CFA一级典型例题 Alternative Investments 另类投资
CFA考试《CFA一级》历年真题精选06(附详解)
CFA考试《CFA一级》历年真题精选06（附详解）1、For planning purposes, an individual wants to be able to spend €80,000 per year, at the end of each year, for an anticipated 25 years in retirement. In order to fund this retirement account, he will make annual deposits of €6,608 at the end of each of his working years. What is the minimum number of s uch deposits he will need to make to fund his desired retirement? Use 6% interest compounded annually for all calculations.【单选题】A.29 paymentsB.40 paymentsC.51 payments正确答案:B答案解析:“The Time Value of Money,” Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, and David E. RunkleI/Y = 6, PV = 0, PMT = 6,608, FV = 1,022,668; calculate N. N is 40.2、A technical analyst has detected a price chart pattern with three segments. The left segment shows a decline followed by a reversal to the starting price level. The middle segment shows a more pronounced decline than in the first segment and again a reversal to near the starting price level. The third segment is roughly a mirror image of the first segment. This chart pattern is most accurately described as:【单选题】A.a triple bottom.B.a head and shoulders.C.an inverse head and shoulders.正确答案:C答案解析:“Technical Analysis,” Barry M. Sine and Robert A. StrongC is correct. An inverse head and shoulders pattern consists of a left segment that shows a decline followed by a reversal to the starting price level, a middle segment that shows a more pronounced decline than in the first segment and again a reversal to near the starting price level, and a third segment that is roughly a mirror image of the first segment.3、Two mutually exclusive projects have the following cash flows (€) and internal rates of r eturn (IRR):Assuminga discount rate of 8% annually for both projects, the firm should most likely accept:【单选题】A.both projects.B.Project A only.C.Project B only.正确答案:B答案解析:“Capital Budgeting,” John D. Stowe, CFA, and Jacques R. Gagne, CFAB is correct because Project A hasa higher NPV and the projects are mutually exclusive, only Project A should be accepted.4、A forward rate agreement (FRA) that expires in 180 days and is based on 90-day LIBOR is quoted at 2.2%. At expiration of the FRA, 90-day LIBOR is 2.8%. For a notional principal of USD1,000,000, the payoff of this FRA is closest to:【单选题】D1,469.31.D1,489.57.D1,500.00.正确答案:B答案解析:“Forward Markets and Contracts,” Don M. Chance, CFAB is correct. 1,000,000 × (0.028 –0.022) × (1/4)/(1 + (0.028/4)) = 1,489.57.5、An alternative investments fund that employs leverage and takes long and short positions in securities is most likely a:【单选题】A.hedge fund.B.venture capital fund.C.leveraged buyout fund.正确答案:A答案解析:“Introduction to Alternative Investments,” Terri Duhon, George Spentzos, CFA, and Scott D. Stewart, CFAA is correct. Hedge funds invest in securities and may take long and short positions. They may also employ leverage.6、The execution step of the portfolio management process includes:【单选题】A.finalizing the asset allocation.B.monitoring the portfolio performance.C.preparing the investment policy statement.正确答案:A答案解析:“Portfolio Management: An Overview,” Robert M. Conroy and Alistair ByrneA is correct. Asset allocation occurs in the execution step.7、An analyst does research about financial reporting quality.An incentive for acompany's management reporting lower earnings is least likely to:【单选题】A.remain in compliance with lending covenants.B.obtain trade relief in the form of quotas or protective tariffs.C.negotiate favorable terms from creditors.正确答案:A答案解析:本题考查的是财务报告质量（financial reporting quality）中管理层操纵盈利的动机。
CFA1级alternative investments总结
6. Leverage and unique risks of hedge funds One way a hedge fund can increase its leverage is by borrowing through a margin account. Also, a hedge fund manager could borrow external funds to either buy more assets or sell short more than the equity in the fund. A third way is for hedge fund managers to utilize those securities that only require posting margin versus trading in cash securities requiring full payment. Risks including: illiquidity, potential for mispricing, counterparty credit risk, settlement errors, short covering, and margin calls. Hedge funds have demonstrated a lower risk profile than traditional equity investments as measured by standard deviation. In recent years, the Sharpe ratio, which is a reward-to-risk ratio, has been consistently higher for hedge funds than for most equity investments and has been comparable to that of fixed-income investments. There is a low correlation between the performance of hedge funds and conventional investment. This correlation tends to be lower in down equity markets and higher when equities perform well. The effect of survivorship bias is greater for a hedge fund database than for other asset classes because of the lack of required reporting standards in the industry.
CFA一级培训项目 equity investments 权益类投资分析 其他类投资分析
专亚•创新•廛值
Market Organization and Structure
Equity Investments
亘业•创新•信值
♦ Main Functions of the Financial Market
> Main Functions of the Financial Market (Totally three functions) • Fulfill different entities' requirements / Savings; / Borrowing; / Raising equity; / Risk management; / Exchanging assets; / Utilizing information. • Determine interest rates / Equilibrium interest rate ♦The required rates of return for securities vary by their risk characteristics, terms, and liquidity. • Allocation of capital to the best uses
CFA一级培训|项目
2-68
亘业•创新•懵值
Topic Weightings in CFA Level I
Session NO. Study Session 1 Study Session 2-3 Study Session 4-5 Study Session 6-9 Study Session 10-11 Study Session 12 Study Session 13-14 Study Session 15-16 Study Session 17 Study Session 18
CFA一级每日一练(含详细解析)82
CFA一级每日一练（含详细解析）821、Fundamental Asset Managers claims compliance with the CFA Institute Global Investment Performance Standards and manages both discretionary and non-discretionary accounts. When constructing a single composite for Fundamental, Juma Dzuya includes all discretionary, fee-paying accounts with both value and growth strategies. Does the composite constructed by Dzuya most likely meet GIPS criteria?【单选题】A.YesB.No, because of non-similar investment strategiesC.No, because non-discretionary accounts are not included正确答案:B答案解析:“Introduction to the Global Investment Performance Standards,” CFA Institute2012 Modular Level I, Vol. 1, p. 173Study Session 1-3-bExplain the construction and purpose of composites in performance reporting.B is correct because a composite must include all actual, fee-paying, discretionary portfolios managed in accordance with the same investment mandate, objective, or strategy (Standards IV Composites).By including both value and growth portfolios, the composite is made up of portfolios with different investment mandates or strategies.2、Jiro Sato, CFA, deputy treasurer for May College, manages the Student Scholarship Trust. Sato issued a request for proposal (RFP) for domestic equity managers. Pamela Peters, CFA, a good friend of Sato, introduces him to representatives from Capital Investments, which submitted a proposal. Sato selected Capital as a manager based on the firm's excellent performance record. Shortly after the selection, Peters, who had outstanding performance as an equity manager with another firm, accepted a lucrative job with Capital. Which of the CFA charterholders violated the CFA Institute Standards of Professional Conduct?【单选题】A.NeitherB.PetersC.Both正确答案:A答案解析:Members should use reasonable care and judgment to maintain independence and objectivity, as stated in Standard I (B). There is no indication of inappropriate behaviorin the selection of the equity manager or in the acceptance of employment with that manager; both decisions were based on the excellent performance records of the manager and the member, respectively.Standard I(B)3、High-water marks are typically used when calculating the incentive fee on hedge funds. They are most likely used by clients to:【单选题】A.avoid prime brokerage fees.B.claw back the management fees.C.prevent paying twice for the same performance.正确答案:C答案解析:“Introduction to Alternative Investments”, Terri Duhon, George Spentzos, CFA, and Scott D. Stewart, CFAC is correct because high-water marks prevent clients from paying twice for the same performance. When a hedge fund’s value drops, the manager will not receive an incentive fee until the value of the fund returns back to its previous level.4、An analyst does research about hypothesis testing.Which of the following teststatistics is most appropriate test statistics for two means based on samples that webelieve are dependent?【单选题】A.T-test.B.F-test.C.Chi-square test.正确答案:A答案解析:两个非独立总体的均值检验也叫做配对检验，用的是t分布检验。
