CFA Level 1 －模考试题(2)(PM) Q81-85

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Question 81

The Capital Market Line (CML) shows that under certain assumptions, when a portfolio on the Markowitz efficient frontier is combined with an investment in a risk-free asset:

A) there is a positive linear relationship between portfolio risk and expected return.

B) all portfolios on the Markowitz efficient frontier are dominated in terms of risk and return by a portfolio on the CML.

C) a 100% allocation to the risk-free asset results in a portfolio with an expected return and standard deviation of zero.

D) the maximum attainable expected return results from a 100% allocation to the frontier portfolio and a 0% allocation to the risk-free asset.

Question 82

An investor with a below-average risk tolerance wants her portfolio to gain value through capital gains and reinvestment of income. Her most appropriate return objective is:

A) capital preservation.

B) total return.

C) capital appreciation.

D) current income.

Question 83

Kendra Jackson, CFA, is given the following information on two stocks, Rockaway and Bridgeport.

Covariance between the two stocks = 0.0325
Standard Deviation of Rockaway’s returns = 0.25
Standard Deviation of Bridgeport’s returns = 0.13

Assuming that Jackson must construct a portfolio using only these two stocks, which of the following combinations will result in the minimum variance portfolio?

A) 100% in Rockaway.

B) 100% in Bridgeport.

C) 50% in Bridgeport, 50% in Rockaway.

D) 80% in Bridgeport, 20% in Rockaway.

Question 84

Charlie Smith holds two portfolios, Portfolio X and Portfolio Y. They are both liquid, well-diversified portfolios with approximately equal market values. He expects Portfolio X to return 13% and Portfolio Y to return 14% over the upcoming year. Because of an unexpected need for cash, Smith is forced to sell at least one of the portfolios. He uses the security market line to determine whether his portfolios are undervalued or overvalued. Portfolio X’s beta is 0.9 and Portfolio Y’s beta is 1.1. The expected return on the market is 12% and the risk-free rate is 5%. Smith should sell:

A) portfolio X only.

B) both portfolios X and Y because they are both overvalued.

C) either portfolio X or Y because they are both properly valued.

D) portfolio Y only.

Question 85

Tamira Scott, CFA, manager of an index fund, believes in the efficient market hypothesis but remembers that there are a few anomalies she can take advantage of to earn higher returns. Scott would be least likely to earn excess returns by purchasing stocks in:

A) companies with low price/earnings ratios or with high book-to-market ratios.

B) companies that announce stock splits.

C) companies not followed by analysts.

D) mid-December, with the intent to sell in early January.

[此贴子已经被作者于2008-11-8 17:56:07编辑过]