CFA一级模考
CFA一级模考
CFA一级模考题1 . A 30-year, 10% annual coupon bond is sold at par. It can be called at the end of 10 years for$1,100. What is the bond's yield to call (YTC)?A) 8.9%.B) 10.6%.C) 10.0%.B was correct!N = 10; PMT = 100; PV = 1,000; FV = 1,100; CPT → I = 10.6.2. To reduce the cost of long-term borrowing, a corporation with a below average credit ratingcould:A) decrease credit enhancement.B) issue securitized bonds.C) issue commercial paper.B was correct!Commercial paper is only issued by corporations with top credit ratings. Decreasing credit enhancements increase the cost of borrowing.3. The principal value of a sovereign bond is $1,000 at issuance and $1,055 two years afterissuance. This bond most likely:A) is indexed for inflation.B) trades at a premium.C) has been upgraded.A was correct!Inflation-indexed bonds often have a capital-indexed structure in which the principal value is adjusted periodically by the inflation rate. Credit rating upgrades or downgrades do not affect the principal value of bonds. A bond is trading at a premium when its market price is greater than its principal value.4. If the current two-year spot rate is 6% while the one-year forward rate for one year is 5%,what is the current spot rate for one year?A) 7.0%.B) 5.5%.C) 5.0%.A was correct!(1 + 1y1y)(1 + s1) = (1 + s2)2(1 + 0.05)(1 + s1) = (1 + 0.06)2(1 + s1) = (1.06)2 / (1 + 0.05)1 + s1 = 1.1236 / 1.051 + s1 = 1.0701s1 = 0.07 or 7%5. A 20-year bond with a par value of $1,000 and an annual coupon rate of 6% currently trades at$850. It has a yield to maturity of:A) 7.5%.B) 7.9%.C) 6.8%.A was correct!N = 20; FV = 1,000; PMT = 60; PV = -850; CPT → I = 7.5。
(完整版)CFA一级模考试题及答案.doc
ANSWERS FOR MOCK EXAM 1 (MORNING SESSION)1. D.Although Terence has passed Level III, he has not yet received his charter andcannot use the CFA designation. The description provided in the cover letterproperly describes his situation.2. C.Amy must take both actions-notifying her immediate supervisor and delivering acopy of the Code and Standards.3. D.4. C.Members may undertake an independent practice that could result in compensationor other benefit in competition with their employer provided they obtain writtenconsent from both their employer and the party for whom they undertakeindependent practice.5. C.To maintain his objectivity, Keith should pay his own hotel bill. Because the itineraryrequired charter flights due to a lack of commercial transportation, A& K Limited can appropriately provide them.6. C. Under ERISA, fiduciaries must act solely in the interest of, and for the exclusivepurpose of benefiting, the plan participants and beneficiaries.7. B. Daniel must give priority to transactions for clients and employers over transactionsfor his children.8. A.To avoid violating the standards, members cannot trade until the member's clients andemployers have had an adequate opportunity to act on the recommendation.9. C.The requirements of Standard IV (B.5) are not intended to prevent Lambert fromcooperating with an investigation by AIMR's Professional Conduct Program.10. B.Vivian should disclose to her clients and prospects her husband's holdings in DoubleLimited because this matter could be expected to impair her ability to makeunbiased and objective recommendations.11. B.12. B.Accruals accounting is required.13. C.Standard I(B) Fundamental Responsibilities. Prohibition against participating orassisting in illegal and ethical violations. If Roberts suspects someone isplanning or engaging in illegal activities, he should: (1) determine the legalityof the activities, (2) disassociate himself from the illegal or unethical activity, and(3) urge his firm to attempt to persuade the perpetrator to stop. The AIMRStandards of Professional Conduct do not require that Roberts report suchactivities to the authorities, but the law might.14. C.Standard III(C) Disclosure of Conflicts to Employer. Gloria should disclose to heremployer all matters that could reasonably be expected to interfere with herability to make unbiased and objective recommendations. Her service as atrustee of the Well Limited Foundation for Heart