我觉得应该是suspend manager; sell oversubscribed shares at their costs; 最后那个应该是credit short term interest to those who shouldn't have received allocation, but don't debit on those who should have received shares

一家之言

这几道题讨论一下：

6. What should H do to comply with code and standard?
A.
B. reduce Black's allocation of the fund until compliance requirement meet
C. let Black continously manage the fund as long as achieve good return performance
D.

I choose suspend....just feeling..

26. The repo rate is determined by collateral and position of the borrower?
Collateral    position
YES             YES

I choose Yes    No. 没看到书上写position和repo rate有关系 有关系的是1.collateral quality 2.term of repo 3.delivery requirement 4.availability of collateral 5.prevailing interest rate 6.seasonal factor

35. To minimize tracking error, add return, and reduce misfit risk, which is most appropriate?
A. Core-Satelitte Approach
B. Completeness Fund
C. Enhance indexing
D. Portable alpha
I choose A, this question have lots of arguements.

I Choose A. Feeling....reduce misfit can also be done by comleteness fund but the return will be sacrified.

37. The university is want to maxmize information ratio, minimize tracking error, and there is instable cash inflow and outflow, the best strategy is
A. enhance indexing
B. enhance indexing with optimization
C. active management
D. enhance indexing with
Choose B.

I choose D. Enhanced indexing has highest IR.    (instable cash inflow and outflow：don't know this means what? Is it means cannot use full-replication?）

38. The appropriate strategy for investing in an international market for the university if use an indexing strategy and want to reduce transaction cost:
A. investability rather than breath
B. target float adjustment rather than flexible adjust
C. band float adjustment rather than

I choose A. International equity volumn 4 page 170 - investability rather than breath

39. To reduce rebalance cost and tracking error, the appropriate strategy
A. Indexing with optimization
B.
C. Passive Indexing
D.
Choose C.

don't remember...

40. Which of following statement is false?
Statement1:
Statement2:if active risk double, the active return will be double
Statement3:
Statement4:portable alpha can be added to indexing portfolio to ....?
I choose Statement 2.

I choose Statement 2.

48. Statement about manage future: it is a good diversified investment because investors tend to pay a premium for hedge. CTA has storage cost advantage than most individual, institution investors and traders.
A. YES
B. NO, first statement is true but second is false because CTA don't have such advantage
C. NO, because investor tend to receive a premium for hedge
D. NO, both statement is incorrect.
Choose B, not sure.

Choose B, not sure also.

27. Statement regarding scenario analysis, can use it to determine the effect of only one variable change and scenario analysis can result in different result from total return approach
The statement is:
A. YES
B. NO, because it can't measure one variable change
C.
D. NO, can't result in different result with total return approach.

I choose A.    B&C both wrong and it's a supplement to total return analysis.

I. ETHICS

1. A guy H is the head of YYY Company manage the account for XXX Govenment's pension plan, he should be responsible for which of the following
A. Trustee
B. all plan beneficiaries
C. XXXX Govenment
D. only the active retirees
Choose B

B

2. Black is managing equity portion small cap and High Tech for XYZ fund (according IPS) and find that recent commodities perfomance well, thus invest a position for parts of his large clients. He say he has no Violate what?
A. Should not deviate IPS
B.
C. should notify his clients
D. should not invest in commodities due to lack of experience
Choose A.

A

3. H investigate Black's investment in Commodities and Black say that's only temporary investment, and will liquidate the position once market come sentiment. He also find Black's recent participate in an High Tech IPO and overscribe the shares, thus ask Black for reason.
Black say I notice the error and thus sell 30,000 shares out of the 50,000 shares. H also say for those account which participant for the IPO should be

credit with short term interest.
The statement regarding the correction of the error is correct/incorrest, the statement for short term interest credit is correct/incorrect?
NO, YES
很多人认为remove at cost，所以第一个是NO，但现实中一般如果IPO是盈利的，应该可以sell at market price

不确定，我选了NO， YES

4. H is not satisfy with Black's explanation but allow him to continue manage the account until he finish the evaluation. Considering his good performance, and might lead to great political pressure if fire Black. Did the fund manager violate Code?
A. NO
B. YES, should not be affected by policital pressure
C. YES, should suspend Black's management of the account until the complete of his evaluation
D.
Choose C.

我选了B，他留着这个manager不错，但是不从beneficial的角度出发，而从political角度出发时有问题的。

5. H ask Black to sent him a written statement following the CFAI Code, and Black response he will send email stating that he will check trading allocation procedure for clients at the end of each month. And interest will be debited from those account which receive shares allocation incorrectly.
The two statement violate CFAI Code?
NO         YES

我正好跟你选相反，YES/No，不确定。

6. What should H do to comply with code and standard?
A. fire the manager
B. reduce Black's allocation of the fund until compliance requirement meet
C. let Black continously manage the fund as long as achieve good return performance
D.
很多人选A，not sure

选了A

II. ETHICS
7. A company think CFAI Code and Standard and Asset Management Code is enough and they have lots of CFA chartholder and know the Code well, thus they think it's not necessary to fomulate formal compliance requirement for the firm. The firm recently nominate a Chief Compliance Officer.
Violate Code regarding to the firm's compliance policy? the nominating of CCO?
YES     NO

Yes/No.

8. The firm recently hire a manager who have been strictly disciplined by regulator, should the firm disclose?
A. NO
B. YES, should disclose firm's personel/manager's discipline history
C.
D.
I choose B.

B.

9. A guy work in the firm consider use VVV Company for data support, VVV paid for his accomodation $3000, and sent him a gift. The guy is considering using VVV for data support. Did the guy violate Code?
A. NO
B. YES, should not accpet cash more than $100
C. YES, should not accpet any gift
D. YES, it can be expected that his independency and objectivity have been affected by the vendor
I choose D.

D.

10. VVV also support the guy's son's soccer team, but the guy don't inform his employer, should the guy disclose the relationship with VVV to his clients and employer?
YES         YES

Yes/Yes.

11. The company consider hedge fund investment, but consider the risk feature, it has minimum portfolio value requirement. Client D, whose risk tolerence is low and don't meet the min value requirement, the company thus don't consider hedge fund investment for him. D claim unfair, does

violate Code?
A. NO
B. YES, treat in unfavor manner
C.
Choose A.

A.

12. Some suggest that some private equity has poor liquidity and most portfolio not invest in them, thus should delete them from the composite return. The firm disclose return all in form of net-of-fees. Violate Code and Standard?
YES         NO

Yes/no

III. ECONOMICS FORCASTING
13. Stock market has a high correlation with coincide index, the statement is YES/NO?
A. YES
B. NO, becasue stock market is a leading index
C. NO, because stock market is a lagging index
D. NO, because stock market is a coincide index

B.

