2020年CFA考试《CFA二级》章节练习题精选

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、If Frazee added the assumption he is considering in Fund W’s portfolio construction, it would most likely result in:【单选题】

A.a decrease in the optimal aggressiveness of the active strategy.

B.the information ratio becoming invariant to the level of active risk.

C.an increase in the transfer of active return forecasts into active weights.

正确答案:A

答案解析:A is correct. The new assumption adds constraints to Fund W. The IR for a constrained portfolio generally decreases with the aggressiveness of the strategy because portfolio constraints reduce the transfer of active return forecasts into active weights. Furthermore, the optimal active risk is given by the following formula:

2、Based on Exhibit 1, which fund is expected to produce the greatest consistency of active return?【单选题】

A.Fund X

B.Fund Y

C.Fund Z

正确答案:C

答案解析:C is correct. The IR measures the consistency of active return. The IR is calculated for the 

3、An analyst is given the following information about a portfolio and its benchmark. In particular, the analyst is concerned that the portfolio is a closet index fund.1 The T-bill return chosen to represent the risk-free rate is 0.50%.【单选题】

A.Statement I

B.Statement II

C.Statement III

正确答案:B

答案解析:B is correct. A closet index will have a very low active risk and will also have a Sharpe ratio very close to the benchmark. Therefore, Statements I and III are consistent with a closet index portfolio. A closet index’s information ratio can be indeterminate (because the active risk is so low), and often negative due to management fees.

4、Based on the fundamental law of active management, if a portfolio manager has an information ratio of 0.75, an information coefficient of 0.1819, and a transfer coefficient of 1.0, how many securities are in the portfolio manager’s fund, making the assumption that the active returns are uncorrelated.【单选题】

A.About 2

B.About 4

C.About 17

正确答案:C

答案解析:C is correct. Using the equation IR* = IC × √BR and assuming that breadth can be

5、All else equal, an investor expects future inflation to increase, but the uncertainty of future inflation to fall. For such an investor the break-even inflation rate:【单选题】

A.is uncertain.

B.is expected to fall.

C.is expected to rise.

正确答案:A

答案解析:A is correct. The break-even inflation rate is the difference between the yield on a zero-coupon,