CFA特许金融分析师-CFA一级-强化练习题（参考）-08-AlternativeInvestments

CFA特许金融分析师-CFA一级-强化练习题（参考）-08-AlternativeInvestments[单选题]1.Ahedgefundinvestsprimarilyindistressed（江南博哥）debt.Quotedmarketpricesareavailablefortheunderlyingholdingsbuttheytradeinfrequently.Whichofthefollowingwillthehedgefundmostlikelyuseincalculatingnetassetvaluefortradingpurposes?A.AveragequotesB.AveragequotesadjustedforliquidityC.Bidpricesforshortpositionsandaskpricesforlongpositions正确答案：B参考解析：Biscorrect.Manypractitionersbelievethatliquiditydiscountsarenecessarytoreflectfairvalue.ThishasresultedinsomefundshavingtwoNAVs-fortradingandreporting.Thefundmayuseaveragequotesforreportingpurposesbutapplyliquiditydiscountsfortradingpurposes.[单选题]2.Angelinvestingcapitalistypicallyprovidedinwhichstageoffinancing?A.Later-stage.B.Formative-stage.C.Mezzanine-stage.正确答案：B参考解析：Biscorrect.Formative-stagefinancingoccurswhenthecompanyisstillintheprocessofbeingformedandencompassesseveralfinancingsteps.Angelinvestingcapitalistypicallyraisedinthisearlystageoffinancing.[单选题]3.Whatisthemostsignificantdrawbackofarepeatsalesindextomeasurereturnstorealestate?A.SampleselectionbiasB.UnderstatementofvolatilityC.Relianceonsubjectiveappraisals正确答案：A参考解析：Aiscorrect.Arepeatsalesindexusesthechangesinpriceofrepeat-salepropertiestoconstructtheindex.Sampleselectionbiasisasignificantdrawbackbecausethepropertiesthatsellineachperiodvaryandmaynotberepresentativeoftheoverallmarkettheindexismeanttocover.Thepropertiesthattransactarenotarandomsampleandmaybebiasedtowardpropertiesthatchangedinvalue.Understatedvolatilityandrelianceonsubjectiveappraisalsbyexpertsaredrawbacksofanappraisalindex.[单选题]4.Thepotentialbenefitsofallocatingaportionofaportfoliotoalternativeinvestmentsinclude:A.easeofmanagerselection.B.improvementintheportfolio’srisk–returnrelationship.C.accessibleandreliablemeasuresofriskandreturn.正确答案：B参考解析：Biscorrect.Addingalternativeinvestmentstoaportfoliomayprovidediversificationbenefitsbecauseoftheseinvestments’lessthanperfectcorrelationwithotherassetsintheportfolio.Asaresult,allocatingaportionofone’sfundstoalternativescouldpotentiallyresultinanimprovedrisk–returnrelationship.Challengestoallocatingaportionofaportfoliotoalternativeinvestmentsincludeobtainingreliablemeasuresofriskandreturnaswellasselectingportfoliomanagersforthealternativeinvestments.[单选题]5.Relativetotraditionalinvestments,alternativeinvestmentsareleastlikelytobecharacterizedby:A.highlevelsoftransparency.B.limitedhistoricalreturndata.C.significantrestrictionsonredemptions.正确答案：A参考解析：Aiscorrect.Alternativeinvestmentsarecharacterizedastypicallyhavinglowlevelsoftransparency.[单选题]6.Aneffectiveriskmanagementprocessusedbyalternativeinvestmentfundsmostlikelyincludes:A.in-housevaluations.B.internalcustodyofassets.C.segregationofriskandinvestmentprocessduties.正确答案：C参考解析：Ciscorrect.Investmentriskshouldbemonitoredbyachiefriskofficerwhoisseparatedfromtheinvestmentprocess.Riskfactorsmonitoredincludeleverage,sector,andindividualpositionlimitsaswellascounterpartyrisks.Independent(asopposedtoin-house)valuationofunderlyingpositionsshouldbeperformedandreviewedonaregularbasis.Third-partycustodyofassetscanhelpreducethechanceoffraud.[单选题]7.Anequityhedgefundfollowingafundamentalgrowthstrategyusesfundamentalanalysistoidentifycompaniesthataremostlikelyto:A.beundervalued.B.beeitherundervaluedorovervalued.C.experiencehighgrowthandcapitalappreciation.正确答案：C参考解析：Ciscorrect.Fundamentalgrowthstrategiestakelongpositionsincompaniesidentified,usingfundamentalanalysis,tohavehighgrowthandcapitalappreciation.Fundamentalvaluestrategiesusefundamentalanalysistoidentifyundervaluedcompanies.Market-neutralstrategiesusequantitativeand/orfundamentalanalysistoidentifyunder-andovervaluedcompanies.