CFA考试《CFA一级》历年真题精选09(附详解)
CFA考试《CFA一级》历年真题精选09（附详解）1、The dollar discount on a U.S. Treasury bill with 91 days until maturity is $2,100. The face value of the bill is $100,000. The bank discount yield of the bill is closest to:【单选题】A.8.31%.B.8.40%.C.8.58%.正确答案:A答案解析:“Discounted Cash Flow Applications,” Richard A. Defusco, CFA, Dennis W. McLeavey, CFA, Jerald E. Pinto, CFA, and David E. Runkle, CFA2011 Modular Level I, Vol. 1, p. 327Study Session 2-6-eCalculate and interpret the bank discount yield, holding period yield, effective annual yield, and money market yield for a U.S. Treasury bill.Solve for bank discount yield using:2、On 1 January 2011 the market rate of interest on a company’s bonds is 5% and it issues a bond with the following characteristics:If the company uses IFRS, its interest expense (in millions) in 2011 is closest to:【单选题】A.€1.846.B.€2.307.C.€2.386.正确答案:B答案解析:“Non-Current (Long-Term) Liabilities,” Elizabeth A Gordon and Elaine HenryInterest expense = Liability value × Market rate at issuance: 0.05 × €46.140 = €2.307.3、A research report produced by a dealer includes the following exchange rates:The most accurate calculation of the expected appreciation (%) of the Canadian dollar (CAD) relative to the British pound (GBP) is:【单选题】A.2.99%B.0.7%.C.-2.04%正确答案:A答案解析:Section 3.24、An office building with net operating income of $75,000 recently sold for $937,500. Financial data for a comparable building that is currently on the market for sale is presented in the table below.The estimated value for the building being sold using the income approach is closest to?【单选题】A.$2,825,000.B.$2,975,000.C.$3,228,500.正确答案:A答案解析:“Alternative Investments,” Bruno Solnik and Dennis McLeaveyA is correct because to arrive at the estimated value of the property, subtract operating expenses from gross income (300,000 – (4% x300,000 or 12,000) – 27,000 – 14,000 – 21,000 = 226,000). Then divide the net operating income by the cap rate which is derived from the recent transaction (226,000/(75,000/937,500) = 226,000/.08 = 2,825,000). Note that neither depreciation nor financing costs are deducted as operating expenses.5、Which of the following statements is least likely an advantage of investing in hedge funds through a fund of funds? Funds of funds provide:【单选题】A.an increase in expected return through diversification.B.expertise in selecting funds and conducting due diligence.C.access to successful funds that may otherwise be closed to new investors.正确答案:A答案解析:“Alternative Investments,” Bruno Solnik and Dennis McLeaveyA is correct because diversification results in risk reduction, not return enhancement. Further, the fees charged by the fund of funds manager will likely reduce returns relative to direct hedge fund investment.6、For periods beginning on or after 1 January 2011, the Global Investment PerformanceStandards (GAPS?)require that total firm assets be defined as the aggregatefair value of all:【单选题】A.discretionary assets in fee-paying portfolios managed by the firm.B.discretionary and non-discretionary assets in fee-paying portfolios managedby the firm.C.discretionary and non-discretionary assets in fee-paying and non-fee-payingportfolios managed by the firm.正确答案:C答案解析:公司总资产包括公司管理的其自由决断和非自由决断资产，这些自由决断和非自由决断资产包含在真实付费和非真实付费的组合中。
CFA考试《CFA一级》历年真题和解析答案0302-93
CFA考试《CFA一级》历年真题和解析答案0302-931、An analyst does research about trade restriction.A primary reason for a countryto adopt restrictions on international trade is that restrictions typically:【单选题】A.improve short-run economic efficiency.B.benefit consumers at the expense of producers.C.provide concentrated benefits to a small group of people.正确答案:C答案解析:限制国际贸易并不能促进短期的经济有效性，而是有利于生产厂商，并且会牺牲消费者的利益。
但是，限制国际贸易为一小部分人提供了利益，如本地的生产厂商受到国外产品的竞争会减少，从而能够获得更多的利润。
2、An analyst does research about deferred tax asset and liability and gathers thefollowing information about a company:Assuming there are no other differences between accounting and tax profit, thecompany most likely records:【单选题】A.A deferred tax asset of $ 315.B.A deferred tax liability of $ 315.C.A deferred tax liability of $ 585.正确答案:B答案解析:财务报表与税单上的折旧差异造成了递延所得税负债(DTL)，DTL在数值上等于折旧之差再乘以税率。
CFA考试一级章节练习题精选0329-27(附详解)
CFA考试一级章节练习题精选0329-27（附详解）1、Which of the following share repurchase methods most likely result in the lowestcost to the company?【单选题】A.Buy in the open marketB.Buy a fixed number of shares at a fixed price.C.Repurchased by direct negotiation.正确答案:A答案解析:股份回购是指公司回购自己公司的普通股，回购的方式有如下3种：● 在公开市场购买。
董事会授权在一定时间内在公开市场上回购一定数量的股票。
公司可灵活选择买入的时机，相对使回购的成本最低。
● 公司以高于市场价进行要约收购买入一定数量的股票。
● 直接协议回购。
公司直接向持有大量股票的股东以高于市场价的价格买回股票。
通常这种回购是为了避免持有大量股票的股东在市场上抛售而造成股票下挫，或者是向敌意收购方买回股票。
2、An analyst estimates that an initial investment of ￡500,000 in a venture capital project will pay ￡6 million at the end of five years if the project succeeds and that the probability the project survives to the end of the fifth year is 25 percent. The required rate of return for the project is 19 percent. The expected net present value of the venture capital investment is closest to:【单选题】A.￡128,000.B.￡1,125,000.C.￡2,014,000.正确答案:A答案解析:”Alternative Investments,” Bruno Solnik and Dennis McLeavey2010 Modular Level I, Vol. 6, pp. 216-218Study Session 18-73-hCalculate the net present value (NPV) of a venture capital project, given the project’s possible payoff and conditional failure probabilities.The probability that the venture will pay 6 million at the end of five years is 25%. The probability of failure is 75%. The expected NPV if the project succeeds is 2,014,296 using FV = 6,000,000, I = 19%, n = 5 for a present value of 2,514,296 – 500,000 = 2,014,296.The NPV of the project is 0.25(2,014,296) + 0.75(–500,000) = ￡128,574. The investment has a positive NPV and should be accepted.3、A trader buys 500 shares of a stock on margin at $36 a share using an initial leverage ratio of 1,66.The maintenance margin requirement for the position is 30%. The stock price at which the margincall will occur is closest to:【单选题】A.$25.20.B.$30.86.C.$20.57.正确答案:C答案解析:Initial equity (%) in the margin transaction=1/Leverage ratio=1/1.66=0.60;Initial equity per share at the time of purchase=$36 × 0.60=$21.60;Price (P) at which margin call occurs:Equity per share/Price per share=Maintenance margin (%)=($21.60+P-$36)/P=0.30;0.7P=$14.40;P=$20.57.CFA Level I"Market Organization and Structure," Larry HarrisSection 5.24、An initial investment of $1 million in a venture capital project is expected to pay $10 million at the end of 5 years if it is successful. The probabilities of failure for the project are provided in the table below:If the cost of capital for the project is 18%, the project’s expected NPV is closest to:【单选题】A.-$731,200.B.$174,950.C.$906,150.正确答案:B答案解析:“Alternative Investments,” Bruno Solnik and Dennis McLeavey2011 Modular Level I, Vol. 6, pp. 216-218Study Session 18-74-hCalculate the net present value (NPV) of a venture capital project, given the project’s possible payoff and conditional failu re probabilities.B is correct because you calculate the probability of success as (1-.30) ×(1-.25) ×(1-.20) ×(1-.20)× (1-.20)=.2688. Then calculate the NPV from success906,150 Subtracting the NPV of failure, -1,000*(1-.2688 or .7312) = -731,200. The difference between the NPVs is the expected NPV of the project, 906,150-731,200=174,950.5、A project has the following cash flows (￡):Assuming a discount rate of 11% annually, the discounted payback period (in years) is closest to:【单选题】A.3.4.B.3.9.C.4.0.正确答案:B答案解析:“Capital Budgeting,” John D. Stowe, CFA and Jacq ues R. Gagne, CFA2013 Modular Level I, Vol.4, Reading 36, Section 4.4.Study Session 11-36-dCalculate and interpret the results using each of the following methods to evaluate a single capital project: net present value (NPV), internal rate of return (IRR), payback period, discounted payback period, and profitability index (PI).B is correct. The discounted cash flows and their cumulative sum are:After three years, $821.02 of the $1,525 investment is recovered, leaving $703.98 left to recover in the fourth year. Proportionately, only 0.88 (= $703.98/$800.36) of the cash flow in the fourth year is necessary to recover all of the investment. This makes the discounted payback equal to 3.9 years (rounded up from 3.88).。