14. The ratio of coincide index to leading index will be helpful in determining turning point, YES or NO?
A. YES
B. NO, the ratio of leading index to lagging index
C. NO, the ratio of leading index to coincide index
D. NO, the ratio of coincide index to lagging index
Choose D. 这题schweser上没有

D，这道题一点都不知道，猜的，结果猜错了……

15. Given netural interest rate = 4%, trend and forecast GDP growth 2.6% and 2.2%, long-term and forecast inflation 3.1% and 2.0%, calculate the target short-term interest rate.
Use Taylor rule and arrive the target rate = 4%+0.5*(2.2%-2.6%)+0.5*(3.1%-2.0%) = 4.35%

4.35.

16. Given the two stage FCFE for stock market index, FCFE for 2007 is 60, the growth rate from 2008-2010 is 12.4%, the growth rate after 2010 is 9%, the cost of equity is 12.4% (the same to first stage growth rate, easy for discount the first 3 year FCFE), calculate the value of the index.
Use the two stage DCF model, this content should be tested in level 2.

2264，记不清了，好像是C.

17. Given the Dividend, EPS for 2007 and 2008, given riskfree rate and risk-premium, given ROE, calculate P/E for 2008 under DDM model.
Use D/E calculate payout ratio = 0.3, thus the retent ratio 0.7 apply to ROE and get growth rate, riskfree rate + risk-premium = equity required return, then P/E for 2008 should be payout/(k - g) = 16.3

16.3.

18. The (k - g) componet is actually the
A. Dividend yield
B. P/B
C.
Choose A, P/E = payout/(k-g), k - g = E*payout/P = D/P, which is dividend yield.

A，我选错了。

IV. FIXED INCOME

Given four set of bonds, durations and maturities
BOND 1: Fixed rate Treasure Bond
BOND 2: Zero-Coupon Corporate bonds mature at 5 yrs and 7 yrs
BOND 3: Fixed rate Mortgage Passthrough
BOND 4: Fixed rate Corporate bonds mature at 7 yrs

A Liability with duration 5.8 mature at 5 yrs and 7 yrs, there are no interm cash flows.

19. Bond 3 will subject to contingent claim risk and cap risk?
YES         NO

Yes/Yes，embedded cap risk.

20. Which of bond will be best to fund the liability?
BOND 2

21. Which of risk will Mortgage Passthrough have when interest decline?
A. negative convexity
B. credit risk
Definitely A.

22. To change the duration of bond 1 (100 million) from current 6.1 to 5.8, given the CTD bond's duration = 7.4, conversion factor = 0.91, future price = 1000, calculate the N of future to hedge.
Easy, conversion factor*(100m/0.1m)*(MDt - MDp)/MDf = N

这题好像是35吧。

23. which of following statment for fixed income is false?
Statement1: as callable bond's return is non-normal, standard deviation to calculate risk will not work.
Statement2: Semi-variance will be appropriate to measure bond's return
Statement3: shortfall risk calculate the probability that objective return are not meet, but don't specify the dollar amount how worse the result is
Statement4: VAR also don't specify the extent how worse the loss might be
Choose Statement2.

B.

24. How to hedge credit risk if expect the credit spread widen?
A. buy credit defaut swap
B. sell credit defaut swap
C. sell binary call option
D. sell binary put option
Choose A. 这题存在争议，因为CDS一般不对冲credit spread risk，除此之外最好的选项是sell binary call，至少可以赚期权费，但如果spread持续widen，是不能on-going hedge的，CFAI真恶，给个credit spread option/forward直接点不好吗？

A，analyst forum上很多人争议，不过还是buy比性质更重要。

V. Fixed Income

25. Calcuate the return of the leverage, equity=2m, borrowing=5m, given borrowing rate = *% and portfolio's return =0.3%, for 30-day

26. The repo rate is determined by collateral and position of the borrower?
Collateral    position
YES             YES
经google过，position确实影响repo，因为影响借款人的credit risk

唉，错了……

27. Statement regarding scenario analysis, can use it to determine the effect of only one variable change
can result in different result from total return analysis
The statement is:
A. YES
B. NO, because it can't measure one variable change
C.
D. NO, can't result in different result with total return approach.
Choose D.

A，没啥不对的。

28. Given US riskfree rate, and riskfree rate in UK, Japan, German and Singapore, as well as 10-year bond rate, ask the highest domestic return if hedged
Choose Japan, since domestic return = domestic Rf + (bond return - local Rf), just choose the one with highest local risk premium.

Japan。

29. Given US riskfree rate, and riskfree rate in UK, Japan, German and Singapore, as well as 10-year bond rate, ask the highest domestic return if unhedge
Choose German, since domestic return = local return + expected currency change% , choose the one with highest of the sum.

Singapore.

30. Given the duration of Japan and Singapore bond, what's the quarterly breakeven yield change for 10-year US bond?
For Japan, For Singapore bond
Choose D, 6.05 and **** (can't remember)

B.
VI. Equity Investment

31. Statement: Enhance return strategy is to generate higher active return, tracking error risk than passive indexing but lower information than active strategy. The statement is ?
A. CORRECT
B. Incorrect for information ratio
C. Incorrect for active return
D. Incorrect for tracking error
Choose B.

32. The firm use Russel 1000 Index as benchmark (with 7% return), the manager use Russel 1000 value as his own benchmark (with 10% return), his portfolio return is 9%, what is the true return and misfit return?
-1%, 3%

33. Statement: Information Breath is the number of independent decision a manager make. if the IB double, the information also double. Is the first and second statement is correct?
YES     NO

Not sure。

34. Find the manager with highest information ratio
manager 1: IR1 =0.70
manager 2: IR2 =0.74
manager 3: IR3 =0.50
manager 4: IR4 =0.40
Choose the one with 0.74.

35. To minimize tracking error, add return, and reduce misfit risk, which is most appropriate?
A. Core-Satelitte Approach
B. Completeness Fund
C. Enhance indexing
D. Portable alpha
I choose A, this question have lots of arguements.

Me too

36. What is the manager's information ratio given the active risk = 5%, misfit risk = *%.
The IR = -1%/5% = -20%

VII. Equity Investment

37. The university is want to maxmize information ratio, minimize tracking error, and there is instable cash inflow and outflow, the best strategy is
A. enhance indexing
B. enhance indexing with optimization
C. active management
D. enhance indexing with
Choose B.

