CFA一级百题预测_另类（打印版）.docx

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1、CFA一级百题预测1.ETHICSANDPROFESSIONALSTANDARDS2.QUANTITATIVEMETHODS3.ECONOMICS4.FINANCIALREPORTINGANDANALYSIS5.CORPORATEFINANCE6EQUITY7.Fixedincome8.DERIVATIVES9.ALTERNATIVEINVESTMENTS10.PORTFOLIOMANAGEMENT9.AlternativeInvestments9.1.TraditionalInvestmentvs.AlternativeInvestment9.1.1.重要知识点9.1.1.1.理解其他类投资

2、与传统投资的不同之处，并掌握其他类投资的特性AIlliquidityofunderlyinginvestments;ANarrowmanagespecialization;ALowcorrelationwithtraditionalinvestments;ALowlevelofregulationandlesstransparency;ALimitedandpotentiallyproblematichistoricalriskandreturndata;AUniquelegalandtaxconsiderations.9.1.1.2.掌握其他类投资在整个投资组合中的特点AHighreturn

3、;Highrisk.Lowcorrelation(improvebothportfolioriskandexpectedreturn);9.1.2.基础题Q-l.Categoriesofalternativeinvestmentswouldleastlikelybedescribedbywhichofthefollowing?A.FinewineandothertangiblesB.Schoolsandotherlong-livedrealassetsC.CashandOtherliquidinvestmentsQ-2.Comparedtotraditionalinvestments,alte

4、rnativeinvestmentsleastlikelydemonstratewhichofthefollowingcharacteristics?A.NarrowmanagerspecializationB.UnderlyinginvestmentsthatareilliquidC.AhighdegreeofregulationQ-3.Alternativeinvestmentsthatrelyonestimatesratherthanobservablemarketpricesforvaluationpurposesaremostlikelytoreport:A.returnsthata

5、reunderstated.B.volatilityofreturnsthatisunderstated.C.correlationsofreturnswiththereturnsoftraditionalassetsthatareoverstated.Q-4.Thepotentialbenefitsofallocatingaportionofaportfoliotoalternativeinvestmentsinclude:A.easeofmanagerselection.B.improvementinthePortfoIiosrisk-returnrelationship.C.access

6、ibleandreliablemeasuresofriskandreturn.Q-5.Comparedwithlong-onlyinvestmentsinstocksandbonds,alternativeinvestmentsaremostlikelycharacterizedbyless:A.flexibilitytousederivatives.B.managerspecialization.C.transparency.Q-6.Whichofthefollowingmostlikelybelongsinanalternativeassetcategory?A.Securitizedco

7、mmercialrealestatedebt.B.Equityinanemergingmarketcompanythatistradedover-the-counter.C.Alimitedpartnershipthattakeslongandshortpositionsinpubliclytradedequity.Q-7.Ameasurethatismostlikelywell-suitedtoanalyzingtheperformanceofalternativeinvestmentsthatmayexhibitnegativeskewnessinreturnsisthe:A.safety

8、-firstmeasure.B.Sortinoratio.C.Sharperatio.Q-8.Whichofthefollowingstatementsconcerningthehistoricalrecordofalternativeinvestmentsismostlikelycorrect?A.Theinclusionofpreviousreturndataforfundsthatentertheindexleadstoadownwardbiasinindexperformance.B.Theexclusionofreturnsoffundsthathavebeenliquidatedl

9、eadstoanupwardbiasinindexperformance.C.Theuseofappraisedvaluesinsteadofmarketpricesleadstoanupwardbiasinvolatility.Q-9.Addingalternativeinvestmentstoaportfoliooftraditionalinvestmentswillmostlikelyresultinanewcombinedportfoliowithreturnsandstandarddeviationthatare,respectively:ReturnsStandardDeviati

10、onA.lowerlowerB.higherlowerC.higherhigher9.2.RiskManagementofAlternativeInvestments921.重要知识点9.2.1.1.掌握其他类投资的风险管理与尽职调查RisksmanagementTraditionalriskandreturnmeasures(suchasmeanreturn,standarddeviationofreturns,andbeta)maynotprovideanadequatepictureofcharacteristicsOfalternativeinvestments.Becauseofth

11、eactiveuseofderivativesbymanyalternativesmanagers,operationalrisk,financialrisk,counterpartyrisk,andliquidityriskarekeyconsiderationsforprospectiveinvestors.Asymmetricriskandreturnprofiles,limitedportfoliotransparency,andilliquidity.Pastperformanceisnotnecessarilyrepresentativeoffutureperformance.Th

12、ereportedcorrelationsofthoseinvestmentswithotherinvestmentsmayvaryfromtheactualcorrelations.AAtypicalduediligenceprocessOrganization;Portfoliomanagement;Operationsandcontrols;Riskmanagement;Legalreview;Fundterms.9.2.2.基础题Q-10.Thevalueatriskofanalternativeinvestmentisbestdescribedasthe:A.probabilityo

13、flosingafixedamountofmoneyoveragiventimeperiod.B.minimumamountoflossexpectedoveragiventimeperiodatagivenprobabilitylevel.C.timeperiodduringwhichafixedamountislostatagivenprobabilitylevel.9.3.HedgeFund9.3.1.重要知识点9.3L1.了解对冲基金的收益目标(绝对和相对)，投资策略，并能理解四种策略中的子策略，潜在收益与风险、估值方式、尽职调查的要点AReturnobjectiveAbsoluter

14、eturn:e.g.totalreturnof12%.Relativereturn:e.g.thereturnis6%higherthanDJIA.RestrictionsonredemptionsLockupperiod:theminimumperiodbeforeinvestorsareallowedtomakewithdrawalsorredeemsharesfromafund;Noticeperiod:thelengthoftime(typically30to90days)inadvancethatinvestorsmayberequiredtonotifyafundoftheirin

15、tenttoredeem;AFundoffund:fundsthatholdaportfolioofhedgefund.FoFbenefitsanddrawbacksFOFsenablesmallinvestorstohavereturnsinhedgefunds;FOFshavesomeexpertiseinconductingduediligenceonhedgefunds;Negotiatebetterredemptiontermsforinvestors;FOFsinvestinnumeroushedgefunds,diversifyingacrossfundstrategies,investmentregions,andmanagementstyles;FOFsmanagerschargeanadditionallayeroffeesbeyondthefeeschargedbytheindividualhedgefundsintheportfolio.StrategiesEvent-drivenstrategiesMergerarbitrage:goinglong(buying)thestockofthecompanybeingacquiredandgoingsh