CFA考试一级章节练习题精选0401-12（附详解）
1、If the yield to maturity on an annual-pay bond is 7.75%, the bond-equivalent yield is closest to:【单选题】
A.7.61%.
B.7.90%.
C.8.05%.
正确答案:A
答案解析:“Yield Measures, Spot Rates, and Forward Rates,” Frank J. Fabozzi, CFA[1667201704061-image/0444.jpg]
2、An analyst does research about survivorship bias and its impact to measurementratios.Hedge fund data bases and indexes that suffer from survivorship bias becauseof a failure to comply with performance presentation standards are mostlikely to overstate :【单选题】
A.Sharpe ratios.
B.standard deviation of returns.
C.correlations with returns from common stocks.
正确答案:A
答案解析:对冲基金有生存偏差，统计的历史业绩中只包含那些生存下来的基金的业绩，而那些由于业绩不佳而被清盘的基金的业绩不包括在内，这就高估了对冲基金的平均收益率，低估了对冲基金收益率的标准差，所以导致高估了夏普比率。同时，由于对冲基金的业绩看上去很稳定，但并不能反映市场的情况，这就低估了与普通股收益率之间的相关系数。
3、An analyst does research about price value of a basis point (PVBP).With respectto a coupon bond, the duration is 8.61, and the current price of the bondis $ 101.35.The price value of a basis point (PVBP) of the bond is closest to:【单选题】
A.$ 0.0861
B.$ 0.0873
C.$ 0.1014
正确答案:B
答案解析:8.61 × 0.0001 × $ 101.35 = $ 0.0873
4、Which of the following measures of interest rate risk is most appropriate forbonds with prepayment option?【单选题】
A.Effective duration.
B.Modified duration.
C.Macaulay duration.
正确答案:A
答案解析:对于有内含权或者提前偿付权的债券而言，由于现金流是不确定的，故应该用有效久期测量利率风险，而不能用修正久期或麦考利久期。5、An analyst does research about yield spreads difference between a callable bondand a putable https://www.doczj.com/doc/c02148816.html,pared to an otherwise identical option-free bond, marketparticipants would most likely require that yield spreads be:【单选题】
https://www.doczj.com/doc/c02148816.html,rger for both a callable bond and a putable bond.
https://www.doczj.com/doc/c02148816.html,rger for a callable bond and smaller for a putable bond.
C.smaller for a callable bond and larger for a putable bond.
正确答案:B
答案解析:可赎回权利属于发行人，当价格上升到一定程度时，发行人可以赎回该债券，这对持有人不利，增加了其风险，所以相对于不含权的债券必须要有更高的收益率溢价作为补偿。可回售权利属于持有人，对持有人有利，所以相对于不含权的债券，必须要有更低的收益率折价作为该权利的代价。