CFA Level 1 － 模考试题(3)（PM）－Q81-85 考试题, style, class

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Question 81 

Betsy Minor is considering the diversification benefits of a two stock portfolio. The expected return of stock A is 14 percent with a standard deviation of 18 percent and the expected return of stock B is 18 percent with a standard deviation of 24 percent. Minor intends to invest 40 percent of her money in stock A, and 60 percent in stock B. The correlation coefficient between the two stocks is 0.6. What is the variance and standard deviation of the two stock portfolio? 

A) Variance = 0.03836; Standard Deviation = 19.59%.

B) Variance = 0.04666; Standard Deviation = 21.60%.

C) Variance = 0.02206; Standard Deviation = 14.85%.

D) Variance = 0.04954; Standard Deviation = 22.28%.

 

Question 82 

Which of the following statements regarding total return and capital appreciation objectives is most accurate? 

Total Return Objective    Capital Appreciation                 Objective

A)    Income                 Somewhat important                  Not important

B)    Suitable for             Short-term investors                   Medium-term investors

C)    Growth over time        Not important                         Very important

D)    Risk tolerance          Greater than for Capital Appreciation     Greater than for total return 

 

Question 83 

Which of the following statements about asset pricing models is most accurate? 

A) Assuming assets are not perfectly positively correlated, the systematic risk of a portfolio decreases as more assets are added. 

B) Adding the risk-free asset to a portfolio will reduce return and total risk.

C) According to the Capital Asset Pricing Model (CAPM), the expected rate of return of a portfolio with a beta of 1.0 is the market expected return.

D) It is difficult for the individual investor to achieve the benefits from diversification because significantly reducing risk requires the purchase of approximately 1,000 securities.

 

Question 84 

Two investors, X and Y, have varying indifference curves. The indifference curve for investor X has a much steeper slope than the indifference curve for investor Y. All else being equal, both investors prefer less risk to more, and prefer higher returns to lower. Which of the following statements about the optimal portfolio and level of risk aversion for investor X, compared to investor Y, is most accurate? 

 

 Optimal Portfolio                          Risk Aversion

A) Lower on the efficient frontier curve           Lower

B) Higher on the efficient frontier curve           Higher

C) Lower on the efficient frontier curve           Lower

D) Lower on the efficient frontier curve           Higher

 

Question 85 

Which of the following statements on the forms of the efficient market hypothesis (EMH) is least accurate? 

A) The semi-strong form EMH addresses market and non-market public information.

B) The weak-form EMH states that stock prices reflect current public market information and expectations.

C) The strong-form EMH assumes perfect markets. 

D) The weak-form EMH suggests that technical analysis will not provide excess returns while the semi-strong form suggests that fundamental analysis cannot achieve excess returns.

 

7774

答案和详解如下：

Answer 81 

The correct answer was A) Variance = 0.03836; Standard Deviation = 19.59%. 

(0.40)²(0.18)² + (0.60)²(0.24)² + 2(0.4)(0.6)(0.18)(0.24)(0.6) = 0.03836.

0.03836^0.5 = 0.1959 or 19.59%. 

This question tested from Session 12, Reading 50, LOS c, (Part 2)

 

Answer 82 

correct answer was A) Income            Somewhat important                Not important A total return portfolio would likely see income as somewhat important, be suitable for medium to long-term investors, would see growth over time as important, and have risk tolerance that is less than for capital appreciation. A capital appreciation portfolio would likely see income as relatively unimportant, be suitable for medium to long-term investors, would see growth over time as important, and have risk tolerance that is greater than that for total return. 

This question tested from Session 12, Reading 49, LOS c

 

Answer 83 

The correct answer was C) According to the Capital Asset Pricing Model (CAPM), the expected rate of return of a portfolio with a beta of 1.0 is the market expected return. 

Diversification reduces unsystematic, or unique risk. With the risk-free asset and a portfolio of risky assets, the equation for the expected standard deviation is linear: wAsA .  A combination of the risk free asset and a portfolio always gives more return for a given level of risk.  Risk tends to be reduced, but assuming that assets are not perfectly positively correlated, an investor can achieve the benefits of diversification by adding just one security (Markowitz). Studies have shown that approximately 18-30 stocks are needed for proper diversification. The main point is that the number of stocks required is small and is significantly less than all securities (and significantly less than 1,000 securities).

This question tested from Session 12, Reading 51, LOS d, (Part 1)

 

Answer 84 

The correct answer was D) 

Lower on the efficient frontier curve Higher

As indicated by a steeper indifference curve, investor X is more risk-averse. Therefore, his optimal portfolio will be lower on the efficient frontier curve relative to investor Y's optimal portfolio. 