38. The appropriate strategy for investing in an international market for the university if use an indexing strategy and want to reduce transaction cost:
A. investability rather than breath
B. target float adjustment rather than flexible adjust
C. band float adjustment rather than

这题不确定

我选了B，感觉，没见过。

39. To reduce rebalance cost and tracking error, the appropriate strategy
A. Indexing with optimization
B.
C. Passive Indexing
D.
Choose C.

40. Which of following statement is false?
Statement1: long-short strategy will
Statement2: if active risk double, the active return will be double
Statement3: portable alpha can be added to indexing portfolio to ....?
Statement4: long on strategy have asymmetric return
I choose Statement 2.

41. Which of follwing weight index will least like to avoid the bias toward small cap?
A. free float
B. price weight
C. value weight
D. equal weight
这题我一直没搞清楚是不想偏向小盘还是不想倾向小盘，bias toward还是against，不记得了？

我选了D。
42. Which strategy should be used given the alpha and tracking error?
A. stock-based enhance indexing strategy for higher tracking error
B. derivative-based enhance indexing strategy due to higher tracking error
C. stock-based enhance indexing strategy for higher information ratio
D. derivative-based enhance indexing strategy for higher information ratio
Choose D, calculate the alpha/TE and find the one with higher IR, stock-based IR is 0.71 and derivatives-bases IR is 0.77.

这题选C，肯定不选D，题目里明确说不能投资于derivative的。

VIII. Alternative Investment

43. Statement: FOF will have lower management fee, and fund of hedge fund have lock-up period, YES/NO
For manager fee, for lock-up period
NO, YES
题目1和2的主语不同，1是FOF，2是FOHF，FOF是没有lock-up，而FOHF是有lock-up的,google过，证实。。schweser上没有出现过FOHF

Higher fee/no lock-up. Mock上还是Sample上的题吧，两个都是no. Google不会说这么清楚的。

44. The fee-schedule say "1.5%-20%" means:
A. fee based on commit fund, and 20% incentive fee based on profit of the period when liquidating the asset
B. fee based on asset value, and 20% incentive fee based on profit of the account return
C. fee based on commit fund, and 20% incentive fee based on profit of the account return
D. fee based on asset value, and 20% incentive fee based on the total asset value when liquidating the asset
Choose B.

选C，两个fee的定义。

45. high water mark provision means?
A. High water mark limit the incentive fee's upside potential.
B. High water mark determine if the incentive fee should be received.
C.
D.
Choose B.

46. Statement1: inflow result popularity and index performance bias to the most pop hedge fund.
     Statement2: transaction cost don't affect rebalancing consideration.
The statements are correct or not?
YES  NO

Yes/no.

47. Which of following hedge fund managers can game the sharp ratio?
Should choose the one increase the time frequency from montht to quarter, and have more weight in asset rarely price. Should be manager 1.

48. Statement about manage future: it is a good diversified investment because investors tend to pay a premium for hedge. CTA has storage cost advantage than most individual, institution investors and traders.
A. YES
B. NO, first statement is true but second is false because CTA don't have such advantage
C. NO, because investor tend to receive a premium for hedge
D. NO, both statement is incorrect.
Choose A. 经google查询，CTA是有成本优势

这题我错了，选了B，感觉。
IX. Derivatives

A bank have an $100,000,000 loan with float interest rate at LIBOR+2% for 90 days, effective 52 days later. The bank buy a interest rate put with strike at 5.1% to avoid interest rate decline risk.

49. Given the option premium = 250,000, the opportunity cost 7.86%, calculate the loan's EAR if LIBOR = 5.2% in 52 days
Easy, use 7.86% to calculate the FV of the option premium, combine it with the $100m arrive the initial investment, the option will be no value during the loan period, and in the end the bank have (100m + 100*7.2%*90/360), EAR can be arrived from V0*(1+EAR)^90/365 = V1

50. The bank construct a collar by selling a interest rate call with Strike at 5.3%, calculate the payoff of the collar when LIBOR = 5.2%
payoff = 0

51. The firm have another loan and concerning declining of interest rate, which of following instrument should buy?
A. cap
B. floor
C.
Choose B.

52. The firm buy a call with strike at 5.2% in 143 days, with NP = 250,000,000, the LIBOR = 6%, calculate payoff.
payoff = NP*(LIBOR - 5.2%)*90/360 = 511,111

53. Statement: gamma is important to delta hedge when gamma is small.  The statement is
A. Correct
B. Incorrect, gamma is important when gamma = 0
C. Incorrect, gamma is important when gamma is large
D. Incorrect, gamma is important when gamma is negative
Choose C.

选B，gamma为0的时候，可以维持两个delta的长期对冲比率不变，因此避免了频繁调整。

54. Which of following is not important for hedging strategy when a option is purchased.
A. Stock price
B. Strike price
C. Time to maturity
D. Relationship between stock price and option value
Choose B, all the other choice is important factors affect option delta.

X. GIPS
55. A company has a table of period from Dec 2005 to Dec 2007, with value at the end of each quarter without external cash flow, under GIPS

requirement, which return should be report?
A. annual return for 2006 ***% and annual return for 2007  ***%
B. annual return for 2006 ***% and annual return for 2007  ***% (the figure is not correct)
C. cumulative return for 2005-2007 at **%  (the figure is correct)
D. geometric return for 2005-2007 at **% (the figure is correct)
I choose A, annual return is required.

56. Calculate the TWR and modified Dietz Method for April 2008. Given value at begining = 65, CF = 17 at April 26, value after CF = 81, value at the end of April = 85
3.3%   4.4%

后一个数字是4.5%，whatever

57. If trading expense increase, what's the most possible result to the portfolio return performance?
    gross-of-fee  net-of-fee
A. decrease    decrease
B. decrease    the same
C. the same   decrease
D. the same   the same
Choose A

58. Under what circumstance a firm might use IRR to evaluate portfolio performance?
A. Private Equity
B. Fixed Income
C. Hedge fund
D.
Choose A.

59. Firm A acquire firm B, B is formerly in compliance with GIPS, and all B's employees, managers and decision-making process maintain completely after the merge. Shall A present B's past performance result? B's composite have 4 portfolios.
A. YES
B. No, because less than five portfolio
C. No. because the it is unlikely that A's composite will be the same as B's
D. No, becasue the employees, managers and decision-making process remain unchanged.
Choose A.

