8006 無料問題集「PRMIA Exam I: Finance Theory Financial Instruments Financial Markets - 2015 Edition」
Which of the following statements are true:
I. The Kappa family of indices take only downside risk into account
II. The Treynor ratio provides information on the excess return per unit of specific risk III. All else remaining constant, the Sharpe ratio for a portfolio will increase as we increase leverage by borrowing and investing in the risky bundle IV. In the market portfolio, we can expect Jensen's alpha to equal zero.
I. The Kappa family of indices take only downside risk into account
II. The Treynor ratio provides information on the excess return per unit of specific risk III. All else remaining constant, the Sharpe ratio for a portfolio will increase as we increase leverage by borrowing and investing in the risky bundle IV. In the market portfolio, we can expect Jensen's alpha to equal zero.
正解：A
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[According to the PRMIA study guide for Exam 1, Simple Exotics and Convertible Bonds have been excluded from the syllabus. You may choose to ignore this question. It appears here solely because the Handbook continues to have these chapters.] A long call position in an asset-or-nothing option has the same payoff as:
正解：B
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Which of the following statements are true in respect of a fixed income portfolio:
I. A hedge based on portfolio duration is valid only for small changes in interest rates and needs periodic readjusting II. A duration based portfolio hedge can be improved by making a convexity adjustment III. A long position in bonds benefits from the resulting negative convexity IV. A duration based hedge makes the implicit assumption that only parallel shifts in the yield curve are possible
I. A hedge based on portfolio duration is valid only for small changes in interest rates and needs periodic readjusting II. A duration based portfolio hedge can be improved by making a convexity adjustment III. A long position in bonds benefits from the resulting negative convexity IV. A duration based hedge makes the implicit assumption that only parallel shifts in the yield curve are possible
正解：D
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Which of the following statements are true?
I. The square-root-of-time rule for scaling volatility over time assumes returns on different days are independent II. If daily returns are positively correlated, realized volatility will be less than that calculated using the square-root-of time rule III. If daily returns are negatively correlated, realized volatility will be less than that calculated using the square-root-of-time rule IV. If stock prices are said to follow a random walk, it means daily returns are independent of each other and have an expected value of zero
I. The square-root-of-time rule for scaling volatility over time assumes returns on different days are independent II. If daily returns are positively correlated, realized volatility will be less than that calculated using the square-root-of time rule III. If daily returns are negatively correlated, realized volatility will be less than that calculated using the square-root-of-time rule IV. If stock prices are said to follow a random walk, it means daily returns are independent of each other and have an expected value of zero
正解：D
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An equity portfolio manager desires to be 'market neutral'. His portfolio is valued at $10m and has a beta of
0.7 to the broad market index. The index is currently at 1000 and an index contract multiplier is specified as
250. What should he do to make the beta of his portfolio zero?
0.7 to the broad market index. The index is currently at 1000 and an index contract multiplier is specified as
250. What should he do to make the beta of his portfolio zero?
正解：C
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Which of the following statements are true:
I. The convexity of a zero coupon bond maturing in 10 years is more than that of a 4% coupon bond with a modified duration of 10 years II. The convexity of a bond increases in a linear fashion as its duration is increased III. Convexity is always positive for long bond positions IV. The convexity of a zero coupon bond maturing in 10 years is less than that of a 4% coupon bond maturing in 10 years
I. The convexity of a zero coupon bond maturing in 10 years is more than that of a 4% coupon bond with a modified duration of 10 years II. The convexity of a bond increases in a linear fashion as its duration is increased III. Convexity is always positive for long bond positions IV. The convexity of a zero coupon bond maturing in 10 years is less than that of a 4% coupon bond maturing in 10 years
正解：A
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Which of the following statements are true:
I. A credit default swap provides exposure to credit risk alone and none to credit spreads II. A CDS contract provides exposure to default risk and credit spreads III. A TRS can be used as a funding source by the party paying LIBOR or other floating rate IV. A CLN is an unfunded security for getting exposure to credit risk
I. A credit default swap provides exposure to credit risk alone and none to credit spreads II. A CDS contract provides exposure to default risk and credit spreads III. A TRS can be used as a funding source by the party paying LIBOR or other floating rate IV. A CLN is an unfunded security for getting exposure to credit risk
正解：C
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A risk analyst working for an asset manager with a large debt portfolio is tasked with determining the suitability of using a traded debt ETF as a hedge against the value of the debt portfolio. He/she calculates the minimum variance hedge ratio to be exactly 1.0.
Given the above facts, which of the following statements are certainly true:
I. The ETF represents a perfect hedge for the portfolio
II. The volatility of the portfolio is the same as that for the ETF
III. The ETF cannot be used as an effective hedge for the debt portfolio IV. None of the above
Given the above facts, which of the following statements are certainly true:
I. The ETF represents a perfect hedge for the portfolio
II. The volatility of the portfolio is the same as that for the ETF
III. The ETF cannot be used as an effective hedge for the debt portfolio IV. None of the above
正解：D
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