This question tested from Session 12, Reading 50, LOS g

 

Answer 85 

The correct answer was B) The weak-form EMH states that stock prices reflect current public market information and expectations. 

The weak-form EMH assumes the price of a security reflects all currently available historical information. Thus, the past price and volume of trading has no relationship with the future, hence technical analysis is not useful in achieving superior returns.

The other statements are true. The strong-form EMH states that stock prices reflect all types of information: market, non-public market, and private. No group has monopolistic access to relevant information; thus no group can achieve excess returns. For these assumptions to hold, the strong-form assumes perfect markets – information is free and available to all. 

This question tested from Session 13, Reading 54, LOS a, (Part 2)

 

7774

答案和详解如下：

Answer 86 

The correct answer was A) 

P/S Ratio      P/BV Ratio

P/S ratios do not capture differences in cost structures across companies because they only use the top line of the income statement, sales, in their calculation. Inflation and technological change may cause the book and market value of assets to differ significantly. This makes book value difficult to interpret as an accurate measure of an investor’s value and would reduce the usefulness of P/BV ratios when comparing different companies. 

This question tested from Session 14, Reading 61, LOS a, (Part 2)

 

Answer 87 

The correct answer was B) $72. 

The high “supernormal” growth in the first three years and the decrease in growth thereafter signals that we should use a combination of the multi-period and finite dividend growth models (DDM) to value the stock of Avalon Games.

Step 1: Determine the Dividend stream through year 4

D1 = $3.00 (given)  

D2 = D1 × (1 + g) = $3.00 × (1.30) = $3.900 

D3 = D2 × (1 + g) = $3.90 × (1.30) = $5.070 

D4 = D1 × (1 + g) = $5.07 × (1.07) = $5.425 

Step 2: Calculate the value of the stock at the end of year 3 (using D4)

P3 = D4 / (ke – g) = $5.425 / (0.13 – 0.07) = $90.42 

Step 3: Calculate the PV of each cash flow stream at ke = 13%, and sum the cash flows. Note: We suggest you clear the financial calculator memory registers before calculating the value. 

		Calculator Keystrokes			Result
CF Stream	Formula	FV1 =	N=	I/Y =	PV=
D1	3.00 / (1.13)1	-3.00	1	13	2.65
D2	3.90 / (1.13)2	-3.90	2	13	3.05
D3	5.07 / (1.13)3	-5.07	3	13	3.51
P3	90.42 / (1.13)3	-90.42	3	13	62.67
Total					71.88

Note: 1Future values are entered in a financial calculator as negatives to ensure that the PV result is positive. It does not mean that the cash flows are negative.

Also, your calculations may differ slightly due to rounding. Remember that the question asks you to select the closest answer.

This question tested from Session 14, Reading 60, LOS e

 

Answer 88 

The correct answer was D) The level of inflation is expected to decline. 

Decrease in the expected inflation rate. The expected inflation rate is a component of ke (through the nominal risk free rate). ke can be represented by the following: nominal risk free rate + stock risk premium, where nominal risk free rate = [(1 + real risk free rate) * (1 + expected inflation rate)] – 1. 

If the rate of inflation decreases, the nominal risk free rate will decrease. 

ke will decrease. 

The spread between ke and g, or the P/E denominator, will decrease. 

P/E ratio will increase. 

(An increase in the yield on T-Bills, or nominal risk-free rate, would have the opposite effect. In addition, an increase in risk aversion would increase ke, which would widen the spread in the denominator and decrease the P/E ratio.)

Decrease in dividend payout/increase in earnings retention. In this case, a decrease in the dividend payout (which is the same as an increase in earnings retention) will likely decrease the P/E ratio. The logic is as follows: Because earnings retention impacts both the numerator (dividend payout) and denominator (g) of the P/E ratio, the impact of a change in earnings retention depends upon the relationship of ke and ROE. If the company is earning a Iower rate on new projects than the rate required by the market (ROE < ke), investors will likely prefer that the company pay out earnings rather than investing in lower-yield projects. Since an decrease in the dividend payout would increase earnings retention, the P/E ratio would fall, as investors will value the company lower if it retains a higher percentage of earnings. 

This question tested from Session 14, Reading 60, LOS c

 

Answer 89 

The correct answer was B) regulatory environment. 

Porter’s five factors are: rivalry among the existing competitors, threat of new entrants, threat of substitute products, bargaining power of buyers, and bargaining power of suppliers. 

This question tested from Session 14, Reading 58, LOS e, (Part 2)

 

Answer 90 

The correct answer was B) the economy. 

The top-down, three-step approach to security valuation starts with an economic forecast. 

This question tested from Session 14, Reading 56, LOS a

 

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