60. Statement1: Verification process is recommended for all the firm's past compliance history.
     Statement2: We can verify the firm's composite is in compliance with GIPS except for private equity composite.
YES/NO regarding statement 1 and 2
YES    NO

在这里把全部试题贴出来，试题为goldenbin凭印象整理，秩序和选项可能有所不同。。

I. ETHICS

1. A guy H is the head of YYY Company manage the account for XXX Govenment's pension plan, he should be responsible for which of the following
A. Trustee
B. all plan beneficiaries
C. XXXX Govenment
D. only the active retirees
Choose B

B

2. Black is managing equity portion small cap and High Tech for XYZ fund (according IPS) and find that recent commodities perfomance well, thus invest a position for parts of his large clients. He say he has no Violate what?
A. Should not deviate IPS
B.
C. should notify his clients
D. should not invest in commodities due to lack of experience
Choose A.

A

3. H investigate Black's investment in Commodities and Black say that's only temporary investment, and will liquidate the position once market come sentiment. He also find Black's recent participate in an High Tech IPO and overscribe the shares, thus ask Black for reason.
Black say I notice the error and thus sell 30,000 shares out of the 50,000 shares. H also say for those account which participant for the IPO should be

credit with short term interest.
The statement regarding the correction of the error is correct/incorrest, the statement for short term interest credit is correct/incorrect?
NO, YES
很多人认为remove at cost，所以第一个是NO，但现实中一般如果IPO是盈利的，应该可以sell at market price

i choose yes yes , not sure

4. H is not satisfy with Black's explanation but allow him to continue manage the account until he finish the evaluation. Considering his good performance, and might lead to great political pressure if fire Black. Did the fund manager violate Code?
A. NO
B. YES, should not be affected by policital pressure
C. YES, should suspend Black's management of the account until the complete of his evaluation
D.
Choose C.

C

5. H ask Black to sent him a written statement following the CFAI Code, and Black response he will send email stating that he will check trading allocation procedure for clients at the end of each month. And interest will be debited from those account which receive shares allocation incorrectly.
The two statement violate CFAI Code?
NO         YES

no yes
  

6. What should H do to comply with code and standard?
A. fire the manager
B. reduce Black's allocation of the fund until compliance requirement meet
C. let Black continously manage the fund as long as achieve good return performance
D.
很多人选A，not sure

i choose B

II. ETHICS
7. A company think CFAI Code and Standard and Asset Management Code is enough and they have lots of CFA chartholder and know the Code well, thus they think it's not necessary to fomulate formal compliance requirement for the firm. The firm recently nominate a Chief Compliance Officer.
Violate Code regarding to the firm's compliance policy? the nominating of CCO?
YES     NO

8. The firm recently hire a manager who have been strictly disciplined by regulator, should the firm disclose?
A. NO
B. YES, should disclose firm's personel/manager's discipline history
C.
D.
I choose B.

9. A guy work in the firm consider use VVV Company for data support, VVV paid for his accomodation $3000, and sent him a gift. The guy is considering using VVV for data support. Did the guy violate Code?
A. NO
B. YES, should not accpet cash more than $100
C. YES, should not accpet any gift
D. YES, it can be expected that his independency and objectivity have been affected by the vendor
I choose D.

A

10. VVV also support the guy's son's soccer team, but the guy don't inform his employer, should the guy disclose the relationship with VVV to his clients and employer?
YES         YES

y y

11. The company consider hedge fund investment, but consider the risk feature, it has minimum portfolio value requirement. Client D, whose risk tolerence is low and don't meet the min value requirement, the company thus don't consider hedge fund investment for him. D claim unfair, does

violate Code?
A. NO
B. YES, treat in unfavor manner
C.
Choose A.

A

12. Some suggest that some private equity has poor liquidity and most portfolio not invest in them, thus should delete them from the composite return. The firm disclose return all in form of net-of-fees. Violate Code and Standard?
YES         NO

yes  yes   第二句话，应该是net of fees 和 gross of fees，都公布，是Asset management code中规定的，我印象是

III. ECONOMICS FORCASTING
13. Stock market has a high correlation with coincide index, the statement is YES/NO?
A. YES
B. NO, becasue stock market is a leading index
C. NO, because stock market is a lagging index
D. NO, because stock market is a coincide index

C

14. The ratio of coincide index to leading index will be helpful in determining turning point, YES or NO?
A. YES
B. NO, the ratio of leading index to lagging index
C. NO, the ratio of leading index to coincide index
D. NO, the ratio of coincide index to lagging index
Choose D. 这题schweser上没有

书上有好像，好像是A吧，记不清了，大家可以回去查查书。反正我选错了～

15. Given netural interest rate = 4%, trend and forecast GDP growth 2.6% and 2.2%, long-term and forecast inflation 3.1% and 2.0%, calculate the target short-term interest rate.
Use Taylor rule and arrive the target rate = 4%+0.5*(2.2%-2.6%)+0.5*(3.1%-2.0%) = 4.35%

sure

16. Given the two stage FCFE for stock market index, FCFE for 2007 is 60, the growth rate from 2008-2010 is 12.4%, the growth rate after 2010 is 9%, the cost of equity is 12.4% (the same to first stage growth rate, easy for discount the first 3 year FCFE), calculate the value of the index.
Use the two stage DCF model, this content should be tested in level 2.

17. Given the Dividend, EPS for 2007 and 2008, given riskfree rate and risk-premium, given ROE, calculate P/E for 2008 under DDM model.
Use D/E calculate payout ratio = 0.3, thus the retent ratio 0.7 apply to ROE and get growth rate, riskfree rate + risk-premium = equity required return, then P/E for 2008 should be payout/(k - g) = 16.3

18. The (k - g) componet is actually the
A. Dividend yield
B. P/B
C.
Choose A, P/E = payout/(k-g), k - g = E*payout/P = D/P, which is dividend yield.

A，no problem
IV. FIXED INCOME

Given four set of bonds, durations and maturities
BOND 1: Fixed rate Treasure Bond
BOND 2: Zero-Coupon Corporate bonds mature at 5 yrs and 7 yrs
BOND 3: Fixed rate Mortgage Passthrough
BOND 4: Fixed rate Corporate bonds mature at 7 yrs

A Liability with duration 5.8 mature at 5 yrs and 7 yrs, there are no interm cash flows.

