2025年CFA《投资组合管理》模拟试卷（八）.docx

2025年CFA《投资组合管理》模拟试卷（八）

考试时间：______分钟总分：______分姓名：______

Question1:Aninvestorisconsideringaddingastocktotheirportfolio.Thestockhasanexpectedreturnof12%andastandarddeviationof20%.Thecurrentportfoliohasanexpectedreturnof8%andastandarddeviationof10%.Thecorrelationcoefficientbetweenthestockandthecurrentportfoliois0.3.Whatistheexpectedreturnandstandarddeviationofthenewportfolioiftheinvestorallocates30%oftheircapitaltothenewstockand70%totheexistingportfolio?

Question2:Aportfoliomanagerclaimsthattheirinvestmentstrategygeneratesanannualexcessreturnof5%withatrackingerrorof2%.Thebenchmarkindexhasanannualexcessreturnof3%.Whatistheinformationratiooftheportfoliomanagersstrategy?

Question3:Aninvestorholdsaportfolioconsistingof50%stocksand50%bonds.Theexpectedreturnofthestockportionis10%,theexpectedreturnofthebondportionis4%,andthecorrelationcoefficientbetweenstocksandbondsis0.1.Whatistheexpectedreturnandstandarddeviationoftheinvestorsportfolio?

Question4:Amutualfundhasanetassetvalue(NAV)of$100pershareatthebeginningoftheyearand$105pershareattheendoftheyear.Thefunddistributesadividendof$2pershareduringtheyear.Whatisthetime-weightedrateofreturn(TWRR)ofthefundfortheyear?

Question5:Thefollowinginformationisavailablefortwoinvestmentportfolios:

*PortfolioA:Expectedreturn=15%,Standarddeviation=15%

*PortfolioB:Expectedreturn=9%,Standarddeviation=9%

ThecorrelationcoefficientbetweenPortfolioAandPortfolioBis0.6.AninvestorwantstoconstructanewportfoliobycombiningPortfolioAandPortfolioBinsomeproportion.Whatistheminimumpossiblestandarddeviationofthisnewportfolio?

Question6:Astockhasacurrentpriceof$50.Thestockisexpectedtopayadividendof$2attheendoftheyear.Theexpec