CFA考试历年真题精选15(附详解)
CFA考试历年真题精选15（附详解）1、Preeta Singh, a CFA Candidate, is an asset manager employed by a fund management company managing very large segregated pension funds. In her spare time outside of working hours, Singh likes to provide management-consulting services to small companies to help grow their businesses, focusing on strategic planning. Singh is paid for the consulting services and has also provided her employer information about these outside activities. Does Singh most likely violate the CFA Code of Ethics with regard to Duties to Employers?【单选题】A.No.B.Yes, with regard to loyalty.C.Yes, with regard to additional compensation arrangements.正确答案:A答案解析:“Guidance for Standards I-VII,” CFA InstituteA is correct because Singh does not violate any Standard relating to Duties to Employers. She conducts unrelated non-competitive services to clients outside of business hours and thus does not deprive her employer of the advantage of her skills and abilities, nor is there any indication she divulges confidential information or otherwise causes harm to her employer. She has informed her employers about her outside activities.2、Chan Liu, CFA, is the new research manager at the Pacific MicroCap Fund. Liu observed the following activities after she published a research report on a thinly traded micro cap stock that included a “buy” recommendation:Liu notes the stock’s price increased more than 50% within a period of two days and was then sold for Pacific’s account. Which of the following steps is most appropriate for Liu to take to avoid violating the CFA Institute Code of Ethics and Standards of Professional Conduct?【单选题】A.Report the observed activities to her employer.B.Remove her name from the micro cap stock research report.C.Publicly refute the false information posted on Internet forums.正确答案:A答案解析:CFA Institute StandardsA is correct because certain staff at Liu’s employer appear to be engaged in front running, a violation of Standard VI (B) Priority of Transactions, and market manipulation, a violation of Standard II (B) Market Manipulation. If Liu observes these violations without taking steps to notify her employer, she will be in violation of Standard I (A) Knowledge of the Law. Liu should know that the conduct observed is likely a violation of applicable laws, rules, and regulations and is a violation of the CFA Institute Code and Standards. Her first step, therefore, should be to attempt to stop the behavior by bringing it to the attention of the employer through a supervisor or the firm’s compliance department. Inaction may be construed as participation or assistance in the illegal or unethical conduct.3、The option-free bonds of Argus Corporation have a duration of eight years. When interest rates rise by 100 bps, the bond's price declines by 7.9%. When interest rates fall by 100 bps, however, the price rises by 8.2%. The asymmetrical price change is most likely caused by the:【单选题】A.maturity effect.B.coupon effect.C.convexity effect.正确答案:C答案解析:It is bond convexity that explains the asymmetrical price change. A fall in interest rates will result in a higher percentage rise in the bond's price compared with the percentage fall in the bond's price when interest rates rise by the same amount.Section 2.34、Which of the following least likely describes an advantage of investing in hedge funds through a fund of funds? A fund of funds may provide investors with:【单选题】A.lower fees due to economies of scale.B.access to funds that are closed to new investors.C.access to managers with expertise in finding reliable and good-quality hedge funds.正确答案:A答案解析:“Alternative Investments,” Bruno Solnik and Dennis McLeaveyA is correct because the fees on funds of funds are usually higher. The fund of funds manager charges a fee, and there is a fee charged by each hedge fund.5、The fair market value of a tangible noncurrent asset exceeds historical cost.Under International Financial Reporting Standards (IFRS), this asset is leastlikely carried on the balance sheet at:【单选题】A.fair value.B.historical cost less any accumulated depreciation.C.fair value less any accumulated depreciation.正确答案:A答案解析:成本模型(cost model)：carrying value = historical cost -accumulated depreciation。
CFA一级模考
CFA一级模考题1 .A former hedge fund manager, Jackman, has decided to launch a new private wealth management firm. From his prior experiences, he believes the new firm needs to achieve US$1 million in assets under management in the first year. Jackman offers a $10,000 incentive to any adviser who joins his firm with the minimum of $200,000 in committed investments. Jackman places notice of the opening on several industry web portals and career search sites. Which of the following is correct according to the Code and Standards?A A member or candidate is eligible for the new position and incentive if he or she can arrange for enough current clients to switch to the new firm and if the member or candidate discloses the incentive fee.B A member or candidate may not accept employment with the new firm because Jackman's incentive offer violates the Code and Standards.C A member or candidate is not eligible for the new position unless he or she is currently unemployed because soliciting the clients of the member's or candidate's current employer is prohibited.2 . Carter works for Invest Today, a local asset management firm. A broker that provides Carter with proprietary research through client brokerage arrangements is offering a new trading service. The broker is offering Iow-fee. execution-only trades to complement its traditional full-service, execution-and-research trades. To entice Carter and other asset managers to send additionalbusiness its way, the broker will apply the commissions paid on the new service toward satisfying the brokerage commitment of the prior full-service arrangements. Carter has always been satisfied with the execution provided on the full-service trades. and the new low-Fee trades are comparable to the fees of other brokers currently used for the accounts that prohibit soft dollar arrangements.A Carter can trade for his accounts that prohibit soft dollar arrangements under the new low-fee trading scheme.B Carter cannot use the new trading scheme because the commissions are prohibited by the soft dollar restrictions of the accounts.C Carter should trade only through the new low-fee scheme and should increase his trading volume to meet his required commission commitment.3 . Rule has worked as a portfolio manager for a large investment management firm for the past 10 years. Rule earned his CFA charter last year and has decided to open his own investment management firm. After leaving his current employer, Rule creates some marketing mater ial for his new firm. He states in the material,”In earning the CFA charter, a highly regarded credential in the investment management industry. I further enhanced the portfolio management skills learned during my professional career. While completing the examination process in three consecutive years, I consistently received the highest possible scores on the topics of Ethics, Alternative Investments, and Portfolio Management." Has Rule violated Standard VII(B)-Reference to CFA Institute, the CFA Designation, and the CFA Program in his marketing material?A Rule violated Standard VII(B) in stating that he compIeted the exams in three consecutive years.B Rule violated Standard VII(B) in stating that he received the highest scores in the topics of Ethics, Alternative Investments. and Portfolio ManagementC Rule did not violate Standard VII(B).4 . Stafford