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【多选】CFA要求证券分析师在做出投资建议或采取投资行动之前，适当地询问客户或潜在客户的（　　），并且必须定期地重新评估和更新此信息

A. 投资经历金
B. 风险与利润目标
C. 财务约束条件
D. 曾经的盈利状况
【单选】 Robert Zorn, CFA, manages an equity portfolio with a current market value of $150 million. The beta of the portfolio is 1.23 and Zorn is forecasting a short-term market adjustment that will significantly lower equity values and will occur in the near future. Zorn has decided to use S&P 500 futures, currently trading at 1260, to reduce the portfolio’s systematic risk exposure by 30 percent. The multiplier is 250. What is the number of futures contracts, rounded up to the nearest whole number, that will be needed to achieve Zorn’s objective?
A. Buy 182.
B. Sell 169.
C. Sell 176.
【单选】 Michael Hallen, CFA, manages an equity portfolio with a current market value of $78 million and a beta of 0.95. Convinced the market is poised for a significant upward movement, Hallen would like to increase the beta of the portfolio by 40 percent, using S&P 500 futures currently trading at 856. The multiplier is 250. What is the number of futures contracts, rounded up to the nearest whole number, that will be needed to achieve Hallen’s objective?
A. 143.
B. 144.
C. 139.
【单选】 Jill Pope, CFA, manages a large portfolio of international assets for a client. She and the client had agreed upon a well-defined IPS, which specified that Pope was responsible for managing currency exposure as one of the risks of the portfolio. Recently Pope and the client changed the IPS so that they now have hired a separate manager, who is an expert in currency risk, and that manager will be responsible for currency risk. The move that Pope and the client have agreed upon would be best described as moving from:
A. an overlay approach to a strategic hedge ratio approach.
B. an overlay approach to a separate asset allocation approach.
C. a strategic hedge ratio approach to a currency overlay approach.
【单选】 Rob Johnson, CFA, manages a large portfolio of international assets for a client. He and the client had agreed upon a well-defined IPS, which specified that an outside expert would manage the currency risk as part of the overall portfolio strategy. Recently Johnson and the client changed the IPS so that the expert manages currency positions using a strategy distinct from the security portfolio and distinct benchmarks. The move that Johnson and the client have agreed upon would be best described as moving from:
A. a separate asset allocation approach to an overlay approach.
B. a strategic hedge ratio approach to a currency overlay approach.
C. an overlay approach to a separate asset allocation approach.
【单选】 Jill Pope, CFA, has been managing a stock portfolio denominated in a foreign currency and has set a particular nominal return goal for the portfolio. She wishes to investigate ways to achieve the goal while lowering the currency risk. Which of the following strategies is most appropriate?
A. Decreasing the duration of the stock portfolio.
B. Decreasing the beta of the stock portfolio.
C. Increasing the beta of the stock portfolio.
【单选】 Jill Pope, CFA, is a portfolio manager in the United States and has been using a delta hedge strategy using $/yen put conracts on her 10,000,000 yen security portfolio. The delta is -0.80. Other things equal, in dollar terms, a 0.100% decrease in the $/yen exchange rate would produce a:
A. 0.1% decrease in the security portfolio and a 0.125% increase in each put purchased.
B. 0.1% decrease in the security portfolio and a 0.080% increase in each put purchased.
C. 0.1% increase in the security portfolio and a 0.080% increase in each put purchased.
【单选】 Phil Johnson, CFA, is a portfolio manager in the United States and has been using a delta hedge strategy using $/€ put contracts on his €5,000,000 security portfolio. Johnson estimates the delta of the put contract to be -0.40, and Johnson used this value in composing his delta hedge. The $/€ exchange rate decreases from $1.25/€ to $1.2/€. The price of the put per Euro increases by $0.01. Based on this information, Johnson’s net position would:
A. decline by $375,000.
B. increase by $125,000.
C. decline by $125,000.
【单选】 Phil Johnson, CFA, is a portfolio manager in the United States and has implemented a delta hedge strategy using put contracts on his ₤2,000,000 security portfolio. The delta is -0.667, and Johnson used this value in composing his delta hedge using put contracts. The value of the pound increases from $2.00/₤ to $2.10/₤. If the delta hedge works perfectly, then the change in the value of each put on each British pound will be closest to a/an:
A. increase of $0.07.
B. decrease of $0.07.
C. decrease of $0.03.
【单选】 Phil Johnson, CFA, is a portfolio manager in the United States and manages a portfolio denominated in yen. Johnson has been using forward contracts on the yen to hedge this portfolio, but now he is considering using put options. Johnson:
A. may choose to use put options if he wishes to more perfectly hedge his portfolio than was possible with the forward contracts.
