CFA考试一级章节练习题精选0330-9（附详解）
1、An analyst does research about the limitations of cash flow yield.Which of thefollowing statements is least accurate to be a shortcoming in application of thecash flow yield measure?【单选题】
A.The projected cash flows are assumed to be reinvested at the cash flowyield.
B.The mortgage-backed or asset-backed security is assumed to be held untilthe final payoff of all the loans, based on some prepayment assumption.
C.Because of principle prepayments, in order to project cash flow it is necessaryto make an assumption about the rate at which principle prepaymentswill occur.
正确答案:C
答案解析:选项A和B都是现金流收益率的局限性。其中一个缺陷是现金流收益率假设以该收益率获得再投资收入，而实际情况可能不同。另外一个缺陷是假设根据提前偿付的假设持有到期，但有可能会提前偿还本金。选项C则不是现金流收益率的局限性。
2、An analyst does research about exchange trade funds (ETFs).Which of thefollowing statements is least accurate to describe exchange trade funds' characteristics?【单选题】
A.Portfolio holdings of ETFs are transparent.
B.ETF's structure prevents a significant premium or discount to NAV.
C.Dividends are reinvested annually for open-end ETFs.
正确答案:C
答案解析:ETF不收取申购和赎回费用，可以卖空或者融资交易，同时组合的持仓是透明的。ETF的申购和赎回机制使得其交易价格十分接近净资产值，没有显著的溢价或折价。开放式ETF的股利会被立即进行再投资，而不是每年。
3、All else being equal, an option-free bond least likely has greater:【单选题】
A.interest rate risk than a callable bond.
B.reinvestment risk than a callable bond.
C.price appreciation potential than a callable bond.
正确答案:B
答案解析:可赎回债券与不可赎回债券相比有更低的利率风险，因为可赎回债券有赎回价格，价格波动的幅度被限制住了，但是可赎回债券有可能提前被赎回，投资者得到本金后，会有更高的再投资风险，可赎回债券价格上涨的潜力被限制在赎回价格以下，所以不可赎回债券的价格上升潜力要大于可赎回债券。题目中说非含权债券比可赎回债券有更大的再投资风险是错误的。
4、Which of the following most likely exhibits negative convexity?【单选题】
A.A putable bond
B.A callable bond
C.An option-free bond
正确答案:B
答案解析:“Introduction to the Measurement of Interest Rate Risk” Frank J. Fabozzi, CFA
2013 Modular Level I, Vol. 5, Reading 58, Section 3.2
Study Session 16-58-b, c
Describe the price volatility characteristics for option-free, callable, prepayable, and putable bonds when interest rates change.
Describe positive convexity and negative convexity, and their relation to bond price and yield.
B is correct because a callable bond exhibits negative convexity at low yield levels and positive convexity at high yield levels.
5、A bond is selling for 98.2. It is estimated that the price will fall to 96.6 if yields rise 30 bps and that the price will rise to 100.1 if yields fall 30 bps. Based on these estimates, the duration of the bond is closest to:【单选题】
A.1.78.
B.5.94.
C.11.88.
正确答案:B
答案解析:“Risks Associated with Investing in Bonds,” Frank J. Fabozzi, CFA
2011 Modular Level I, Vol. 5, pp. 357-358
Study Session 15-62-f
Calculate and interpret the duration and dollar duration of a bond.
B is correct because the duration equals