is a portfolio manager for a specialized real estate mutual fund. Her firm clearly describes in the fund's prospectus its soft dollar policies. Stafford decides that entering the CFA Program will enhance her investment decision-making skill and decides to use the fund's soft dollar account to pay t:he registration and exam fees for the CFA Program. Which of the following statements is most likely correct?A Stafford did not violate the Code and Standards because the prospectus informed investors of the fund's soft dollar policies.B Stafford violated the Code and Standards because improving her investment skills is not a reasonable use of the soft dollar account.C Stafford violated the Code and Standards because the CFA Program does not meet the definition of research allowed to be purchased with brokerage commissions.5 . Long has been asked to be the keynote speaker at an upcoming investment conference. The event is being hosted by one of the third-party investment managers currently used by his pension fund. The manager offers to cover all conference and travel costs for Long and make the conference registrations free for three additional members of his investment management team. To ensure that the conference obtains the best speakers, the host firm has arranged for an exclusive golf outing for the day following the conference on a local championship-caliber course. Which of the following is least likely to violate Standard I(B)?A Long may accept only the offer to have his conference-related expenses paid by the host firm.B Long may accept the offer to have his conference-related expenses paid and may attend the exclusive golf outing at the expense of the hosting firm.C Long may accept the entire package of incentives offered to speak at this conference.1. C is correct. Standard Ⅳ(A) - Loyalty discusses activities permissible to members and candidates when they are leaving their current employer; soliciting clients is strictly prohibited. Thus, answer A is inconsistent with the Code and Standards even with the required disclosure. Answer B is incorrect because the offer does not directly violate the Code and Standards. There may be out-of-work members and candidates who can arrange the necessary commitments without violating the Code and Standards.2 . A is correct. The question relates to Standard Ⅲ(A)-Loyalty, Prudence, and Care. Carter believes the broker offers effective execution at a fee that is comparable with those of other brokers, so he is free to use the broker for all accounts.Answer B is incorrect because the accounts that prohibit soft dollar arrangements do not want to fund the purchase of research by Carter. The new trading scheme does not incur additional commissions from clients, so it would not go against the prohibitions. Answer C is incorrect because Carter should not incur unnecessary or excessive "churning" of the portfolios (excessive trading) for the purpose of meeting the brokerage commitments of soft dollar arrangements3 B is correct. According to Standard Ⅶ( B)-Reference to CFA Institute. The CFA Designation, and the C FA Program, CFA Program candidates do not receive their actual scores on the exam. Topic and subtopic results are grouped into three broad categories, and the exam is graded only as "pass" or "fail” Although a candidate may have achieved a topical score of "above 70 percent”she or he cannot factually state that she or he received the highest possible score because that information is not reported.Thus. answer C is incorrect. Answer A is incorrect as long as the member or candidate actually completed the exams consecutively. Standard Ⅶ(B) does not prohibit the communication of factual information about completing the C FA Program in three consecutive years.4. C is correct. According to Standard Ⅲ(A)-Loyalty, Prudence, and Care, the CFA Program would be considereda personal or firm expense and should not be paid for with the fund's brokerage commissions. Soft dollar accounts should be used only to purchase research services that directly assist the investment manager in the investment decision-making process, not to assist the management of the firm or to further education. Thus, answer A is incorrect. AnswerB is incorrect because the reasonableness of how the money is used is not an issue; the issue is that educational expense is not research.5. A is correct. Standard Ⅰ(B)-Independence and Objectivity emphasizes the need for members and candidates to maintain their independence and objectivity. Best practices dictate that firms adopt a strict policy not to accept compensation for travel arrangements. At times, however, accepting paid travel would not compromise one's independence and objectivity. Answers B and C are incorrect because the added benefits-free conference admission for additional staff members and an exclusive golf retreat for the speaker-could be viewed as inducements related to the firm's working arrangements and not solely related to the speaking engagement. Should Long wish to bring other team members or participate in the golf outing, he or his firm should be responsible for the associated fees.。
CFA考试《CFA一级》历年真题精选31(附详解)
CFA考试《CFA一级》历年真题精选31（附详解）1、William Wong, CFA, is an equity analyst with Hayswick Securities. Based on his fundamental analysis, Wong concludes the stock of a company he follows, Nolvec Inc., is substantially undervalued and will experience a large price increase. He delay s revising his recommendation on the stock from “hold” to “buy” to allow his brother to buy shares at a lower price. Wong is least likely to have violated the CFA Institute Standards of Professional Conduct related to:【单选题】A.duty to clients.B.reasonable basis.C.priority of transactions.正确答案:B答案解析:“Guidance for Standards I-VII”, CFA InstituteB is correct because there is nothing to suggest that Wong does not have a reasonable basis for his conclusion related to Nolvec. Standard V (A).2、For an investment portfolio, the coefficient of variation of the returns on the portfolio is best described as measuring:【单选题】A.risk per unit of mean return.B.mean return per unit of risk.C.mean excess return per unit of risk.正确答案:A答案解析:“Statistical Concepts and Market Returns,” Richard A. Defusco, CFA, Dennis W. McLeavey, CFA, Jerald E. Pinto, CFA, and David E. Runkle, CFAThe coefficient of variation is defined as the standard deviation of the portfolio (a measure of risk) divided by the mean return on the portfolio (i.e., risk per unit of mean return). 3、Regarding a company’s production function, both labor costs and capital costs are best described as:【单选题】A.fixed in the long run.B.variable in the long run.C.variable in the short run.正确答案:B答案解析:“Output and Costs,” Michael ParkinIn the short run, a company can vary the quantity of labor but the quantity of capital is fixed. In the long run, a firm can vary both the quantity of labor and the quantity of capital.4、【单选题】A.E.B.G.C.F+H.正确答案:C答案解析:The loss in consumer surplus because of higher prices is represented by area e+f+g+h. This exceeds the gains from producer surplus (E) and government revenues on imports (G). Hence the net welfare effect tothe country is a deadweight loss of[e+f+g+h] –[E] –[G] =Section 3+.15、If the yield to maturity on an annual-pay bond is 7.75%, the bond-equivalent yield is closest to:【单选题】A.7.61%.B.7.90%.C.8.05%.正确答案:A答案解析:“Yield Measures, Spot Rates, and Forward Rates,” Frank J. Fabozzi, CFA6、For a hedge fund investor, a benefit of investing in a fund of funds is least likely the:【单选题】A.multilayered fee structure.B.higher level of due diligence expertise.C.ability to negotiate better redemption terms.正确答案:A答案解析:“Introduction to Alternative Investments”, Terri Duhon, George Spentzos, CFA, and Scott D. Stewart, CFAA is correct because funds of funds typically have a multilayered fee structure that may dilute the returns to the investor.7、The following sample of 10 items is selected from a population. The population variance is unknown.The standard error of the sample mean is closest to:【单选题】A.10.84.B.3.43.C.3.60.正确答案:B答案解析:When the population variance is unknown, the standard error of the sample mean is calculated as:The standard error of the sample mean is therefore CFA Level I"Sampling and Estimation," Richard A.DeFusco, Dennis W. McLeavey, Jerald E. Pinto, and David E.RunkleSection 3.18、The following 10 observations are a sample drawn from an approximately normal population:The sample standard deviation is closest to:【单选题】A.13.18.B.12.50.C.11.92.正确答案:A答案解析:The sample variance is:The sample standard deviation is the (positive) square root of the sample variance.CFA Level I"Statistical Concepts and Market Returns," Richard A. DeFusco, Dennis W. McLeavey, JeraldE.Pinto, and David E. RunkleSection 7.49、An analyst does research about difference between forward market and pared with contracts in the forward market, contracts in the futuresmarket are least likely to be appropriately described as transactions that are:【单选题】A.public.B.customized according to the counterparts' requests.C.based on an agreement to buy or sell an underlying asset at a future date at aprice agreed on today.正确答案:B答案解析:期货市场是公开交易标准化的远期合约的，它与远期市场一样，都是约定在未来的某个时点按约定的价格买卖一项资产，但是期货市场是不能像远期市场那样，根据交易对手的要求来进行定制化。
