2020年CFA考试《CFA二级》考试共题，分为。小编为您整理Portfolio Management (2)5道练习题，附答案解析，供您备考练习。

1、The recent change in Country #3’s breakeven inflation rate suggests that the expected rate of inflation over the next three years is:【单选题】

A.less than 2.0%.

B.equal to 2.0%.

C.greater than 2.0%.

正确答案:A

答案解析:A is correct. The difference, or spread, between the yields on the country’s three-year default-free nominal and on the default-free real zero-coupon bonds is 2.0%. This spread is known as the breakeven rate of inflation (BEI), which is composed of the expected rate of inflation plus a risk premium for the uncertainty of future inflation. Because this risk premium component is most likely positive, because investors are unlikely to be very confident in their ability to predict inflation accurately, the expected rate of inflation component would be less than 2.0%.

2、Based on the information in Exhibit 1, the ex-ante active return for the Premier fund is closest to:【单选题】

A.0.63%.

B.1.05%.

C.2.92%.

正确答案:A

答案解析:

3、Which proposed change to Fund W would most likely decrease Candidate C’s information ratio?【单选题】

A.Change 1

B.Change 2

C.Change 3

正确答案:C

答案解析:C is correct. The IR is calculated as IR = (TC) (IC) √BR, where BR is breadth. Change 3, establishing new constraints of caps on the over- and underweight of sectors, reduces the correlation of optimal active weights with the actual active weights, which results in a decreased TC and thus a decrease in the IR. Change 1 (increasing portfolio size from 36 to 50) and Change 2 (increasing the frequency of rebalancing from annually to semiannually) would both likely have the effect of increasing the BR of the portfolio, which would increase the IR.

4、What is the maximum Sharpe ratio that a manager can achieve by combining the S&P 500 benchmark portfolio and the Indigo Fund?【单选题】

A.0.333

B.0.365

C.0.448

正确答案:B

答案解析:B is correct. The highest squared Sharpe ratio of an actively managed portfolio is:

5、Which of Singh’s statements regarding the information ratio is correct?【单选题】

A.Only Statement 1

B.Only Statement 2

C.Both Statement 1 and Statement 2

正确答案:C

答案解析:C is correct. The information ratio for a portfolio of risky assets will generally shrink if cash is added to the portfolio. Because the diversified asset portfolio is an unconstrained portfolio, its information ratio would be unaffected by an increase in the aggressiveness of active weights.