Research is most likely to beconsidered a conflict of interest with her responsibility to her employer.15. C.Standard III (E) Responsibilities of Supervisors. Paul may delegate supervisory duties,but such delegation does not relieve him of his supervisory responsibility.16. A.Standard IV (B.3) Fair Dealing. Johnson violated the standard on fair dealingbecause he did not deal fairly and objectively with all clients and prospectswhen disseminating investment recommendations. Instead, he showedfavoritism to his best clients. In disseminating investment recommendations,Johnson should consider making the information available to clients based ontheir interest and suitability. A change of recommendation from buy to sell or sellto buy is generally material.17. D.Standard IV(B.5) Preservation of Confidentiality. Choice B is false because thisAnswers for Mock Exam 1 (Morning Session) (Rev. 1) 1standard prohibits members from executing settlement agreements that preventmembers from providing information in an investigation by AIMR's ProfessionalConduct Program (PCP). Choice C is false because a person cannot withholdinformation during PCP investigations. Choice A is false because if a memberreceives information due to his or her special relationship with the clientindicating illegal behavior on the past of the client, the member may not have anobligation to inform the appropriate authorities.18. A.Standard IV(B.6) Prohibition against Misrepresentation. Members are not permitted tomake any assurances or guarantees about any investment, except tocommunicate accurate information. The statement that investment grade bondshave less default risk than junk bonds is an accurate statement.19. e BGN node: n = 10; i = 12 PMT = 1,000, compute FV = 19.654.5820. B.The present value of a perpetuity is PV = A/r = 500/0.1 = $5,000.21. B.i = 6/12 = 0.5; n = 10x12 = 120; PV = 40,000 Compute PMT22. A.23. A.A binomial random variable has an expected value or mean equal to np andvariance equal to np(1-p).Mean = 12(0.5) = 6; variance (12)(0.5)(1-0.5) = 324. D.25. B.Rbt-1 = In St+1 /St = (1+RL1-1) = In (40/25) = 0.47. Thus, 47% is thecontinuously computed return for the one-year holding period.26. B.Choice A describes cross-sectional data.Choice B describes time-series data.27. D.The dependent variable, Y, is equal to the intercept, b0, plus a slope coefficient, b1,times the independent, X, plus an error term, ε.28. C.I N FV Compute PV10 1 100 90.9110 2 150 123.9710 3 200 150.2610 4 250 170.75Total 535.8929. B.Step 1: Solve for the PV of the 5 payments of 3,000 to be received in years 3through 7.n = 5; i = 10; PMT = 3,000; compute PV =11,372.3611,372.36 falls one year before the first payment, or in year 2.Step 2: Find the present value of 11,372.36 that is two years in the future. n= 2; i = 10; FV =11,372.36; compute PV =9,398.64 or 9,399(rounded).30. D.From weakest to strongest, the ordering of measurements scales is nominal, ordinal,interval, and ratio.31. B.An interval is a set of return values within which an observation not falls.32. C.Step 1. Calculate the mean monthly return = 2% + (- 4%) + 1% + 5% = 4%M = 1%Step 2.Calculate the population standard deviation:([(2% - 1%) 2 + (-4% -1%) 2 +(1% - 1%) 2 +(5% -1%)2 ]N)1/ 2=3.24%Step 3. Calculate the sample standard deviation: ([(2% - 1%)2 + (-4% -1%) 2+ (1% - 1%) 2+ (5% - l%) 2 ])/n - 1) 1/ 2 = 3. 74%33. B.According to Chebyshev's inequality, the proportion of the observations within 2,which is k, standard deviations of the mean is at least 1 -(l/k) 2 = 1-(1/2 2) =0.75 or 75%.34. A.The probability is 30/200 = 0.15.35. ing the addition rule for probabilities, P (analyst or positive) =P(analyst) +Answers for Mock Exam 1 (Morning Session) (Rev. 1) 2P(positive) - P(analyst and positive)P (A or positive) = 130/200 + 140/200 - (100/130) = 0.58 or 58%36. B.Savings increases to hold interest rates constant. This means aggregate demandchanges little.37. C.The empirical evidence on the relationship between budget deficits and interest ratesis mixed.Few studies show a significant positive short-term link between budgetdeficits and real interest