2012CFA一级总结(固定收益债券,金融衍生品和alternative investment部分)
固定收益债券，金融衍生品和alternative investment部分一、FI1.债券1.债券合约：negative covenant（禁止借款人条款，as不能卖抵押资产，不能额外借款等），affirmative covenant（借款人承诺的action，as保持公司的负债率）付息结构：零息票债券，step-up notes（coupon rate以特定rate增长），deferred-coupon bonds，floating rate，inverse floater：coupon rate=12%-reference rate；inflation-indexed bond，cap，floor，collar（既有顶也有底）应计利息accrued interestCall price：maximum price for currently callable bond，可能有多个call，但call price越来越低2.bond redemption and retirement1）amortizing证券分期偿付2）prepayment optionCallable but Nonrefundable bond是指可以提前偿还但不能不能funded by 以更低的coupon rate 发行bond。
Sinking fund provisions---偿债基金条款---为了保护投资者，规定经过一段时间后，每年偿还一定金额的本金。
有两种方式进行：1.Cash payment---通过抽签形式进行2.Delivery of securities---购回债券---当债券价格下跌时候，回购债券的方式比较便宜！有利于发行者的条款：1.The right to Call2.Accelerated sinking fund provision---加速偿债条款—有利于发行者，发行者可以选择是否多还一些本金3.Prepayment option4. A cap on floating coupon rate1有利于持有者的条款1.Conversion provision可转债2.Floor3.Put option购买债券融资的方式有两种1.Margin call从brokeror银行借款，债券作为抵押----保证金的利息要比rep agreement的利息要高！2.回购交易repo agreement----实际上是一种抵押融资---大多数的bond-dealer融资采用repo agreement2.债券的风险1）利率风险用久期衡量Duration---1.在收益率发生变化的时候，债券的价格的变动的幅度，也就是收益率变化1%，债券的价格变化百分之几？=-价格变化百分比/收益率变化百分比2.利率风险和久期的关系---从概念上来讲，久期本身就是衡量债券价格利率风险的指标！----正比关系，久期越大，利率风险越大！3.价格收益率曲线的斜率---价格收益率曲线的一阶导数！P期限越长久期越大，息票利率越高久期越小，add a call久期变小，add a put，久期变小。
(CFA)一级考试课本总结 - Fix income derevative and alternative investments
金融分析师（CFA）一级考试课本总结- Fix income derevative and alternative investments阅读(38) 评论(0) 发表时间：2008年12月21日07:31本文地址：/blog/657383549-1229815875本文标签: yield bonds coupon 债券riskFix income derevative and alternative investmentsIndenture是借贷双方的合约。
zero-coupon bonds，到期付par value，中间不付息，所以高折价发行，一般用半年期折现accrual bonds，类似zero coupon，以par value发行，有coupon rate，按利息按复利，到期结算step-up notes，coupon rate逐渐上涨deferred-coupon bonds，第一次付息推迟。
浮息债券new coupon rate=reference rate+-quoted margin，upper limit 叫cap，lower limit叫floor，组合叫collaraccrual bonds在付息日之间交易，有clean price和full price，计算交易日为止未付的利息。
Bond中的Optioncall feature，发债人可以以高于par value的价格买回，在call protection时期不能买回。
prepayment option，允许发债人提前支付本金给amortizing securityput feature，允许bondholder 提前收回principalconversion option，允许bondholder转换一定数量的普通股；如允许交换别的公司股票，叫做exchange option回购协议，repo，卖证券的公司承诺在特定时间特定价格买回证券。
CFA一级典型例题AlternativeInvestments另类投资
CFA一级典型例题AlternativeInvestments另类投资Alternative Investments(Time: 15 Min.)1. Compared to traditional investments, alternative investments are most likely to be more:A. transparentB. leveragedC. liquidAnswer: BAlternative investments tend to use more leverage and are typically less liquid and less transparent than traditional investments.2. A portfolio manager who adds hedge funds to a portfolio of traditional securities is most likely seeking to:A. increase expected returns only.B. both increase expected returns and decrease portfolio variance.C. decrease portfolio variance only.Answer: BFor a portfolio of traditional securities, adding alternative investments such as hedge funds can potentially incre ase the portfolio’s expected returns, because these investments often have higher expected returns than traditional investments, and decrease portfolio variance, because returns on these investments are less than perfectly correlated with returns on traditional investments.3. Capital provided for companies beginning operation but before commercial manufacturing and sales have occurred best describes which stage in venture capital investing?A. Seed-stageB. Early-stageC. Later-stageAnswer: BEarly-stage financing is capital provided for companies moving into operation and before commercial manufacturing and sales have occurred.4. Which of the following statements is least likely an advantage of investing in hedge funds through a fund of funds? Funds of funds provide:A. an increase in expected return through diversification.B. expertise in selecting funds and conducting due diligence.C. access to successful funds that may otherwise be closed to new investors.Answer: ADiversification results in risk reduction, not return enhancement. Further, the fees charged by the fund of funds manager will likely reduce returns relative to direct hedge fund investment.5. Which classification of hedge funds is least likely to use a short position in stock as a part of its strategy?A. Market-neutral funds.B. Emerging-market funds.C. Distressed securities funds.Answer: BEmerging-market funds invest in less liquid and less efficient assets of emerging markets that are difficult to short.6. The period of time within which a hedge fund must fulfilla redemption request is the:A. lockup period.B) notice period.C) withdrawal period.Answer: BA notice period, typically 30 to 90 days, is the amount of time a fund has after receiving notice of a redemption request to fulfill the redemption request. A lockup period is a minimum length of time before an investor may redeem shares or make withdrawals.7. A typical hedge fund fee structure is least likely to include a:A. base fee.B. high water mark.C. negative incentive fee.Answer: CC is correct because the fee structure can include a base fee and “high water mark” but not a negative performance fee. The lowest performance fee would be zero.8. A form of direct investment in mortgages is:A. commercial mortgage-backed securities.B. whole loans.C. mortgage real estate investment trusts.Answer: BWhole loans (i.e., commercial property mortgages) are considered direct investments. Commercial mortgage-backed securities (CMBS) and mortgage REITs are indirect investments.9. A Canadian hedge fund has a value of C$100 million at the beginning of the year. The fund charges a 2% management fee based on assets under management at the beginning of the year and a 20% incentive fee with a 10% hard hurdle rate. Incentive fees are calculated net of management fees. The value at the end of the year before fees is C$112 million. The net return toinvestors is closest to:A. 10%.B. 8%.C. 9%.Answer: AManagement Fee: C$100.0 × 2.0% = C$2.0 millionGross value at end of year (given) = C$112.0 millionIncentive fee = [(C$112.0 ? C$100.0 ? C$2.0 ? (C$100.0 × 10.0%)] × 20% = C$0Total fee = C$2.0 millionNet of fee: C$112.0 ? C$2.0 = C$110.0 millionNet return = (C$110.0 / C$100.0) ? 1 =10.0%10. A hedge f und started with an initial investment of €75 million. The end-of-year value after fees for Year 1 was €70 million. For Year 2, the end-of-year value before fees is €90 million. The fund has a 2 and 20 fee structure. Management fees are paid independently of incentive fees and are calculated on end-of-year values. Incentive fees are calculated using a high water mark and a soft hurdle rate of 2%. Total fees paid for Year2 are:A. €4.4 million.B. €5.8 million.C. €4.8 million.Answer: CManagement fee = €90 million* 0.02 = €1.8 million.Gross return = (€90/€75) ? 1 = 20.0%. The soft hurdle rate was exceeded.Because of the high water mark, incentive fees are paid only on the increase in value above the previous high value of €75 million.Incentive fee = (€90 million ? €75 million) * 0.20 = €3.0 million.Total fee: €1.8 million + €3.0 million = €4.8 million.。
金囿学堂CFA一级另类投资【精讲】
capital.
