1、A. CFA考試三級模擬試題精選0402-25（附詳解）1、【單選題】SaviorCapital.B. MarketViewLLC.C. AlphamericAdvisors.A. 正確答案:B答案解析:Biscorrect.Thehistoricalreturnsof(along-onlypositionin)distressedsecuritieshavebeenshowntohavenegativeskewnessand2、【單選題】?578,664.B. ?586,547.C. ?642,960.A. 正確答案:B答案侶軍析:Biscorrect.Theaftertaxwealthac

2、cumulationforannuallytaxableincomeis3、BasedonExhibit1andthenotesfollowingthetable,LongPondisleastlikelyincompliancewithGIPSstandardswithregardtothe:【單選題】measureofinternaldispersion.B. lengthofperformancerecord.C. presentationof1Q13performance.正確答案:B答案解析:LongPondisrequiredbytheGIPSstandardstopresentf

3、iveyearsofperformancebecausethecompositehasbeeninexistenceforthatperiod.Themid-capcompositewasstartedon31December2001;therefore,performancefor2008mustbepresented.Afterpresenting5yearsofperformance,thefirmshouldpresentadditionalannualperformanceupto10years.A. 4、【單選題】reducestheneedforfrequentrebalanci

4、ng.B. limitstheneedtopurchasebondsthatarethinlytraded.C. providesahigherdegreeofportfolioriskdiversification.正確答案:C答案解析:Ciscorrect.Approach1isafullreplicationapproach,whereasApproach2followsanenhancedindexing5、DAMismostlikelytobecharacterizedas:【單選題】A.B.C.A. 正確答案:A答案侶軍析:Aiscorrect.Value-motivatedtra

5、dersarepatient,infrequenttradersdrivenbydifferencesbetween6、LehighsresponsetoGulenismostlikelycorrectwhentheoptionis:【單選題】outofthemoney.B. inthemoney.C. atthemoney.正確答案:C答案侶軍析:Atexpiration,at-the-moneycalloptionsmoveveryrapidlytoadeltaof1or0.Atthispoint,thegammaisthehighestanditisverydifficulttomain

6、tainadelta-hedgedposition.A. 7、ToimplementClientFsrequest,Allisonsmostappropriatecourseofactionisto:【單選題】sellU.S.TreasurybondfuturescontractsandbuyS&P500Indexfuturescontracts.B. buyU.S.TreasurybondfuturescontractsandbuyS&P500Indexfuturescontracts.C. buystocksintheS&P500IndexandsellU.S.Treasurybondfu

7、turescontracts.正確答案:B答案侶軍析:BuyingU.S.TreasurybondfuturesandS&P500Indexfuturescreatessyntheticbondpositionandsyntheticstockindexfundpositions,respectively.ClientFislong$10millionincash,whichcanbeusedtofundthepurchases.8、WhichofReydersadditionalnotesfromthediscussiononhumancapitalismostaccurate?Hernot

8、eabout:【單選題】themagnitudeoflossofhumancapitaltherisktoleranceofthecombinedportfoliotermlifeinsuranceversusannuities正確答案:C答案解析:Thestatementregardingtermlifeinsuranceismostaccurate.Lifeinsuranceisaperfecthedgeagainstthelossofhumancapitalintheeventofdeath,whereasannuitiesaddresslongevityrisk.Althoughove

9、rallrisktoleranceincreaseswithhumancapital,overallrisktolerancedecreaseswithgreaterwagerisk.Themagnitudeoflossofhumancapitalatyoungeragesismuchmoreimportantthanthehigherprobabilityofdeathatolderages.A. 9、BasedonExhibit1,theapproachthatisleastlikelyefficientwithrespecttodeliveringactivereturnsforagiv

10、enleveloftrackingriskis:【單選題】semiactivederivatives.B. activeequity.C. semiactiveequity.正確答案:B答案侶軍析:Theactiveequitystrategyhasthelowestinformationratioandisthusleastefficientindeliveringactivereturns.Informationratio=Activereturn(PortfolioBenchmark)/Trackingrisk.Theinformationratiois0.5%,whichisthelowestofthethree.A. 10、UsingdollardurationandthedatainExhibit1,howmuchcashdoesMarkovsclientneedtorebalancetheportfolio,assumingnewinvestmentsareinequalproportionsofone-th