CFA一级模考题

CFA一级模考题1.IfthestandarddeviationofstockAis13.2percent,thestandarddeviationofstockBis17.6percent,andthecovariancebetweenthetwois0,whatisthecorrelationcoefficient?A)+1.B)0.31.C)0.ThecorrectanswerwasCSincecovarianceiszero,thecorrelationcoefficientmustbezero.2.Amutualfundthatinvestsinshort-termdebtsecuritiesandmaintainsanetassetvalueof$1.00pershareisbestdescribedasa:A)moneymarketfund.B)balancedfund.C)bondmutualfund.ThecorrectanswerwasAMoneymarketfundsinvestprimarilyinshort-termdebtsecuritiesandaremanagedtomaintainaconstantnetassetvalue,typicallyoneunitofcurrencypershare.Abondmutualfundtypicallyinvestsinlonger-maturitysecuritiesthanamoneymarketfund.Abalancedfundinvestsinbothdebtandequitysecurities.3.Whenthemarketisinequilibrium:A)allassetsplotontheCML.B)investorsown100%ofthemarketportfolio.C)allassetsplotontheSML.ThecorrectanswerwasCWhenthemarketisinequilibrium,expectedreturnsequalrequiredreturns.Sincethismeansthatallassetsarecorrectlypriced,allassetsplotontheSML.Bydefinition,allstocksandportfoliosotherthanthemarketportfoliofallbelowtheCML.(Onlythemarketportfolioisefficient.4.Whichofthefollowingstatementsregardingthecovarianceofratesofreturnisleastaccurate?A)Itisameasureofthedegreetowhichtwovariablesmovetogetherovertime.B)Ifthecovarianceisnegative,theratesofreturnontwoinvestmentswillalwaysmoveindifferentdirectionsrelativetotheirmeans.C)Itisnotaveryusefulmeasureofthestrengthoftherelationship,thereisabsentinformationaboutthevolatilityofthetwovariables.ThecorrectanswerwasBNegativecovariancemeansratesofreturnwilltendtomoveinoppositedirectionsonaverage.Forthereturnstoalwaysmoveinoppositedirections,theywouldhavetobeperfectlynegativelycorrelated.Negativecovariancebyitselfdoesnotimplyanythingaboutthestrengthofthenegativecorrelation.5.Whichofthefollowingstatementsaboutastock'sbetaisCORRECT?Abetagreaterthanoneis:A)risky,whileabetalessthanoneisrisk-free.B)riskierthanthemarket,whileabetalessthanoneislessriskythanthemarket.C)undervalued,whileabetalessthanoneisovervalued.ThecorrectanswerwasBBetaisameasureofthevolatilityofastock.Theoverallmarket'sbetaisone.Astockwithhighersystematicriskthanthemarketwillhaveabetagreaterthanone,whileastockthathasalowersystematicriskwillhaveabetalessthanone.