CFA一级百题进阶：其他.docx

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1、9.AlternativeQ-l.Aninvestorisseekinganinvestmentthatcantakelongandshortpositions,mayusemulti-strategies,andhistoricallyexhibitslowcorrelationwithatraditionalinvestmentPortfolio.Theinvestorsgoalswillbebestsatisfiedwithaninvestmentin:A.realestate.B.ahedgefund.C.aprivateequityfund.Solution:B.Hedgefunds

2、mayuseavarietyofstrategies(event-driven,relativevalue,macroandequityhedge),generallyhavealowcorrelationwithtraditionalinvestments,andmaytakelongandshortpositions.Q-2.Ifacommodity*sforwardcurveisincontango,thecomponentofacommoditiesfuturesreturnmostlikelytoreflectthisis:A.spotprices.B.therollyield.C.

3、thecollateralyield.Solution:B.Rollyieldreferstothedifferencebetweenthespotpriceofacommodityandthepricespecifiedbyitsfuturescontract(orthedifferencebetweentwofuturescontractswithdifferentexpirationdates).Whenfuturespricesarehigherthanthespotprice,thecommodityforwardcurveisupwardsloping,andthepricesar

4、ereferredtoasbeingincontango.Contangooccurswhenthereislittleornoconvenienceyield.Q-3.Whenaninvestorholdtheunderlyingassetofafuturecontractandconcernaboutthebackwardationinthefuturemarket,shewillmostlikely:A.Sellforward.B.Buyforward.C.Selltheasset.Solution:A.Aholderofanunderlyingassetwillsufferfromde

5、creasingprices,thusheshouldsellaforwardtolockhispriceatfutureprice.Thusatexpirationthepayoffoftheinvestorwillbe:Cashreceivedfromsellingasset:StExerciseforwardcontract:-(St-Ft)Payoffatexpiration:St-(St-Ft)=FQ-4.UnitedCapitalisahedgefundwith$250millionofinitialcapital.UnitedCapitalchargesa2%management

6、feebasedonassetsundermanagementatyearend,anda20%incentivefeebasedonreturnsinexcessofan8%hurdlerate.Afteroneyearoperation,thefundappreciated16%.Assumemanagementfeesarecalculatedusingend-of-periodvaluation.Theinvestorsnetreturnassumingtheperformancefeeiscalculatednetofthemanagementfeeisclosestto:A.11.

7、58%.B.12.54%.C.12.80%.Solution:B.Thenetinvestorreturnis12.54%,calculatedas:Endofyearcapital=$250millionX1.16=$290millionManagementfee=$290millionx2%=$5.8millionHurdleamount8%of$250million=$20million;Incentivefee=($290$250$20$5.8)million20%=$2.84millionTotalfeestoUnitedCapital=($5.8+$2.84)million=$8.

8、64millionInvestornetreturn:($290-$250-$8.64)/$250=12.54%Q-5.HighPlainsCapitalisahedgefundwithaportfoliovaluedat$950,000,000atthebeginningoftheyear.Oneyearlater,thevalueofassetsundermanagementis$1,083,000,000.Thehedgefundchargesa2%managementfeebasedontheend-of-yearportfoliovalueaswellasa20%incentivef

9、ee.Iftheincentivefeeandmanagementfeearecalculatedindependently,theeffectivereturnforahedgefundinvestorisclosestto:A.8.92%.B.9.06%.C.11.29%.Solution:A.Themanagementfee=$1,083,000,000X0.02=$21,660,000.Theincentivefee=($1,083,000,000-$950,000,000)0.20=$26,600,000.Totalfees=$48,260,000.Return=($1,083,00

10、0,000-$950,000QOo-$48,260Qo0)/$950,000,000=8.92%.Q-6.Underthecoststoragetheory,whichofthefollowingconditionswillattributetobackwardation?A.Whenthestoragecostsislessthantheconvenienceyield.B.Whenthecostofcarryexceedstheconvenienceyield.C.Whentherollyieldisnegative.Solution:A.FuturespriceWSpotprice(1+r)+Storagecosts-ConvenienceyieldStoragecostconvenienceyieldFuturepricespotprice,backwardation.