CFA考試一級章節(jié)練習(xí)題精選0330-59(附詳解)

1、CFA考試一級章節(jié)練習(xí)題精選 0330-59 （附詳解）1、Last year, a portfolio manager earned a return of 12%. The portfolio's beta was 1.5. For the same period, the market return was 7.5% and the aver i sk -free rate was 2.7%. Jensen's alpha for this portfolio is close單選題】A.0.75%.B.2.10%.C.4.50%.正確答案 :B答案解析 : “ Port

2、folio Risk and Return Part II,” Vijay Singal2012 Modular Level I, Vol. 4, pp. 429432Study Session 12-45-hDescribe and demonstrate applications of the CAPM and the SML.B is correct. Jensen' s alpha = 0.12-0.027 + 1.5(0.075-0.027) = .021 or 2.10%.32、A portfolio with equal parts invested in a risk

3、-free asset and a risky portfolio will most likely lie on: 【單選題】A. the efficient frontier.B. the security market line.C. a capital allocation line.正確答案:C” ,by Vijay Singal.答案解析：“ Portfolio Risk and Return: Part II 2011 Modular Level I, Vol. 4, pp. 392 -400Study Session 12-53-bEx pl ain and interpret

4、 the cap ital allocation line (CAL) and the cap ital market line (CML).C is correct. A cap ital allocation line shows po ssible combinations of a risky p ortfolio and the risk -free asset.3、An analyst does research about the portfolio's standard deviation of return.Aportfolio consisting of two s

5、ecurities has the following characteristics:SecurityPortfolio WeightStandard Deviation! 1雋煒1仃先?Jf M q.+IMIf the correlation of returns between the two securities is -0.25, the p ortfolio'sstandard deviation of return is closest to:【單選題】A. 12.22%B. 14.78%C. 14.93%正確答案:A答案解析：投資組合的方差=()-；疔 X ()*(&l

6、t; + 0, 55" X 0. 19"-2 X 0.35 X 0.55 X 0.16 X 0.19 X 0.25 = 0.00303»+(=0152593。(K 01493*":投資組合的標準差 =12.22%。4、Concentrated portfolio strategies are attractive because of their:【單選題】A. ability to track market indices.B. low risk.C. po tential to generate alpha.正確答案:C 答案解析:Concentra

7、ted portfolio strategies focus on only a few securities, strategies, or managers. This focusreduces diversification but may enable investors to achieve alpha.CFA Level I "Introduction to Alternative Investments," Terri Duhon, George Sp entzos, and Scott D. StewartSection 2.2【單選題】5、 An analyst does research about investment risk.Which of the following statementsbest describes systematic risk?A. Total risk.B. Diversifiable risk.C. Variability in all risky assets ca