19. Bond 3 will subject to contingent claim risk and cap risk?
YES         NO

yes no

20. Which of bond will be best to fund the liability?
BOND 2

bond 2

21. Which of risk will Mortgage Passthrough have when interest decline?
A. negative convexity
B. credit risk
Definitely A.

a

22. To change the duration of bond 1 (100 million) from current 6.1 to 5.8, given the CTD bond's duration = 7.4, conversion factor = 0.91, future price = 1000, calculate the N of future to hedge.
Easy, conversion factor*(100m/0.1m)*(MDt - MDp)/MDf = N

忘了确切的了

23. which of following statment for fixed income is false?
Statement1: as callable bond's return is non-normal, standard deviation to calculate risk will not work.
Statement2: Semi-variance will be appropriate to measure bond's return
Statement3: shortfall risk calculate the probability that objective return are not meet, but don't specify the dollar amount how worse the result is
Statement4: VAR also don't specify the extent how worse the loss might be
Choose Statement2.

2

24. How to hedge credit risk if expect the credit spread widen?
A. buy credit defaut swap
B. sell credit defaut swap
C. sell binary call option
D. sell binary put option
Choose A. 这题存在争议，因为CDS一般不对冲credit spread risk，除此之外最好的选项是sell binary call，至少可以赚期权费，但如果spread持续widen，是不能on-going hedge的，CFAI真恶，给个credit spread option/forward直接点不好吗？

只能选buy吧

V. Fixed Income

25. Calcuate the return of the leverage, equity=2m, borrowing=5m, given borrowing rate = *% and portfolio's return =0.3%, for 30-day

26. The repo rate is determined by collateral and position of the borrower?
Collateral    position
YES             YES
经google过，position确实影响repo，因为影响借款人的credit risk

我不知道，我选的是yes no

27. Statement regarding scenario analysis, can use it to determine the effect of only one variable change
can result in different result from total return analysis
The statement is:
A. YES
B. NO, because it can't measure one variable change
C.
D. NO, can't result in different result with total return approach.
Choose D.

yes，选的A

28. Given US riskfree rate, and riskfree rate in UK, Japan, German and Singapore, as well as 10-year bond rate, ask the highest domestic return if hedged
Choose Japan, since domestic return = domestic Rf + (bond return - local Rf), just choose the one with highest local risk premium.

29. Given US riskfree rate, and riskfree rate in UK, Japan, German and Singapore, as well as 10-year bond rate, ask the highest domestic return if unhedge
Choose German, since domestic return = local return + expected currency change% , choose the one with highest of the sum.

30. Given the duration of Japan and Singapore bond, what's the quarterly breakeven yield change for 10-year US bond?
For Japan, For Singapore bond
Choose D, 6.05 and **** (can't remember)

VI. Equity Investment

31. Statement: Enhance return strategy is to generate higher active return, tracking error risk than passive indexing but lower information than active strategy. The statement is ?
A. CORRECT
B. Incorrect for information ratio
C. Incorrect for active return
D. Incorrect for tracking error
Choose B.

B

32. The firm use Russel 1000 Index as benchmark (with 7% return), the manager use Russel 1000 value as his own benchmark (with 10% return), his portfolio return is 9%, what is the true return and misfit return?
-1%, 3%

me too

33. Statement: Information Breath is the number of independent decision a manager make. if the IB double, the information also double. Is the first and second statement is correct?
YES     NO

me too

34. Find the manager with highest information ratio
manager 1: IR1 =0.70
manager 2: IR2 =0.74
manager 3: IR3 =0.50
manager 4: IR4 =0.40
Choose the one with 0.74.

same

35. To minimize tracking error, add return, and reduce misfit risk, which is most appropriate?
A. Core-Satelitte Approach
B. Completeness Fund
C. Enhance indexing
D. Portable alpha
I choose A, this question have lots of arguements.

A

36. What is the manager's information ratio given the active risk = 5%, misfit risk = *%.
The IR = -1%/5% = -20%

VII. Equity Investment

37. The university is want to maxmize information ratio, minimize tracking error, and there is instable cash inflow and outflow, the best strategy is
A. enhance indexing
B. enhance indexing with optimization
C. active management
D. enhance indexing with
Choose B.

忘了，但好像不是这个

38. The appropriate strategy for investing in an international market for the university if use an indexing strategy and want to reduce transaction cost:
A. investability rather than breath
B. target float adjustment rather than flexible adjust
C. band float adjustment rather than

这题不确定

我觉得的这道题，是考那几个tradeoff 的，不过我也没搞明白

39. To reduce rebalance cost and tracking error, the appropriate strategy
A. Indexing with optimization
B.
C. Passive Indexing
D.
Choose C.

C

40. Which of following statement is false?
Statement1: long-short strategy will
Statement2: if active risk double, the active return will be double
Statement3: portable alpha can be added to indexing portfolio to ....?
Statement4: long on strategy have asymmetric return
I choose Statement 2.

me too

41. Which of follwing weight index will least like to avoid the bias toward small cap?
A. free float
B. price weight
C. value weight
D. equal weight
这题我一直没搞清楚是不想偏向小盘还是不想倾向小盘，bias toward还是against，不记得了？

管他呢，就选D

42. Which strategy should be used given the alpha and tracking error?
A. stock-based enhance indexing strategy for higher tracking error
B. derivative-based enhance indexing strategy due to higher tracking error
C. stock-based enhance indexing strategy for higher information ratio
D. derivative-based enhance indexing strategy for higher information ratio
Choose D, calculate the alpha/TE and find the one with higher IR, stock-based IR is 0.71 and derivatives-bases IR is 0.77.

题上说不能用derivative的

VIII. Alternative Investment

43. Statement: FOF will have lower management fee, and fund of hedge fund have lock-up period, YES/NO
For manager fee, for lock-up period
NO, YES
题目1和2的主语不同，1是FOF，2是FOHF，FOF是没有lock-up，而FOHF是有lock-up的,google过，证实。。schweser上没有出现过FOHF

没那么复杂吧，sample 不一样吗，no no

44. The fee-schedule say "1.5%-20%" means:
A. fee based on commit fund, and 20% incentive fee based on profit of the period when liquidating the asset
B. fee based on asset value, and 20% incentive fee based on profit of the account return
C. fee based on commit fund, and 20% incentive fee based on profit of the account return
D. fee based on asset value, and 20% incentive fee based on the total asset value when liquidating the asset
Choose B.

我咋记得management fee 是基于 commit capital的呢？

45. high water mark provision means?
A. High water mark limit the incentive fee's upside potential.
B. High water mark determine if the incentive fee should be received.
C.
D.
Choose B.

