1、Assuming no short selling, diversification benefit is most likely to occur when the correlations among the securities contained in the portfolio are:【单选题】
A.equal to positive one.
B.less than positive one.
C.greater than positive one.
答案解析:“Probability Concepts,” Richard A. Defusco, CFA, Dennis W. McLeavey, CFA, Jerald E. Pinto, CFA, and David E. Runkle, CFA2011 Modular Level I, Vol. 1, p. 463Study Session 2-8-kCalculate and interpret covariance and correlation.Diversification benefit requires correlations less than positive one.When we do not reject a false null hypothesis we have a Type II error.
2、An analyst does research about hypothesis testing and conducts a significancetest to determine if the relationship between two variables is real or the result ofchance.His null hypothesis is that the population correlation coefficient is equalto zero and his alternative hypothesis is that the population correlation coefficientis different from zero.He develops the following information:The analyst conducts a:【单选题】
A.one-tailed test and can reject his null hypothesis.
B.two-tailed test and can reject his null hypothesis.
C.two-tailed test and can not reject his null hypothesis.
3、An analyst does research about bank discount yield and gathers the following informationabout a U.S Treasury bill:The present value of the U.S Treasury bill is closest to:【单选题】
A.$ 99 324
B.$ 99 432
C.$ 99 439
答案解析:假设该国库券的价格为P，则[(100 000 - p)/100 000] × 360/330 =0.62%，得出P =99 432。
4、An investor wants to maximize the possibility of earning at least 5% on her investments each year. Using Roy’s safety-first criterion, which of the following portfolios is the most appropriate choice?【单选题】
答案解析:“Common Probability Distributions,” Richard A. DeFusco, CFA, Dennis W. McLeavey, CFA, Jerald E. Pinto, CFA, and David E. Runkle, CFA2013 Modular Level I, Vol. 1, Reading 9, Section 3.3, Example 9Study Session 3-9-nDefine shortfall risk, calculate the safety-first ratio, and select an optimal portfolio using Roy’s safety-first criterion.B is correct. The portfolio with the highest SFRatio is preferred. The SFRatio is calculated by subtracting the target return from the expected return and dividing by the standard deviation.Portfolio 1= 0.35Portfolio 2= 0.64Portfolio 3 (22 – 5)/40 = 0.43B has the highest SFRatio, so it is the most appropriate choice.
5、An analyst gathers the following information about the performance of a portfolio ($ millions):The portfolio’s annual time-weighted rate of return is closest to:【单选题】
答案解析:The time-weighted rate of return is calculated by computing the quarterly holding period returns and linking those returns into an annual return as follows:The time-weighted return (TWR) is found as follows:2014 CFA Level I“Discounted Cash Flow Applications,” by Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, and David E. RunkleSections 3 and 3.2
What are the indices for a skewed distribution？:What are the indices for a skewed distribution？
What are the responsibilities of the members in reference to the CFA Institute?:Once accepted as a member:每年交述职报告和年费but must not over promise the competency and future investment results.Case
What members and candidates should notice in CFA examinations?:or security of the CFA examinations.（不能恶心CFA），考试不能作弊:考试内容要保密:A. No.:Responsibilities as a CFA Institute Member.right④Case