CFA三级练习题精选及答案06018.docx

CFA三级练习题精选及答案06018.docx

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CFA三级练习题精选及答案06018

CFA三级练习题精选及答案0601-8

1、AreNorthrup’scommentsaboutfundoffunds’lock-upperiodsandlowerfeesmostlikelycorrect?

【单选题】

A.No.

B.Yes,forlowerfeesonly.

C.Yes,forlock-upperiodsonly.

正确答案:

A

答案解析:

Aiscorrect.ContrarytoNorthrup’scomment,fundoffundsusuallydonotimposelock-upperiods（orminimuminitialholdingperiod）andtheirfeesarehigherasinvestorspaytwolayersoffees:

onetotheFOFandtheothertotheunderlyinghedgefundmanagers.

2、ThemonthlyVaRthatStulzwantstoestimatefortheStimsonportfolioisclosestto:

【单选题】

A.€0.8million.

B.€2.9million.

C.€3.9million.

正确答案:

C

答案解析:

Ciscorrect.Themonthlyreturnis9.6%/12=0.8%.ThemonthlystandarddeviationisThepercentVaRis0.8%–1.65（5.196%）=–7.7734%.ThedollarVaRis7.7734%（€50million）=€3.8867million,or€3.9million.

3、BasedonExhibits2and3,whatcanSmithmostlikelydetermineaboutMCAM'sinvestmentstyleovertime?

MCAM'sstylehas:

【单选题】

A.notdrifted.

B.driftedfromvaluetogrowth.

C.driftedfromgrowthtovalue.

正确答案:

C

答案解析:

Theactiveequitystrategywasnotvalueorientedbecausethereturns-basedstyleanalysisindicatesagrowthorientationgivena0.65coefficientofdeterminationwithrespecttogrowthreturns.Thecurrentholdings,however,depictavalueorientationwhencomparedwiththemanager'snormalbenchmarkgiventhedifferencesindividendyieldandP/E.MCAM'sstylehasdriftedovertimefromgrowthtovalue.

4、WhatisKaplan’safter-taxaccumulationafter20years?

【单选题】

A.€196,438.

B.€220,521.

C.€230,521.

正确答案:

A

答案解析:

Aiscorrect.ThetaxableaccountwillaccumulatetoFVi=€50,000[1+r（1–ti）]n=€50,000[1+0.04（1–0.4）]20=€80,347ThetaxdeferredaccountwillaccumulateFVTDA=€50,000（1+r）n（1–Tn）=€50,000（1.07）20（1–0.40）=€116,091Total=€196,438

5、BasedonthedatainExhibit2,modifyingthedurationofthefixed-incomeallocationtoitstargetwillrequireaninterestrateswapthathasnotionalprincipalclosestto:

【单选题】

A.$11,030,000.

B.$17,777,000.

C.$9,412,000.

正确答案:

A

答案解析:

where;NP=notionalprincipalB=bondportfolioMDURt=durationtargetofportfolioMDURb=durationofbondportfolioMDURs=durationofswap

6、DisregardingtheinitialcostoftheHopcollarstrategy,thevaluepershareofthestrategyatexpirationwiththestockat$26.90is:

【单选题】

A.$26.05.

B.$26.20.

C.$26.90.

正确答案:

C

答案解析:

Ciscorrect.Ifthestockpriceatexpirationoftheoptionsis$26.90,theputwillexpireworthless,thecallwillexpireworthless,andthevalueofthestrategywillreflectsolelythevalueofthestock.

7、WhichofthestatementsmadeaboutmeetingGladys'statedgoalismostaccurate?

Thestatementregarding:

【单选题】

A.fixedannuityproducts

B.revisedassetallocation

C.variableannuityproducts

正确答案:

C

答案解析:

Ajointlyownedvariablepayoutlifetimeannuityproductwouldprovidecashflowsuntiltheendofthesurvivingspouse'slifetime.Therefore,theJonesfamilywillnotoutlivetheassets.Itistruethereislesscertaintyregardingthecashflowsbecausetheyarelinkedtotheperformanceoftheunderlyinginvestments.

8、WithrespecttoViewmont'sgoalofborrowingatthelowestcostandhedgingcurrencyrisk,whoismostlikelycorrect?

【单选题】

A.Kemigisa

B.Bazlamit

C.Montero

正确答案:

C

答案解析:

Monteroiscorrect.ViewmontcanreduceitsoverallborrowingcostsbyborrowinginU.S.dollarsandengaginginacurrencyswapforBrazillianreals.Thisswapnotonlyreducesborrowingcostsbutalsohedgescurrencyexposure.

9、Inthepreviousquestion,supposeDiCenzosellsthesecuritiesinthecurrenttaxyearandreplacesthemwithsecuritieshavingthesamereturns.Hewillthensellthenewsecuritiesinthenexttaxyear.WhatisthetotaltaxsavingsassumingDiCenzodoesnotreinvestthetaxsavings?

【单选题】

A.€0.

B.€7,500.

C.€15,000.

正确答案:

A

答案解析:

Aiscorrect.AssumingDiCenzodoesnotreinvestthetaxsavings,taxlossharvestingdoesnotreducethetotaltaxpaidovertime.Itonlydeferstaxesbecauserecognizingthelossresetsthecostbasistoalowerfigurewhichwillultimatelyincreasethegainrealizedlatebythesameamount.Taxlossharvestcanaugmentreturnbypostponingtaxliabilities.Reinvestingthecurrentyear’staxsavingsincreasestheafter-taxprincipalinvestment,whichcanaugmentthevalueoftaxlossharvestingfurther.

10、TheyieldcurveexpectationthatAbram’ssupervisortargetswithScenario1ismostlikelya:

【单选题】

A.flatteningyieldcurve.

B.reductioninyieldcurvecurvature.

C.100bpsparallelshiftdownwardoftheyieldcurve.

正确答案:

A

答案解析:

Aiscorrect.Scenario1isanextremebarbellandistypicallyusedwhentheyieldcurveflattens.Inthiscase,the30-yearbondhaslargerpricegainsbecauseofitslongerdurationandhigherconvexityrelativetoothermaturities.Iftheyieldcurveflattensthroughrisingshort-terminterestrates,portfoliolossesarelimitedbythelowerpricesensitivitytothechangeinyieldsattheshortendofthecurvewhilethebenchmark’smiddlesecuritieswillperformpoorly.