung was asked to explain Kyung's use of leverage Chung replied, "We use the repo market to borrow against client assets and leverage up portfolio returns Our mandate allows us to borrow between and 75 percent of the equity of the portfolio, depending on our market outlook." Bae then makes the following statements: Statement 1: "In the current market, our average client portfolio has an expected asset return of 7.40 percent, our average portfolio leverage is 40 percent, and we pay 4.25 percent in the repo market." Statement 2: "We place client assets that are used in these repurchase agreements in a custodial account at our bank, rather than using wire transfer of title This delivery method results in lower delivery charges and lower repo rates." The proposal that Chung is creating discusses Kyung's fixed income investment philosophy: "We seek the highest risk-adjusted returns by purchasing bonds and other during the last three years It indicates that, on average, Kyung's signature core-plus portfolio has produced alpha of 35 bps against fees of 22 bps with tracking error of 150 bps Question 13 Based on Statement 1, the expected return of Kyung's average client portfolio is closest to: Select exactly answer(s) from the following: A 8.66% B 10.55% C 11.81% Correct Answer = A "Fixed-Income Portfolio Management — Part II," H Gifford Fong and Larry D Guin, CFA 2009 Modular Level III, Vol 4, pp 98-100 Study Session 10-31-a Evaluate the effects of leverage on portfolio returns RP = rF + (B / E) × (rF — k), where RP = portfolio rate of return, where rF = return on funds invested, B = amount of borrowed funds, E = amount of equity, and k = cost of borrowing Assuming $100 invested, then, 14 Chung's Statement regarding delivery of assets in repurchase agreements is most likely: Select exactly answer(s) from the following: A correct B incorrect, because repo rates are lower for electronic (wire) transfer of title C incorrect, because delivery charges are lower for electronic (wire) transfer of title Correct Answer = B "Fixed-Income Portfolio Management — Part II," H Gifford Fong and Larry D Guin, CFA 2009 Modular Level III, Vol 4, pp 101-103 Study Session 10-31-b Discuss the use of repurchase agreements (repos) to finance bond purchases and the factors that affect the repo rate Repo rates will reflect the delivery requirement, with (all else the same) the lowest rates provided for physical delivery, the next lowest for wire transfer of title, the next for delivery to a custodial account, and the highest for no delivery Delivery charges are the reverse of this, with the highest for physical delivery, lower for wire transfer, lower still for delivery to a custodial account, and none for no delivery 15 Chung's proposal mentions the use of derivatives to hedge credit risk Given Kyung's policy, which of the following instruments would most likely be used? Select exactly answer(s) from the following: A Binary credit options B Credit spread options C Credit spread forwards Correct Answer = A "Fixed-Income Portfolio Management — Part II," H Gifford Fong and Larry D Guin, CFA 2009 Modular Level III, Vol 4, pp 115-120 Study Session 10-31-f Compare and contrast default risk, credit spread risk, and downgrade risk, and demonstrate the use of credit derivatives to address each risk in the context of a fixed income portfolio According to the vignette, Kyung's policy requires that bonds whose ratings fall from BBB to BB be sold and that bonds with BBB ratings be hedged This means that the portfolio must be protected from downgrade risk, requiring the use of a binary credit put option that pays the holder if the bond's rating falls below investment grade A credit spread option is inappropriate, because credit spreads can widen or tighten due to general market conditions, rather than specific ratings changes A credit spread forward is even more inappropriate because it exposes the portfolio to losses if the spreads tighten, which will happen if Kyung's models are correct and the securities purchased are indeed undervalued 16 According to the data in Exhibit 1, the number of futures contracts that must be purchased to meet the portfolio's target duration is closest to: Select exactly answer(s) from the following: A 26 B 30 C 34 Correct Answer = C "Fixed-Income Portfolio Management — Part II," H Gifford Fong and Larry D Guin, CFA 2009 Modular Level III, Vol 4, pp 108-110 Study Session 10-31-d, e Demonstrate the advantages of using futures instead of cash market instruments to alter portfolio risk Construct and evaluate an immunization strategy based on interest rate futures The approximate number of contracts needed to meet a specific target duration is defined as: where DT is the target duration, DI is the