CFA Level 1 －模考试题(1)(AM) Q81-85

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Question 81

A bond analyst is looking at historical returns for two bonds, Bond 1 and Bond 2. Bond 2’s returns are much more volatile than Bond 1. The variance of returns for Bond 1 is 0.012 and the variance of returns of Bond 2 is 0.308. The correlation between the returns of the two bonds is 0.79, and the covariance is 0.048. If the variance of Bond 1 increased to 0.026 while the variance of Bond B decreased 0.188 and the covariance remains the same, the correlation between the two bonds will:

A) increase.

B) remain the same.

C) the values given are not plausible.

D) decrease.

Question 82

Which of the following statements about the capital market line (CML) is least accurate?

A) The CML will not be a linear relationship if investors' borrowing and lending rates are not equal.

B) The market portfolio lies on the CML and has only unsystematic risk.

C) Investors choose a portfolio on the CML by varying their weightings of the risk-free asset and the market portfolio.

D) The CML illustrates the relationship between return and standard deviation.

Question 83

Martin Dean, CFA, is a portfolio manager who is writing an investment policy statement (IPS) for Albert Francis, a new client. Reasons why Dean should prepare an IPS are least likely to include:

A) complying with Standard III(C), Suitability.

B) encouraging Francis to state his needs and constraints and consider whether his goals are realistic.

C) specifying a benchmark against which to measure the performance of Francis’ portfolio.

D) ensuring that Francis’ portfolio earns a return that exceeds the rate of inflation over Francis’ investment horizon.

Question 84

In the Markowitz portfolio framework, an investor’s optimal portfolio:

A) is the same for all investors.

B) depends on the investor’s degree of risk aversion.

C) can be identified as the market portfolio.

D) lies on the efficient frontier at the point of minimum risk.

Question 85

Sonia Fennell purchases 1,000 shares of Xpressoh Inc. for $35 per share. One year later, she sells the stock for $42 per share. Xpressoh Inc. pays no dividends. The initial margin requirement is 50%. Fennell's one-year return assuming an all-cash transaction, and if she buys on margin (assume she pays no transaction or borrowing costs and has not had to post additional margin), are closest to:

All-cash 50% margin

A) 20% 80%

B) 40% 80%

C) 20% -40%

D) 20% 40%

[此贴子已经被作者于2008-11-7 17:39:40编辑过]