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| SOA真题November2004Course8RC | |||||
| 作者：佚名 文章来源：快乐阅读网 zuowenw.com 点击数： 更新时间：2008-5-29 | |||||
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会计考试资料下载----点击下载 本文《SOA真题November2004Course8RC》关键词：经济师考试 COURSE 8: Fall 2004 - 1 - GO TO NEXT PAGE Retirement Benefits, Comprehensive Segment - Canada Morning Session **BEGINNING OF EXAMINATION 8** COMPREHENSIVE SEGMENT - CANADA MORNING SESSION 1. (9 points) A pension committee member at your Canadian based client believes that the interest rate for the defined benefit plan valuations is too low. He supports his view by stating that a higher interest rate would lower the cost of the plan. A second committee member argued against raising the assumption. The chairman of the pension committee has asked you to lead a discussion at the next pension committee meeting regarding the interest rate assumptions for funding purposes and for accounting purposes, and their effect on the interested parties. Outline your discussion. COURSE 8: Fall 2004 - 2 - GO TO NEXT PAGE Retirement Benefits, Comprehensive Segment - Canada Morning Session Questions 2 – 6 pertain to the Case Study 2. (12 points) The CFO of NOC has decided to take a more active role in managing NOC’s pension plan assets. In reviewing the performance of the National Oil Full-Time Hourly Union Pension Plan, he is disturbed by the recent absolute performance. He proposes that the assets should be moved to 100% domestic fixed income because that asset class has outperformed the other asset classes in 2 of the last 3 years. You are given: Calendar Year Rf Rm β 2003 4% 21% 0.9 2002 5% -5% 0.85 2001 4% 1% 0.8 Additional Information for 2003 Target Portfolio Mix for 2003 Benchmark Return in 2003 Domestic Large Cap Equities 35% 30% Domestic Small Cap Equities 25% 47% Domestic Fixed Income 25% 4% International Equities 10% 39% Real Estate 5% 9% Cash 0% 1% (a) Describe the features in a Statement of Investment Policies and Procedures that could help the CFO in his evaluation of the Plan’s performance. (b) Calculate the 2001, 2002 & 2003 Risk Adjusted Rate of Return for the fund. (c) Calculate the 2001, 2002 & 2003 Treynor Measure for the fund. (d) Evaluate the investment performance of the fund during 2003. (e) Critique the CFO’s proposal. COURSE 8: Fall 2004 - 3 - GO TO NEXT PAGE Retirement Benefits, Comprehensive Segment - Canada Morning&nb
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