rates.38. B.Expansion = 1 / reserve requirement = 1/0.25 = 4(4)(150) = 60039. C.People realize this leads to inflation in the long run, so they reduce their moneyholdings. Output rises because the increase is unexpected.40. C.In purely competitive markets, there are a large number of dependent firms.41. D.42. D.43. C.44. C.45. D.Choice A: Accrual accounting does not require the receipt of cash for assurance ofpayment to exist.Choice C and D: These relate only to the condition of completion of theearnings process.46. D.47.ADemand for currency decreases when real interest rates decrease because ofdecreased capital flows.48.CForeign exchange quotations can be expressed on a direct basis -the home currencyprice of another currency — or an indirect basis-- the foreign currency price ofthe home currency.49.C F/S= (1 + r D )/(l + r F) where rates are listed as DC/FCF = (1.3/1.25)(0.4) = 0.41650. C.Direct method:Net income 1000Depreciation 70Goodwill 30Change in accounts receivable 25Change in inventory (35)Change in accounts payable 30Change in wages payable 15Operating cash flows 113551. B. Purchase equipment (200)Sell truck 25Investing cash flows (175)52. D. Sale of common stock 100Issuance of bonds 20Financing cash flows 12053. D.A common size balance sheet expresses all balance sheet accounts as apercentage of total assets.54. C. Original shares of common stock = 1,000,000(12) = 12,000,000Stock dividend = 200,000(12) = 2,400,000New shares of common stock = 200,000(3) = 600,000Total shares of common stock = 15,000,000/12= 1,250,000 Stock dividends are assumed to have been outstanding since the beginningof the year.55. D.Inventory turnover, defined as COGS/Average inventory, if often meaningless forLIFO companies due to the mismatching of costs. The numerator representscurrent costs, whereas the denominator reports outdated historical costs. Thus,the turnover ratio under LIFO will, when prices decrease, trend lower becauseof small COGS and larger inventory. Net profit margin, defined as EA T/Sales,is higher during periods of decreasing profits for LIFO companies. LIFO leadsto a smaller COGS, which reduces EAT, without affecting sales.56. A.In this situation, LIFO results in lower cost of goods sold because it uses the morerecent and lower costs than LIFO. LIFO results in lower cash flows becausethe cash on income taxes is a percentage(the marginal tax rate) of thedifference in inventory values. Thus, with LIFO:Sales-COGS(smaller)EBT (larger)-Taxes (larger) Because taxes paid out are a cash outflow.EAT (larger) If taxes are larger, then cash flow ill be smaller.57. D.COGSFIFO = COGSLIFO - (Ending LIFO Reserve - Beginning LIFO Reserve)COGSFIFO = $250,000 - ($8,000-$5,000) = $247,00058. pared to expensing, capitalizing results in higher profitability in early yearsand lower profitability in later years.59. C.60. D.The present value of the minimum lease payments equals or exceeds 90 percent ofthe value of the fair value of the leased property.61. B.Capital lease affects on the income statement:Step1: Calculate the depreciation charge: ($3,500,000-$450,000)/10 = $305,000Step2: Calculate the interest expense: $3,500,000(0.15) = $525,000Total expense: $305,000+$525,000 = $830,00062. A.63. C.64. A.65. B.66. D.67. B.Dealer-markets are price-driven markets.68. D.69. C.70. C.P/E = Dividend payout ratio/(k-g)Dividend payout ratio = 1 - retention ratio = 1-0.2 = 0.8P/E = 0.8(0.15-0.08) =5.671. B.k = D1/P0+g = $4/$25+0.09 = 0.2572. A.Step1: Calculate the ending index value = ($100)(5) = $500Step2: Calculate the expected return.E(R1) = [Dividends + (Ending value - Beginning value)]/(Beginning value)=[40+(500-490)]/$490 = 0.1 or 10%73. D.The critical factors determining the franchise P/E are the difference between theexpected return on the new opportunities (R) and the current cost of capital (k)and the size of these growth opportunities relative to the firm's current size.74. A.75. C.76. D The completed contract method less net income in the periods beforeconstruction is completed, but not at the end of the contract, than using thepercentage-of-completion method. This is because the