💥 15% APAGADO en todos los pedidos superiores a $50 con el código DROP15

Visite
Descargar instrucciones y preguntas frecuentes

CFA Level I Derivatives & Alternative Investments Calculation Practice with Answers

Práctica 50 CFA Level I Derivatives & Alternative Investments calculation questions with answers and detailed explanations. Work through CFA-style problems, review step-by-step solutions, and strengthen your understanding of derivatives pricing, forwards, futures, options, swaps, alternative investment concepts, and essential investment calculations.

Pregunta 1
The following information relates to questions 1 – 3.
Theresa, an investment manager, anticipates that the price ofa particular underlying, cur- rently selling at $64, is going to increase in value over the next three months. She purchases a call option expiring in three months on the underlying. The call option has an exercise price of $68 and sells for $5.
If the price of the underlying is $71 in three months, Theresa’s profit is:
Pregunta 2
If the price of the underlying is $73 in three months, Theresa’s profit is:
Pregunta 3
If the price of the underlying is $77 in three months, Theresa’s profit is:
Pregunta 4
The following information relates to questions 4 – 6.
A bond with a face value of $1,000 is selling for $965. A call option selling for $6 has an exercise price of $1,025. Consider the following questions about a covered call if the price of the bond at expiration is $960.
The value at expiration for the buyer is:
Pregunta 5
The profit at expiration for the buyer is:
Pregunta 6
The breakeven price of the bond at expiration is:
Pregunta 7
Robert, a futures trader, takes a long position in a contract. The initial margin requirement is $9 and the maintenance margin requirement is $5. If he deposits the required initial margin on the trade date, and then the margin account balance drops to $3, the variation margin the following day is:
Pregunta 8
The minimum hedge fund size an investor can consider is $80 million, and the investor’s maximum percentage of a fund is 15%. If the investor’s expected return is 8% and the risk-free rate is 2%, the investor’s minimum investment size is:
Pregunta 9
The following information relates to questions 9 – 11.
A call option is selling for $3 and has an exercise price of $19. Assume the price of the
underlying at expiration is $23.
The value at expiration for the buyer is:
Pregunta 10
The profit at expiration for the buyer is:
Pregunta 11
The maximum profit to the buyer and the maximum loss to the buyer, respectively, is:
Pregunta 12
Assume that an investment has a forward price of $16.52, the risk-free rate is 4%, and the contract expires in three months. The underlying price of the investment is:
Pregunta 13
The following information relates to questions 13 – 14.
A call option is selling for $5 and has an exercise price of $27. Assume the price of the underlying at expiration is $25.
The value at expiration for the buyer is:
Pregunta 14
The profit at expiration for the buyer is:
Pregunta 15
Patricia, an investment manager, bought a call option for $2.00. The option has a strike price of $22.00, and the stock is currently valued at $21.50. The call option would cost $1.50 if purchased today. Ignoring transaction costs, the intrinsic value of the option is:
Pregunta 16
La siguiente información se relaciona con las preguntas 16 – 17.
A call option is selling for $6 and has an exercise price of $125. Assume the price of the underlying at expiration is $124.
The value at expiration for the seller is:
Pregunta 17
The profit at expiration for the seller is:
Pregunta 18
The following information relates to questions 18 – 19.
A call option is selling for $3 and has an exercise price of $86. Assume the price of the underlying at expiration is $91.
The value at expiration for the seller is:
Pregunta 19
The profit at expiration for the seller is:
Pregunta 20
The following information relates to questions 20 – 24.
Alpha Hedge Fund invests $50 million in each of Gamma Fund and Delta Fund. Alpha Hedge Fund has a “2 and 20” fee structure. After one year, Gamma Fund is valued at $35 million and Delta Fund is valued at $90 million.
If fees are calculated independently at the end of each year, the total fees charged by Alpha Hedge Fund are:
Pregunta 21
If fees are calculated independently at the end of each year, the effective annual return for an investment in Alpha Hedge Fund is:
