"Portfolio Management": standard deviation

下載正保會計網(wǎng)校APP 訂閱最新報考消息

來源: 正保會計網(wǎng)校編輯：小鞠橘桔 2021/01/05 10:21:58　字體：大小

選課中心

多樣班次滿足需求

選課中心

資料專區(qū)

干貨資料助力備考

資料專區(qū)

報考指南

報考條件一鍵了解

報考指南

學(xué)習(xí)是一個不斷積累的過程，每天學(xué)習(xí)一點，每天進(jìn)步一點！為了幫助大家更高效地備考2021年CFA考試，正保會計網(wǎng)校每日為大家上新CFA習(xí)題供大家練習(xí)。讓網(wǎng)校與您一起高效備考2021年CFA考試，夢想成真！

Questions 1:

Last year, a portfolio manager earned a return of 12%. The portfolio’s beta was 1.5. For the same period, the market return was 7.5%, and the average risk-free rate was 2.7%. Jensen’s alpha for this portfolio is closest to:

A、 4.50%

B 、2.10%.

C 、0.75%

Questions 2:

A risk metric that measures how different an actual investment outcome could be from what the investor expects is most likely a:

A、 vega.

B 、duration.

C、 standard deviation.

View answer resolution

【Answer to question 1】B

【analysis】

B is correct. Jensen’s alpha = 0.12 – [0.027 + 1.5(0.075 – 0.027)] = 0.021, or 2.10%.

A is incorrect. This is calculated by subtracting the market return from the portfolio return: 0.12 – 0.75 = 0.045 or 4.5%.

C is incorrect. This is calculated without the inclusion of the risk-free return: 0.12 – 1.5(0.075) = 0.0075 or 0.75%.

【Answer to question 2】C

【analysis】

C is correct. Standard deviation is a measure of dispersion in a probability distribution and is used to describe the range of outcomes (minimum and maximum, centered on the expected outcome) that can occur with a particular probability. In contrast, duration measures the sensitivity of a security or portfolio to a change in market interest rates, and vega measures the sensitivity of a security (either a derivative or a security with derivative-like characteristics) to a change in the price volatility of the underlying asset.

A is incorrect because vega measures the sensitivity of a security (either a derivative or a security with derivative-like characteristics) to a change in the price volatility of the underlying asset.

B is incorrect because duration measures the sensitivity of a security or portfolio to a change in market interest rates.

成功=時間+方法，自制力是這個等式的保障。世上無天才，高手都是來自刻苦的練習(xí)。而人們經(jīng)常只看到“牛人”閃耀的成績，其成績背后無比寂寞的勤奮。小編相信，每天都在勤奮練習(xí)，即使是一點點的進(jìn)步，大家一定可以成為人人稱贊的“牛人”。

點擊了解更多CFA考試資訊>>