2020年CFA考试《CFA二级》考试共题，分为。小编为您整理Portfolio Management (1)5道练习题，附答案解析，供您备考练习。

1、Which risk measure is Hamilton most likely to present when addressing the committee’s concerns regarding potential losses in extreme stress events?【单选题】

A.Relative VaR

B.Incremental VaR

C.Conditional VaR

正确答案:C

答案解析:C is correct. Conditional VaR is a measure of tail risk that provides an estimate of the average loss that would be incurred if the VaR cutoff is exceeded.

2、Stenton should most accurately respond to concern 1 in Exhibit 3 by saying that:【单选题】

A.The increase in the use of execution algorithms to profit from arbitrage opportunities has increased market efficiency.

B.The increase in the use of execution algorithms to profit from arbitrage opportunities has decreased market stability.

C.Execution algorithms are not used to profit from arbitrage opportunities. 

正确答案:C

答案解析:Execution algorithms are not designed to profit from arbitrage opportunities, rather they are used to minimize the impact of large trades by slicing them up into smaller trades and releasing to the market in stages. 

3、Based on Exhibit 1, the active risk for Portfolio 2 is explained by surprises in:【单选题】

A.GDP.

B.consumer spending.

C.all four model factors.

正确答案:C

答案解析:C is correct. Active risk, also referred to as tracking risk or tracking error, is the sample standard deviation of the time series of active returns, where the active returns consist of the differences between the portfolio return and the benchmark return. Whereas GDP is the only portfolio non-zero sensitivity for Portfolio 2, the contribution to the portfolio’s active return is the sum of the differences between the portfolio’s and the benchmark’s sensitivities multiplied by the factor return. Because all four of the factor sensitivities of Portfolio 2 are different from the factor sensitivities of the benchmark, all four factors contribute to the portfolio’s active return and, therefore, to its active risk.

4、Which of the following best describes Santalucia’s current risk tolerance and liquidity constraint? Santalucia’s risk tolerance is:【单选题】

A.below average, and his liquidity constraint is significant.

B.above average, and his liquidity constraint is significant.

C.above average, and his liquidity constraint is insignificant.

正确答案:A

答案解析:A is correct. Santalucia’s lifestyle and business career (speedboats, mountain climbing, real estate speculation, turnarounds) show a willingness to take risks. His current ability to take risks is diminished, given his total assets and his expected divorce settlement, his current income/spending situation, and upcoming college bills. When an investor’s willingness to accept risk exceeds the ability to do so, ability prudently places a limit on the amount of risk the investor should assume. Santalucia’s pending divorce and college education bills create a significant liquidity constraint.

5、Based on Exhibit 2, what is the most likely benefit of taking a short position in Fund B relative to an equally sized long position in Fund C?【单选题】

A.Lower inflation risk

B.Higher expected return

C.Lower GDP growth risk

正确答案:A

答案解析:A is correct. Fund C has an inflation factor sensitivity of 1.0 and a GDP growth factor sensitivity of 1.1. Fund B is only sensitive to inflation, with a factor sensitivity of 1.6, because its sensitivity to GDP growth is zero. Relative to an investment in Fund C, a short position in Fund B would reduce exposure to inflation risk, and it would have no impact on the existing GDP growth risk exposure. It is unclear whether the expected return would increase or decrease.