2020年CFA考试《CFA三级》考试共240题，分为单选题。小编为您整理Fixed-Income Portfolio Management (1)5道练习题，附答案解析，供您备考练习。

1、Is Priorat's statement with regard to selecting a benchmark for the pension plan most likely correct?【单选题】

A.No, because Crianza should select a high-quality long-term corporate bond index as the benchmark

B.Yes

C.No, because the current benchmark is appropriate to measure each strategy's performance

正确答案:B

答案解析:The investor with liabilities will measure success by whether the portfolio generates the funds necessary to pay the cash outflows associated with the liabilities. In other words, meeting the liabilities is the investment objective; as such, it also becomes the benchmark for the pension plan. Although Crianza should use the pension liabilities as the benchmark, this does not preclude managers of the various asset portfolios from being assigned an appropriate asset benchmark to manage against.

2、Based on Exhibit 1and Statement 1, one disadvantage of the investment strategy followed by Mondavi is that the portfolio will most likely:【单选题】

A.have higher advisery and non-advisory fees.

B.be expensive to construct.

C.result in a poorly diversified portfolio.

正确答案:B

答案解析:Statement 1 indicates that Mondavi follows a full-replication approach that is pure bond indexing. In this approach, many issues in the bond index may be illiquid and infrequently traded. This factor makes full replication of an index not only difficult but also expensive to implement.

3、Is Smith's assertion about cash flow matching most likely correct?【单选题】

A.No, he is incorrect regarding the interest rate assumption

B.Yes

C.No, he is incorrect regarding cash balances

正确答案:C

答案解析:Cash flow matching requires a relatively conservative rate-of-return assumption for short-term cash, and cash balances may occasionally be substantial. In contrast, an immunized portfolio is essentially fully invested at the remaining horizon duration. Funds from a cash flow–matched portfolio must be available when each liability is due.

4、【单选题】

A.Portfolio A

B.Portfolio B

C.Portfolio C

正确答案:A

答案解析:A is correct. The two requirements to achieve immunization for multiple liabilities are for the money 

5、Which of Whitney's statements with regard to implementing its market and interest rate views is least likely correct?【单选题】

A.Statement 2

B.Statement 3

C.Statement 1

正确答案:A

答案解析:The statement regarding key rate durations is incorrect. Key rate duration is one established method for measuring the effect of shifts in key points along the yield curve. In this method, the spot rates are held constant for all points along the yield curve but one. By changing the spot rate for that key maturity, a portfolio's sensitivity to a change in that maturity can be measured. The process can be repeated for other key points (e.g., 3, 7, 10, and 15 years) to measure their sensitivities as well. Simulations of twists in the yield curve can then be conducted to see how the portfolio would react to these changes.