[三级考试选择题总结]来对对答案吧，看你错了多少个？ - ChaseDream

1. A guy H is the head of YYY Company manage the account for XXX Govenment's pension plan, he should be responsible for which of the following
A. Trustee
B. all plan beneficiaries
C. XXXX Govenment
D. only the active retirees
Choose B

2. Black is managing equity portion small cap and High Tech for XYZ fund (according IPS) and find that recent commodities perfomance well, thus invest a position for parts of his large clients. He say he has no Violate what?
A. Should not deviate IPS
B.
C. should notify his clients
D. should not invest in commodities due to lack of experience
Choose A.

3. H investigate Black's investment in Commodities and Black say that's only temporary investment, and will liquidate the position once market come sentiment. He also find Black's recent participate in an High Tech IPO and overscribe the shares, thus ask Black for reason.
Black say I notice the error and thus sell 30,000 shares out of the 50,000 shares. H also say for those account which participant for the IPO should be

credit with short term interest.
The statement regarding the correction of the error is correct/incorrest, the statement for short term interest credit is correct/incorrect?
NO, YES

4. H is not satisfy with Black's explanation but allow him to continue manage the account until he finish the evaluation. Considering his good performance, and might lead to great political pressure if fire Black. Did the fund manager violate Code?
A. NO
B. YES, should not be affected by policital pressure
C. YES, should suspend Black's management of the account until the complete of his evaluation
D.
Choose C.

5. H ask Black to sent him a written statement following the CFAI Code, and Black response he will send email stating that he will check trading allocation procedure for clients at the end of each month. And interest will be debited from those account which receive shares allocation incorrectly.
The two statement violate CFAI Code?
NO YES

6. What should H do to comply with code and standard?
A.
B. reduce Black's allocation of the fund until compliance requirement meet
C. let Black continously manage the fund as long as achieve good return performance
D.

II. ETHICS
7. A company think CFAI Code and Standard and Asset Management Code is enough and they have lots of CFA chartholder and know the Code well, thus they think it's not necessary to fomulate formal compliance requirement for the firm. The firm recently nominate a Chief Compliance Officer.
Violate Code regarding to the firm's compliance policy? the nominating of CCO?
YES NO

8. The firm recently hire a manager who have been strictly disciplined by regulator, should the firm disclose?
A. NO
B. YES, should disclose firm's personel/manager's discipline history
C.
D.
I choose B.

9. A guy work in the firm consider use VVV Company for data support, VVV paid for his accomodation $3000, and sent him a gift. The guy is considering using VVV for data support. Did the guy violate Code?
A. NO
B. YES, should not accpet cash more than $100
C. YES, should not accpet any gift
D. YES, it can be expected that his independency and objectivity have been affected by the vendor
I choose D.

10. VVV also support the guy's son's soccer team, but the guy don't inform his employer, should the guy disclose the relationship with VVV to his clients and employer?
YES YES

11. The company consider hedge fund investment, but consider the risk feature, it has minimum portfolio value requirement. Client D, whose risk tolerence is low and don't meet the min value requirement, the company thus don't consider hedge fund investment for him. D claim unfair, does

12. Some suggest that some private equity has poor liquidity and most portfolio not invest in them, thus should delete them from the composite return. The firm disclose return all in form of net-of-fees. Violate Code and Standard?
YES NO

III. ECONOMICS FORCASTING
13. Stock market has a high correlation with coincide index, the statement is YES/NO?
A. YES
B. NO, becasue stock market is a leading index
C. NO, because stock market is a lagging index
D. NO, because stock market is a coincide index

14. The ratio of coincide index to leading index will be helpful in determining turning point, YES or NO?
A. YES
B. NO, the ratio of coincide index to lagging index
C. NO, the ratio of leading index to coincide index
D. NO, the ratio of coincide index to lagging index
Choose D.

15. Given netural interest rate = 4%, trend and forecast GDP growth 2.6% and 2.2%, long-term and forecast inflation 3.1% and 2.0%, calculate the target short-term interest rate.
Use Taylor rule and arrive the target rate = 4%+0.5*(2.2%-2.6%)+0.5*(3.1%-2.0%) = 4.35%

16. Given the two stage FCFE for stock market index, FCFE for 2007 is 60, the growth rate from 2008-2010 is 12.4%, the growth rate after 2010 is 9%, the cost of equity is 12.4% (the same to first stage growth rate, easy for discount the first 3 year FCFE), calculate the value of the index.
Use the two stage DCF model, this content should be tested in level 2.

