CFA二级练习题精选及答案0531-5

CFA三级练习题精选及答案0531-6

1、Are Northrup’s comments about fund of funds’lock-up periods and lower fees most likely correct?【单选题】

A.No.

B.Yes, for lower fees only.

C.Yes, for lock-up periods only.

正确答案:A

答案解析:A is correct. Contrary to Northrup’s comment, fund of funds usually do not impose lock-up periods (or minimum initial holding period) and their fees are higher as investors pay two layers of fees: one to the FOF and the other to the underlying hedge fund managers.

2、The monthly VaR that Stulz wants to estimate for the Stimson portfolio is closest to:【单选题】

A.€0.8 million.

B.€2.9 million.

C.€3.9 million.

正确答案:C

答案解析:C is correct. The monthly return is 9.6%/12 = 0.8%.The monthly standard deviation is The percent VaR is 0.8% – 1.65 (5.196%) = –7.7734%.The dollar VaR is 7.7734% (€50 million) = €3.8867 million, or €3.9 million.

3、Based on Exhibits 2 and 3, what can Smith most likely

determine about MCAM's investment style over time? MCAM's style has:【单选题】

A.not drifted.

B.drifted from value to growth.

C.drifted from growth to value.

正确答案:C

答案解析:The active equity strategy was not value oriented because the returns-based style analysis indicates a growth orientation given a 0.65 coefficient of determination with respect to growth returns. The current holdings, however, depict a value orientation when compared with the manager's normal benchmark given the differences in dividend yield and P/E. MCAM's style has drifted over time from growth to value.

4、What is Kaplan’s after-tax accumulation after 20 years?【单选题】

A.€196,438.

B.€220,521.

C.€230,521.

正确答案:A

答案解析:A is correct. The taxable account will accumulate toFVi = €50,000[1 + r(1 –ti)]n= €50,000[1 + 0.04(1 –0.4)]20= €80,347The tax deferred account will accumulateFVTDA = €50,000(1 + r)n(1 –Tn)= €50,000(1.07)20(1 –0.40)= €116,091Total = €196,438

5、Based on the data in Exhibit 2, modifying the duration of the

fixed-income allocation to its target will require an interest rate swap that has notional principal closest to:【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 = notional principalB = bond portfolioMDURt = duration target of portfolioMDURb = duration of bond portfolioMDURs = duration of swap

6、Disregarding the initial cost of the Hop collar strategy, the value per share of the strategy at expiration with the stock at $26.90 is:【单选题】

A.$26.05.

B.$26.20.

C.$26.90.

正确答案:C

答案解析:C is correct. If the stock price at expiration of the options is $26.90, the put will expire worthless, the call will expire worthless, and the value of the strategy will reflect solely the value of the stock.

7、Which of the statements made about meeting Gladys' stated goal is most accurate? The statement regarding:【单选题】

A.fixed annuity products