cfa一级portfoliomanagement∶capitalmarkettheory∶basicconcepts(编辑修改稿)

cfa一级portfoliomanagement∶capitalmarkettheory∶basicconcepts(编辑修改稿)内容摘要：

al Market Question ID: 11277 All of the following statements represent valid reasons why investors should consider global portfolios EXCEPT: A. The international investment opportunity set is large. B. The correlation between international securities and domestic securities is high. C. NonUS securities have outperformed domestic securities on a riskadjusted basis over extended periods in the past. D. The covariance between the average domestic security and the average international security, multiplied by the product of their respective standard deviations is low. B The correlation between domestic and foreign securities is low. Low correlations provide better diversification benefits. 15 Question ID: 11280 Between 1969 and 1998, the . share of global financial markets fell from: A. 65 to 41 percent. B. 65 to 29 percent. C. 75 to 59 percent. D. 41 to 29 percent. A Question ID: 11283 You are a investor with a global portfolio. A strengthening British pound would most likely: A. Have no impact on the pounddenominated returns to your portfolio. B. Reduce your pounddenominated return. C. Increase your pounddenominated return. D. Significantly affect the return to the domestic securities in your portfolio. B The strengthening of the pound means that other currencies are depreciating relative to the pound and the poundbased returns to these foreign securities will fall. Question ID: 11288 The addition of foreign bonds to a purely domestic mixedasset portfolio is beneficial because: A. The Capital Market Line would most likely flatten. B. The beta of bonds relative to stocks is low. C. The correlation between foreign bonds and other asset classes is low. 16 D. The Markowitz efficient frontier would shift downward. C Low correlation between asset classes will cause the efficient frontier to shift outward causing the capital market line to steepen. While a low beta may be beneficial to some investors, it is clearly not the best answer of the four. Question ID: 11287 The performance of an internationally diversified portfolio may be affected by: A. all of these choices are correct. B. country selection. C. currency selection. D. stock selection. A Question ID: 11278 Investors should consider global securities portfolios over purely domestic portfolios because: A. The domestic reward to variability ratio exceeds that of the global reward to variability ratio. B. The domestic Markowitz efficient frontier exceeds that of the global frontier. C. The global capital market line lies below that of the domestic capital market line. D. The global investor opportunity set is greater than a purely domestic opportunity set. D The global opportunity set is greater than the domestic opportunity set. Also, the global capital market line will lie above the domestic capital market line because the global reward to variability ratio will exceed the domestic reward to variability ratio. 17 Question ID: 11281 Between 1969 and 1998, the size of the global debt and equity markets expanded from: A. $ trillion to $ trillion. B. $ trillion to $ trillion. C. $ trillion to $ trillion. D. $ trillion to $ trillion. D Question ID: 11284 Over a recent fiveyear period, . bond returns averaged 9%, . bond returns averaged 7% and the . dollar appreciated 2% on average against the major currencies of the world. Assuming that you are a investor, given this information, which of the following was most likely to occur? A. The 2% appreciation of the dollar over the period served to enhance the dollarbased return to the . bond portfolio to 9%. B. The 2% depreciation of the average foreign currency over the period served to increase the . dollarbased return to . bonds to 11%. C. The appreciation of the dollar over the period had no significant impact on the return to a global bond portfolio over the period. D. The returns to a purely domestic . portfolio were roughly equal to the returns to the . bond portfolio expressed in . dollars. D As a investor, the 2% depreciation of the foreign currencies relative to the dollar most likely served to decrease the dollarbased return to foreign bond investing to 7% = 9% 2%. : An Introduction to Portfolio Management 18 Question ID: 11291 The basic premise of the riskreturn tradeoff suggests that riskaverse individuals purchasing investments with higher nondiversifiable risk should expect to earn: A. higher rates of return. B. lower rates of return. C. unknownnot enough information provided. D. rates of return equal to the market. A Question ID: 11290 Support for the assumption that most individuals are risk averse with their investment portfolios is reflected by: A. the ability of Treasury bills to generate high positivealpha rates of return. B. the desire of many individuals to purchase lottery tickets. C. the positive relationship between expected returns and expected risk with various assets. D. the negative relationship between systematic risk and return. C Question ID: 11289 Risk aversion means that if two assets have identical returns, an individual will choose the asset with the: A. lower risk level. B. higher standard deviation. 19 C. higher unsystematic risk. D. lower payback period. A Question ID: 11293 A measure of how well the returns of two risky assets move together is the: A. standard deviation. B. semivariance. C. covariance. D. range. C Question ID: 11296 If two stocks have positive covariance, which of the following statements is TRUE? A. The two stocks must be in the same industry. B. The rates of return tend to move in the sa。