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备考CFA考试,刷题练习不能少。2022年CFA考试《CFA二级》考试共240题,分为单选题。以下是帮考网精心为您准备的Portfolio Management (2)5道练习题,附答案解析,供您备考练习。
1、During a recession, the slope of the yield curve fordefault-free government bonds is most likely to:【单选题】
A.flatten.
B.steepen.
C.become inverted.
正确答案:B
答案解析:B is correct. During a recession, short rates are often lower because central banks tend to lower their policy rate in these times because the output gap is likely to be negative. However, the impact of such monetary policy on longer-term rates will not be as strong, so long rates may not fall by as much as short rates. The central bank will usually be expected to bring short term rates back to normal as the recession recedes and the risk free rates will increase as economic growth recovers. Thus, the slope of the yield curve will typically steepen during a recession.
2、Based on the backtest, which tendency of Wu’s model is he most likely to be satisfied with? The rotation from:【单选题】
A.small-cap value to mid-cap value stocks.
B.consumer discretionary to consumer staple stocks.
C.large-cap growth to large-cap value stocks.
正确答案:C
答案解析:C is correct. Value tends to outperform growth investing in the aftermath of a recession, so the model is correctly rotating into value from growth stocks. Cyclical stocks tend to outperform non-cyclical stocks in the aftermath of a recession, so consumer staples stocks would be likely to underperform discretionary stocks. In addition, smaller capitalization companies tend to outperform in the aftermath of a recession,so the shift from small- to mid-cap stocks would be sub-optimal forthe model.?A is incorrect. Smaller capitalization companies tend to outperform in the aftermath of a recession, so the shift from small- to mid-cap stocks would be sub-optimal forthe model.B is incorrect. Cyclical stocks tend to outperform non-cyclical stocks in the aftermath of a recession, so consumer staples stocks would be likely to underperform discretionary stocks.
3、The implied premium forinflation uncertainty forthe one-year government zero-coupon bond proposed by Carlisle is closest to:【单选题】
A.0.23%.
B.0.37%.
C.1.10%
正确答案:B
答案解析:B is correct. The pricing equation fora default-free nominal coupon-paying bond isFora one-year bond, the pricing formula reduces toThus, the implied premium forinflation uncertainty forthe one-year government zerocoupon bond is calculated as= 1.0377 – 1.0340= 0.0037, or0.37%
4、Based on Exhibit 1, the value added of the diversified assetportfolio attributable to the assetallocation decision in 2015 was closest to:【单选题】
A.2.3%.
B.3.9%.
C.6.1%.
正确答案:A
答案解析:A is correct. The value added from assetallocation is calculated as the sum of the differences in the weights between the strategic (benchmark) allocation and the actual subportfolio allocation multiplied by each subportfolio’s benchmark return.BenchmarkReturn (%)Actual AssetAllocation(%)StrategicAssetAllocation(%)Actual –Strategic AssetAllocation (%)Equitiessubportfolio31.66360+3Bondsubportfolio–2.62835–7Real estatesubportfolio28.395+4Thus, the value added by the active assetallocation decision is calculated as:Value added from assetallocation decision = 0.03(31.6%) – 0.07(–2.6%) + 0.04 (28.3%) = 2.3%.B is incorrect. It is the value added from security selection.C is incorrect. It is the total value added.
5、Based on Exhibit 1, the expected active return from assetallocation forFund X is:【单选题】
A.negative.
B.zero.
C.positive.
正确答案:B
答案解析:B is correct. Active return from assetallocation is derived from differences between the benchmark weight and the portfolio weight across assetclasses. ForFund X, the expected active return from assetallocation is calculated as:Active Return from AssetAllocation =Where Δwj is the difference in the active portfolio and the benchmark assetweights, RB,e is the benchmark’s return from global equities, and RB,b is the benchmark’s return from global bonds.?Because Fund X has the same assetweights as the benchmark across the two assetclasses (60% global equities, 40% global bonds), the expected active return from assetallocation is zero.
希望以上练习题对您的复习有所帮助,帮考网祝您考试成功!
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