Pregunta 22
If the incentive fee is calculated based on return net of the management fee at the end of each year, the total fees charged by Alpha Hedge Fund are:
Pregunta 23
If the incentive fee is calculated based on return net of the management fee at the end of each year, the effective annual return for an investment in Alpha Hedge Fund is:
Pregunta 24
If fees are calculated independently at the end of each year, and the fee structure spec- ifies a 3% hurdle rate and the incentive fee is based on returns in excess of the hurdle rate, the total fees charged by Alpha Hedge Fund are:
Basado en la información proporcionada, el ratio de efectivo de Omikron Inc. es:
An investor purchases two puts. The first is a September Kappa put at $35, underlying currently selling at $37. The second is a November Zeta put at $28, underlying currently selling at $25. Ignoring transaction costs, the value of the options is:
Pregunta 26
An investor’s minimum investment size is $5.5 million, and the investor’s maximum percentage of a fund is 20%. If the investor’s expected return is 8% and the risk-free rate is 3.5%, the minimum hedge fund size the investor can consider is:
Pregunta 27
Assume that an investment has an underlying price of $27, the risk-free rate is 2.5%, and the contract expires in four months. The forward price is:
Pregunta 28
The following information relates to questions 28 – 33.
David, an investment manager, anticipates that the price of a particular underlying, currently selling at $184, is going to decrease in value over the next six months. He purchases a put option expiring in six months on the underlying. The put option has an exercise price of $177 and sells for $4.
If the price of the underlying is $190 in six months, David’s profit is:
Pregunta 29
If the price of the underlying is $184 in six months, David’s profit is:
Un analista de investigación proporciona los siguientes datos para Gamma LLC:
If the price of the underlying is $174 in six months, David’s profit is:
8 años.
If the price of the underlying is $170 in six months, David’s profit is:
Pregunta 32
If the price of the underlying is $166 in six months, David’s profit is:
Pregunta 33
The maximum profit to the buyer and the maximum loss to the buyer, respectively, is:
Pregunta 34
The following information relates to questions 34 – 38.
A currency is selling for $1.23. A put option selling for $0.12 has an exercise price of $1.27.
Consider the following questions about a protective put if the price at expiration is $1.32.
The value at expiration for the buyer is:
Pregunta 35
The profit at expiration for the buyer is:
Pregunta 36
The maximum loss to the buyer is:
Pregunta 37
The maximum profit to the buyer is:
Pregunta 38
The breakeven price of the currency at expiration is:
Pregunta 39
The following information relates to questions 39 – 43.
A bond with a face value of $1,000 is selling for $965. A call option selling for $6 has an exercise price of $1,025. Consider the following questions about a covered call if the price of the bond at expiration is $1,040.
The value at expiration for the buyer is:
Pregunta 40
The profit at expiration for the buyer is:
Pregunta 41
The maximum profit to the buyer is:
Pregunta 42
The maximum loss to the buyer is:
Pregunta 43
The breakeven price of the bond at expiration is:
Pregunta 44
The following information relates to questions 44 – 45.
Beta Hedge Fund’s portfolio is valued at $330 million at the beginning of the year. One year later, the portfolio is valued at $412 million. The fund charges a 2.5% management fee based on the end-of-year portfolio value as well as a 20% incentive fee.
If fees are calculated independently at the end of each year, the total fees charged by
Beta Hedge Fund are:
Pregunta 45
If fees are calculated independently at the end of each year, the effective annual return for an investment in Beta Hedge Fund is:
Pregunta 46
The following information relates to questions 46 — 50.
A currency is selling for $16.11. A put option selling for $0.44 has an exercise price of $16.20. Consider the following questions about a protective put if the price at expiration is $15.80.
The value at expiration for the buyer is:
Pregunta 47
The profit at expiration for the buyer is:
Pregunta 48
The maximum loss to the buyer is:
Pregunta 49
The maximum profit to the buyer is:
Pregunta 50
The breakeven price of the currency at expiration is: