2025年CFA三级《投资组合管理》练习题.docxVIP

2025年CFA三级《投资组合管理》练习题

考试时间：______分钟总分：______分姓名：______

一、

Assumeaninvestorholdsaportfolioconsistingof60%stocksand40%bonds.Theexpectedreturnandstandarddeviationofthestockportionare12%and18%,respectively.Theexpectedreturnandstandarddeviationofthebondportionare6%and9%,respectively.Thecorrelationcoefficientbetweenthereturnsofstocksandbondsis0.2.Whatistheexpectedreturnandstandarddeviationoftheoverallportfolio?

二、

ExplainthedifferencebetweentheSharperatioandtheSortinoratio.UnderwhatcircumstanceswouldtheSortinoratiobeamoreappropriatemeasureofportfolioperformancethantheSharperatio?

三、

Aportfoliomanagerisconsideringaddingasmall-capgrowthstocktoawell-diversifiedportfoliocurrentlyinvested70%inlarge-capvaluestocksand30%ininternationalequities.Theexpectedreturn,standarddeviation,andbetaofthesmall-capgrowthstockare15%,25%,and1.2,respectively.Theexpectedreturn,standarddeviation,andbetaofthelarge-capvaluestockportionare10%,20%,and0.8,respectively.Theexpectedreturn,standarddeviation,andbetaoftheinternationalequityportionare8%,15%,and0.6,respectively.Thecorrelationcoefficientbetweenthesmall-capgrowthstockandthelarge-capvaluestockportionis0.3,andthecorrelationcoefficientbetweenthesmall-capgrowthstockandtheinternationalequityportionis0.1.Iftheportfoliomanageradds10%ofthesmall-capgrowthstocktotheportfolio,whatwillbethenewexpectedreturnandbetaoftheportfolio?

四、

Describethefactorsthatshouldbeconsideredwhenconstructinganinvestmentpolicystatement(IPS).WhyisanIPSimportantforboththeinvestorandtheinvestmentmanager?

五、

Compareandcontrastthecharacteristicsofanequityincomeportfolioandagrowthportfolio.Whichtypeofportfoliowouldbemoresuitableforaninvestorinretirement?Explainyouranswer.

六、

Explaintheconcept