1、CFA三级练习题精选及答案0601-81、Are Northrups 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 Northrups comment, fund of funds usually do not impose lock-up periods (or mini
2、mum 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
3、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 MCAMs investment sty
4、le over time? MCAMs 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 t
5、o growth returns. The current holdings, however, depict a value orientation when compared with the managers normal benchmark given the differences in dividend yield and P/E. MCAMs style has drifted over time from growth to value.4、What is Kaplans after-tax accumulation after 20 years?【单选题】A.196,438.
6、B.220,521.C.230,521.正确答案:A答案解析:A is correct. The taxable account will accumulate toFVi = 50,0001 + r(1 ti)n= 50,0001 + 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 = 196,4385、Based on the data in Exhibit 2, modifying
7、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 po
8、rtfolioMDURs = duration of swap6、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 ex
9、pire 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 productsB.revised asset allocationC.variable annuity
10、 products正确答案:C答案解析:A jointly owned variable payout lifetime annuity product would provide cash flows until the end of the surviving spouses lifetime. Therefore, the Jones family will not outlive the assets. It is true there is less certainty regarding the cash flows because they are linked to the p
11、erformance of the underlying investments.8、With respect to Viewmonts goal of borrowing at the lowest cost and hedging currency risk, who is most likely correct?【单选题】A.KemigisaB.BazlamitC.Montero正确答案:C答案解析:Montero is correct. Viewmont can reduce its overall borrowing costs by borrowing in U.S. dollar
12、s and engaging in a currency swap for Brazillian reals. This swap not only reduces borrowing costs but also hedges currency exposure.9、In the previous question, suppose DiCenzo sells the securities in the current tax year and replaces them with securities having the same returns. He will then sell t
13、he new securities in the next tax year. What is the total tax savings assuming DiCenzo does not reinvest the tax savings?【单选题】A.0.B.7,500.C.15,000.正确答案:A答案解析:A is correct. Assuming DiCenzo does not reinvest the tax savings, tax loss harvesting does not reduce the total tax paid over time. It only de
14、fers taxes because recognizing the loss resets the cost basis to a lower figure which will ultimately increase the gain realized late by the same amount. Tax loss harvest can augment return by postponing tax liabilities. Reinvesting the current years tax savings increases the after-tax principal inv
15、estment, which can augment the value of tax loss harvesting further.10、The yield curve expectation that Abrams supervisor targets with Scenario 1 is most likely a:【单选题】A.flattening yield curve.B.reduction in yield curve curvature.C.100 bps parallel shift downward of the yield curve.正确答案:A答案解析:A is c
16、orrect. Scenario 1 is an extreme barbell and is typically used when the yield curve flattens. In this case, the 30-year bond has larger price gains because of its longer duration and higher convexity relative to other maturities. If the yield curve flattens through rising short-term interest rates, portfolio losses are limited by the lower price sensitivity to the change in yields at the short end of the curve while the benchmarks middle securities will perform poorly.
