CFA考试《CFA三级》历年真题精选及详细解析1007-17

CFA考试《CFA三级》历年真题精选及详细解析1007-171、The NEXT Index data most likely reflects:【单选题】A.volatility clustering.B.transcription errors.C.survivorship bias.正确答案:C答案解析:Survivorship bias arises when a data series only reflects companies that exist at a given moment in time and not companies that may have left prior to the given moment in time (i.e., only the surviving firms are in the data). The NEXT Index has survivorship bias as evidenced by the frequent change in its component firms because of failure and acquisition by larger non-index firms.2、Quest\\\\'s justification for the alternative investments in the WM portfolio is most likely correct with respect to:【单选题】A.private equity.B.real estate.C.hedge funds.正确答案:B答案解析:The real estate investment is in REITs, which are publicly traded securities and liquid. REITs can also provide diversification benefits when included in a portfolio of traditional investments, such as stocks and bonds. Private equity investments have low liquidity and provide low diversification benefits. Hedge funds provide strong diversification benefits but have low liquidity.3、The realized return earned on Berio\\\\'s strategy of investing solely in the 20-year U.S. Treasury bonds is closest to:【单选题】A.8.04%.B.10.94%.C.12.21%.正确答案:B答案解析:E/R = sum of the following components4、【单选题】A.historical data.B.reverse optimization.C.Black–Litterman inputs.正确答案:A答案解析:A is correct. The allocations in Exhibit 1 are mostlikely from an MVO model using historical data inputs. MVO tends to result in5、Statement 4 is most consistent with:【单选题】A.the adaptive markets hypothesis.B.a behavioral approach to asset pricing.C.Savage’s subjective expected utility theory.正确答案:B答案解析:B is correct. Statement 4 indicates that markets can be influenced by the emotions of others6、Which of Brooks\\\\'s comments about price benchmark measures can likely be characterized as a disadvantage of volume-weighted average price?【单选题】ment Cment Bment A正确答案:C答案解析:Gaming (trade delaying) is a disadvantage of VWAP. The VWAP is partly determined at different points of time in the day. Having that knowledge, a trader can compare the current price with an estimate of that day\\\\'s VWAP and decide to trade that day or wait until the next day. Another disadvantage of VWAP (trade size) is that it is less informative for trades thatrepresent a large fraction of volume. In extreme cases, if a single trading desk were responsible for all the buys in a security during a day, that desk\\\\'s average price would equal the VWAP and thus appear to be good, regardless of how high the prices paid. Despite these disadvantages, an advantage of the VWAP is that it is readily obtainable and is a useful measure of quality of execution for smaller trades in non-trending markets.7、【单选题】A.Only Characteristic 1B.Only Characteristic 2C.Both Characteristic 1 and Characteristic 2正确答案:A答案解析:A is correct. The factors commonly used in the factor-based approach generally have low correlations with the market and with8、In her statement regarding input data, Basco is least likely correct with respect to:【单选题】A.fair value.B.settlement date accounting.C.accrual accounting.正确答案:B答案解析:The GIPS standards require that firms use trade-date accounting for the purpose of performance measurement for periods beginning 1 January 2005 (Provision I.1.A.5). The principle behind requiring trade-date accounting is to ensure that no significant lag occurs between a trade\\\\'s execution and its reflection in the portfolio\\\\'s performance.9、One of the discretionary accounts managed by Farnsworth is the Jones Corporation employee profit-sharing plan. Jones, the company president, recently asked Farnsworth to vote the shares in the profit-sharing plan in favor of the slate of directors nominated by Jones Corporation and against the directors sponsored by a dissident stockholder group. Farnsworth does not want to lose this account because he directs all the account’s trades to a brokerage firm that provides Farnsworth with useful information about tax-free investments.【单选题】A.Violated the Standards in voting the shares in the manner requested by Jones but not in directing trades to the brokerage firm.B.Did not violate the Standards in voting the shares in the manner requested by Jones or in directing trades to the brokerage firm.C.Violated the Standards in directing trades to the brokeragefirm but not in voting the shares as requested by Jones.正确答案:B答案解析:The correct answer is B. This question relates to Standard III(A)—Loyalty, Prudence, and Care—specifically, a member’s or candidate’s responsibility for voting proxies and the use of client brokerage. According to the facts stated in the question, Farnsworth did not violate Standard III(A). Although the company president asked Farnsworth to vote the shares of the Jones Corporation profit-sharing plan a certain way, Farnsworth investigated the issue and concluded, independently, the best way to vote. Therefore, even though his decision coincided with the wishes of the company president, Farnsworth is not in violation of his responsibility to be loyal and to provide care to his clients. In this case, the participants and the beneficiaries of the profitsharing plan are the clients, not the company’s management. Had Farnsworth not investigated the issue or had he yielded to the president’s wishes and voted for a slate of directors that he had determined was not in the best interest of the company, Farnsworth would have violated his responsibilities to the beneficiaries of the plan. In addition, because the brokerage firm provides the lowest commissions and best execution forsecurities transactions, Farnsworth has met his obligations to the client in using this brokerage firm. It does not matter that the brokerage firm also provides research information that is not useful for the account generating the commission10、【单选题】A.Expected returnsB.Correlation of returnsC.Standard deviations of returns正确答案:B答案解析:B is correct. After-tax portfolio optimization requires adjusting each asset class’s。