completed contractmethod recognizes revenue and expense only when the contract has beencompleted.77. A. Net income 1,000Adjustment for non-cash andnon-operating itemsDepreciation 100Deferred taxes (increase) 40Profit from sale ofequipment (10)Adjustment for workingcapital items:Accounts receivable (decrease) (120)Inventory (increase) (40)Accounts payable (increase) (20)Wages payable (decrease) (10)Cash flow from operations 94078. D79.A When inventory and accounts receivable increase, this is a use of cash (cashoutflow); when assets decrease, this is a source (cash inflow). When accountspayable increase, this is a source of cash (cash inflow); when liabilities decrease,this is a use (cash outflow).80.BCash conversion cycle = receivables days + inventory processing days -payables payment period.Receivables days = 365/receivabies turnover = 365/30 = 12.17 days.Inventory processing days = 365/inventory turnover = 365/15 = 24.33 days.Payables payment period = 365/payabIes turnover = 365/20 = 18.25days.Cash collection cycle = 12.17 + 24.33 –18.25 = 18.25 days.81.BChoice A: Buying fixed assets on credit does not affect current assets butincreases current liabilities. Therefore, the current ratio falls.Choice B: Buying inventory on account increases both inventory and accountspayable. Because the current ratio started off below I, the ratio will increase.Choice C: Selling marketable securities for cash does not affect the amount ofcurrent assets and leaves the current ratio unaffected,Choice D : Paying off accounts payable from cash lowers current assetsand current liabilities by the same amount. Because the current ratio startedoff below 1, the ratio will fall.82.D ROE = Profit margin x Total asset turnover x financial leverageROE = (0.3)(2.1)(0.5)= 0.315 or 31.5%83.AROE = [(S/A)(EBIT/S) - (I/A)](A/EQ)(I - t)ROE = [(2.5)(0.2) - (0.08)](1.2)(0.6) = 0.30 or 30%84. A85.B EPS = ($180,000 - $4,000) / 50,000 = $3.52 per share86. B87. D88.CThese relationships are reversed in the latter years of the asset's life if the firm'scapital expenditures decline.89. D90. C.91. C.92. D.93. D.Absolute yield spread = Yield on Bond A - Yield on Bond B = 10%-7% = 3%94. B.Relative yield spread = (Yield on Bond A - Yield on Bond B)/(Yield on BondB)=(10%-7%)/7% = 0.43 = 43%95. B.Yield ratio = (Yield on Bond A)/(Yield on Bond B) = 6%/7% = 1.4396. B.Current yield = (Annual dollar coupon interest)/(Price of the bond) = 8/130 =0.0625 or 6.25%97. A.When the stock's price (S) - the strike price (X) is positive, a call option isin-the-money. 25-X = 8 so X = 17.98. A.99. A.The writer of put loss = $60-premiun$5 = $55 Thewriter of call gets a maximum gain of $8100. A.101. C.102. D.103. A.104. D.105. B.106. D.107. C.108. A.Securities that fall on the SML are properly valued.109. A.110. A.If a stock's beta were equal to 1, an investor would be expected to get the marketrate of return from buying the stock. E(R) = 5%+1(10%-5%) = 10% 111. D112. D113. C114.BPerfect positive correlation (r = + 1) of the returns of two assets offers no risk reduction, whereas perfect negative correlation (r = -1) offers the greatestrisk reduction.115.BPortfolio A does not lie on the efficient frontier because it has a lower return than Portfolio B but has greater risk. Portfolio D does not lie on the efficient frontier because it has higher risk than Portfolio C but has the same return. 116. C.117.DChoice A: Unsystematic risk is diversifiable risk.Choice B: Systematic risk is undiversifiable risk.Choice C: Total risk= Systematic risk+ Unsystematic risk.118. C119.DCAPM specifies the factor (market risk) but APT does not.120. A。
CFA一级模考
