CFA考试《CFA一级》历年真题精选及详细解析1006-60

11CFA考试《CFA—级》历年真题精选及详细

解析1006-601、Assumingnoshortselling,diversificationbenefitismostlikelytooccurwhenthecorrelationsamongthesecuritiescontainedintheportfolioare:【单选题】equaltopositiveone.lessthanpositiveone.greaterthanpositiveone.正确答案:B答案解析/'ProbabilityConcepts/RichardA.Defusco,CFA,DennisW,McLeavey,CFA,JeraldE.Pinto,CFA,andDavidE.Runkle,CFA2011ModularLevelI,Vol.1,p.463StudySession2-8-kCalculateand interpret covarianee andcorrelation.Diversificationbenefitrequirescorrelationslessthanpositiveone.WhenwedonotrejectafalsenullhypothesiswehaveaTypeIIerror2、Ananalystdoesresearchabouthypothesistestingandconductsasignificancetesttodetermineiftherelationshipbetweentwovariablesisrealortheresultofchance.Hisnullhypothesisisthatthepopulationcorrelationcoefficientisequaltozeroandhisalternativehypothesisisthatthepopulationcorrelationcoefficientisdiffersntfromzero.Hedevelopsthefollowinginformation:Theanalystconductsa;【单选题】A.one-tailedtestandcanrejecthisnullhypothesis.B.two-tailedtestandcanrejecthisnullhypothesis.C>two-tailedtestandcannotrejecthisnullhypothesis.正确答案:c答案解析:根据5%的显著性水平是1.96的临界值,1%的显著性水平是2・58的临界值可知是双边检验,1.7081小于1・96,没有落在拒绝域,说明无论在5%的显著性水平还是1%的显著性水平下,都无法拒绝原假设。3、AnanalystdoesresearchaboutbankdiscountyieldandgathersthefollowinginformationaboutaU.STreasurybilLThepresentvalueoftheU.STreasurybillisclosestto:【单选题】A.$99324C・$99439正确答案:B答案解析:假设该国库券的价格为P则[(100000-p)/100000]X360/330=0.62%,得出P=99432。4、Aninvestorwantstomaximizethepossibilityofearningatleast5%onherinvestmentseachyear.UsingRoy'ssafety-firstcriterion,whichofthefollowingportfoliosisthemostappropriatechoice?【单选题】A.Portfolio1B.Portfolio2C.Portfolio3正确答案:B答案解析:"CommonProbabilityDistributions/RichardA.DeFusco,CFA,DennisW.McLeavey,CFA,JeraldE.Pinto,CFA,andDavidE.Runkle,CFA2013ModularLevelI,VoL1,Reading9,Section33,Exampie9StudySession3-9・nDefineshortfallrisk,calculatethesafety-firstratio,andselectanoptimalportfoliousingRoy'ssafety-firstcriterion.Biscorrect*TheportfoliowiththehighestSFRatioispreferred.TheSFRatioiscalculatedbysubtractingthetargetreturnfromtheexpectedreturnanddividingbythestandarddeviation.Portfolio1=035Portfolio2=0.64Portfolio3(22-5)/40=0.43BhasthehighestSFRatio,soitisthemostappropriatechoice.5、Ananalystgathersthefollowinginformationabouttheperformanceofaportfolio($millions):Theportfolio'sannualtime-weightedrateofreturnisclosestto:【单选题】A・8%・B・27%・C・32%・正确答案:C答案解析:Thetime-weightedrateofreturniscalculatedbycomputingthequarterlyholdingperiodreturnsandlinkingthosereturnsintoanannualreturnasfollows:Thetime-weightedreturn(TWR)isfoundasf