下载APP
首页 > CFA > 试题中心 > 另类投资

"Alternative Investments":Convenience yield

来源: 正保会计网校 2020-11-05
普通

学习是一个不断积累的过程,每天学习一点,每天进步一点!为了帮助大家更高效地备考2021年CFA考试,正保会计网校每日为大家上新CFA习题供大家练习。让网校与您一起高效备考2021年CFA考试,梦想成真!

Questions 1:

Commodity futures prices are most likely in backwardation when:

A、 interest rates are high.

B 、storage costs are high.

C、 the convenience yield is high.

Questions 2:

Assume management fees are calculated using end-of-period valuation. The investor’s net return given this fee structure is closest to:

A 、10.88%.

B 、9.79%.

C、 9.68%.

View answer resolution
【Answer to question 1】C

【analysis】

C is correct. In backwardation, futures prices are lower than spot prices, that is, the commodity forward curve is downward sloping. This scenario occurs when the convenience yield is high. Futures price ≈ Spot price (1 + r) + Storage costs – Convenience yield.

 A is incorrect. Futures price ≈ Spot price (1 + r) + Storage costs – Convenience yield. Thus, high interest rates contribute to an upward sloping commodity forward curve.

 B is incorrect. Futures price ≈ Spot price (1 + r) + Storage costs – Convenience yield. Thus, high storage costs contribute to an upward sloping commodity forward curve.

【Answer to question 2】B

【analysis】

B is correct. Management fee: 1% of $112 million = $1.12 million 

Incentive fee: 10% of ($12 million – $ 1.12 million) = $1.088 million 

Fund value after fees: $112 million – $1.12 million – $1.088 million = $109.792 million

 Investor return: ($109.792 million/$100 million) – 1 = 9.79% 

C is incorrect. It ignores the fact that the incentive fee is calculated net of management fees. 

Management fee: 1% of $112 million = $1.12 million. 

Incentive fee: 10% of $12 million = $1.2 million. 

Fund value after fees: $112 million – $1.12 million – $1.2 million = $109.68 million 

Investor return: ($109.68 million / $100 million) - 1 = 9.68% 

B is incorrect. It neglects the incentive fee.

Management fee: 1% of $112 million = $1.12 million 

und value after fees: $112 million – $1.12 million = $110.88 million

 Investor return: ($110.88 million/$100 million) – 1 = 10.88%

 Introduction to Alternative Investments

成功=时间+方法,自制力是这个等式的保障。世上无天才,高手都是来自刻苦的练习。而人们经常只看到“牛人”闪耀的成绩,其成绩背后无比寂寞的勤奋。小编相信,每天都在勤奋练习,即使是一点点的进步,大家一定可以成为人人称赞的“牛人”。更多CFA考试资讯,点击了解>

今日热搜
热点推荐:
CFA考试课程
CFA面授课程

CFA优享/旗舰面授课程

实时互动 备考无忧

大学生专享点击了解

CFA课程试听

扫码关注公众号
正保金融大讲堂

接收更多考试资讯

扫码找组织

有奖原创征稿
取消
复制链接,粘贴给您的好友

复制链接,在微信、QQ等聊天窗口即可将此信息分享给朋友
客服