[单选题]8.CapricornFundofFundsinvestsGBP100millionineachofAlphaHedgeFundandABCHedgeFund.CapricornFOFhasa“1and10”feestructure.Managementfeesandincentivefeesarecalculatedindependentlyattheendofeachyear.Afteroneyear,netoftheirrespectivemanagementandincentivefees,theinvestmentinAlphaisvaluedatGBP80millionandtheinvestmentinABCisvaluedatGBP140million.TheannualreturntoaninvestorinCapricorn,netoffeesassessedatthefundoffundslevel,isclosestto:A.7.9%.B.8.0%.C.8.1%.正确答案：A参考解析：Aiscorrectbecausethenetinvestorreturnis7.9%,calculatedas:First,notethat“1and10”referstoa1%managementfee,anda10%incentivefee.Endofyearcapital=GBP140million＋GBP80million=GBP220million.Managementfee=GBP220million×1%=GBP2.2million.Incentivefee=(GBP220－GBP200)million×10%=GBP2million.TotalfeestoCapricorn=(GBP2.2＋GBP2)million=GBP4.2million.Investornetreturn:(GBP220－GBP200－GBP4.2)/GBP200=7.9%[单选题]9.Whichofthefollowingformsofinfrastructureinvestmentsisthemostliquid?A.AnunlistedinfrastructuremutualfundB.AdirectinvestmentinagreenfieldprojectC.Anexchange-tradedmasterlimitedpartnership(MLP)正确答案：C参考解析：Ciscorrect.Apubliclytradedinfrastructuresecurity,suchasanexchange-tradedMLP,providesthebenefitofliquidity.[单选题]10.Theprivatizationofanexistinghospitalisbestdescribedas:A.agreenfieldinvestment.B.abrownfieldinvestment.C.aneconomicinfrastructureinvestment.正确答案：B参考解析：Biscorrect.Investinginanexistinginfrastructureassetwiththeintenttoprivatize,lease,orsellandleasebacktheassetisreferredtoasabrownfieldinvestment.Aneconomicinfrastructureassetsupportseconomicactivityandincludessuchassetsastransportationandutilityassets.Hospitalsaresocialinfrastructureassets,whicharefocusedonhumanactivities.[单选题]11.Aninvestormaypreferasinglehedgefundtoafundoffundsifheseeks:A.duediligenceexpertise.B.betterredemptionterms.C.alesscomplexfeestructure.正确答案：C参考解析：Ciscorrect.Hedgefundsoffundshavemulti-layeredfeestructures,whilethefeestructureforasinglehedgefundislesscomplex.Fundsoffundspresumablyhavesomeexpertiseinconductingduediligenceonhedgefundsandmaybeabletonegotiatemorefavorableredemptiontermsthancouldanindividualinvestorinasinglehedgefund.[单选题]12.Aninvestorchoosestoinvestinabrownfieldratherthanagreenfieldinfrastructureproject.Theinvestorismostlikelymotivatedby:A.growthopportunities.B.predictablecashflows.C.higherexpectedreturns.正确答案：B参考解析：Biscorrect.Abrownfieldinvestmentisaninvestmentinanexistinginfrastructureasset,whichismorelikelytohaveahistoryofsteadycashflowscomparedwiththatofagreenfieldinvestment.Growthopportunitiesandreturnsareexpectedtobelowerforbrownfieldinvestments,whicharelessriskythangreenfieldinvestments.[单选题]13.UnitedCapitalisahedgefundwith$250millionofinitialcapital.Unitedchargesa2%managementfeebasedonassetsundermanagementatyearend,anda20%incentivefeebasedonreturnsinexcessofan8%hurdlerate.Initsfirstyear,Unitedappreciates16%.Assumemanagementfeesarecalculatedusingend-of-periodvaluation.Theinvestor’snetreturnassumingtheperformancefeeiscalculatednetofthemanagementfeeisclosestto:A.11.58%.B.12.54%.C.12.80%.正确答案：B参考解析：Biscorrect.Thenetinvestorreturnis12.54%,calculatedas:Endofyearcapital=$250million×1.16=$290millionManagementfee=$290million×2%=$5.8millionHurdleamount=8%of$250million=$20millionIncentivefee=($290-$250-$20-$5.8)million×20%=$2.84millionTotalfeestoUnitedCapital=($5.8$2.84)million=$8.64millionInvestornetreturn:($290-$250-$8.64)/$250=12.54%[单选题]14.Hedgefundlossesaremostlikelytobemagnifiedbya:A.margincall.B.lockupperiod.C.redemptionnoticeperiod.