CFA Level 1 － 模考试题(3)（AM）－Q116-120 考试题, style, class

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Question 116 

A stock is trading at $18 per share. An investor believes that the stock will move either up or down. He buys a call option on the stock with an exercise price of $20. He also buys two put options on the same stock each with an exercise price of $25. The call option costs $2 and the put options cost $9 each. The stock falls to $17 per share at the expiration date and the investor closes his entire position. The investor’s net gain or loss is: 

A) $4 gain.

B) $3 loss.

C) $4 loss.

D) $3 gain.

 

Question 117 

Which of the following statements about investment companies is least accurate? 

A) Loads and redemption fees do not provide a performance incentive to an investment company's portfolio managers.

B) An investment company's net asset value equals the prevailing market value of the fund's assets minus its liabilities, divided by the number of fund shares outstanding.

C) Both load and no-load funds charge fees that cover the investment company's marketing and administrative expenses.

D) Closed-end investment companies trade at or below the net asset value of the shares.

 

Question 118 

Biases in hedge fund performance measurement are least likely to include: 

A) survivorship bias.

B) correlation bias.

C) incomplete historical data.

D) smoothed pricing.

 

Question 119 

Which of the following is least likely a way in which venture capitalists create value? 

A) Provide consulting and management expertise.

B) Provide contacts to accountants, lawyers, and investment bankers.

C) Understanding the outside capital markets and helping start-ups acquire capital in the public debt and equity markets.

D) Are often able to identify undervalued investments due to specialization in the venture capitalist's area of expertise.

 

Question 120 

Sarah Owens, a venture capital fund manager, is analyzing whether to invest $7 million in a new technology that she believes will pay $20 million at the end of four years. The cost of equity is 11% and the conditional probabilities of failure are listed in the table below. 

Year	1	2	3	4
Probability of failure	0.14	0.12	0.05	0.05

The expected NPV of this project is closest to: 

A) $4,200,000.

B) $2,000,000.

C) -$2,200,000.

D) -$800,000.

 

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答案和详解如下：

Question 116 

The correct answer was C) 

The total cost of the options is $2 + ($9 × 2) = $20.

At expiration, the call is worth Max [0, 17-20] = 0.  Each put is worth Max [0, 25-17] = $8.  The investor made $16 on the puts but spent $20 to buy the three options, for a net loss of $4.

This question tested from Session 17, Reading 75, LOS a

 

Question 117 

The correct answer was D) Closed-end investment companies trade at or below the net asset value of the shares. 

The price of closed end funds is determined by supply and demand - or whatever people will pay for them. Closed-end funds can trade above or below their NAVs. 

NAV is the value of a funds assets minus its liabilities, stated on a per-share basis. Loads, redemption fees, and premiums are compensation for sales and marketing efforts, not performance incentives for the portfolio managers. Load and no-load funds charge ongoing management fees (12b-1 fees) for distribution and other expenses. 

This question tested from Session 18, Reading 76, LOS a

 

Question 118 

The correct answer was B) correlation bias. 

The six most common biases present in hedge funds are: 

  “Cherry Picking” by managers. 　

  Incomplete historical data. 　

  Survival of the fittest. 　

  Smoothed pricing. 　

  Asymmetrical returns. 　

  Fee structures and incentives. 　

This question tested from Session 18, Reading 76, LOS l, (Part 1)

 

Question 119 

The correct answer was C) 

Understanding the outside capital markets and helping start-ups acquire capital in the public debt and equity markets.

Start-ups generally are not ready for the public equity markets (hence the venture capitalist) and are certainly not ready for the public debt markets. Venture capitalists provide value by not only providing money, but also contacts, guidance, advice, insight, etc.

This question tested from Session 18, Reading 76, LOS g, (Part 1)

 

Question 120 

The correct answer was B) $2,000,000. 

The probability that the project survives for four years is: 

 

(1 – 0.14) (1 – 0.12) (1 – 0.05) (1 – 0.05) = 68.3%

The NPV of the project if it does not fail is -$7,000,000 + ($20,000,000/1.11⁴) = 6,174,619. 

NPV = (0.683 × 6,174,619) + [(1 - 0.683) × -7,000,000] 

NPV = 4,217,265 - 2,219,000 = $1,998,265 

This question tested from Session 18, Reading 76, LOS h 

 

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