CFA一级模考题1 . Which of the following is generally true of the head and shoulders pattern?A Volume is important in interpreting the data.B The neckline, once breached, becomes a support level.C Head and shoulders patterns are generally followed by an uptrend in the security's price.2 . Nikolai Kondratieff concluded in the 1920s chat since the 1780s, Western economies have generally followed a cycle of how many years?A 18.B 54.C 76.3 . Based on the decennial pattern of cycles, how would the return of the Dow Jones Industrial Average (DJJA) in the year 2015 compare with the return in 2020?A The return would be better.B The return would be worse.C The answer cannot be determined because the theory does not apply to both of those years.4 .According to the U.S. presidential cycle theory, the DJIA has the best performance during which year?A The presidential election year itself.B The first year following a presidential election.C The third year following a presidential election.5 . What is a major problem with long-term cycle theories?A The sample size is small.B The data are usually hard to observe.C They occur over such a long period that they are difficult to discern1. A is correct. Volume is necessary to confirm the various market rallies and reversals during the formation of the head and shoulders pattern.2 . B is correct.3 . A is correct. The decennial pattern theory states that years ending with a 5 will have the best performance of any of the 10 years in a decade and that those ending with a zero will have the worst.4 . C is correct. A possible reason for the superior performance in the third year is that the U.S. presidential election occurs, together with a number of other elections. in a four-year cycle. so the politicians desiring to be reelected inject money into the economy in the third year to Improve their chances of winning the following year.5 . A js correct. Long-term cycles require many years to complete; thus. not many cycles are available to observe.。
CFA一级模考
CFA一级模考题1 .The formative stage of venture capital investing when capital is furnished for market researchand product development is best characterized as the:A) seed stage.B) early stage.C) angel investing stage.A was correct!In the seed stage of venture capital investing, capital is furnished for product development, marketing, and market research. The angel investing stage is when investment funds are used for business plans and assessing market potential. The early stage refers to investments made to fund initial commercial production and sales.2.For which of the following investments is an investor most likely to require the greatest liquiditypremium?A) Real estate investment trusts.B) Private equity funds.C) Commodity futures.B was correct!Private equity funds tend to have lockup periods; investors will require liquidity premiums as compensation. REITs and commodity futures are exchange-traded instruments and much more liquid than private equity funds.3.An additional risk of direct investment in real estate, which is not typically a significant risk in aportfolio of traditional investments, is:A) market risk.B) liquidity risk.C) counterparty risk.B was correct!Direct investment in real estate involves liquidity risk because large sums may be invested for long periods before a sale of the property can take place. Market risk exists for both traditional portfolio and real estate investments. Counterparty risk applies mainly to derivative contracts that require a payment from a counterparty, such as swaps and forwards.4.A private equity provision that requires managers to return any periodic incentive fees resulting ininvestors receiving less than 80% of profits is a:A) clawback.B) drawdown.C) high water mark.A was correct!A clawback provision requires the manager to return any periodic incentive fees to investors thatwould result in investors receiving less than 80% of the profits generated by portfolio investments as a whole.5.Bulldog Fund is a hedge fund with a value of £100 million at the beginning of the year. BulldogFund charges 1.5% management fee based on assets under management at the end of the year anda 25% incentive fee with no hurdle rate. Incentive fees are calculated independent ofmanagement fees. The fund’s value at the end of year before fees is £120 million. Compared to a2 and 20 fee structure, Bulldog Fund’s total fees for the year are:A) higher.B) lower.C) the same.A was correct!。
CFA一级模考
The correct answer was B Retention ratio equals 1 – 0.40, or 0.60. Return on equity equals (10.0%)(2.0)(1.5) = 30.0%. Dividend growth rate equals (0.60)(30.0%) = 18.0%.