内z Real estate: direct ownership or indirectly through real estate equity/debt
Investment Structures
堂 General Partner (GP) : the fund 传 Limited Partners (LPs) : investors
Funds are generally structured with a management fee based on assets under
囿 Financial Reporting and Analysis Corporate Finance
Portfolio Management
Equity Investment
禁10 20 7
严7 10
Fixed Income Derivatives
，
10 5
Study Session 18
料 Alternative Investments
4
资 Overview of Level I Alternative Investments
部Study Session 18 Alternative Investments
内 Hedge Funds
Private Equity
Real Estate
Commodities Infrastructure
Risks for alternative investments
2019CFA一级考试答案
2019CFA一级考试答案2019年CFA一级考试答案如下：
1. 投资组合管理的基本原则包括：
- 资产配置
- 风险管理
- 投资组合构建
- 投资组合监控和调整
2. 金融市场的分类主要有：
- 货币市场
- 资本市场
- 外汇市场
- 衍生品市场
3. 固定收益证券的定价因素包括：
- 利率水平
- 信用风险
- 流动性
- 到期时间
4. 权益投资分析中，公司财务报表分析的关键指标有： - 营业收入增长率
- 净利润率
- 资产负债率
- 股息收益率
5. 金融衍生品包括：
- 期货合约
- 期权合约
- 掉期合约
- 信用衍生品
6. 另类投资的类型有：
- 对冲基金
- 私募股权
- 商品投资
- 实物资产
7. 经济周期的阶段包括：
- 扩张阶段
- 顶峰阶段
- 衰退阶段
- 谷底阶段
8. 货币的时间价值计算公式为：
\[ FV = PV \times (1 + r)^n \]
其中，FV代表未来价值，PV代表现值，r代表利率，n代表时间周期。
9. 投资组合风险的度量方法包括：
- 方差
- 标准差
- 贝塔系数
- 夏普比率
10. 行为金融学中常见的认知偏差有：
- 过度自信
- 损失厌恶
- 代表性启发
- 锚定效应
以上为2019年CFA一级考试部分答案的简要概述。
考生在准备考试时应深入理解每个概念，并能够应用到实际的金融分析和决策中。
CFA考试一级章节练习题精选0401-14(附详解)
CFA考试一级章节练习题精选0401-14（附详解）1、The tools used by the U.S. Federal Reserve system (the Fed) to implement monetary policy most likely include:【单选题】A.transfer payments.B.open market operations.C.raising or lowering income taxes.正确答案:B答案解析:“Money, the Price Level, and Inflation,” Michael ParkinThe Fed uses three main policy tools to achieve its objectives: requi red reserve ratios, discount rate, and open market operations.2、Which of the following is least likely to be a valid function/characteristic of money? Money:【单选题】A.acts as a unit of account.B.provides a means of payment.C.requires a double coincidence of wants.正确答案:C答案解析:“Money, the Price Level, and Inflation,” Michael ParkinThe functions of money include being a means of pa yment, acting as a medium of exchange,acting as a unit of account, and acting as a store of value. It does not require a double coincidence of wants, as barter does.3、Capital provided for companies beginning operation but before commercial manufacturing and sales have occurred best describes which stage in venture capital investing?【单选题】A.Seed-stageB.Early-stageter-stage正确答案:B答案解析:“Alternative Investments”, Global Investments, Sixth Edition, by Bruno Solnik and Dennis McLeavey, CFAB is correct. E arly-stage financing is capital provided for companies moving into operation and before commercial manufacturing and sales have occurred.4、Which of the following statements is most accurate in describing total surpluswith respect to a product or service?【单选题】A.Price minus marginal cost, summed over the quantity bought.B.Marginal benefit minus price, summed over the quantity bought.C.Marginal benefit minus marginal cost, summed over the quantity bought.正确答案:C答案解析:总剩余（total surplus）是消费者剩余（consumer surplus）加上生产者剩余（producer surplus），即将边际收益减去边际成本，在所有购买量上的加总。
CFA考试一级章节练习题精选0401-18(附详解)
CFA考试一级章节练习题精选0401-18（附详解）1、The following information is available about a hedge fund:Assume management fees are calculated using end-of-period valuation. The investor's net return given this fee structure is closest to:【单选题】A.9.68%.B.10.88%.C.9.79%.正确答案:C答案解析:Management fee: 1% of $112 million = $1.12 million.Section 3.32、The real estate index most likely to suffer from sample selection bias is a(n):【单选题】A.REIT index.B.appraisal index.C.repeat sales index.正确答案:C答案解析:Only properties that sell in each period and are included in the index and vary over time which may not be representative of the whole market.Section5.33、If the level of broad inflation indices is largely determined by commodity prices, the average real yield on direct commodity investments is most likely:【单选题】A.greater than zero.B.equal to zero.C.less than zero.正确答案:B答案解析:As the price increases of commodities are mirrored in higher price indices, the nominal return is equal to inflation and thus the real return is zero.Section 6.34、Adding alternative investments to a portfolio of traditional investments will most likely result in a new combined portfolio with returns and standard deviation that are, respectively:【单选题】A.[1668201704061-image/0446.jpg]B.[1668201704061-image/0447.jpg]C.[1668201704061-image/0448.jpg]正确答案:B答案解析:“Introduction to Alternative Investments”, Terri Duhon, George Spentzos, CFA, and Scott D. Stewart, CFAB is correct because the risk/return profile of the overall portfolio will potentially improve. The overall risk will most likely drop, and the overall return will most likely rise.5、An analyst does research about commodity markets.Which of the followingstatements about investing in commodities is least accurate?【单选题】。
CFA考试《CFA一级》历年真题精选20(附详解)
CFA考试《CFA一级》历年真题精选20（附详解）1、Several years ago, Leo Peek, CFA, co-founded an investment club. The club is fully invested but has not actively traded its account for at least a year and does not plan to resume active trading of t he account. Peek’s employer requires an annual disclosure of employee stock ownership. Peek discloses all of his personal trading accounts, but does not disclose his holdings in the investment club. Peek’s actions are least likely to be a violation of which of the CFA Institute Standards of Professional Conduct?【单选题】A.Misrepresentation.B.Transaction priority.C.Conflicts of interest.正确答案:B答案解析:CFA Institute StandardsB is correct as there is no indication that the investment club is trading ahead of clients. Standard I (C).2、A U.S. Treasury bill (T-bill) has 90 days to maturity and a bank discount yield of 3.25%. The effective annual yield (EAY) for the T-bill is closest to:【单选题】A.3.29%.B.3.32%.C.3.36%.正确答案:C答案解析:“Discounted Cash Flow Applications,” Richard A. DeFusco, CFA, Dennis W. McLeavey, CFA, Jerald E. Pinto, CFA, and David E. Runkle, CFA2013 Modular Level I, Vol. 1, Reading 6, Section 4, Table 7Study Session 2-6-e, fCalculate and interpret the bank discount yield, holding period yield, effective annual yield, and money market yield for U.S. Treasury bills and other money market instruments.Convert among holding period yields, money market yields, effective annual yields, and bond equivalent yields.Then, calculate the holding period yield (HPY) (recall that T-bills are pure discount instruments and do not pay coupons):HPY = (100 – 99.1875) ÷ 99.1875 = 0.00819.Finally, convert the HPY into effective annual yield:3、A sample of 240 managed portfolios has a mean annual return of 0.11 and a standard deviation of returns of0.23. The estimate of the standard error of the sample mean is closest to:【单选题】A.0.00096.B.0.00710.C.0.01485.