正确答案：A参考解析：Aiscorrect.Margincallscanmagnifylosses.Tomeetthemargincall,thehedgefundmanagermaybeforcedtoliquidatealosingpositioninasecurity,which,dependingonthepositionsize,couldexertfurtherpricepressureonthesecurity,resultinginfurtherlosses.Restrictionsonredemptions,suchaslockupandnoticeperiods,mayallowthemanagertoclosepositionsinamoreorderlymannerandminimizeforced-saleliquidationsoflosingpositions.[单选题]15.Ananalystwantingtoassessthedownsideriskofanalternativeinvestmentisleastlikelytousetheinvestment’s:A.Sortinoratio.B.valueatrisk(VaR).C.standarddeviationofreturns.正确答案：C参考解析：Ciscorrect.Downsideriskmeasuresfocusontheleftsideofthereturndistributioncurvewherelossesoccur.Thestandarddeviationofreturnsassumesthatreturnsarenormallydistributed.Manyalternativeinvestmentsdonotexhibitclose-to-normaldistributionofreturns,whichisacrucialassumptionforthevalidityofastandarddeviationasacomprehensiveriskmeasure.Assumingnormalprobabilitydistributionswhencalculatingthesemeasureswillleadtoanunderestimationofdownsideriskforanegativelyskeweddistribution.BoththeSortinoratioandthevalue-at-riskmeasurearebothmeasuresofdownsiderisk.[单选题]16.Thefirststageoffinancingatwhichaventurecapitalfundmostlikelyinvestsisthe:A.seedstage.B.mezzaninestage.C.angelinvestingstage.正确答案：A参考解析：:Aiscorrect.Theseedstagesupportsmarketresearchandproductdevelopmentandisgenerallythefirststageatwhichventurecapitalfundsinvest.Theseedstagefollowstheangelinvestingstage.Intheangelinvestingstage,fundsaretypicallyprovidedbyindividuals(oftenfriendsorfamily),ratherthanaventurecapitalfund,toassessanidea’spotentialandtotransformtheideaintoaplan.Mezzanine-stagefinancingisprovidedbyventurecapitalfundstopreparetheportfoliocompanyforitsIPO.[单选题]17.Aninvestorseeksacurrentincomestreamasacomponentoftotalreturn,anddesiresaninvestmentthathistoricallyhaslowcorrelationwithotherassetclasses.Theinvestmentmostlikelytoachievetheinvestor’sgoalsis:A.timberland.B.collectibles.C.commodities.正确答案：A参考解析：Aiscorrect.Timberlandoffersanincomestreambasedonthesaleoftimberproductsasacomponentoftotalreturnandhashistoricallygeneratedreturnsnothighlycorrelatedwithotherassetclasses.[单选题]18.Astheloan-to-valueratioincreasesforarealestateinvestment,riskmostlikelyincreasesfor:A.debtinvestorsonly.B.equityinvestorsonly.C.bothdebtandequityinvestors.正确答案：C参考解析：Ciscorrect.Thehighertheloan-to-valueratio,thehigherleverageisforarealestateinvestment,whichincreasestherisktobothdebtandequityinvestors.[单选题]19.Ifacommodity’sforwardcurveisincontango,thecomponentofacommoditiesfuturesreturnmostlikelytoreflectthisis:A.spotprices.B.therollyield.C.thecollateralyield.正确答案：B参考解析：Biscorrect.Rollyieldreferstothedifferencebetweenthespotpriceofacommodityandthepricespecifiedbyitsfuturescontract(orthedifferencebetweentwofuturescontractswithdifferentexpirationdates).Whenfuturespricesarehigherthanthespotprice,thecommodityforwardcurveisupwardsloping,andthepricesarereferredtoasbeingincontango.Contangooccurswhenthereislittleornoconvenienceyield.[单选题]20.Aprivateequityfunddesiringtorealizeanimmediateandcompletecashexitfromaportfoliocompanyismostlikelytopursuea(n):A.IPO.B.tradesale.C.recapitalization.正确答案：B参考解析：Biscorrect.Privateequityfundscanrealizeanimmediatecashexitinatradesale.Usingthisstrategy,theportfoliocompanyistypicallysoldtoastrategicbuyer.