"Alternative Investments":Diversification of hedge funds

來源: 正保會計網(wǎng)校編輯：小鞠橘桔 2021/02/25 10:20:30　字體：大小

學(xué)習(xí)是一個不斷積累的過程，每天學(xué)習(xí)一點，每天進(jìn)步一點！為了幫助大家更高效地備考2021年CFA考試，正保會計網(wǎng)校每日為大家上新CFA習(xí)題供大家練習(xí)。讓網(wǎng)校與您一起高效備考2021年CFA考試，夢想成真！

Questions 1:

If the price of a commodity futures contract is below the spot price, it is most likely that the:

A、 cost of carry exceeds the convenience yield.

B 、roll yield is negative.

C 、convenience yield exceeds storage costs.

Questions 2:

Investors will most likely have difficulty managing diversification across hedge funds if the funds:

A 、make decisions via investment committees.

B 、fail to appoint chief risk officers.

C、 seek to keep their strategies private.

View answer resolution

【Answer to question 1】C

【analysis】

C is correct. The convenience yield must exceed the cost of carry to arrive at a futures price below the spot price because the futures price is approximately equal to the spot price [(1 + r) + Storage cost – Convenience yield] and the cost of carry is defined as interest cost plus storage cost. Given that interest cost is always positive, the convenience yield must also exceed storage costs to arrive at a futures price below the spot price.

A is incorrect. If the cost of carry exceeds the convenience yield, the futures price is above the spot price.

B is incorrect. Roll yield is defined as the difference between the spot price and the price of the futures contract. If the price of a commodity futures contract is below the spot price, roll yield is positive.

【Answer to question 2】C

【analysis】

C is correct. The lack of transparency in positions and strategies makes it difficult for investors to effectively manage diversification across funds.

A is incorrect. Decision making by an investment committee does not limit the information needed for an investor when considering diversification benefits.

B is incorrect. Failure to appoint a chief risk officer does not limit the information needed for an investor when considering diversification benefits.

成功=時間+方法，自制力是這個等式的保障。世上無天才，高手都是來自刻苦的練習(xí)。而人們經(jīng)常只看到“牛人”閃耀的成績，其成績背后無比寂寞的勤奮。小編相信，每天都在勤奮練習(xí)，即使是一點點的進(jìn)步，大家一定可以成為人人稱贊的“牛人”。

點擊了解更多CFA考試資訊>>

點擊了解CFA無憂直達(dá)班>>

上一篇："Alternative Investments":Advantages of ...

下一篇："Alternative Investments":leveraged buyo...