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2020年CFA考试《CFA三级》考试共题,分为。小编为您整理精选模拟习题10道,附答案解析,供您考前自测提升!
1、【单选题】
A.Savior Capital.
B.MarketView LLC.
C.Alphameric Advisors.
正确答案:B
答案解析:B is correct. The historical returns of (a long-only position in) distressed securities have been shown to have negative skewness and
2、【单选题】
A.€578,664.
B.€586,547.
C.€642,960.
正确答案:B
答案解析:B is correct. The after tax wealth accumulation for annually taxable income is
3、Based on Exhibit 1 and the notes following the table, Long Pond is least likely in compliance with GIPS standards with regard to the:【单选题】
A.measure of internal dispersion.
B.length of performance record.
C.presentation of 1Q13 performance.
正确答案:B
答案解析:Long Pond is required by the GIPS standards to present five years of performance because the composite has been in existence for that period. The mid-cap composite was started on 31 December 2001; therefore, performance for 2008 must be presented. After presenting 5 years of performance, the firm should present additional annual performance up to 10 years.
4、【单选题】
A.reduces the need for frequent rebalancing.
B.limits the need to purchase bonds that are thinly traded.
C.provides a higher degree of portfolio risk diversification.
正确答案:C
答案解析:C is correct. Approach 1 is a full replication approach, whereas Approach 2 follows an enhanced indexing
5、DAM is most likely to be characterized as:【单选题】
A.
B.
C.
正确答案:A
答案解析:A is correct. Value-motivated traders are patient, infrequent traders driven by differences between
6、Lehigh's response to Gulen is most likely correct when the option is:【单选题】
A.out of the money.
B.in the money.
C.at the money.
正确答案:C
答案解析:At expiration, at-the-money call options move very rapidly to a delta of 1 or 0. At this point, the gamma is the highest and it is very difficult to maintain a delta-hedged position.
7、To implement Client F's request, Allison's most appropriate course of action is to:【单选题】
A.sell U.S. Treasury bond futures contracts and buy S&P 500 Index futures contracts.
B.buy U.S. Treasury bond futures contracts and buy S&P 500 Index futures contracts.
C.buy stocks in the S&P 500 Index and sell U.S. Treasury bond futures contracts.
正确答案:B
答案解析:Buying U.S. Treasury bond futures and S&P 500 Index futures creates synthetic bond position and synthetic stock index fund positions, respectively. Client F is long $10 million in cash, which can be used to fund the purchases.
8、Which of Reyder's additional notes from the discussion on human capital is most accurate? Her note about:【单选题】
A.the magnitude of loss of human capital
B.the risk tolerance of the combined portfolio
C.term life insurance versus annuities
正确答案:C
答案解析:The statement regarding term life insurance is most accurate. Life insurance is a perfect hedge against the loss of human capital in the event of death, whereas annuities address longevity risk. Although overall risk tolerance increases with human capital, overall risk tolerance decreases with greater wage risk. The magnitude of loss of human capital at younger ages is much more important than the higher probability of death at older ages.
9、Based on Exhibit 1, the approach that is least likely efficient with respect to delivering active returns for a given level of tracking risk is:【单选题】
A.semiactive derivatives.
B.active equity.
C.semiactive equity.
正确答案:B
答案解析:The active equity strategy has the lowest information ratio and is thus least efficient in delivering active returns. Information ratio = Active return (Portfolio – Benchmark)/Tracking risk. The information ratio is 0.5%, which is the lowest of the three.
10、Using dollar duration and the data in Exhibit 1, how much cash does Markov's client need to rebalance the portfolio, assuming new investments are in equal proportions of one-third of each bond?【单选题】
A.$7,993,335.
B.$28,618,000.
C.$8,098,245.
正确答案:A
答案解析:First calculate the dollar duration initially and after the shift in interest rates, as shown in the table below:
What are the indices for a skewed distribution?:What are the indices for a skewed distribution?
What are the responsibilities of the members in reference to the CFA Institute?:Once accepted as a member:每年交述职报告和年费but must not over promise the competency and future investment results.Case
What members and candidates should notice in CFA examinations?:or security of the CFA examinations.(不能恶心CFA),考试不能作弊:考试内容要保密:A. No.:Responsibilities as a CFA Institute Member.right④Case
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