正确答案:C答案解析:“Sampling and Estimation,” Richard A. DeFusco, CFA, Dennis W. McLeavey, CFA, Jerald E. Pinto, CFA, and David E. Runkle, CFA2013 Modular Level I, Vol. 1, Reading 10, Section 3.1Study Session 3– 10– fCalculate and interpret the standard error of the sample mean.C is correct.For a sample, the standard error of the mean is Here,4、The following table shows the volatility of a series of funds that belong to the same peer group, ranked inascending order:The value of the first quintile is closest to:【单选题】A.10.70%.B.10.84%.C.11.09%正确答案:A答案解析:“Statistical Concepts and Market Returns,” Richard A. DeFusco, CFA, Dennis W. McLeavey, CFA, Jerald E. Pinto, CFA, and David E. Runkle, CFA2013 Modular Level I, Vol. 1, Reading 7, Section 6.1Study Session 2–7–fCalculate and interpret quartiles, quintiles, deciles, and percentiles.A is correct. First, find the position of the first quintile with the following formula:wherey is the percentage point at which we are dividing the distribution. In our case we have y = 20, which corresponds to the n is the number of observations (funds) in the peer group. In our case we have n = 13;Therefore, the location of the first quintile is between the volatility of Fund 2 and Fund 3 (because they are ranked in ascending order).Then, use linear interpolation to find the approximate value of the first quintile:where5、The view that the money wage rates are sticky in the short-run is least likely held by which of the following schools of thought?【单选题】A.ClassicalB.KeynesianC.Monetarist正确答案:A答案解析:“Aggregate Supply and Aggregate Demand,” Michael ParkinClassical economists believe the economy is self-regulating and that wage rates will correct quickly to changes in economic conditions. Both Keynesian and monetarist economists believe that wage rates are sticky in the short-run.6、A company’s $100 par perpetual preferred stock has a dividend rate of 7 percent and a required rate of return of 11 percent. The company’s earnings are expected to grow at a constant rate of 3 percent per year. If the market price per share for the preferred stock is $75, the preferred stock is most appropriately described as being:【单选题】A.overvalued by $11.36.B.undervalued by $15.13.C.undervalued by $36.36.正确答案:A答案解析:“An Introduction to Security Valuation,” Fra nk K. Reilly, CFA and Keith C. Brown, CFA$7/ 0.11 = $63.64. The stock is overvalued by $75.00 – 63.64 = $11.36.7、An index provider has created a new investable index that tracks the hedge fund industry. Any fund that follows a long/short equity strategy can enter the index. The index provider places new constituents in the index at the end of each year and incorporates the new funds’ track record in the database. Which of the following is least likely a bias that might distort the historical performance of the index?【单选题】A.Backfilling.B.Self-selection.C.Tracking error.正确答案:C答案解析:“Alternative Investments,” Bruno Solnik and Dennis McLeaveyC is correct because this is not a bias that is associated with distorting the performance of a hedge fund index. Tracking error is a risk more commonly associated with mutual funds and ETFs when their investments deviate significantly from those in the index it is benchmarked against. Many hedge funds pursue absolute returns and may deviate materiallyfrom indices.8、Last year, a portfolio manager earned a return of 12%. The portfolio’s beta w as 1.5. For the same period, the market return was 7.5% and the average risk-free rate was 2.7%. Jensen’s alpha for this portfolio is closest to:【单选题】A.0.75%.B.2.10%.C.4.50%.正确答案:B答案解析:“Portfolio Risk and Return Part II,” Vijay SingalB is correct. Jensen’s alpha = 0.12 – [0.027 + 1.5(0.075 – 0.027)] = .021 or 2.10%.9、Which of the following types of profit is most likely the level of accounting profitneeded to just cover the implicit opportunity costs ignored in accounting costs?【单选题】A.Normal profit.B.Economic profit.C.Accounting profit.正确答案:A答案解析:机会成本里面包含隐含的收益率以及企业所能获得的正常利润，经济利润为零并不代表没有利润，只是说明收入正好弥补了显性成本和隐性成本（两者相加代表机会成本），企业获得了正常利润。
2013年6月CFA+Level+I+重点习题集+Alternative
Introduction1. Alternative investment funds are not typically managed:A. Actively.B. To generate positive beta returnC. Assuming that markets are inefficient2. Adding alternative investments to a portfolio of traditional investments will most likely result in a new combined portfolio with returns and standard deviation that are, respectively:Returns Standard DeviationA. lower lowerB. higher lowerC. higher higherHedge funds3. An alternative investments fund that employs leverage and takes long and short positions in securities is most likely a:A. Hedge fund.B. Venture capital fund.C. Leveraged buyout fund.4. For a hedge fund, which strategy is related to going long the stock of the company being acquired and going short the stock of the acquiring company:A. Event‐driven strategiesB. Relative value strategiesC. Equity hedge strategies5. For a hedge fund investor, a benefit of investing in a fund of funds is least likely the:A. Multilayered fee structure.B. Higher level of due diligence expertise.C. Ability to negotiate better redemption terms.6. High‐water marks are typically used when calculating the incentive fee on hedgefunds. They are most likely used by clients to:A. Avoid prime brokerage fees.B. Claw back the management fees.C. Prevent paying twice for the same performance.7. High Plains Capital is a hedge fund with a portfolio valued at $475,000,000 at the beginning of the year. One year later, the value of assets under management is $541,500,000. The hedge fund charges a 1.5% management fee based on theend‐of‐year portfolio value, and a 10% incentive fee in excess of an 8% hurdle rate. If the incentive fee and management fee are calculated independently, the effective return for a hedge fund investor is closest to:A. 10.89%.B. 11.69%.C. 12.29%.8. Diversification benefits from adding hedge funds to an equity portfolio may be limited because:A. Hedge fund returns are less than perfectly correlated with global equitiesB. Correlations tend to increase during periods of financial crisisC. Hedge funds tend to perform better when global equity prices are declining9. A hedge fund with a market neutral strategy restricts its investment universe to domestic publicly traded equity securities that are not actively traded. In calculating net asset value, the fund is most likely to use which of the following to value underlying positions:A. Average quotesB. Average quotes adjusted for liquidityC. Bid price for shorts and ask price for longsPrivate equity funds:10. Angel investing capital is typically provided in which stage of financing?A. Later‐stageB. Formative‐stageC. Mezzanine‐stage11. Which attributes would a private equity firm most likely consider when deciding if a company is particularly attractive as a leveraged buyout target?A. Sustainable cash flowB. Efficiently managed companiesC. Market value exceeds intrinsic value12. Hedge funds are similar to private equity funds in that both:A. are typically structured as partnershipsB. assess management fees based on assets under managementC. do not earn an incentive fee until the initial investment is repaidReal estate:13. Which of the following investments most likely provides an investor with indirect, equity exposure to real estate?A. Real estate investment trusts.B. Real estate limited partnerships.C. Commercial mortgage backed securities.14. Direct commercial