17. Given the Dividend, EPS for 2007 and 2008, given riskfree rate and risk-premium, given ROE, calculate P/E for 2008 under DDM model.
Use D/E calculate payout ratio = 0.3, thus the retent ratio 0.7 apply to ROE and get growth rate, riskfree rate + risk-premium = equity required return, then P/E for 2008 should be payout/(k - g) = 16.3

18. The (k - g) componet is actually the
A. Dividend yield
B. P/B
C.
Choose A, P/E = payout/(k-g), k - g = E*payout/P = D/P, which is dividend yield.

Given four set of bonds, durations and maturities
BOND 1: Fixed rate Treasure Bond
BOND 2: Zero-Coupon Corporate bonds mature at 5 yrs and 7 yrs
BOND 3: Fixed rate Mortgage Passthrough
BOND 4: Fixed rate Corporate bonds mature at 7 yrs

A Liability with duration 5.8 mature at 5 yrs and 7 yrs, there are no interm cash flows.

21. Which of risk will Mortgage Passthrough have when interest decline?
A. negative convexity
B. credit risk
Definitely A.

22. To change the duration of bond 1 (100 million) from current 6.1 to 5.8, given the CTD bond's duration = 7.4, conversion factor = 0.91, future price = 1000, calculate the N of future to hedge.
Easy, conversion factor*(100m/0.1m)*(MDt - MDp)/MDf = N

23. which of following statment for fixed income is false?
Statement1: as callable bond's return is non-normal, standard deviation to calculate risk will not work.
Statement2: Semi-variance will be appropriate to measure bond's return
Statement3: shortfall risk calculate the probability that objective return are not meet, but don't specify the dollar amount how worse the result is
Statement4: VAR also don't specify the extent how worse the loss might be
Choose Statement2.

24. How to hedge credit risk if expect the credit spread widen?
A. buy credit defaut swap
B. sell credit defaut swap
C. sell binary call option
D. sell binary put option
Choose A.

25. Calcuate the return of the leverage, equity=2m, borrowing=5m, given borrowing rate = *% and portfolio's return =0.3%, for 30-day

26. The repo rate is determined by collateral and position of the borrower?
Collateral position
YES YES

27. Statement regarding scenario analysis, can use it to determine the effect of only one variable change
can result in different result from total return analysis
The statement is:
A. YES
B. NO, because it can't measure one variable change
C.
D. NO, can't result in different result with total return approach.
Choose D.

28. Given US riskfree rate, and riskfree rate in UK, Japan, German and Singapore, as well as 10-year bond rate, ask the highest domestic return if hedged
Choose Japan, since domestic return = domestic Rf + (bond return - local Rf), just choose the one with highest local risk premium.

29. Given US riskfree rate, and riskfree rate in UK, Japan, German and Singapore, as well as 10-year bond rate, ask the highest domestic return if unhedge
Choose German, since domestic return = local return + expected currency change% , choose the one with highest of the sum.

30. Given the duration of Japan and Singapore bond, what's the quarterly breakeven yield change for 10-year US bond?
For Japan, For Singapore bond
Choose D, 6.05 and **** (can't remember)

31. Statement: Enhance return strategy is to generate higher active return, tracking error risk than passive indexing but lower information than active strategy. The statement is ?
A. CORRECT
B. Incorrect for information ratio
C. Incorrect for active return
D. Incorrect for tracking error
Choose B.

32. The firm use Russel 1000 Index as benchmark (with 7% return), the manager use Russel 1000 value as his own benchmark (with 10% return), his portfolio return is 9%, what is the true return and misfit return?
-1%, 3%

33. Statement: Information Breath is the number of independent decision a manager make. if the IB double, the information also double. Is the first and second statement is correct?
YES NO

34. Find the manager with highest information ratio
manager 1: IR1 =0.70
manager 2: IR2 =0.74
manager 3: IR3 =0.50
manager 4: IR4 =0.40
Choose the one with 0.74.

35. To minimize tracking error, add return, and reduce misfit risk, which is most appropriate?
A. Core-Satelitte Approach
B. Completeness Fund
C. Enhance indexing
D. Portable alpha
I choose A, this question have lots of arguements.

36. What is the manager's information ratio given the active risk = 5%, misfit risk = *%.
The IR = -1%/5% = -20%

37. The university is want to maxmize information ratio, minimize tracking error, and there is instable cash inflow and outflow, the best strategy is
A. enhance indexing
B. enhance indexing with optimization
C. active management
D. enhance indexing with
Choose B.

38. The appropriate strategy for investing in an international market for the university if use an indexing strategy and want to reduce transaction cost:
A. investability rather than breath
B. target float adjustment rather than flexible adjust
C. band float adjustment rather than

39. To reduce rebalance cost and tracking error, the appropriate strategy
A. Indexing with optimization
B.
C. Passive Indexing
D.
Choose C.

