CFA一级百题进阶：其他.docx

9.AlternativeQ-l.Aninvestorisseekinganinvestmentthatcantakelongandshortpositions,mayusemulti-strategies,andhistoricallyexhibitslowcorrelationwithatraditionalinvestmentPortfolio.Theinvestor'sgoalswillbebestsatisfiedwithaninvestmentin:A.realestate.B.ahedgefund.C.aprivateequityfund.Solution:B.Hedgefundsmayuseavarietyofstrategies(event-driven,relativevalue,macroandequityhedge),generallyhavealowcorrelationwithtraditionalinvestments,andmaytakelongandshortpositions.Q-2.Ifacommodity*sforwardcurveisincontango,thecomponentofacommoditiesfuturesreturnmostlikelytoreflectthisis:A.spotprices.B.therollyield.C.thecollateralyield.Solution:B.Rollyieldreferstothedifferencebetweenthespotpriceofacommodityandthepricespecifiedbyitsfuturescontract(orthedifferencebetweentwofuturescontractswithdifferentexpirationdates).Whenfuturespricesarehigherthanthespotprice,thecommodityforwardcurveisupwardsloping,andthepricesarereferredtoasbeingincontango.Contangooccurswhenthereislittleornoconvenienceyield.Q-3.Whenaninvestorholdtheunderlyingassetofafuturecontractandconcernaboutthebackwardationinthefuturemarket,shewillmostlikely:A.Sellforward.B.Buyforward.C.Selltheasset.Solution:A.Aholderofanunderlyingassetwillsufferfromdecreasingprices,thusheshouldsellaforwardtolockhispriceatfutureprice.Thusatexpirationthepayoffoftheinvestorwillbe:Cashreceivedfromsellingasset:StExerciseforwardcontract:-(St-Ft)Payoffatexpiration:St-(St-Ft)=FQ-4.UnitedCapitalisahedgefundwith$250millionofinitialcapital.UnitedCapitalchargesa2%managementfeebasedonassetsundermanagementatyearend,anda20%incentivefeebasedonreturnsinexcessofan8%hurdlerate.Afteroneyearoperation,thefundappreciated16%.Assumemanagementfeesarecalculatedusingend-of-periodvaluation.Theinvestor'snetreturnassumingtheperformancefeeiscalculatednetofthemanagementfeeisclosestto:A.11.58%.B.12.54%.C.12.80%.Solution:B.Thenetinvestorreturnis12.54%,calculatedas:Endofyearcapital=$250millionX1.16=$290millionManagementfee=$290millionx2%=$5.8millionHurdleamount8%of$250million=$20million;Incentivefee=($290$250$20$5.8)million×20%=$2.84millionTotalfeestoUnitedCapital=($5.8+$2.84)million=$8.64millionInvestornetreturn:($290-$250-$8.64)/$250=12.54%Q-5.HighPlainsCapitalisahedgefundwithaportfoliovaluedat$950,000,000atthebeginningoftheyear.Oneyearlater,thevalueofassetsundermanagementis$1,083,000,000.Thehedgefundchargesa2%managementfeebasedontheend-of-yearportfoliovalueaswellasa20%incentivefee.Iftheincentivefeeandmanagementfeearecalculatedindependently,theeffectivereturnforahedgefundinvestorisclosestto:A.8.92%.B.9.06%.C.11.29%.Solution:A.Themanagementfee=$1,083,000,000X0.02=$21,660,000.Theincentivefee=($1,083,000,000-$950,000,000)×0.20=$26,600,000.Totalfees=$48,260,000.Return=($1,083,000,000-$950,000QOo-$48,260Qo0)/$950,000,000=8.92%.Q-6.Underthecoststoragetheory,whichofthefollowingconditionswillattributetobackwardation?A.Whenthestoragecostsislessthantheconvenienceyield.B.Whenthecostofcarryexceedstheconvenienceyield.C.Whentherollyieldisnegative.Solution:A.FuturespriceWSpotprice(1+r)+Storagecosts-ConvenienceyieldStoragecost<convenienceyieldFutureprice<spotprice,backwardation.