B

46. Statement1: inflow result popularity and index performance bias to the most pop hedge fund.
     Statement2: transaction cost don't affect rebalancing consideration.
The statements are correct or not?
YES  NO

yes no

47. Which of following hedge fund managers can game the sharp ratio?
Should choose the one increase the time frequency from montht to quarter, and have more weight in asset rarely price. Should be manager 1.

same

48. Statement about manage future: it is a good diversified investment because investors tend to pay a premium for hedge. CTA has storage cost advantage than most individual, institution investors and traders.
A. YES
B. NO, first statement is true but second is false because CTA don't have such advantage
C. NO, because investor tend to receive a premium for hedge
D. NO, both statement is incorrect.
Choose A. 经google查询，CTA是有成本优势

看来我是错了，我选的B

IX. Derivatives

A bank have an $100,000,000 loan with float interest rate at LIBOR+2% for 90 days, effective 52 days later. The bank buy a interest rate put with strike at 5.1% to avoid interest rate decline risk.

49. Given the option premium = 250,000, the opportunity cost 7.86%, calculate the loan's EAR if LIBOR = 5.2% in 52 days
Easy, use 7.86% to calculate the FV of the option premium, combine it with the $100m arrive the initial investment, the option will be no value during the loan period, and in the end the bank have (100m + 100*7.2%*90/360), EAR can be arrived from V0*(1+EAR)^90/365 = V1

50. The bank construct a collar by selling a interest rate call with Strike at 5.3%, calculate the payoff of the collar when LIBOR = 5.2%
payoff = 0

me too

51. The firm have another loan and concerning declining of interest rate, which of following instrument should buy?
A. cap
B. floor
C.
Choose B.

B

52. The firm buy a call with strike at 5.2% in 143 days, with NP = 250,000,000, the LIBOR = 6%, calculate payoff.
payoff = NP*(LIBOR - 5.2%)*90/360 = 511,111

费老半天劲，才算出来这个数

53. Statement: gamma is important to delta hedge when gamma is small.  The statement is
A. Correct
B. Incorrect, gamma is important when gamma = 0
C. Incorrect, gamma is important when gamma is large
D. Incorrect, gamma is important when gamma is negative
Choose C.

我选的C

54. Which of following is not important for hedging strategy when a option is purchased.
A. Stock price
B. Strike price
C. Time to maturity
D. Relationship between stock price and option value
Choose B, all the other choice is important factors affect option delta.

B
X. GIPS
55. A company has a table of period from Dec 2005 to Dec 2007, with value at the end of each quarter without external cash flow, under GIPS

requirement, which return should be report?
A. annual return for 2006 ***% and annual return for 2007  ***%
B. annual return for 2006 ***% and annual return for 2007  ***% (the figure is not correct)
C. cumulative return for 2005-2007 at **%  (the figure is correct)
D. geometric return for 2005-2007 at **% (the figure is correct)
I choose A, annual return is required.

A

56. Calculate the TWR and modified Dietz Method for April 2008. Given value at begining = 65, CF = 17 at April 26, value after CF = 81, value at the end of April = 85
3.3%   4.4%

same

57. If trading expense increase, what's the most possible result to the portfolio return performance?
    gross-of-fee  net-of-fee
A. decrease    decrease
B. decrease    the same
C. the same   decrease
D. the same   the same
Choose A

A

58. Under what circumstance a firm might use IRR to evaluate portfolio performance?
A. Private Equity
B. Fixed Income
C. Hedge fund
D.
Choose A.

A

59. Firm A acquire firm B, B is formerly in compliance with GIPS, and all B's employees, managers and decision-making process maintain completely after the merge. Shall A present B's past performance result? B's composite have 4 portfolios.
A. YES
B. No, because less than five portfolio
C. No. because the it is unlikely that A's composite will be the same as B's
D. No, becasue the employees, managers and decision-making process remain unchanged.
Choose A.

A

60. Statement1: Verification process is recommended for all the firm's past compliance history.
     Statement2: We can verify the firm's composite is in compliance with GIPS except for private equity composite.
YES/NO regarding statement 1 and 2
YES    NO

在这里把全部试题贴出来，试题为goldenbin凭印象整理，秩序和选项可能有所不同。。

I. ETHICS

1. A guy H is the head of YYY Company manage the account for XXX Govenment's pension plan, he should be responsible for which of the following
A. Trustee
B. all plan beneficiaries
C. XXXX Govenment
D. only the active retirees
Choose B

2. Black is managing equity portion small cap and High Tech for XYZ fund (according IPS) and find that recent commodities perfomance well, thus invest a position for parts of his large clients. He say he has no Violate what?
A. Should not deviate IPS
B.
C. should notify his clients
D. should not invest in commodities due to lack of experience
Choose A.

3. H investigate Black's investment in Commodities and Black say that's only temporary investment, and will liquidate the position once market come sentiment. He also find Black's recent participate in an High Tech IPO and overscribe the shares, thus ask Black for reason.
Black say I notice the error and thus sell 30,000 shares out of the 50,000 shares. H also say for those account which participant for the IPO should be

credit with short term interest.
The statement regarding the correction of the error is correct/incorrest, the statement for short term interest credit is correct/incorrect?
NO, YES
很多人认为remove at cost，所以第一个是NO，但现实中一般如果IPO是盈利的，应该可以sell at market price

4. H is not satisfy with Black's explanation but allow him to continue manage the account until he finish the evaluation. Considering his good performance, and might lead to great political pressure if fire Black. Did the fund manager violate Code?
A. NO
B. YES, should not be affected by policital pressure
C. YES, should suspend Black's management of the account until the complete of his evaluation
D.
Choose C.

5. H ask Black to sent him a written statement following the CFAI Code, and Black response he will send email stating that he will check trading allocation procedure for clients at the end of each month. And interest will be debited from those account which receive shares allocation incorrectly.
The two statement violate CFAI Code?
NO         YES

6. What should H do to comply with code and standard?
A. fire the manager
B. reduce Black's allocation of the fund until compliance requirement meet
C. let Black continously manage the fund as long as achieve good return performance
D.
很多人选A，not sure

II. ETHICS
7. A company think CFAI Code and Standard and Asset Management Code is enough and they have lots of CFA chartholder and know the Code well, thus they think it's not necessary to fomulate formal compliance requirement for the firm. The firm recently nominate a Chief Compliance Officer.
Violate Code regarding to the firm's compliance policy? the nominating of CCO?
YES     NO

8. The firm recently hire a manager who have been strictly disciplined by regulator, should the firm disclose?
A. NO
B. YES, should disclose firm's personel/manager's discipline history
C.
D.
I choose B.

9. A guy work in the firm consider use VVV Company for data support, VVV paid for his accomodation $3000, and sent him a gift. The guy is considering using VVV for data support. Did the guy violate Code?
A. NO
B. YES, should not accpet cash more than $100
C. YES, should not accpet any gift
D. YES, it can be expected that his independency and objectivity have been affected by the vendor
I choose D.