40. Which of following statement is false?
Statement1: long-short strategy will
Statement2: if active risk double, the active return will be double
Statement3: portable alpha can be added to indexing portfolio to ....?
Statement4: long on strategy have asymmetric return
I choose Statement 2.

41. Which of follwing weight index will least like to avoid the bias toward small cap?
A. free float
B. price weight
C. value weight
D. equal weight
Choose ? not sure

42. Which strategy should be used given the alpha and tracking error?
A. stock-based enhance indexing strategy for higher tracking error
B. derivative-based enhance indexing strategy due to higher tracking error
C. stock-based enhance indexing strategy for higher information ratio
D. derivative-based enhance indexing strategy for higher information ratio
Choose D, calculate the alpha/TE and find the one with higher IR, stock-based IR is 0.71 and derivatives-bases IR is 0.77.

43. Statement: FOF will have lower management fee, and fund of hedge fund have lock-up period, YES/NO
For manager fee, for lock-up period
NO, YES

44. The fee-schedule say "1.5%-20%" means:
A. fee based on commit fund, and 20% incentive fee based on profit of the period when liquidating the asset
B. fee based on asset value, and 20% incentive fee based on profit of the account return
C. fee based on commit fund, and 20% incentive fee based on profit of the account return
D. fee based on asset value, and 20% incentive fee based on the total asset value when liquidating the asset
Choose B.

45. high water mark provision means?
A. High water mark limit the incentive fee's upside potential.
B. High water mark determine if the incentive fee should be received.
C.
D.
Choose B.

46. Statement1: inflow result popularity and index performance bias to the most pop hedge fund.
Statement2: transaction cost don't affect rebalancing consideration.
The statements are correct or not?
YES NO

47. Which of following hedge fund managers can game the sharp ratio?
Should choose the one increase the time frequency from montht to quarter, and have more weight in asset rarely price. Should be manager 1.

48. Statement about manage future: it is a good diversified investment because investors tend to pay a premium for hedge. CTA has storage cost advantage than most individual, institution investors and traders.
A. YES
B. NO, first statement is true but second is false because CTA don't have such advantage
C. NO, because investor tend to receive a premium for hedge
D. NO, both statement is incorrect.
Choose B, not sure.

A bank have an $100,000,000 loan with float interest rate at LIBOR+2% for 90 days, effective 52 days later. The bank buy a interest rate put with strike at 5.1% to avoid interest rate decline risk.

49. Given the option premium = 250,000, the opportunity cost 7.86%, calculate the loan's EAR if LIBOR = 5.2% in 52 days
Easy, use 7.86% to calculate the FV of the option premium, combine it with the $100m arrive the initial investment, the option will be no value during the loan period, and in the end the bank have (100m + 100*7.2%*90/360), EAR can be arrived from V0*(1+EAR)^90/365 = V1

50. The bank construct a collar by selling a interest rate call with Strike at 5.3%, calculate the payoff of the collar when LIBOR = 5.2%
payoff = 0

51. The firm have another loan and concerning declining of interest rate, which of following instrument should buy?
A. cap
B. floor
C.
Choose B.

52. The firm buy a call with strike at 5.2% in 143 days, with NP = 250,000,000, the LIBOR = 6%, calculate payoff.
payoff = NP*(LIBOR - 5.2%)*90/360 = 511,111

53. Statement: gamma is important to delta hedge when gamma is small. The statement is
A. Correct
B. Incorrect, gamma is important when gamma = 0
C. Incorrect, gamma is important when gamma is large
D. Incorrect, gamma is important when gamma is negative
Choose C.

54. Which of following is not important for hedging strategy when a option is purchased.
A. Stock price
B. Strike price
C. Time to maturity
D. Relationship between stock price and option value
Choose B, all the other choice is important factors affect option delta.

X. GIPS
55. A company has a table of period from Dec 2005 to Dec 2007, with value at the end of each quarter without external cash flow, under GIPS

requirement, which return should be report?
A. annual return for 2006 ***% and annual return for 2007 ***%
B. annual return for 2006 ***% and annual return for 2007 ***% (the figure is not correct)
C. cumulative return for 2005-2007 at **% (the figure is correct)
D. geometric return for 2005-2007 at **% (the figure is correct)
I choose A, annual return is required.

56. Calculate the TWR and modified Dietz Method for April 2008. Given value at begining = 65, CF = 17 at April 26, value after CF = 81, value at the end of April = 85
Easy

57. If trading expense increase, what's the most possible result to the portfolio return performance?
    gross-of-fee net-of-fee
A. decrease    decrease
B. decrease    the same
C. the same   decrease
D. the same   the same
Choose A

58. Under what circumstance a firm might use IRR to evaluate portfolio performance?
A. Private Equity
B. Fixed Income
C. Hedge fund
D.
Choose A.

