CFA Level 1 － Mock Exam 1 模拟真题－Q115-120 face, normal, style, class

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116、As an investor assumes more risk and moves upward on the efficient frontier, the slope of the efficient frontier curve most likely:

Select exactly 1 answer(s) from the following:

A. increases and expected return per unit of risk increases.

B. increases and expected return per unit of risk decreases.

C. decreases and expected return per unit of risk increases.

D. decreases and expected return per unit of risk decreases.

 

117、Which of the following statements about the relation between covariance and correlation is least accurate? If the covariance of returns between two assets is positive, the correlation coefficient for those two assets:

Select exactly 1 answer(s) from the following:

A. must also be positive.

B. could be a negative number.

C. could indicate a strong positive relation if both return series were stable.

D. could indicate a weak positive relation if both return series were volatile.

 

118、The risk-free rate of return is 3%, the market risk premium is 9%, and the market is in equilibrium. If a common stock with a beta of 1.2 is properly valued, then the stock's estimated rate of return is closest to:

Select exactly 1 answer(s) from the following:

A. 10.2%.

B. 10.8%.

C. 13.8%.

D. 14.4%.

 

119、Regarding an individual's investment policy statement, which of the following is least appropriate as the investment objective? The portfolio seeks:

Select exactly 1 answer(s) from the following:

A. current income in the form of dividends and interest.

B. 12% annual returns with above-average market risk.

C. to match the performance and risk characteristics of the S& 500 Index.

D. long-term capital appreciation with market risk comparable to the MSCI EAFE Index.          

 

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

Probability	Possible Rate of Return
0.35	8%
0.30	10%
0.25	15%
0.10	20%

 

 

 

 

 

 

 

 

 

The expected return and expected standard deviation of returns, respectively, for the common stock are closest to:

Select exactly 1 answer(s) from the following:

A. 12% and 3.9%.

B. 12% and 15.3%.

C. 14% and 3.9%.

D. 14% and 15.3%.

 

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答案和详解如下：

116 Correct answer is D

“An Introduction to Portfolio Management,” Frank K. Reilly and Keith C. Brown
2008 Modular Level I, Vol. 4, pp. 248-249
Study Session 12-50-f
describe the efficient frontier, and explain the implications for incremental returns as an investor assumes more risk
The efficient frontier is curved. As an investor moves up the curve, risk increases and the slope decreases. The decreasing slope means that adding equal increments of risk provide diminishing increments of expected return.

117 Correct answer is B

“An Introduction to Portfolio Management,” by Frank K. Reilly and Keith C. Brown
2008 Modular Level I, Vol. 4, pp. 232-237
Study Session 12-50-d
compute and interpret the covariance of rates of return, and show how it is related to the correlation coefficient
If the covariance of returns between two assets is a positive number, the correlation coefficient for those two assets cannot be negative. The correlation coefficient is equal to the covariance standardized by the product of the individual standard deviations (which are always positive).

118 Correct answer is C

“An Introduction to Asset Pricing Models,” Frank K. Reilly and Keith C. Brown
2008 Modular Level I, Vol. 4, pp. 264-266
Study Session 12-51-e
calculate, using the SML, the expected return on a security, and evaluate whether the security is overvalued, undervalued, or properly valued
In equilibrium the estimated rate of return is equal to the required return. The CAPM required rate of return = 3% + (1.2 x 9%) = 13.8%.

119 Correct answer is A

“The Asset Allocation Decision,” Frank K. Reilly and Keith C. Brown
2008 Modular Level I, Vol. 4, pp. 202-210
Study Session 12-49-a, b, c
describe the steps in the portfolio management process, and explain the reasons for a policy statement;
explain why investment objectives should be expressed in terms of risk and return, and list the factors that may affect an investor’s risk tolerance;
describe the return objectives of capital preservation, capital appreciation, current income, and total return
The investment objective must be expressed in terms of both risk and return and current income from dividends and interest represents only the investor’s return objective. It does not include any reference to risk tolerance or risk limits as provided in the other alternatives.

120 Correct answer is A

“An Introduction to Portfolio Management,” Frank K. Reilly and Keith C. Brown
2008 Modular Level I, Vol. 4, pp. 230-232
Study Session 12-50-c
compute and interpret the expected return, variance, and standard deviation for an individual investment and the expected return and standard deviation for a portfolio
The expected return of an asset is the weighted average of the possible returns = (0.35 x 8) + (0.30 x 10) + (0.25 x 16) + (0.10 x 20) = 11.8%.
The expected standard deviation is calculated as follows:
σ2 = 0.35 x (8 - 11.8)2 + 0.30 x (10 - 11.8)2 + 0.25 x (15 - 11.8)2 + 0.10 x (20 - 11.8)2
= 15.31
s = (15.31)0.5 = 3.91%

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