B. may choose put options if he wishes to lower the upfront hedging costs from what he incurred using forward contracts.
C. may choose to use put options if he wishes to allow for upside potential on currency changes while hedging downside risk.
【单选】 Jill Pope, CFA, is a portfolio manager in the United States that will begin managing a portfolio denominated only in Euros. Her supervisor asks her to hedge the portfolio against currency fluctuations using an instrument that will effectively be an insurance policy against downside risk while offering upside potential. To do this, Pope:
A. should take a long position in $/€ forward contracts.
B. should sell put options on the $/€ exchange rate.
C. should buy put options on the $/€ exchange rate.
【单选】 Jill Pope, CFA, manages a large multinational portfolio that includes assets denominated in over 20 currencies. Pope is planning to hedge this portfolio for currency risk. Composing:
A. a hedge with any measurable effectiveness is not possible because of the many currencies.
B. a perfect hedge is always possible because all currencies have futures markets that can compose hedges for each currency.
C. a perfect hedge may not be possible, but she may be able to compose an effective hedge with futures on a few major currencies.
【单选】 Bill Chapman, CFA, has been hedging the currency of his portfolio using long-term futures contracts. He uses the futures as part of the strategic allocation of the portfolio. If Chapman were to decide to start using short-term contracts for the same purpose then, compared to the long-term contracts, he would find the short-term contracts:
A. more liquid and using them less costly with respect to commissions.
B. more liquid and using them more costly with respect to commissions.
C. less liquid and using them more costly with respect to commissions.
【单选】 Robert Meznar is currently employed as a senior software architect in a large established software company. He is 38 years old, and his current salary is $80,000 after tax. Meznar recently sold his stock (acquired through stock options) in an Internet start up company. The entire proceeds of $2 million is held in treasury securities. John Snow, CFA, of Capital Associates has been forwarded the file of Meznar to suggest an appropriate portfolio. Snow relies heavily on the following forecasts, furnished by the firm, for long term returns for different asset classes. He has already developed three possible portfolios for Meznar. Asset Class Return Standard Deviation X Y Z U.S. Stock 12.0% 16% 40% 30% 25% Non U.S. Stocks 14.0 24% 0 15 25% U.S. Corporate bonds 7.0 10% 60 15 0 Municipal Bonds 5.0 8% 0 20 25 REIT 14 14% 0 20 25 What may be the lowest value of portfolio Z within the next one year according to value at risk, at 95% probability given the standard deviation of portfolio Z is 22%?
A. $1,900,000.
B. $1,760,000.
C. $1,499,000.
【单选】 Jill Mahoney, CFA, trades commodity forward contracts for her clients. The underlying commodities have active lease markets. The prices of some of the forward contracts appear lower than that given by her valuation model based upon the risk-free rate and borrowing rates. One explanation for this is that Mahoney has:
A. included a convenience yield that is too high.
B. included storage costs that are too low.
C. not included the convenience yield.
【单选】 Jill Mahoney, CFA, has noticed that the forward prices for a given commodity have exhibited contango. Regulatory changes concerning the storage of the underlying commodity have recently increased the storage costs. This will most likely lead to:
A. a flatter forward curve but contango will still exist.
B. a steeper forward curve and continued contango.
C. a flatter forward curve and possibly normal backwardation.
【单选】 Jill Mahoney, CFA, has several long commodity forward positions for her clients. The underlying commodities have active lease markets. Her model predicts that the lease rates on the commodities underlying her forward contracts will increase in the near future. If the other variables such as the expected present and future spot price remain unchanged, Mahoney would expect the value of the long forward positions to:
A. increase.
B. decrease.
C. be unaffected.
【单选】 Charles Briggs, CFA, wants to effectively hedge against changes in the value of a commodity swap in which he has a position. Briggs plans to only use futures contracts. To effectively hedge the value of the swap, Briggs will need to use:
A. interest rate futures only.
B. commodity futures only.
C. both commodity futures and interest rate futures.
【单选】 William Jones, CFA, has a client who wants to invest in a hedge fund. Jones might recommend a fund of funds instead of a single fund for all of the following reasons EXCEPT a fund of funds:
A. would have a lower correlation with equity markets.
B. would be more liquid.
C. may serve as a better indicator of aggregate performance of hedge funds.
【单选】 William Jones, CFA, has a client who wants to invest in a hedge fund that has the strategy of investing in equities and has among its goals the elimination of systematic risk. Jones has found two funds that he thinks are well run: the Marius Fund that uses an equity market neutral strategy and the Hera Fund that uses a hedged equity strategy. Given the client’s stated preferences, Jones should recommend:
A. either fund.
B. the Marius Fund only.
C. the Hera Fund only.
【单选】 Jill Beaman, CFA, has recorded the components of the return on a commodity futures contract. The return on the futures contract is $17, the spot return is $9, and the roll return is $5. What is the collateral return?
