CFA考试《CFA三级》历年真题精选及答案
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1122-59
1、Bad on Delta\\\\\'s expectations regarding currencies, and assuming that interest rate parity holds, should Delta most likely recommend using forward contracts to hedge the portfolio\\\\\'s British pound exposure?【单选题】
A.No, becau the euro is expected to depreciate by more than带有反义词的四字成语
0.35%
B.Yes
C.No, becau the euro is expected to appreciate by more than
0.35%
年少时光正确答案:B
红星照耀中国的作者答案解析:Using interest rate parity, the euro is expected to depreciate by 3.25% – 2.50% = 0.75%. Delt
a\\\\\'s strategists believe that the euro will depreciate by only 0.35%. Bad on expected returns alone, Delta should hedge the currency risk using a forward contract and lock in a 0.75% gain in British pounds.
2、Is Markov correct regarding the necessary conditions to immunize the GIC portfolio for his client?【单选题】
A.No, he is incorrect regarding duration
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B.Yes
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C.No, he is incorrect regarding the bond portfolio characteristics 正确答案:C
答案解析:To immunize a portfolio\\\\\'s target value or target yield against a change in the market yield, a manager must invest in a bond or a bond portfolio who (1) duration is equal to the investment horizon and (2) initial prent value of all cash flows equals the prent value of the future liability. Thus, investing in a bond portfolio with a yield to maturity equal to the target yield and a maturity equal to the investment horizon does not assure that the target value will be achieved becau of reinvestment risk.
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3、Which of Dreschler\\\\\'s points comparing top-down analysis and bottom-up analysis is the most accurate? His point regarding:【单选题】
A.estimates coming out of a recession.
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C.detecting cyclical turns.
正确答案:C
答案解析:Most top-down models are of the econometric type and rely on historical relationships to be the basis for
