CFA课后习题：投资组合.docx

PRACTICEPROBLEMS1Investorsshoulduseaportfolioapproachto:Areducerisk.Bmonitorrisk.Celiminaterisk.2Whichofthefollowingisthebestreasonforaninvestortobeconcernedwiththecompositionofaportfolio?ARiskreduction.BDownsideriskprotection.(Avoidanceofinvestmentdisasters.3Withrespecttotheformationofportfolios,whichofthefollowingstatementsismostacc*ate?APortfoliosaffectrisklessthanreturns.RPortfoliosaffectriskmorethanreturns.CPortfoliosaffectriskandreturnsequally.4Whichofthefollowinginstitutionswillonaveragehavethegreatestneedforliquidity?ABanks.BInvestmentcompanies.CNon-Iifeinsurancecompanies.5Whichofthefollowinginstitutionalinvestorswillmostlikelyhavethelongesttimehorizon?ADefinedbenefitplan.BUniversityendowment.CLifeinsurancecompany.6AdefinedbenefitplanwithalargenumberofretireesislikelytohaveahighneedforAincome.Bliquidity.Cinsurance.7Whichofthefollowinginstitutionalinvestorsismostlikelytomanageinvestmentsinmutualfunds?AInsurancecompanies.RInvestmentcompanies.CUniversityendowments.8Withrespecttotheportfoliomanagementprocess,theassetallocationisdeterminedinthe:Aplanningstep.Bfeedbackstep.Cexecutionstep.9Theplanningstepoftheportfoliomanagementprocessisleastlikelytoincludeanassessmentoftheclient,sAsecurities.Bconstraints.Crisktolerance.10Withrespecttotheportfoliomanagementprocess,therebalancingofaportfolio'scompositionismostlikelytooccurinthe:Aplanningstep.Bfeedbackstep.(executionstep.11Ananalystgathersthefollowinginformationfortheassetallocationsofthreeportfolios:PortfolioFixedIncomeft)Equity(%)AlternativeAssets(%)125601526025153156025WhichoftheportfoliosismOStlikelyappropriateforaclientwhohasahighdegreeofrisktolerance?APortfolio1.BPortfolio2.CPortfolio3.12Whichofthefollowinginvestmentproductsismostlikelytotradeattheirnetassetvaluepershare?AExchangetradedfunds.BOpen-endmutualfunds.CClosed-endmutualfunds.13WhiChofthefollowingfinancialproductsisleastlikelytohaveacapitalgaindistribution?AExchangetradedfunds.BOpen-endmutualfunds.(Closed-endmutualfunds.14Whichofthefollowingformsofpooledinvestmentsissubjecttotheleastamountofregulation?AHedgefunds.BExchangetradedfunds.CClosed-endmutualfunds.15Whichofthefollowingpooledinvestmentsismostlikelycharacterizedbyafewlargeinvestments?AHedgefunds.BBuyoutfunds.(Venturecapitalfunds.SOLUTIONS1Aiscorrect.Combiningassetsintoaportfolioshouldreducetheportfoliosvolatility.Specifically,“individualsandinstitutionsshouldholdportfoliostoreducerisk/*Asillustratedinthereading,however,riskreductionmaynotbeasgreatduringaperiodofdramaticeconomicchange.2Aiscorrect.Combiningassetsintoaportfolioshouldreducetheportfolio,svolatility.Theportfolioapproachdoesnotnecessarilyprovidedownsideprotectionorguaranteethattheportfolioalwayswillavoidlosses.3Biscorrect.Asillustratedinthereading,portfoliosreduceriskmorethantheyincreasereturns.4Aiscorrect.Theexcessreservesinvestedbybanksneedtoberelativelyliquid.Althoughinvestmentcompaniesandnon-lifeinsurancecompanieshavehighliquidityneeds,theliquidityneedforbanksisonaveragethegreatest.5Biscorrect.Mostfoundationsandendowmentsareestablishedwiththeintentofhavingperpetuallives.Althoughdefinedbenefitplansandlifeinsurancecompanieshaveportfolioswithalongtimehorizon,theyarenotperpetual.6Aiscorrect.Incomeisnecessarytomeetthecashflowobligationtoretirees.Althoughdefinedbenefitplanshaveaneedforincome,theneedforliquiditytypicallyisquitelow.Aretireemayneedlifeinsurance;however,adefinedbenefitplandoesnotneedinsurance.7Biscorrect.Investmentcompaniesmanageinvestmentsinmutualfunds.Althoughendowmentsandinsurancecompaniesmayownmutualfunds,theydonotissueorredeemsharesofmutualfunds.*Ciscorrect.Theclientsobjectivesandconstraintsareestablishedintheinvestmentpolicystatementandareusedtodeterminetheclient,stargetassetallocation,whichoccursintheexecutionstepoftheportfoliomanagementprocess.9Aiscorrect.Securitiesareanalyzedintheexecutionstep.Intheplanningstep,aclient,sobjectivesandconstraintsareusedtodeveloptheinvestmentpolicystatement.10Biscorrect.Portfoliomonitoringandrebalancingoccursinthefeedbackstepoftheportfoliomanagementprocess.11Ciscorrect.Portfolio3hasthesameequityexposureasPortfolio1andhasahigherexposuretoalternativeassets,whichhavegreatervolatility(asdiscussedinthesectionofthereadingcomparingtheendowmentsfromYaleUniversityandtheUniversityofVirginia).12Biscorrect.Open-endfundstradeattheirnetassetvaluepershare,whereasclosed-endfundsandexchangetradedfundscantradeatapremiumoradiscount13Aiscorrect.Exchangetradedfundsdonothavecapitalgaindistributions.IfaninvestorsellssharesofanETF(oropen-endmutualfundorclosed-endmutualfund),theinvestormayhaveacapitalgainorlossonthesharessold;however,thegain(orloss)fromthesaleisnotadistribution.14Aiscorrect.Hedgefundsarecurrentlyexemptfromthereportingrequirementsofatypicalpublicinvestmentcompany.15Biscorrect.Buyoutfundsorprivateequityfirmsmakeonlyafewlargeinvestmentsinpri