周教授CFA金融课程(2021年CFA一级全系列课程)

申请CFA一级会员免费学习、免费延期、高通过率。

周教授CFA金融课程(2021年CFA二级全系列课程)

申请CFA二级会员免费学习、免费延期、高通过率。

周教授CFA金融课程:考点精讲+作答须知(2021年CFA三级全系列课程)

全球最好CFA三级课程,由美国大学金融学资深教授,博士,CFA 持证人、博士生导师 - 周教授亲自授课,中国知名大学教授、硕博团队协作出品,高通过率

 

CFA报名详细流程图,CFA考生自己即可完成报名
上一主题:Derivatives【 Reading 37】习题精选
下一主题:Derivatives【 Reading 35】习题精选
返回列表 发帖
周教授CFA金融课程:2021年CFA一二三级系列课程
An investor has a cash position currently invested in T-Bills but would like to "equitize" it by using S&P futures contracts. Which of the following trades will create the desired synthetic equity position?
A)
Selling the T-Bills and buying S&P 500 futures contracts.
B)
Buying S&P 500 futures contracts.
C)
Selling S&P 500 futures contracts short.



The trader can buy stock index futures and hold them in conjunction with T-Bills to mimic a stock portfolio. So we have:

Synthetic stock portfolio = T-Bills + stock index futures.

TOP

A manager has a position in Treasury bills worth $175 million with a yield of 2%. For the next 6 months, the manager wishes to have a synthetic equity position approximately equal to this value. The manager chooses S&P 500 index futures, which has a dividend yield of 2%. The futures price is 1,050 and the multiplier is $250. How many contracts will this take?
A)
655 contracts.
B)
421 contracts.
C)
673 contracts.



Number of contracts = 673.3 = $175,000,000 × (1.02)0.5/(1050 × 250)

TOP

When using stock index futures contracts and cash to create a synthetic stock index, the larger the index multiplier:
A)
the fewer the number of needed contracts.
B)
there is no such thing as an index multiplier.
C)
the greater the number of needed contracts.



The formula is:

Number of contractsUnrounded = (V × (1 + risk free rate)T) / (futures price × multiplier)

As the multiplier increases, the number of needed contracts declines.

TOP

To synthetically create the risk/return profile of an underlying common equity security:
A)
Buy the corresponding futures contract and invest in a T-bill.
B)
Sell short the corresponding futures contract and invest in a T-bill.
C)
Buy the corresponding futures contract and borrow at the risk-free rate.



Futures + Cash = Security, therefore, buy the corresponding futures contract and invest in a T-bill.

TOP

To create a synthetic cash position:
A)
sell short the common equity, buy the corresponding futures contract, invest in a T-bill.
B)
buy the common equity and sell short the corresponding futures contract.
C)
buy the common equity, sell short the corresponding futures contract, invest in a T-bill.



Security – Futures = Cash, therefore, buy the common equity and sell short the corresponding futures contract.

TOP

Which of the following statements about portfolio hedging is least accurate?
A)
For a fixed portfolio insurance horizon, using put options generally requires less rebalancing and monitoring than with the use of futures contracts.
B)
Futures contracts have a symmetrical payoff profile.
C)
To synthetically create the risk/return profile of an underlying common equity security, buy the corresponding futures contract, sell the common short, and invest in a T-bill.



To synthetically create the risk/return profile of an underlying common equity security, buy the corresponding futures contract and invest in a T-bill.

TOP

An investment of $240,000,000 in T-bills earning 3 percent is combined with 886 stock index futures that have a price of 1,100 and a multiplier of 250. In three months, when the futures mature and the index value is 1,120, what will be the value of the position at that time?
A)
$243,650,000.
B)
$248,080,000.
C)
$246,210,097.



Payoff of futures plus T-bill = 886 × $250 × (1,120 − 1,100) + $240,000,000 × 1.03 0.25
Payoff of futures plus T-bill = $246,210,097

TOP

A portfolio holds $20 million of its assets in an index fund that mimics the return of the Dow Jones Industrial Average (DJIA). The dividend yield on the DJIA index is 2.8%. The manager of the portfolio would like to synthetically convert half of the position to cash for a one month period. The futures contract on the DJIA that expires in a month is priced at 14520.01. It has a multiplier equal to $10. The risk-free rate is 3.85%. The number of contracts the fund needs to use is closest to:
A)
66.
B)
69.
C)
72.




The negative sign indicates the need to take a short position.

TOP

A manager wants to synthetically convert to cash $45 million of a diversified stock portfolio for three months. The manager will use the CME E-mini S&P stock index futures contract, which has a multiplier equal to $50, and the price of the three month contract is 1610.50. The dividend yield on the portfolio is 2.4%. The risk-free rate is 4.04%. The number of contracts the fund needs to use is closest to:
A)
588.
B)
564.
C)
532.




The negative sign indicates the need to take a short position.

TOP

A manager wants to synthetically convert to cash $12 million of a diversified stock portfolio for three months. The manager will use the CME E-mini S&P stock index futures contract, which has a multiplier equal to $50, and the price of the three month contract is 1598.80. The dividend yield on the portfolio is 2.8%. The risk-free rate is 3.96%. To accomplish this, the best choice would be to:
A)
take a long position in 152 contracts.
B)
take a short position in 152 contracts.
C)
take a short position in 156 contracts.




The negative sign indicates the need to take a short position.

TOP

返回列表
上一主题:Derivatives【 Reading 37】习题精选
下一主题:Derivatives【 Reading 35】习题精选