CFA一級每日一練36

1、CFA一級每日一練（含詳細解析）361、Thereturnonacommodityindexislikelytobedifferentfromreturnsontheunderlyingcommoditiesbecause:【單選題】assetsarenotmarkedtomarket.A. dataaresubjecttosurvivorshipbias.B. indicesareconstructedusingfuturescontracts.正確答案:C答案解析：IntroductiontoAlternativeInvestments,”TerriDuhon,GeorgeSpentzos

2、,CFA,andScottD.Stewart,CFA2013ModularLevelI,Vol.6,Reading66,Section6.1StudySession18-66-eDescribeissuesinvaluing,andcalculatingreturnson,hedgefunds,privateequity,realestate,andcommodities.Ciscorrect.Sincecommodityindicesareconstructedusingcommodityfuturesandnottheunderlyingcommoditiestherecanbediffe

3、rencesbetweencommodityindexreturnsandthereturnsoftheunderlyingcommodities.2、ThebondsofWhakataneandCo.arepricedforsettlementon15July2014andhavethefollowingfeatures.Parvalue$100.00Annualcouponrate8%CouponpaymentfrequencySemiannualCouponpaymentdates15Mayand15NovemberMaturitydate15November2017Daycountco

4、nventionActual/ActualAnnualyieldtomaturity5.5%Onthebasisofthisinformation,thedifferencebetweenthefullandflatpricesisclosestto:【單選題】1.333.A. 2.667.B. 0.917.正確答案:A答案角牟析:Thedifferencebetweenthefullandflatpricesistheaccruedinterest,whichiscomputedasfollows.BasedontheActual/Actualdayconvention,thenumbero

5、fdaysbetweenthecouponperiodsis183days.Also,usingtheActual/Actualdaycountconvention,thenumberofdaysbetween15May2014and15July2014is16daysremaininginMay+30daysinJune+15daysinJuly=61days.Accruedinterest(per$100parvalue)=(61/183)(8.00/2)=1.333.2014CFALevelI"IntroductiontoFixed-IncomeValuation,"

6、byJamesF.AdamsandDonaldJ.SmithSection3.13、Acompanyborrows?15millionfromabankfor1yearatarateofLIBOR,currently4.75%,plus50basispoints.Atthesametime,thecompanyentersa1-year,plainvanillainterestrateswaptopaythefixedrateof5.25%andreceiveLIBOR.Paymentsaremadeonthebasisof180daysinthesettlementperiod.Floati

7、ngpaymentsaremadeonthebasisof360daysinayearwhilefixedpaymentsaremadeonthebasisof365daysinayear.LIBORis5.00%onthefirstsettlementdate.Thecompanystotalinterestexpensefortheloanandswapforthefirstsettlementperiodisclosestto:【單選題】?388,400.A. ?425,900.B. ?444,600.正確答案:B答案解析：SwapMarketsandContracts,”DonM.Ch

8、ance2010ModularLevelI,Vol.6,pp.140-144StudySession17-71-bDefine,calculate,andinterpretthepaymentofcurrencyswaps,plainvanillainterestrateswaps,andequityswaps.Thecompanypaystheswapdealerthefixedrateof5.25%,paysthebankLiborof4.75%(assetatthebeginningoftheperiod)plus.50%andreceivesLiborof4.75%fromtheswa

9、pdealer.A. Fixedpayment:(15,000,000)(.0525)(180/365)=388,356Floatingpayment:(15,000,000)(.0475+.005-.0475)(180/360)=37,500Netinterestexpense:425,8564、Ananalystdoesresearchaboutsecuritiesmarketindices.Whichofthefollowingstatementsisleastaccuratetomakeaprice-weightedindexbiased?【單選題】Astockhasahighpric

10、e.B. Astocksplitsfrequently.C. Astockhasalargemarketcapitalization.正確答案:C答案解析：價格權重指數(shù)主要的偏差源于價格高的股票在指數(shù)中的權重較大。市值權重指數(shù)主要的偏差源于市值越大的股票在指數(shù)中的權重越高。股票拆分會增加股票數(shù)量，但由于市值不變，故并不會影響市值權重指數(shù)。股票拆分雖然會向下調整指數(shù)的除數(shù)，以保持拆分前后股票指數(shù)一致，但隨著股票價格的下降，會降低該股票在指數(shù)中的權重，從而會產生偏差。5、EldoraLtd.recentlyissueddeferred-couponbondsforwhichnocouponpaym

11、entswillbepaidinthefirsttwoyearsofthebond'slife.Regularannualcouponpaymentsatarateof9%willthenbemadeuntilthebondsmatureattheendofsixyears.Thespotratesforvariousmaturitiesaregiveninthefollowingtable.TimetoMaturitySpotRate1year8.0%2years7.5%3years7.0%4years6.5%5years6.0%6years5.5%Onthebasisofthesespotrates,thepriceofthebondtodayisclosestto:【單選題】100.12.A. 108.20.B. 116.24.正確答案:A答案解析:Thebondp