距离FRM考试还有不到一个月的时间，每天坚持做题，胜利就在眼前！高顿网校免费题库，通过针对性地讲解、训练、答疑、模考，对学习过程进行全程跟踪、专家权威解析与指导，帮助考生全面提升备考效果。点击做题>>　　1.A large-cap value equity manager has a $6,500,000 equity portfolio with a beta of 0.92. An S&P 500 futures contract is available with a current value of 1,175 and a multiplier of 250. What position should the manager take to completely hedge the portfolio’s market risk?
　　A. Short 20 contracts.
　　B. Short 22 contracts.
　　C. Short 24 contracts.
　　D. Long 22 contracts.
　　2.An investor enters into a 1-year forward rate agreement (FRA) where she will receive the contracted rate on a principal of $1 million. The contracted rate is a 1-year rate at 5%. Which of the following is closest to the cash flow if the actual rate is 6% at maturity of the underlying asset (loan)?
　　A. -$10,000.
　　B. -$1,000.
　　C. +$1,000.
　　D. +$10,000.
　　3.Which of the following is least likely a way to terminate a long position in a deliverable futures contract at expiration?
　　A. An equivalent cash settlement.
　　B. An exchange-for-physicals.
　　C. Close-out at expiration.
　　D. Taking delivery.
　　Answer:
　　1.A
　　0.92x6,500,000/(1,175x250)≈20 contracts
　　Because the manager has a long position in the market, she will want to take a short position in the futures.
　　2.A
　　$1,000,000 (0.05 - 0.06)(1) = -$10,000
　　3.A
　　A deliverable contract does not permit equivalent cash settlement. Sale of an offsetting contract at the settlement price on the final day of trading (close-out at expiration) will have the same effect, with the cash settlement effectively taking place in the margin account.