4 . Commercial industry classification systems such as the Global Industry Classification Standard (GICS) typically classify firms according to their: A)correlations of historical returns. B)sensitivity to business cycles. C)principal business activities.
CFA一级模考题
1 . A high growth rate would be consistent with: A)a high ROE. B)a high dividend payout rate. C)a low retention rate.
The correct aห้องสมุดไป่ตู้swer was: A Since g = retention rate * ROE, or (1 - payout ratio) * ROE, the only choice that would result in a higher g is a higher ROE. A low ROE, or a high dividend payout rate (which is the same as a low retention rate) would result in a low growth rate.
CFA一级模考
CFA一级模考题1 . The primary reason for a firm to issue equity securities is to:A)improve its solvency ratios.B)acquire the assets necessary to carry out its operations.C)increase publicity for the firm’s products.The correct answer was BWhile issuing equity securities c an improve a company’s solvency ratios and increase the firm’s visibility with the public, the primary reason to issue equity is to raise the capital needed to acquire operating assets.2. If a company has a "0" earnings retention rate, the firm's P/E ratio will equal:A)1 / kB)k + gC)D/P + gThe correct answer was r: AP/E = div payout ratio / (k − g)where g = (retention rate)(ROE) = (0)(ROE) = 0Dividend payout = 1 − retention ratio = 1 − 0 = 1P/E = 1 / (k − 0) = 1 / k3 . The Sustainable Growth Rate is equal to:A)(ROE) x (1+RR).B)(ROE) x (RR).C)(ROE) x (1-RR).The correct answer was BThe Sustainable Growth Rate is equal to the return on the equity portion of new investments (ROE) multiplied by the firm's retention rate (RR).4 . A company with a return on equity (ROE) of 27%, required return on equity (ke) of 20%, and a dividend payout ratio of 40% has an implied sustainable growth rate closest to:A)12.00%.B)16.20%.C)10.80%.The correct answer was Bg = (RR)(ROE)= (.60)(.27)= 0.162 or 16.2%5 . Regarding the estimates required in the constant growth dividend discount model, which of the following statements is most accurate?A)Dividend forecasts are less reliable than estimates of other inputs.B)The model is most influenced by the estimates of "k" and "g."C)The variables "k" and "g" are easy to forecast.The correct answer was BThe relationship between "k" and "g" is critical - small changes in the difference between these two variables results in large value fluctuations.。
CFA一级模考
CFA一级模考题1 . If a good has elastic demand, a small price decrease will cause:A)a larger increase in quantity demanded.B)no change in the quantity demanded.C)a larger decrease in the quantity demanded.The correct answer was AIf a good has elastic demand, a small price decrease will cause a larger increase in the quantity demanded.2 . Income elasticity is defined as the percentage change in:A)income divided by the percentage change in the quantity demanded.B)quantity demanded divided by the percentage change in income.C)quantity demanded divided by the percentage change in the price of the product.The correct answer was BIncome elasticity is defined as the percentage change in quantity demanded divided by the percentage change in income. Normal goods have positive values for income elasticity, and inferior goods have negative income elasticity.3 . Producer surplus is best described as the:A)amount by which price exceeds the cash cost of production.B)excess of price over the opportunity cost of production.C)excess quantity supplied relative to quantity demanded.The correct answer was BProducer surplus is defined as the excess of price over the opportunity cost, not the cash cost, of production. Excess quantity supplied relative to quantity demanded represents a surplus of the good in the market, but is not referred to as producer surplus.4 . Marginal revenue product is best defined as the:A)gain in total revenue from selling one more unit of output.B)addition to total revenue from selling the additional output from using one more unit of an input.C)additional output that results from employing one more unit of a productive input.The correct answer was BThe marginal revenue product is the addition to total revenue from selling the additional output that one more unit of an input can produce. The additional output that results from employing one more unit of a productive input is the marginal product. The gain in total revenue from selling one more unit of output is the marginal revenue. A marginal revenue product exists for any level of output; it is not limited to the level at which marginal revenue equals marginal cost.5 . In a natural monopoly:A)one firm controls all natural resources.B)the average total cost of production continually declines with increased output.C)the price charged by a monopolist is determined by the intersection of the demand curve with the marginal cost curve.The correct answer was BA monopoly situation in which the average total cost of production continually declines with increased output is called a natural monopoly.。