[单选题]21.Aninvestorinaprivateequityfundisconcernedthatthegeneralpartnercanreceiveincentivefeesinexcessoftheagreed-onincentivefeesbymakingdistributionsovertimebasedonprofitsearnedratherthanmakingdistributionsonlyatexitfrominvestmentsofthefund.Whichofthefollowingismostlikeytoprotecttheinvestorfromthegeneralpartnerreceivingexcessfees?A.AhighhurdlerateB.AclawbackprovisionC.Alowercapitalcommitment正确答案：B参考解析：Biscorrect.Aclawbackprovisionrequiresthegeneralpartnerinaprivateequityfundtoreturnanyfundsdistributed(tothegeneralpartner)asincentivefeesuntilthelimitedpartnershavereceivedbacktheirinitialinvestmentsandthecontractedportionofthetotalprofits.Ahighhurdleratewillresultindistributionsoccurringonlyafterthefundachievesaspecifiedreturn.Ahighhurdleratedecreasesthelikelihoodof,butdoesnotprevent,excessdistributions.Managementfees,notincentivefees,arebasedoncommittedcapital.[单选题]22.Bothevent-drivenandmacrohedgefundstrategiesuse:A.long–shortpositions.B.atop-downapproach.C.long-termmarketcycles.正确答案：A参考解析：Aiscorrect.Long–shortpositionsareusedbybothtypesofhedgefundstopotentiallyprofitfromanticipatedmarketorsecuritymoves.Event-drivenstrategiesuseabottom-upapproachandseektoprofitfromshort-termeventstypicallyinvolvingacorporateaction,suchasanacquisitionorarestructuring.Macrostrategiesseektoprofitfromexpectedmovementsinevolvingeconomicvariables.[单选题]23.Hedgefundsaresimilartoprivateequityfundsinthatboth:A.aretypicallystructuredaspartnerships.B.assessmanagementfeesbasedonassetsundermanagement.C.donotearnanincentivefeeuntiltheinitialinvestmentisrepaid.正确答案：A参考解析：Aiscorrect.Privateequityfundsandhedgefundsaretypicallystructuredaspartnershipswhereinvestorsarelimitedpartners(LP)andthefundisthegeneralpartner(GP).Themanagementfeeforprivateequityfundsisbasedoncommittedcapitalwhereasforhedgefundsthemanagementfeesarebasedonassetsundermanagement.Formostprivateequityfunds,thegeneralpartnerdoesnotearnanincentivefeeuntilthelimitedpartnershavereceivedtheirinitialinvestmentback.[单选题]24.Comparedwithdirectinvestmentininfrastructure,publiclytradedinfrastructuresecuritiesarecharacterizedby:A.higherconcentrationrisk.B.more-transparentgovernance.C.greatercontrolovertheinfrastructureassets.正确答案：B参考解析：Biscorrect.Publiclytradedinfrastructuresecurities,whichincludesharesofcompanies,exchange-tradedfunds,andlistedfundsthatinvestininfrastructure,providethebenefitsoftransparentgovernance,liquidity,reasonablefees,marketprices,andtheabilitytodiversifyacrossunderlyingassets.Directinvestmentininfrastructureinvolvesalargecapitalinvestmentinanysingleproject,resultinginhighconcentrationrisks.Directinvestmentininfrastructureprovidescontrolovertheassetsandtheopportunitytocapturetheassets’fullvalue.[单选题]25.Alternativeinvestmentfundsaretypicallymanaged:A.actively.B.togeneratepositivebetareturn.C.assumingthatmarketsareefficient正确答案：A参考解析：Aiscorrect.Therearemanyapproachestomanagingalternativeinvestmentfundsbuttypicallythesefundsareactivelymanaged.[单选题]26.Aninvestorisseekinganinvestmentthatcantakelongandshortpositions,mayusemulti-strategies,andhistoricallyexhibitslowcorrelationwithatraditionalinvestmentportfolio.Theinvestor’sgoalswillbebestsatisfiedwithaninvestmentin:A.realestate.B.ahedgefund.C.aprivateequityfund.正确答案：B参考解析：Biscorrect.Hedgefundsmayuseavarietyofstrategies(event-driven,relativevalue,macroandequityhedge),generallyhavealowcorrelationwithtraditionalinvestments,andmaytakelongandshortpositions.[单选题]27.Risksininfrastructureinvestingaremostlikelygreatestwhentheprojectinvolves:A.constructionofinfrastructureassets.B.investmentinexistinginfrastructureassets.C.investinginassetsthatwillbeleasedbacktoagovernment.正确答案：A参考解析：Aiscorrect.Infrastructureprojectsinvolvingconstructionhavemoreriskthaninvestmentsinexistingassetswithademonstratedcashfloworinvestmentsinassetsthatareexpectedtogenerateregularcashflowsbecausetheassetswillbeleasedbacktoagovern