2025年CFA《投资组合管理》模拟试卷（八）
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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