CFA一级模考
CFA一级模考题1.Expected loss is greatest for a corporate bond with a low:A) recovery rate and a high probability of default.B) recovery rate and a low probability of default.C) loss severity and a high probability of default.A was correct!The combination of low recovery rate (high loss severity) and high probability of default will lead to greatest expected loss.2. Yield spreads tend to widen when equity market performance is:A) weak.B) stable.C) strong.A was correct!Conditions that cause equity markets to weaken, such as poor economic growth, also tend towiden yield spreads in the bond market. Likewise, strong equity market performance tends to coincide with narrowing yield spreads. Yield spreads tend to narrow when equity markets are stable because investors "reaching for yield" increase their demand for bonds.3. Which of the following is a limitation of the portfolio duration measure? Portfolio durationonly considers:A) the market values of the bonds.B) a linear approximation of the actual price-yield function for the portfolio.C) a nonparallel shift in the yield curve.B was correct!Duration is a linear approximation of a nonlinear function. The use of market values has no direct effect on the inherent limitation of the portfolio duration measure. Duration assumes a parallel shift in the yield curve, and this is an additional limitation.4. An investor gathered the following information on two U.S. corporate bonds:Bond J is callable with maturity of 5 yearsBond J has a par value of $10,000Bond M is option-free with a maturity of 5 yearsBond M has a par value of $1,000For each bond, which duration calculation should be applied?Bond J Bond MA) Effective Duration Modified Duration or Effective DurationB) Modified Duration Effective Duration onlyC) Effective Duration Effective Duration onlyA was correct!Effective duration is that effective duration is used for bonds with embedded options.Modified duration assumes that all the cash flows on the bond will not change, while effective duration considers expected cash flow changes that may occur with embedded options.5. Which of the following assets is most likely to represent high- qualitycollateral in credit analysis?A. Goodwill.B. Trademarks.C. Deferred tax assets.。
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CFA一级模考题
1 . Over the long term, the annual returns and standard deviations of returns for major asset
classes have shown:
A) a positive relationship.
B) a negative relationship.
C) no clear relationship.
A was correct!
In most markets and for most asset classes, higher average returns have historically been
associated with higher risk (standard deviation of returns).
2. The market portfolio in Capital Market Theory is determined by:
A) a line tangent to the efficient frontier, drawn from any point on the expected return axis.
B) the intersection of the efficient frontier and the investor's highest utility curve.
C) a line tangent to the efficient frontier, drawn from the risk-free rate of return.
C was correct!
The Capital Market Line is a straight line drawn from the risk-free rate of return (on the Y axis) through the market portfolio. The market portfolio is determined as where that straight line is exactly tangent to the efficient frontier.
3. The ratio of a portfolio’s standard deviation of return to the average standar d deviation of the
securities in the portfolio is known as the:
A) diversification ratio.
B) Sharpe ratio.
C) relative risk ratio.
A was correct!
The diversification ratio is calculated by dividing a portfolio’s s tandard deviation of returns by the average standard deviation of returns of the individual securities in the portfolio.
4. Which of the following is the risk that disappears in the portfolio construction process?
A) Unsystematic risk.
B) Systematic risk.
C) Interest rate risk.
A was correct!
Unsystematic risk (diversifiable risk) is the risk that is eliminated when the investor builds a well-diversified portfolio.
5. If the standard deviation of stock A is 10.6%, the standard deviation of stock B is 14.6%, and
the covariance between the two is 0.015476, what is the correlation coefficient?
A) +1.
B) 0.0002.
C) 0.
A was correct!
The formula is: (Covariance of A and B) / [(Standard deviation of A)(Standard Deviation of
B)] = (Correlation Coefficient of A and B) = (0.015476) / [(0.106)(0.146)] = 1.。