2013年6月CFA+Level+I+重点习题集+Alternative.pdf

Introduction 1 Alternative investment funds are not typically managed A Actively B To generate positive beta return C Assuming that markets are inefficient 2 Adding alternative investments to a portfolio of traditional investments will most likely result in a new combined portfolio with returns and standard deviation that are respectively Returns Standard Deviation A lower lower B higher lower C higher higher Hedge funds 3 An alternative investments fund that employs leverage and takes long and short positions in securities is most likely a A Hedge fund B Venture capital fund C Leveraged buyout fund 4 For a hedge fund which strategy is related to going long the stock of the company being acquired and going short the stock of the acquiring company A Event driven strategies B Relative value strategies C Equity hedge strategies 5 For a hedge fund investor a benefit of investing in a fund of funds is least likely the A Multilayered fee structure B Higher level of due diligence expertise C Ability to negotiate better redemption terms 6 High water marks are typically used when calculating the incentive fee on hedge funds They are most likely used by clients to A Avoid prime brokerage fees B Claw back the management fees C Prevent paying twice for the same performance 7 High Plains Capital is a hedge fund with a portfolio valued at 475 000 000 at the beginning of the year One year later the value of assets under management is 541 500 000 The hedge fund charges a 1 5 management fee based on the end of year portfolio value and a 10 incentive fee in excess of an 8 hurdle rate If the incentive fee and management fee are calculated independently the effective return for a hedge fund investor is closest to A 10 89 B 11 69 C 12 29 8 Diversification benefits from adding hedge funds to an equity portfolio may be limited because A Hedge fund returns are less than perfectly correlated with global equities B Correlations tend to increase during periods of financial crisis C Hedge funds tend to perform better when global equity prices are declining 9 A hedge fund with a market neutral strategy restricts its investment universe to domestic publicly traded equity securities that are not actively traded In calculating net asset value the fund is most likely to use which of the following to value underlying positions A Average quotes B Average quotes adjusted for liquidity C Bid price for shorts and ask price for longs Private equity funds 10 Angel investing capital is typically provided in which stage of financing A Later stage B Formative stage C Mezzanine stage 11 Which attributes would a private equity firm most likely consider when deciding if a company is particularly attractive as a leveraged buyout target A Sustainable cash flow B Efficiently managed companies C Market value exceeds intrinsic value 12 Hedge funds are similar to private equity funds in that both A are typically structured as partnerships B assess management fees based on assets under management C do not earn an incentive fee until the initial investment is repaid Real estate 13 Which of the following investments most likely provides an investor with indirect equity exposure to real estate A Real estate investment trusts B Real estate limited partnerships C Commercial mortgage backed securities 14 Direct commercial real estate ownership least likely requires investing in A Large amounts B Illiquid assets C A short time horizon 15 A real estate property valuation would least likely use a n A Income approach B Asset based approach C Comparable sales approach 16 An investor seeks a current income stream as a component of total return and desires an investment that historically has low correlation with other asset classes The investment most likely to achieve the investor s goals is A Timberland B Collectibles C Commodities Commodities 17 U S farmers have become concerned that the future supply of wheat production will exceed demand Any hedging activity to sell forward would most likely protect against which market condition A Contango B Full carry C Backwardation 18 If an investor uses derivatives to make a long investment in commodities the return earned on margin is best described as A Price return B Collateral yield C Convenience yield 19 The most likely impact of adding commodities to a portfolio of equities and bonds is to A Increase risk B Enhance return C Reduce exposure to inflation 20 The return on a commodity index is likely to be different from returns on the underlying commodities because A Assets are not marked to market B Data are subject to survivorship bias C Indices are constructed using futures contracts 21 For a commodity market that is in contango an unchanged spot price over the life of a contract will result in a roll yield that is A Zero B Positive C Negative 22 A manager following a long only commodity index strategy is least likely to adjust the portfolio A To reduce exposure to a declining commodity market B for changes in the composition of the commodity index C By closing out expiring contracts and re establishing positions in new contracts Risk management 23 Standard deviation is least likely an appropriate measure of risk for A Hedge funds B Publicly traded REITs C Exchange traded funds 24 An analyst wa