CFA考试一级章节练习题精选0329-5（附详解）
1、When the spot price of a commodity is above the futures price, the commodity market is said to be in:【单选题】
A.contango.
B.full carry.
C.backwardation.
正确答案:C
答案解析:“Investing in Commodities,” Ronald G. Layard-Liesching
2010 Modular Level I, Vol. 6, pp. 266-267
Study Session 18-74-a
Explain the relationship between spot prices and expected future prices in terms of contango and backwardation.
C is correct because when a commodity market is in backwardation, the futures prices is below the spot price as market participants believe the spot price will be
lower in the future. When spot prices are below the futures price, the market is said to be in contango.
2、Relative to traditional investments, alternative investments are best characterized as having:【单选题】
A.greater liquidity.
B.higher correlations.
C.more unique legal and tax considerations.
正确答案:C
答案解析:“Introduction to Alternative Investments”, Terri Duhon, George Spentzos, CFA, and Scott D. Stewart, CFA
2013 Modular Level I, Vol. 6, Reading 66, Section 2
Study Session 18-66-a
Compare alternative investments with traditional investments.
C is correct because alternative investments are more likely characterized as having unique legal and tax considerations because of the broad range and complexity of the investments.
3、An investor is concerned about interest rate risk.Which of the following bondshas the least interest rate risk? The bond with:【单选题】
A.5% yield and 10-year maturity.
B.5% yield and 15-year maturity.
C.6% yield and 10-year maturity.
正确答案:C
答案解析:息票率越低，提前得到的现金流就越少，未来的不确定性就越大，利率风险越大。期限越长，未来的不确定性越大，利率风险越大。所以这3只债券中有最小利率风险的是C。
4、An analyst doesresearch about closely-held companies.With respect to valuationof closely-held companies, the most appropriate base for estimating a discountfor lack of liquidity is the:【单选题】
A.market price of a similar but actively publicly traded company.
B.Estimate of the value of equity with all control rights.
C.mean value of the company's transaction prices recently.
正确答案:A
答案解析:私人持股公司是非上市公司，对其估值应考虑到因流动性缺失而引发的价值下调，其基准可以选择类似的但积极公开交易的公司股票的市场价格，并考虑其缺少流动性而适当向下调整。
5、If the price of a commodity futures contract is below the spot price, it is most likely that the:【单选题】
A.convenience yield exceeds storage costs.
B.cost of carry exceeds the convenience yield.
C.roll yield is negative.
正确答案:A
答案解析:The convenience yield must exceed the cost of carry to arrive at a futures price below the spot pricebecause the futures price is approximately equal to the spot price [(1+r)+storage cost-convenienceyield] and the cost of carry is defined as interest cost plus storage cost. Given thatinterest cost is always positive, the convenience yield must also exceed storage costs to arrive at afutures price below the spot price.
CFA Level I
"Introduction to Alternative Investments," Terri Duhon, George Spentzos, and Scott D. Stewart
Section 6.4.1