initial portfolio duration, PI is the initial value of the portfolio, DCTD is the duration of the cheapest to deliver bond, and PCTD is the price of the cheapest to deliver bond Then, 17 The contribution to the portfolio's duration from the Australian bond is closest to: Select exactly answer(s) from the following: A 0.51 years B 1.44 years C 2.56 years Correct Answer = A "Fixed-Income Portfolio Management — Part II," H Gifford Fong and Larry D Guin, CFA 2009 Modular Level III, Vol 4, pp 123-124 (especially example 16) Study Session 10-31-h Analyze the change in value for a foreign bond when domestic interest rates change, given the bond's duration and the country beta, and analyze the contribution of a foreign bond to a domestic portfolio's duration, given the duration of the foreign bond and the country beta A portfolio's duration is the weighted average of the duration of the bonds in the portfolio First calculate the adjusted duration, which equals the foreign bond's duration multiplied by the country beta, or 3.2 × 0.8 = 2.56 Then multiply this result by the bond's weight in the portfolio: 18 Given the exchange rate and interest rate data provided, if the Australian currency risk is fully hedged, the bond's return will be closest to: Select exactly answer(s) from the following: A 3.90% B 5.20% C 5.60% Correct Answer = C "Fixed-Income Portfolio Management — Part II," H Gifford Fong and Larry D Guin, CFA 2009 Modular Level III, Vol 4, pp 127-129 Study Session 10-31-i Recommend and justify whether to hedge or not hedge an international bond investment The hedged return is defined as the local return of the bond plus the forward discount or premium, or: where F is the forward rate and S is the spot rate The hedged return is therefore the local return less the cost of the hedge or 8.50% — 2.90% = 5.60% 19 Gail Knight Case Scenario Gail Knight, CFA, is the Chief Investment Officer of a large pension fund that currently holds only long positions in domestic equities and fixedincome securities The Investment Committee is meeting with Stuart Lytle, a consultant hired to research alternative investments Moshe Arbel, the committee chairperson, tells Lytle: “Our goal is to increase the fund’s diversification by adding real estate and commodities to the investment portfolio.” Lytle has gathered historical real estate performance data, which is presented in Exhibit Exhibit Real Estate Performance 1990–2007 Annualized Measure Return Standard Deviation NCREIF NAREIT NAREIT NCREIF Index Index Hedged Index 12.43% 8.76% 6.03% 7.11% 12.86% 12.05% 3.41% 9.03% Index Unsmoothed He explains that the National Association of Real Estate Investment Trusts (NAREIT) Index measures the performance of indirect real estate investment, while the National Association of Real Estate Investment Fiduciaries (NCREIF) Index measures the performance of direct real estate investment Lytle goes on to state: “Compared to the NAREIT Index, the NAREIT Index Hedged is a better measure of indirect real estate performance because it excludes the effects of interest rate changes The performance of direct real estate investment can be measured using the NCREIF Index However, the NCREIF Index Unsmoothed is better than the NCREIF Index because it corrects for the sale valuation bias.” Lytle then presents additional information to demonstrate the diversification benefits of real estate investment This information is presented in Exhibit Exhibit Diversification Impact of Real Estate 1990–2007 Component Portfolio Portfolio Portfolio Equity 50% 40% 40% Bonds 50% 40% 40% NAREIT - 20% - NCREIF Unsmoothed - - 20% Return 9.60% 10.34% 9.33% Standard Deviation 7.87% 7.62% 6.59% Annualized Measure In addition, T-Bills currently yield 1.5 percent per year Lytle then makes the following statement “Adding direct real estate investments to a portfolio of equity and fixed income securities provides more diversification benefits than adding indirect real estate investments." Later in the meeting, Lytle discusses commodities, explaining that in addition to providing diversification benefits, they perform well during periods of inflation Arbel asks if investing in commodities requires their physical purchase Lytle replies: “No, often the easiest way to gain exposure to commodity prices is by investing in commodity-linked companies However, derivative products such as commodity futures contracts provide effective exposure to commodity price changes as well.” Arbel then asks if a reason commodity futures contracts perform well during periods of inflation is because the underlying commodities are linked to price indices Lytle replies: “Yes, commodities match components of price indices and storable commodities such as crude oil exhibit positive