10. VVV also support the guy's son's soccer team, but the guy don't inform his employer, should the guy disclose the relationship with VVV to his clients and employer?
YES         YES

11. The company consider hedge fund investment, but consider the risk feature, it has minimum portfolio value requirement. Client D, whose risk tolerence is low and don't meet the min value requirement, the company thus don't consider hedge fund investment for him. D claim unfair, does

violate Code?
A. NO
B. YES, treat in unfavor manner
C.
Choose A.

12. Some suggest that some private equity has poor liquidity and most portfolio not invest in them, thus should delete them from the composite return. The firm disclose return all in form of net-of-fees. Violate Code and Standard?
YES         NO

III. ECONOMICS FORCASTING
13. Stock market has a high correlation with coincide index, the statement is YES/NO?
A. YES
B. NO, becasue stock market is a leading index
C. NO, because stock market is a lagging index
D. NO, because stock market is a coincide index

14. The ratio of coincide index to leading index will be helpful in determining turning point, YES or NO?
A. YES
B. NO, the ratio of leading index to lagging index
C. NO, the ratio of leading index to coincide index
D. NO, the ratio of coincide index to lagging index
Choose D. 这题schweser上没有

15. Given netural interest rate = 4%, trend and forecast GDP growth 2.6% and 2.2%, long-term and forecast inflation 3.1% and 2.0%, calculate the target short-term interest rate.
Use Taylor rule and arrive the target rate = 4%+0.5*(2.2%-2.6%)+0.5*(3.1%-2.0%) = 4.35%

16. Given the two stage FCFE for stock market index, FCFE for 2007 is 60, the growth rate from 2008-2010 is 12.4%, the growth rate after 2010 is 9%, the cost of equity is 12.4% (the same to first stage growth rate, easy for discount the first 3 year FCFE), calculate the value of the index.
Use the two stage DCF model, this content should be tested in level 2.

17. Given the Dividend, EPS for 2007 and 2008, given riskfree rate and risk-premium, given ROE, calculate P/E for 2008 under DDM model.
Use D/E calculate payout ratio = 0.3, thus the retent ratio 0.7 apply to ROE and get growth rate, riskfree rate + risk-premium = equity required return, then P/E for 2008 should be payout/(k - g) = 16.3

18. The (k - g) componet is actually the
A. Dividend yield
B. P/B
C.
Choose A, P/E = payout/(k-g), k - g = E*payout/P = D/P, which is dividend yield.

IV. FIXED INCOME

Given four set of bonds, durations and maturities
BOND 1: Fixed rate Treasure Bond
BOND 2: Zero-Coupon Corporate bonds mature at 5 yrs and 7 yrs
BOND 3: Fixed rate Mortgage Passthrough
BOND 4: Fixed rate Corporate bonds mature at 7 yrs

A Liability with duration 5.8 mature at 5 yrs and 7 yrs, there are no interm cash flows.

19. Bond 3 will subject to contingent claim risk and cap risk?
YES         NO

20. Which of bond will be best to fund the liability?
BOND 2

21. Which of risk will Mortgage Passthrough have when interest decline?
A. negative convexity
B. credit risk
Definitely A.

22. To change the duration of bond 1 (100 million) from current 6.1 to 5.8, given the CTD bond's duration = 7.4, conversion factor = 0.91, future price = 1000, calculate the N of future to hedge.
Easy, conversion factor*(100m/0.1m)*(MDt - MDp)/MDf = N

23. which of following statment for fixed income is false?
Statement1: as callable bond's return is non-normal, standard deviation to calculate risk will not work.
Statement2: Semi-variance will be appropriate to measure bond's return
Statement3: shortfall risk calculate the probability that objective return are not meet, but don't specify the dollar amount how worse the result is
Statement4: VAR also don't specify the extent how worse the loss might be
Choose Statement2.

24. How to hedge credit risk if expect the credit spread widen?
A. buy credit defaut swap
B. sell credit defaut swap
C. sell binary call option
D. sell binary put option
Choose A. 这题存在争议，因为CDS一般不对冲credit spread risk，除此之外最好的选项是sell binary call，至少可以赚期权费，但如果spread持续widen，是不能on-going hedge的，CFAI真恶，给个credit spread option/forward直接点不好吗？

V. Fixed Income

25. Calcuate the return of the leverage, equity=2m, borrowing=5m, given borrowing rate = *% and portfolio's return =0.3%, for 30-day

26. The repo rate is determined by collateral and position of the borrower?
Collateral    position
YES             YES
经google过，position确实影响repo，因为影响借款人的credit risk

27. Statement regarding scenario analysis, can use it to determine the effect of only one variable change
can result in different result from total return analysis
The statement is:
A. YES
B. NO, because it can't measure one variable change
C.
D. NO, can't result in different result with total return approach.
Choose D.

28. Given US riskfree rate, and riskfree rate in UK, Japan, German and Singapore, as well as 10-year bond rate, ask the highest domestic return if hedged
Choose Japan, since domestic return = domestic Rf + (bond return - local Rf), just choose the one with highest local risk premium.

29. Given US riskfree rate, and riskfree rate in UK, Japan, German and Singapore, as well as 10-year bond rate, ask the highest domestic return if unhedge
Choose German, since domestic return = local return + expected currency change% , choose the one with highest of the sum.

30. Given the duration of Japan and Singapore bond, what's the quarterly breakeven yield change for 10-year US bond?
For Japan, For Singapore bond
Choose D, 6.05 and **** (can't remember)

VI. Equity Investment

31. Statement: Enhance return strategy is to generate higher active return, tracking error risk than passive indexing but lower information than active strategy. The statement is ?
A. CORRECT
B. Incorrect for information ratio
C. Incorrect for active return
D. Incorrect for tracking error
Choose B.

32. The firm use Russel 1000 Index as benchmark (with 7% return), the manager use Russel 1000 value as his own benchmark (with 10% return), his portfolio return is 9%, what is the true return and misfit return?
-1%, 3%

33. Statement: Information Breath is the number of independent decision a manager make. if the IB double, the information also double. Is the first and second statement is correct?
YES     NO

34. Find the manager with highest information ratio
manager 1: IR1 =0.70
manager 2: IR2 =0.74
manager 3: IR3 =0.50
manager 4: IR4 =0.40
Choose the one with 0.74.

35. To minimize tracking error, add return, and reduce misfit risk, which is most appropriate?
A. Core-Satelitte Approach
B. Completeness Fund
C. Enhance indexing
D. Portable alpha
I choose A, this question have lots of arguements.

