2020年CFA考試《CFA三級》考試共題，分為。小編為您整理Portfolio Management for Institutional Investors5道練習題，附答案解析，供您備考練習。

1、Considering Zubov’s statements to the investment committee regarding Hoven University’s endowment, he is least likely correct with respect to:【單選題】

A.liquidity need.

B.total return objective.

C.risk tolerance.

正確答案:C

答案解析:The endowment’s risk tolerance is low to moderate, not high, because the endowment’s contribution represents 25% of the university’s operating budget. Thus, a modest drop in the endowment’s value may have a significant impact on university operations. Another factor supporting a lower risk tolerance is the use of a simple spending rule. The absence of a smoothing rule means the endowment has less tolerance for short-term portfolio risk. Although a return objective of 7%–7.5% may ostensibly be used to support a higher risk tolerance, the risk of a short-term drawdown poses a much larger risk and thus, on balance, a low to moderate risk tolerance is more appropriate for the endowment.

2、Is Zubov’s response to Zola’s question about his overall approach to pension asset risk management most likely correct?【單選題】

A.Yes

B.No, the first consideration is incorrect

C.No, the second consideration is incorrect

正確答案:B

答案解析:Zubov is incorrect with respect to the first consideration. CGI manufactures beauty, health care, and home care products. By overweighting the pension portfolio’s exposure to the beauty, health care, and home care industries, Zubov risks increasing the correlation between the company’s operating results and pension asset returns. The increased correlation will result in a lower risk tolerance, all else being equal.

3、Based on information provided by Zola, a higher risk tolerance for CGI Products’ pension plan is least likely supported by:【單選題】

A.Zola's proposed modification to the current pension plan.

B.the ratio of debt to total assets.

C.earnings expectations for the company.

正確答案:A

答案解析:Zola would like CGI to introduce an early retirement provision that allows for lump-sum distributions. This increases immediate liquidity requirements and reduces the level of risk tolerance. In contrast, the company's expected growth in earnings and the low debt to total asset ratio imply a higher risk tolerance.

4、Regarding the comparison of the CYE and MF portfolios, which of Kuzmych conclusions is most likely?:【單選題】

A.Conclusion II

B.Conclusion I

C.Conclusion III

正確答案:C

答案解析:The only correct conclusion is that both the foundation and endowment portfolios have long time horizons. The foundation has no obligation to balance the needs of current and future beneficiaries. CYE has a high tolerance for risk with its long time horizon and ability to replenish itself through donations.

5、When comparing investment objectives and constraints, Alpha and Omega most likely have similar:【單選題】

A.return objectives.

B.risk tolerances.

C.legal and regulatory constraints.

正確答案:C

答案解析:Both Alpha and Omega are mutual funds, a type of investment company. They would share similar legal and regulatory constraints, such as a need to describe their objectives, constraints, and costs in legally prescribed formats (e.g., a prospectus). However, they would have different risk and return objectives that would match different needs in investor portfolios.