correlation with unexpected inflation Commodity futures prices are affected more by long-term expectations than by stock and bond prices." Lytle goes on to outline sources of return associated with commodity futures contracts: “A commodity futures contract buyer earns a collateral yield on the margin provided to buy the contract The roll yield is a potential source of return for a commodity index However, for commodity index returns to benefit from roll yield the market must be in backwardation." Question #19 out of 30 Are Lytle's statements regarding the characteristics or construction of the NAREIT Index and the NAREIT Index Hedged correct? Select exactly answer(s) from the following: A Yes B Only the NAREIT Index statement is correct C Only the NAREIT Index Hedged statement is correct Correct Answer = B "Alternative Investments Portfolio Management," Jot K Yau, Thomas Schneeweis, Thomas R Robinson, and Lisa R Weiss 2009 Modular Level III, Vol 5, pp 16-19 Study Session 13-37-e Discuss the construction and interpretation of benchmarks and the problem of benchmark bias in alternative investment groups The NAREIT is a market-weighted index of all actively traded NYSE REITs and represents indirect investment in real estate 20 Are Lytle's statements regarding the NCREIF Index and the NCREIF Index Unsmoothed most likely correct? Select exactly answer(s) from the following: A Yes B No, he is incorrect about the NCREIF Index Unsmoothed C No, he is incorrect about what the NCREIF Index measures Correct Answer = A "Alternative Investments Portfolio Management," Jot K Yau, Thomas Schneeweis, Thomas R Robinson, and Lisa R Weiss 2009 Modular Level III, Vol 5, pp 16-19 Study Session 13-37-e Discuss the construction and interpretation of benchmarks, including biases, in alternative investment groups Lytle's statements about the NCREIF Index and the NCREIF Index Unsmoothed are both correct 21 With respect to the real estate performance data in Exhibit 1, the most likely explanation for differe NCREIF Index and the other indices is because: Select exactly answer(s) from the following: A of infrequent property valuations B only nonleveraged investment is represented C the overall equity market component has been removed Correct Answer = A "Alternative Investments Portfolio Management," Jot K Yau, Thomas Schneeweis, Thomas R Robinson, and Lisa R Weiss 2009 Modular Level III, Vol 5, pp 18-19 Study Session 13-37-e Discuss the construction and interpretation of benchmarks and the problem of benchmark bias in alternative investment groups Real estate properties change hands relatively infrequently and appraisals are typically conducted only once per year As a consequence, the returns calculated on the basis of these stale valuations underestimate the volatility of the index 22 Based on information provided in Exhibit 2, Lytle's statement about the relative benefits of direct versus indirect real estate investment is most likely correct because the portfolio with direct real estate investment has the: Select exactly answer(s) from the following: A highest returns B highest Sharpe ratio C lowest standard deviation Correct Answer = B "Alternative Investments Portfolio Management," Jot K Yau, Thomas Schneeweis, Thomas R Robinson, and Lisa R Weiss 2009 Modular Level III, Vol 5, pp 21-27 Study Session 13-37-f Evaluate and justify the return enhancement and/or risk diversification effects of adding an alternative investment to a reference portfolio (for example, a portfolio invested solely in common equity and bonds) Portfolio has 20 percent in direct real estate investment (NCREIF Unsmoothed) and it has the highest Sharpe ratio of 1.19 = (9.33 — 1.5) / 6.21 23 Lytle's response to Arbel's question about investing commodities through physical assets is most likely: Select exactly answer(s) from the following: A incorrect B correct only with respect to commodity futures contracts C correct only with respect to commodity-linked companies Correct Answer = B "Alternative Investments Portfolio Management," Jot K Yau, Thomas Schneeweis, Thomas R Robinson, and Lisa R Weiss 2009 Modular Level III, Vol 5, pp 47-48 Study Session 13-37-m ... Portfolio Management — Part II," H Gifford Fong and Larry D Guin, CFA 2009 Modular Level III, Vol 4, pp 123-124 (especially example 16) Study Session 10-31-h Analyze the change in value for a foreign... investment management agreements Correct Answer = A "Guidance" for Standards I — VII, CFA Institute 2009 Modular Level III, Vol 1, pp 67, 75 Study Session 1-2-a Demonstrate a thorough knowledge of... results to make a comparison Correct Answer = A "Guidance" for Standards I — VII, CFA Institute 2009 Modular Level III, Vol 1, pp 64- 65 Study Session 1-2-a Demonstrate a thorough knowledge of