A. $6.89.
B. $3.00.
C. $31.00.
【单选】 Jill Beaman, CFA, notices that for wheat futures there is a downward-sloping term structure of futures prices. Beaman should recognize that this would be associated with:
A. normal backwardation and a negative roll return.
B. normal backwardation and a positive roll return.
C. contango and a positive roll return.
【单选】 Jill Tillman, CFA, has a client who wishes to invest in private equity. The client’s total portfolio is $2 million. The client wants to invest $250,000 in private equity, wants to keep the money invested for 7-10 years, and does not need liquidity. Tillman should:
A. invest the client’s money because private equity has the desired properties.
B. not invest the money because it represents too much of the client’s portfolio.
C. not invest the money because private equity requires a longer holding period than specified by the client.
【单选】 Frank Campbell, CFA, has a client who wants to make a venture capital investment. Campbell is considering recommending convertible preferred. This would least likely be appropriate if the client wishes to:
A. have a priority of claims over subsequent investors in the company.
B. receive dividends.
C. benefit in the case of a buyout of the company.
【单选】 Lee Benson, CFA, is considering purchasing stock in a company that produces oil. With respect to asset class and subgroup, as an alternative investment, this choice would be most accurately categorized as:
A. an indirect investment in commodities.
B. a direct investment in commodities.
C. an indirect investment in real estate.
【单选】 Ben Leesom, CFA, thinks distressed securities are appropriate for one of his clients and would like to include them in his client's portfolio. If liquidity is important for the client, then Leesom should recommend:
A. neither an investment with a hedge fund structure nor a private equity structure.
B. an investment with a hedge fund structure over a private equity structure.
C. investments with either a hedge fund structure or a private equity structure.
【单选】 Bernice Clark, CFA, is analyzing the portfolio of a private wealth client. In the process, Clark wants to address special issues that alternative investments raise for her client. The special issues would:
A. not include measuring the ownership in the client’s corporate bond portfolio but would include measuring the client’s ownership in closely held companies.
B. not include measuring the ownership in the client’s corporate bond portfolio and not include measuring the client’s ownership in closely held companies.
C. include measuring the ownership in the client’s corporate bond portfolio and the client’s ownership in closely held companies.
【单选】 Harold Bowers, CFA, and Bill Hoffman, CFA, are analyzing the returns of several portfolios. Bowers is performing an analysis based upon the characteristics of the investments in each of the portfolios, and Hoffman is performing a regression analysis using historical data. Based upon this, with respect to returns-based style analysis and holdings-based style analysis, it is most likely that:
A. Bowers is performing holdings-based style analysis and Hoffman is performing returns-based style analysis.
B. Bowers and Hoffman are both using variations of holdings-based style analysis.
C. Bowers is performing returns-based style analysis and Hoffman is performing holdings-based style analysis.
【单选】 Jill Upton, CFA, and Al Grey, CFA, are planning to add foreign bonds to the domestic portfolio, which they manage. They are discussing the advantage of adding bonds issued by sovereign emerging market governments. Compared to bonds issued by corporations, all of the following are advantages of sovereign emerging market government debt with EXCEPT:
A. the bonds are free of default risk.
B. the issuers tend to have reserves to absorb shocks.
C. the issuers can react more decisively to negative economic events.
【单选】 Mary Brickland, CFA, is analyzing two different domestic bonds. Bond A has the longer modified duration at 9.50 with a yield of 9.12%. Bond B has a modified duration of 7.30 and a yield of 7.80%. Brickland has an investment-holding period of one year and expects a favorable credit quality change for Bond B to increase its market value during this time frame. If Brickland buys Bond B, what is the required basis point change in the spread (in terms of the required yield on Bond B) to offset Bond A’s yield advantage?
A. 13.89474 bp due to a decline in the yield.
B. 18.08219 bp due to a decline in the yield.
C. 14.72190 bp due to an increase in the yield.

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