59. Firm A acquire firm B, B is formerly in compliance with GIPS, and all B's employees, managers and decision-making process maintain completely after the merge. Shall A present B's past performance result? B's composite have 4 portfolios.
A. YES
B. No, because less than five portfolio
C. No. because the it is unlikely that A's composite will be the same as B's
D. No, becasue the employees, managers and decision-making process remain unchanged.
Choose A.

60. Statement1: Verification process is recommended for all the firm's past compliance history.
Statement2: We can verify the firm's composite is in compliance with GIPS except for private equity composite.
YES/NO regarding statement 1 and 2
YES NO

另外，鄙视看贴不回贴的。。。如果人人都做free rider，我就不发贴了。。

enhance return不见得infor ratio就比active低，当active是full blown时会有很高的tracking error，导致IR并不高

24. How to hedge credit risk if expect the credit spread widen?
A. buy credit defaut swap
B. sell credit defaut swap
C. sell binary call option
D. sell binary put option
这题大家选A，如果是binary put，应该是buy才对

39. To reduce rebalance cost and tracking error, the appropriate strategy
A. Indexing with optimization
B.
C. Passive Indexing
D.
Choose C.

40. Which of following statement is false?
Statement1:
Statement2:if active risk double, the active return will be double
Statement3:
Statement4:portable alpha can be added to indexing portfolio to ....?
I choose Statement 2.

45. high water mark provision means?
A. High water mark limit the incentive fee's upside potential.
B. High water mark determine if the incentive fee should be received.
C.
D.
Choose B.

是least likely to avoid bias toward small cap的
price weighted, free float, value weight, equal weight

as long as we only talk about the question/concept in vagor, doesn't reproduce the question word by word we should OK though...who remember all those detail numbers anyway....

更正一下，FOF那题的lock-up period对应的主语是Fund of hedge fund（对冲基金中的基金），和FOF（基金中的基金）不是一个概念。。。如果是一个概念，第二句应该会直接用缩写而不会展开来写，所以二者不是一个东西。。

如上面一位朋友所言，FOHF是有lock-up的，我google了一下，FOHF投资于hedge fund universe，有lock-up的特性

I think the answer is c. This question is about a manager manages a portion of assets for a fund. So I think the asset manager code of professional conduct is applicable here, not the regular ethics code of conduct.

According to the textbook I page 199, under #2 5a, last two sentenses, it is ok to deviate from the mandate.

第一个为啥是no? 一个月才查一次？不是每次替账号买卖股票都应该查么？

If you check it every time there is a trade, it is really costly and time-consuming such that the proper price will not be captured. So I think the first statement is YES.

FOF = FOHF because in the textbook FOF is mention only under the section of hedge funds.

There is no lock-up periods as mentioned in the textbook. I think it does not matter whether you are in the industry or not, you have to follow whatever it is said in the textbook.

Just like I am surprised to learn that the put option holders have no credit risk whatsoever mentioned in the risk management chapters.

Can you point out where in the textbook mentioned that the manager should be fired when the mandate is not followed properly? This question is very very tricky. I pick B however.

I choose D, since he said specifically that he doesn't want to overpay beta.

This is another tricky one. I choose portable alpha as well, but I went to the text book and find out that I might be wrong. Check out textbook 4 page 142, under section 7.1 2nd paragraph. The answer is core-satellitte I guess/think.

I choose A as well. D is correct one but in the question there is no mention of the underlying. The underlying for credit options can be either 1. the credit rating of a company or 2. the default or not of a designated reference entity. If the question mention the underlying is #1, then this question could have two correct answers. THIS is my though only.

楼上的，这道题你选什么？

what's wrong with B?

Check out textbook 4 p88 exhibit 3

I choose B when I answer this question. Also check out textbook 4 p135 under section 6 first paragraph. It said clearly that "As exhibit 3 showed, enhanced indexing strategies with their strick control of tracking risk have tended to have teh highest information ratios."

I don't remember the exact phrasing of the question. But judging from the material in the textbook, FOF = funds of hedge funds. See textbook 4 p.311 3rd paragraph. This is the first place the textbook mentions FOF. On p313 first paragraph on the top, the second last sentence, it says "FOFs usually do not impose lock-up periods and may permit more frequent investor exits."

想对题建议自己论坛短信MSN,QQ私下里对,Please honor your signed pledge and code of ethics to CFA Institute!

I know that FOF is not equal to FOHF. But you must answer this question yourself: where did you see the textbook materials discuss the difference/distinction between the two? If you cannot find it why would CFAI expect you to distinct the two in the exam?

My another reason is I don't think CFAI will play the wording trick in L3 exam, so I treat them as the same.