CFA Level 1 － Mock Exam 1 模拟真题－Q26-30 class, style, normal

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26、An analyst gathered the following information about a common stock portfolio:

Arithmetic mean return	14.3%
Geometric mean return	12.7%
Variance of returns	380
Portfolio beta	1.35

 

 

 

If the risk-free rate of return is 4.25%, then the coefficient of variation and the Sharpe ratio, respectively, for the portfolio are closest to:

	Coefficient of variation	Sharpe ratio
A.	1.36	0.52
B.	1.36	7.44
C.	1.53	0.52
D.	1.53	7.44

 

 

 

 

 

 

 

 

 

Select exactly 1 answer(s) from the following:

A. Answer A.

B. Answer B.

C. Answer C.

D. Answer D.

 

27、If an analyst estimates the probability of an event for which there is no historical record, this probability is best described as:

Select exactly 1 answer(s) from the following:

A. a priori.

B. objective.

C. empirical.

D. subjective.

 

28、Which of the following statements regarding correlation and covariance is most likely correct? The correlation between two random variables is their covariance standardized by the:

Select exactly 1 answer(s) from the following:

A. product of the variables' variances.

B. variance of the dependent variable.

C. variance of the independent variable.

D. product of the variables' standard deviations.

 

29、Which of the following best describes the discrete uniform distribution? The discrete uniform distribution:

Select exactly 1 answer(s) from the following:

A. has a finite number of specified outcomes.

B. is based on the Bernoulli random variable.

C. is approximated by the log-normal distribution.

D. has an infinite number of unspecified outcomes.

 

30、An analyst determined that the sample mean and variance for a normal distribution are 42 and 9, respectively. The 99% confidence interval for this random variable is closest to:

Select exactly 1 answer(s) from the following:

A. 15.0 to 69.0.

B. 18.8 to 65.2.

C. 34.3 to 49.7.

D. 39.0 to 45.0.

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答案和详解如下：

26 Correct answer is A

“Statistical Concepts and Market Returns,” Richard A. Defusco, Dennis W. McLeavey, Jerald E. Pinto, and David E. Runkel
2008 Modular Level I, Vol. 1, pp. 291-297
Study Session 2-7-h
define, calculate, and interpret the coefficient of variation and the Sharpe ratio

27 Correct answer is D

“Probability Concepts,” Richard A. Defusco, Dennis W. McLeavey, Jerald E. Pinto, and David E. Runkel
2008 Modular Level I, Vol. 1, pp. 319-320
Study Session 2-8-b
explain the two defining properties of probability, and distinguish among empirical, subjective, and a priori probabilities
An empirical probability cannot be calculated for an event not in the historical record. In this case, the analyst can make a personal assessment of the probability of the event without reference to any particular data. This is a subjective probability.

28 Correct answer is D

“Probability Concepts,” Richard A. Defusco, Dennis W. McLeavey, Jerald E. Pinto, and David E. Runkel
2008 Modular Level I, Vol. 1, pp. 342-347
Study Session 2-8-j
calculate and interpret covariance and correlation
The correlation between two random variables is equal to the covariance between the variables divided by the product of the variables’ standard deviations.

29 Correct answer is A

“Common Probability Distributions,” Richard A. Defusco, Dennis W. McLeavey, Jerald E. Pinto, and David E. Runkel
2008 Modular Level I, Vol. 1, pp. 373-374
Study Session 2-9-d
define a discrete uniform random variable and a binomial random variable, calculate and interpret probabilities given the discrete uniform and the binomial distribution functions, and construct a binomial tree to describe stock price movement
The discrete uniform distribution is known as the simplest of all probability distributions. It is made up of a finite number of specified outcomes and each outcome is equally likely.

30 Correct answer is C

“Common Probability Distributions,” Richard A. Defusco, Dennis W. McLeavey, Jerald E. Pinto, and David E. Runkel
2008 Modular Level I, Vol. 1, pp. 392-393
Study Session 2-9-g
construct and interpret a confidence interval for a normally distributed random variable, and determine the probability that a normally distributed random variable lies inside a given confidence interval
The 99% confidence interval for a normally distributed random variable is equal to the sample mean ± 2.58 x sample standard deviation. In this case, the 99% confidence interval = 42 ± (2.58 x 90.5) = 42 ± (2.58 x 3) = 42 ± 7.74 ≈ 34.3 to 49.7.

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