real estate ownership least likely requires investing in:A. Large amountsB. Illiquid assetsC. A short time horizon.15. A real estate property valuation would least likely use a(n):A. Income approachB. Asset‐based approachC. Comparable sales approach16. An investor seeks a current income stream as a component of total return, and desires an investment that historically has low correlation with other asset classes. The investment most likely to achieve the investor’s goals is:A. TimberlandB. CollectiblesC. CommoditiesCommodities17. U.S. farmers have become concerned that the future supply of wheat production will exceed demand. Any hedging activity to sell forward would most likely protect against which market condition?A. ContangoB. Full carryC. Backwardation18. If an investor uses derivatives to make a long investment in commodities, the return earned on margin is best described as:A. Price return.B. Collateral yield.C. Convenience yield.19. The most likely impact of adding commodities to a portfolio of equities and bonds is to:A. Increase riskB. Enhance return.C. Reduce exposure to inflation.20. The return on a commodity index is likely to be different from returns on the underlying commodities because:A. Assets are not marked to market.B. Data are subject to survivorship bias.C. Indices are constructed using futures contracts.21. For a commodity market that is in contango, an unchanged spot price over the life of a contract will result in a roll yield that is:A. ZeroB. PositiveC. Negative22. A manager following a long‐only commodity index strategy is least likely to adjust the portfolio:A. To reduce exposure to a declining commodity marketB. for changes in the composition of the commodity indexC. By closing out expiring contracts and re‐establishing positions in new contracts.Risk management:23. Standard deviation is least likely an appropriate measure of risk for:A. Hedge fundsB. Publicly traded REITs.C. Exchange‐traded funds.24. An analyst wanting to assess the downside risk of an alternative investment is least likely to use the investment’s:A. Sortino ratioB. Value at riskC. Standard deviation of returns1.B2.B3.A4.A5.A6.C7.B8.B9.B10.B11.A12.A13.A14.C15.B16.A17.C18.B19.C20.C21.C22.A23.A24.C。
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Alternative Investments(Time: 15 Min.)1. Compared to traditional investments, alternative investments are most likely to be more:A. transparentB. leveragedC. liquidAnswer: BAlternative investments tend to use more leverage and are typically less liquid and less transparent than traditional investments.2. A portfolio manager who adds hedge funds to a portfolio of traditional securities is most likely seeking to:A. increase expected returns only.B. both increase expected returns and decrease portfolio variance.C. decrease portfolio variance only.Answer: BFor a portfolio of traditional securities, adding alternative investments such as hedge funds can potentially incre ase the portfolio’s expected returns, because these investments often have higher expected returns than traditional investments, and decrease portfolio variance, because returns on these investments are less than perfectly correlated with returns on traditional investments.3. Capital provided for companies beginning operation but before commercial manufacturing and sales have occurred best describes which stage in venture capital investing?A. Seed-stageB. Early-stageC. Later-stageAnswer: BEarly-stage financing is capital provided for companies moving into operation and before commercial manufacturing and sales have occurred.4. Which of the following statements is least likely an advantage of investing in hedge funds through a fund of funds? Funds of funds provide:A. an increase in expected return through diversification.B. expertise in selecting funds and conducting due diligence.C. access to successful funds that may otherwise be closed to new investors.Answer: ADiversification results in risk reduction, not return enhancement. Further, the fees charged by the fund of funds manager will likely reduce returns relative to direct hedge fund investment.5. Which classification of hedge funds is least likely to use a short position in stock as a part of its strategy?A. Market-neutral funds.B. Emerging-market funds.C. Distressed securities funds.Answer: BEmerging-market funds invest in less liquid and less efficient assets of emerging markets that are difficult to short.6. The period of time within which a hedge fund must fulfill a redemption request is the:A. lockup period.B) notice period.C) withdrawal period.Answer: BA notice period, typically 30 to 90 days, is the amount of time a fund has after receiving notice of a redemption request to fulfill the redemption request. A lockup period is a minimum length of time before an investor may redeem shares or make withdrawals.7. A typical hedge fund fee structure is least likely to include a:A. base fee.B. high water mark.C. negative incentive fee.Answer: CC is correct because the fee structure can include a base fee and “high water mark” but not a negative performance fee. The lowest performance fee would be zero.8. A form of direct investment in mortgages is:A. commercial mortgage-backed securities.B. whole loans.C. mortgage real estate investment trusts.Answer: BWhole loans (i.e., commercial property mortgages) are considered direct investments. Commercial mortgage-backed securities (CMBS) and mortgage REITs are indirect investments.9. A Canadian hedge fund has a value of C$100 million at the beginning of the year. The fund charges a 2% management fee based on assets under management at the beginning of the year and a 20% incentive fee with a 10% hard hurdle rate. Incentive fees are calculated net of management fees. The value at the end of the year before fees is C$112 million. The net return to investors is closest to:A. 10%.B. 8%.C. 9%.Answer: AManagement Fee: C$100.0 × 2.0% = C$2.0 millionGross value at end of year (given) = C$112.0 millionIncentive fee = [(C$112.0 − C$100.0 − C$2.0 − (C$100.0 × 10.0%)] × 20% = C$0Total fee = C$2.0 millionNet of fee: C$112.0 − C$2.0 = C$110.0 millionNet return = (C$110.0 / C$100.0) − 1 =10.0%10. A hedge fund started with an initial investment of €75 million. The end-of-year value after fees for Year 1 was €70 million. For Year 2, the end-of-year value before fees is €90 million. The fund has a 2 and 20 fee structure. Management fees are paid independently of incentive fees and are calculated on end-of-year values. Incentive fees are calculated using a high water mark and a soft hurdle rate of 2%. Total fees paid for Year 2 are:A. €4.4 million.B. €5.8 million.C. €4.8 million.Answer: CManagement fee = €90 million* 0.02 = €1.8 million.Gross return = (€90/€75) − 1 = 20.0%. The soft hurdle rate was exceeded.Because of the high water mark, incentive fees are paid only on the increase in value above the previous high value of €75 million.Incentive fee = (€90 million − €75 million) * 0.20 = €3.0 million.Total fee: €1.8 million + €3.0 million = €4.8 million.。