答案和详解如下： 106 Correct answer is D “Introduction to the Measurement of the Interest Rate Risk,” Frank J. Fabozzi
2008 Modular Level I, Vol. 5, pp. 488-489
Study Session 16-69-d
compute and interpret the effective duration of a bond, given information about how the bond’s price will increase and decrease for given changes in interest rates, and compute the approximate percentage price change for a bond, given the bond’s effective duration and a specified change in yield
Effective duration = (V_ - V+ ) / (2 × Vo × Δy)
Duration for Bond A = (102.97 - 101.04) / (2 × 102.00 × 0.005) = 1.89Duration for Bond B = (94.07 - 83.81) / (2 × 88.69 × 0.005) = 11.57 107 Correct answer is C “Understanding Yield Spread,” Frank J. Fabozzi
2008 Modular Level I, Vol. 5, pp. 352-355, 359-361
Study Session 16-65-e, i
compute, compare, and contrast the various yield spread measures;
compute the after-tax yield of a taxable security and the tax-equivalent yield
of a tax-exempt security
Taxable equivalent yield = (tax-exempt yield) / (1 - marginal tax rate) =
3.86 / (1 - 0.32) = 5.68%
Yield ratio = (yield on tax-exempt bond) / (yield of US Treasury) =
3.86 / (3.86 + 100bp) = 3.86 / 4.86 = 0.79 108 Correct answer is A “Introduction to the Measurement of the Interest Rate Risk,” Frank J. Fabozzi
2008 Modular Level I, Vol. 5, pp. 500-501
Study Session 16-69-f
compute the duration of a portfolio, given the duration of the bonds comprising the portfolio, and explain the limitations of portfolio duration
Portfolio value = (1.02 x 7 mil) + (0.94356 x 5 mil) + (0.88688 x 3 mil) = 14,518,440
Weight, Bond A = 7,140,000 / 14,518,440 = 0.492
Weight, Bond B = 4,717,800 / 14,518,440 = 0.325
Weight, Bond C = 2,660,640 / 14,518,440 = 0.183
Portfolio duration = (0.492 x 1.89) + (0.325 x 7.70) + (0.183 x 11.55) = 5.55 109 Correct answer is C “Alternative Investments,” Bruno Solnik and Dennis McLeavey
2008 Modular Level I, Vol. 6, pp. 184-185
Study Session 18-76-c
explain the advantages and risks of ETFs
Some sector and international ETFs have large bid-ask spreads and substantial expense ratios compared to managed portfolios, which may provide a more cost-efficient alternative to ETFs, particularly for large institutional investors. 110 Correct answer is A “Alternative Investments,” Bruno Solnik and Dennis McLeavey
2008 Modular Level I, Vol. 6, pp. 193-194
Study Session 18-76-f
calculate the net operating income (NOI) from a real estate investment, the value of a property using the sales comparison and income approaches, and the after-tax cash flows, net present value, and yield of a real estate investment
Using the income approach:
($1,800,000 - $1,200,000) / 0.15 = $4,000,000 | 
发表于 2008-11-9 23:18
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