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FRM一级冲刺倒计时：考生难点习题解析

来源：高顿网校 2015-10-15

　　1.Dennis Austin works for O’Reilly Capital Management and manages endowments and trusts for large clients. The fund invests most of its portfolio in S&P 500 stocks, keeping some cash to facilitate purchases and withdrawals. The fund’s performance has been quite volatile, losing over 20 percent last year but reporting gains ranging from 5 percent to 35 percent over the previous five years. O’Reilly’s clients have many needs, goals, and objectives, and Austin is called upon to design investment strategies for their clients.Austinis convinced that the best way to deliver performance is to, whenever possible, combine the fund’s stock portfolio with option positions on equity.

　　Given the following scenario:

　　Performance to Date: Up 3%

　　Client Objective: Stay positive

　　Austin's scenario: Low stock price volatility between now and end of year.

　　Which is the best option strategy to meet the client's objective?

　　A. Long butterfly.

　　B. Bull call.

　　C. Protective put.

　　D. 2:1 Ratio Spread.

　　2.Which of the following statements highlights an issue with conducting stress tests?

　　I.Identifying key input variables.

　　II.Predicting regime shifts or structural changes.

　　III.Predicting how a change in one variable will impact others during a financial crisis.

　　A. I, II and III.

　　B. II and III.

　　C. I and III.

　　D. I and II.

　　3.A Treasury bill, with 45 days until maturity, has an effective annual yield of 12.50%. The bill's holding period yield is closest to:

　　A. 1.57%.

　　B. 12.50%.

　　C. 1.54%.

　　D. 1.46%.

　　Answer:

　　1.A

　　Long butterfly is the choice as this combination produces gains should stock prices not move either up or down, while not producing much in loss if prices are volatile. None of the other positions produce gains should stock prices not move much. The protective put guards against falling prices, the bull call limits losses and gains should prices move, and the 2:1 ratio spread gains should prices move up.

　　2.B

　　Stress testing is able to identify key input variables that impact the portfolio. However, predicting regime shifts and structural changes is more difficult with stress tests. Also, the effect that one variable has on others is difficult to gauge with stress testing.

　　3.D
The effective annual yield (EAY) is equal to the annualized holding period yield (HPY) based on a 365-day year. EAY = (1 + HPY)^365/t − 1. HPY = (EAY + 1)^t/365 − 1 = (1.125)^45/365 − 1 = 1.46%.

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