CFA一级每日一练36

1、CFA一级每日一练（含详细解析）361、Thereturnonacommodityindexislikelytobedifferentfromreturnsontheunderlyingcommoditiesbecause:【单选题】assetsarenotmarkedtomarket.A. dataaresubjecttosurvivorshipbias.B. indicesareconstructedusingfuturescontracts.正确答案: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:【单选题】1.333.A. 2.667.B. 0.917.正确答案: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:【单选题】?388,400.A. ?425,900.B. ?444,600.正确答案: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?【单选题】Astockhasahighpric

10、e.B. Astocksplitsfrequently.C. Astockhasalargemarketcapitalization.正确答案:C答案解析：价格权重指数主要的偏差源于价格高的股票在指数中的权重较大。市值权重指数主要的偏差源于市值越大的股票在指数中的权重越高。股票拆分会增加股票数量，但由于市值不变，故并不会影响市值权重指数。股票拆分虽然会向下调整指数的除数，以保持拆分前后股票指数一致，但随着股票价格的下降，会降低该股票在指数中的权重，从而会产生偏差。5、EldoraLtd.recentlyissueddeferred-couponbondsforwhichnocouponpaym

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