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1、Are Northrup’s comments about fund of funds’ lock-up periods ａｎｄ lower fees most likely correct?【單選題】

A.No.

B.Yes, fｏｒlower fees only.

C.Yes, fｏｒlock-up periods only.

正確答案:A

答案解析:A is correct. Contrary to Northrup’s comment, fund of funds usually do not impose lock-up periods (ｏｒminimum initial holding period) ａｎｄ their fees are higher as investors pay two layers of fees: one to the FOF ａｎｄ the other to the underlying hedge fund managers.

2、The monthly VaR that Stulz wants to estimate fｏｒthe Stimson portfolio is closest to:【單選題】

A.€0.8 million.

B.€2.9 million.

C.€3.9 million.

正確答案:C

答案解析:C is correct. The monthly return is 9.6%/12 = 0.8%.The monthly standard deviation is The percent VaR is 0.8% – 1.65 (5.196%) = –7.7734%.The dollar VaR is 7.7734% (€50 million) = €3.8867 million, ｏｒ€3.9 million.

3、Based on Exhibits 2 ａｎｄ 3, what can Smith most likely determine about MCAM//////////////\\\'s investment style over time? MCAM//////////////\\\'s style has:【單選題】

A.not drifted.

B.drifted from value to growth.

C.drifted from growth to value.

正確答案:C

答案解析:The active equity strategy was not value oriented because the returns-based style analysis indicates a growth orientation given a 0.65 coefficient of determination with respect to growth returns. The current holdings, however, depict a value orientation when compared with the manager//////////////\\\'s normal benchmark given the differences in dividend yield ａｎｄ P/E. MCAM//////////////\\\'s style has drifted over time from growth to value.

4、What is Kaplan’s after-tax accumulation after 20 years?【單選題】

A.€196,438.

B.€220,521.

C.€230,521.

正確答案:A

答案解析:A is correct. The taxable account will accumulate toFVi = €50,000[1 + r(1 – ti)]n= €50,000[1 + 0.04(1 – 0.4)]20= €80,347The tax deferred account will accumulateFVTDA = €50,000(1 + r)n(1 – Tn)= €50,000(1.07)20(1 – 0.40)= €116,091Total = €196,438

5、Based on the data in Exhibit 2, modifying the duration of the fixed-income allocation to its target will require an interest rate swap that has notional principal closest to:【單選題】

A.$11,030,000.

B.$17,777,000.

C.$9,412,000.

正確答案:A

答案解析:where; NP = notional principalB = bond portfolioMDURt = duration target of portfolioMDURb = duration of bond portfolioMDURs = duration of swap

6、Disregarding the initial cost of the Hop collar strategy, the value per share of the strategy at expiration with the stock at $26.90 is:【單選題】

A.$26.05.

B.$26.20.

C.$26.90.

正確答案:C

答案解析:C is correct. If the stock price at expiration of the options is $26.90, the put will expire worthless, the call will expire worthless, ａｎｄ the value of the strategy will reflect solely the value of the stock.

7、Which of the statements made about meeting Gladys////\\\' stated goal is most accurate? The statement regarding:【單選題】

A.fixed annuity products

B.revised asｓｅｔallocation

C.variable annuity products

正確答案:C

答案解析:A jointly owned variable payout lifetime annuity product would provide cash flows until the end of the surviving spouse////\\\'s lifetime. Therefore, the Jones family will not outlive the assets. It is true there is less certainty regarding the cash flows because they are linked to the performance of the underlying investments.

8、With respect to Viewmont////\\\'s goal of borrowing at the lowest cost ａｎｄ hedging currency risk, who is most likely correct?【單選題】

A.Kemigisa

B.Bazlamit

C.Montero

正確答案:C

答案解析:Montero is correct. Viewmont can reduce its overall borrowing costs by borrowing in U.S. dollars ａｎｄ engaging in a currency swap fｏｒBrazillian reals. This swap not only reduces borrowing costs but also hedges currency exposure.

9、In the previous question, suppose DiCenzo sells the securities in the current tax year ａｎｄ replaces them with securities having the same returns. He will then sell the new securities in the next tax year. What is the total tax savings assuming DiCenzo does not reinvest the tax savings?【單選題】

A.€0.

B.€7,500.

C.€15,000.

正確答案:A

答案解析:A is correct. Assuming DiCenzo does not reinvest the tax savings, tax loss harvesting does not reduce the total tax paid over time. It only defers taxes because recognizing the loss resets the cost basis to a lower figure which will ultimately increase the gain realized late by the same amount. Tax loss harvest can augment return by postponing tax liabilities. Reinvesting the current year’s tax savings increases the after-tax principal investment, which can augment the value of tax loss harvesting further.

10、The yield curve expectation that Abram’s supervisｏｒtargets with Scenario 1 is most likely a:【單選題】

A.flattening yield curve.

B.reduction in yield curve curvature.

C.100 bps parallel shift downward of the yield curve.

正確答案:A

答案解析:A is correct. Scenario 1 is an extreme barbell ａｎｄ is typically used when the yield curve flattens. In this case, the 30-year bond has larger price gains because of its longer duration ａｎｄ higher convexity relative to other maturities. If the yield curve flattens through rising short-term interest rates, portfolio losses are limited by the lower price sensitivity to the change in yields at the short end of the curve while the benchmark’s middle securities will perform poorly.

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