2020年CFA考试《CFA二级》考试共240题，分为单选题。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、Which of the following statements relating to commercial real estate is correct?【单选题】

A.Rental income from commercial real estate is generally unstable across business cycles.

B.Commercial real estate investments generally offer a good hedge against bad consumption outcomes.

C.The key difference in the discount rates applied to the cash flows of equity investments and commercial real estate investments relate to liquidity.

正确答案:C

答案解析:C is correct. To arrive at an appropriate discount rate to be used to discount the cash flows from a commercial real estate investment, a liquidity premium is added to the discount rate applicable to equity investments. The added liquidity premium provides additional compensation for the risk that the real estate investment may be very illiquid in bad economic times.

2、The benchmark portfolio is the S&P 500. Which of the following three portfolios can be combined with the benchmark portfolio to produce the highest combined Sharpe ratio?【单选题】

A.Portfolio A

B.Portfolio B

C.Portfolio C

正确答案:B

答案解析:B is correct. The active portfolio that is optimal is the portfolio with the highest Information ratio, the ratio of active return to active risk. The IRs for the three active portfolios are:

3、Manager 1 has an information coefficient of 0.15, a transfer coefficient of 1.0, and invests in 50 securities. Manager 2 has a different strategy, investing in more securities, but is subject to investment constraints that reduce his transfer coefficient. Manager 2 has an information coefficient of 0.10, a transfer coefficient of 0.8, and invests in 100 securities. The investment selections of each manager are independent decisions. If both managers target an active risk of 5.0%, which manager will have the greater expected active return?【单选题】

A.Manager 1

B.Manager 2

C.Both managers will have the same active return.

正确答案:A

答案解析:A is correct. Manager 1’s IR = TC × IC × √BR = 1.0 × 0.15 × √50 = 1.06. Manager 2’s IR = 0.8 × 0.10 × √100 = 0.80. Manager 1’s active return is 1.06(5.0) = 5.3% and Manager 2’s expected active return is 0.80(5.0) = 4.0%. Manager 1 has the greater expected active return.

4、Based on Quantum’s economic forecast and the data in Exhibit 1，which bond is Coombs most likely to recommend as the short position for the hedge fund?【单选题】

A.Bond 3

B.Bond 1

C.Bond 2

正确答案:C

答案解析:C is correct. Bond 1 is in a non-cyclical industry, unlike Bond 2，which is in a cyclical industry. Bond 1 has a slightly higher debt-to-capital ratio than Bond 2 but not material. Bond 2 has 汪 relatively tight spread compared with Bond 1. These factors suggest that Bond 2 is a better candidate for a short position. During an environment in which GDP is forecast to surprise to the downside, higher-rated issues, such as Bond 3，are likely to outperform. Given Quantum’s expectation for declining GDP and its relatively tight spread, Bond 2 is the best candidate for a short position.

5、Which of Wu’s three observations is least likely correct?【单选题】

A.Observation 3

B.Observation 1

C.Observation 2

正确答案:A

答案解析:A is correct. Observation 3 regarding consumption hedging is incorrect. Because of the pro-cyclicality of economies and corporate profits, equities are not a good hedge against bad consumption outcomes, which is one of the reasons equity investors require a risk premium.