備考CFA考試，刷題練習不能少。2022年CFA考試《CFA二級》考試共240題，分為單選題。以下是幫考網精心為您準備的Portfolio Management (2)5道練習題，附答案解析，供您備考練習。

1、During a recession, the slope of the yield curve fｏｒdefault-free government bonds is most likely to:【單選題】

A.flatten.

B.steepen.

C.become inverted.

正確答案:B

答案解析:B is correct. During a recession, short rates are often lower because central banks tend to lower their policy rate in these times because the output gap is likely to be negative. However, the impact of such monetary policy on longer-term rates will not be as strong, so long rates may not fall by as much as short rates. The central bank will usually be expected to bring short term rates back to normal as the recession recedes ａｎｄ　the risk free rates will increase as economic growth recovers. Thus, the slope of the yield curve will typically steepen during a recession.

2、Based on the backtest, which tendency of Wu’s model is he most likely to be satisfied with? The rotation from:【單選題】

A.small-cap value to mid-cap value stocks.

B.consumer discretionary to consumer staple stocks.

C.large-cap growth to large-cap value stocks.

正確答案:C

答案解析:C is correct. Value tends to outperform growth investing in the aftermath of a recession, so the model is correctly rotating into value from growth stocks. Cyclical stocks tend to outperform non-cyclical stocks in the aftermath of a recession, so consumer staples stocks would be likely to underperform discretionary stocks. In addition, smaller capitalization companies tend to outperform in the aftermath of a recession，so the shift from small- to mid-cap stocks would be sub-optimal fｏｒthe model.?A is incorrect. Smaller capitalization companies tend to outperform in the aftermath of a recession, so the shift from small- to mid-cap stocks would be sub-optimal fｏｒthe model.B is incorrect. Cyclical stocks tend to outperform non-cyclical stocks in the aftermath of a recession, so consumer staples stocks would be likely to underperform discretionary stocks.

3、The implied premium fｏｒinflation uncertainty fｏｒthe one-year government zero-coupon bond proposed by Carlisle is closest to:【單選題】

A.0.23%.

B.0.37%.

C.1.10%

正確答案:B

答案解析:B is correct. The pricing equation fｏｒa default-free nominal coupon-paying bond isFｏｒa one-year bond, the pricing formula reduces toThus, the implied premium fｏｒinflation uncertainty fｏｒthe one-year government zerocoupon bond is calculated as= 1.0377 – 1.0340= 0.0037, ｏｒ0.37%

4、Based on Exhibit 1, the value added of the diversified asｓｅｔportfolio attributable to the asｓｅｔallocation decision in 2015 was closest to:【單選題】

A.2.3%.

B.3.9%.

C.6.1%.

正確答案:A

答案解析:A is correct. The value added from asｓｅｔallocation is calculated as the sum of the differences in the weights between the strategic (benchmark) allocation ａｎｄ　the actual subportfolio allocation multiplied by each subportfolio’s benchmark return.BenchmarkReturn (%)Actual AssetAllocation(%)StrategicAssetAllocation(%)Actual –Strategic AssetAllocation (%)Equitiessubportfolio31.66360+3Bondsubportfolio–2.62835–7Real estatesubportfolio28.395+4Thus, the value added by the active asｓｅｔallocation decision is calculated as:Value added from asｓｅｔallocation decision = 0.03(31.6%) – 0.07(–2.6%) + 0.04 (28.3%) = 2.3%.B is incorrect. It is the value added from security ｓｅｌｅｃｔion.C is incorrect. It is the total value added.

5、Based on Exhibit 1, the expected active return from asｓｅｔallocation fｏｒFund X is:【單選題】

A.negative.

B.zero.

C.positive.

正確答案:B

答案解析:B is correct. Active return from asｓｅｔallocation is derived from differences between the benchmark weight ａｎｄ　the portfolio weight across asｓｅｔclasses. FｏｒFund X, the expected active return from asｓｅｔallocation is calculated as:Active Return from AsｓｅｔAllocation =Where Δwj is the difference in the active portfolio ａｎｄ　the benchmark asｓｅｔweights, RB,e is the benchmark’s return from global equities, ａｎｄ　RB,b is the benchmark’s return from global bonds.?Because Fund X has the same asｓｅｔweights as the benchmark across the two asｓｅｔclasses (60% global equities, 40% global bonds), the expected active return from asｓｅｔallocation is zero.

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