CFA考试一级章节练习题精选0401-20（附详解）
1、An analyst compared the performance of a hedge fund index with the performance of a major stock index over the past eight years. She noted that the hedge fund index (created from a database) had a higher average return, higher standard deviation, and higher Sharpe ratio than the stock index. All the successful funds that have been in the hedge fund database continued to accept new money over the eight-year period. What biases do the risk and return measures in the database most likely have? Average return:【单选题】
A.and standard deviation are both overstated.
B.is overstated and standard deviation is understated.
C.is understated and standard deviation is overstated.
正确答案:B
答案解析:“Alternative Investments,” Bruno Solnik and Dennis McLeaveySurvivorship bias affects both the returns and the risk (standard deviation) reported for the hedge funds. Hedge funds with low or negative returns will be excluded from the index as will funds with high volatility; those funds will not survive for eight years. If only the successful funds remain in the index, the returns are overstated and risk is understated. Overstated returns and understated risk will both tend to overstate the Sharpe ratio.
2、Which of the following is least likely a reason for discounting the value of stock in a closely held company?【单选题】
A.Illiquidity
B.Marketability
C.Controlling interest
正确答案:C
答案解析:“Alternative Investments,” Bruno Solnik and Dennis McLeaveyC is a correct because company control would increase the value of the closely held company or add a premium.
3、For a hedge fund investor, a benefit of investing in a fund of funds is least likely the:【单选题】
A.multilayered fee structure.
B.higher level of due diligence expertise.
C.ability to negotiate better redemption terms.
正确答案:A
答案解析:“Introduction to Alternative Investments”, Terri Duhon, George Spentzos, CFA, and Scott D. Stewart, CFAA is correct because funds of funds typically have a multilayered fee structure that may dilute the returns to the investor.
4、An analyst does research about hedge funds.The returns from hedge funds thatcontain infrequently traded assets most likely exhibit a downward bias with respectto correlations with:【单选题】
A.both conventional equity returns and conventional fixed income returns.