36. What is the manager's information ratio given the active risk = 5%, misfit risk = *%.
The IR = -1%/5% = -20%

VII. Equity Investment

37. The university is want to maxmize information ratio, minimize tracking error, and there is instable cash inflow and outflow, the best strategy is
A. enhance indexing
B. enhance indexing with optimization
C. active management
D. enhance indexing with
Choose B.

38. The appropriate strategy for investing in an international market for the university if use an indexing strategy and want to reduce transaction cost:
A. investability rather than breath
B. target float adjustment rather than flexible adjust
C. band float adjustment rather than

这题不确定

39. To reduce rebalance cost and tracking error, the appropriate strategy
A. Indexing with optimization
B.
C. Passive Indexing
D.
Choose C.

40. Which of following statement is false?
Statement1: long-short strategy will
Statement2: if active risk double, the active return will be double
Statement3: portable alpha can be added to indexing portfolio to ....?
Statement4: long on strategy have asymmetric return
I choose Statement 2.

41. Which of follwing weight index will least like to avoid the bias toward small cap?
A. free float
B. price weight
C. value weight
D. equal weight
这题我一直没搞清楚是不想偏向小盘还是不想倾向小盘，bias toward还是against，不记得了？

42. Which strategy should be used given the alpha and tracking error?
A. stock-based enhance indexing strategy for higher tracking error
B. derivative-based enhance indexing strategy due to higher tracking error
C. stock-based enhance indexing strategy for higher information ratio
D. derivative-based enhance indexing strategy for higher information ratio
Choose D, calculate the alpha/TE and find the one with higher IR, stock-based IR is 0.71 and derivatives-bases IR is 0.77.

VIII. Alternative Investment

43. Statement: FOF will have lower management fee, and fund of hedge fund have lock-up period, YES/NO
For manager fee, for lock-up period
NO, YES
题目1和2的主语不同，1是FOF，2是FOHF，FOF是没有lock-up，而FOHF是有lock-up的,google过，证实。。schweser上没有出现过FOHF

44. The fee-schedule say "1.5%-20%" means:
A. fee based on commit fund, and 20% incentive fee based on profit of the period when liquidating the asset
B. fee based on asset value, and 20% incentive fee based on profit of the account return
C. fee based on commit fund, and 20% incentive fee based on profit of the account return
D. fee based on asset value, and 20% incentive fee based on the total asset value when liquidating the asset
Choose B.

45. high water mark provision means?
A. High water mark limit the incentive fee's upside potential.
B. High water mark determine if the incentive fee should be received.
C.
D.
Choose B.

46. Statement1: inflow result popularity and index performance bias to the most pop hedge fund.
     Statement2: transaction cost don't affect rebalancing consideration.
The statements are correct or not?
YES  NO

47. Which of following hedge fund managers can game the sharp ratio?
Should choose the one increase the time frequency from montht to quarter, and have more weight in asset rarely price. Should be manager 1.

48. Statement about manage future: it is a good diversified investment because investors tend to pay a premium for hedge. CTA has storage cost advantage than most individual, institution investors and traders.
A. YES
B. NO, first statement is true but second is false because CTA don't have such advantage
C. NO, because investor tend to receive a premium for hedge
D. NO, both statement is incorrect.
Choose A. 经google查询，CTA是有成本优势

IX. Derivatives

A bank have an $100,000,000 loan with float interest rate at LIBOR+2% for 90 days, effective 52 days later. The bank buy a interest rate put with strike at 5.1% to avoid interest rate decline risk.

49. Given the option premium = 250,000, the opportunity cost 7.86%, calculate the loan's EAR if LIBOR = 5.2% in 52 days
Easy, use 7.86% to calculate the FV of the option premium, combine it with the $100m arrive the initial investment, the option will be no value during the loan period, and in the end the bank have (100m + 100*7.2%*90/360), EAR can be arrived from V0*(1+EAR)^90/365 = V1

50. The bank construct a collar by selling a interest rate call with Strike at 5.3%, calculate the payoff of the collar when LIBOR = 5.2%
payoff = 0

51. The firm have another loan and concerning declining of interest rate, which of following instrument should buy?
A. cap
B. floor
C.
Choose B.

52. The firm buy a call with strike at 5.2% in 143 days, with NP = 250,000,000, the LIBOR = 6%, calculate payoff.
payoff = NP*(LIBOR - 5.2%)*90/360 = 511,111

53. Statement: gamma is important to delta hedge when gamma is small.  The statement is
A. Correct
B. Incorrect, gamma is important when gamma = 0
C. Incorrect, gamma is important when gamma is large
D. Incorrect, gamma is important when gamma is negative
Choose C.

54. Which of following is not important for hedging strategy when a option is purchased.
A. Stock price
B. Strike price
C. Time to maturity
D. Relationship between stock price and option value
Choose B, all the other choice is important factors affect option delta.

X. GIPS
55. A company has a table of period from Dec 2005 to Dec 2007, with value at the end of each quarter without external cash flow, under GIPS

requirement, which return should be report?
A. annual return for 2006 ***% and annual return for 2007  ***%
B. annual return for 2006 ***% and annual return for 2007  ***% (the figure is not correct)
C. cumulative return for 2005-2007 at **%  (the figure is correct)
D. geometric return for 2005-2007 at **% (the figure is correct)
I choose A, annual return is required.

56. Calculate the TWR and modified Dietz Method for April 2008. Given value at begining = 65, CF = 17 at April 26, value after CF = 81, value at the end of April = 85
3.3%   4.4%

57. If trading expense increase, what's the most possible result to the portfolio return performance?
    gross-of-fee  net-of-fee
A. decrease    decrease
B. decrease    the same
C. the same   decrease
D. the same   the same
Choose A

58. Under what circumstance a firm might use IRR to evaluate portfolio performance?
A. Private Equity
B. Fixed Income
C. Hedge fund
D.
Choose A.

59. Firm A acquire firm B, B is formerly in compliance with GIPS, and all B's employees, managers and decision-making process maintain completely after the merge. Shall A present B's past performance result? B's composite have 4 portfolios.
A. YES
B. No, because less than five portfolio
C. No. because the it is unlikely that A's composite will be the same as B's
D. No, becasue the employees, managers and decision-making process remain unchanged.
Choose A.

60. Statement1: Verification process is recommended for all the firm's past compliance history.
     Statement2: We can verify the firm's composite is in compliance with GIPS except for private equity composite.
YES/NO regarding statement 1 and 2
YES    NO