CFA一级历年真题及解析（六）

1、单选：The potential benefits of allocating a portion of a portfolio to alternative investments include：

A．ease of manager selection.

B．improvement in portfolio risk–return.

C．accessible and reliable measures of risk and return.

答案：B

解析：一般来说另类投资产品与组合投资产品的相关系数是比较小的， 所以在投资组合中增加另类投资可以造成分散化投资的效果。也就是说非系统性风险会变小，其它条件不变，回报相对于风险就会变好。

另一方面，对组合中的另类投资来说，如何选择可靠的风险回报度量方式，以及如何选择合适的组合经理人都是需要面对的挑战。

原解析：Adding alternative investments to a portfolio may provide diversification benefits because of these investments’ less than perfect correlation with other assets in the portfolio. As a result, allocating a portion of one’s funds to alternatives could potentially result in an improved risk–return relationship. Challenges to allocating a portion of a portfolio to alternative investments include obtaining reliable measures of risk and return as well as selecting portfolio managers for the alternative investments.

关联考点：9-50

2、单选：Relative to traditional investments, alternative investments are least likely to be characterized by：

A．high levels of transparency.

B．limited historical return data.

C．significant restrictions on redemptions.

答案：A

解析：相对于传统投资，另类投资的透明性较差，历史数据较少，并且有些另类投资是有赎回限制的（restrictions on redemptions），比如对冲基金。

原解析：Alternative investments are characterized as typically having low levels of transparency

关联考点：19-58

3、单选：Alternative investment funds are typically managed：

A．actively.

B．to generate positive beta return.

C．assuming that markets are efficient.

答案：A

解析：另类投资的管理方法有很多种，但是通常都是主动管理的（actively managed）。

原解析：There are many approaches to managing alternative investment funds but typically these funds are actively managed.

关联考点：19-58

4、单选：Compared with traditional investments, over longer periods, alternative investments are least likely to have:

A．better diversifying power.

B．higher expected returns.

C．more efficiently priced assets.

答案：C

解析：另类投资产品的流动性一般是比较低的，所以交易的也就比较少，并不能很有效的对其进行定价。

原解析：C is correct. Alternative investment strategies are more likely to include securities that trade in less liquid markets than securities that trade in relatively more liquid markets in which traditional, long-only investments trade.A is incorrect because alternative investments generally have low return correlations with traditional asset markets, providing better diversification benefits.B is incorrect because alternative investments are expected to produce higher returns (particularly on a risk-adjusted basis) than traditional markets, in part because they focus on less efficient markets.

关联页码：Introduction to Alternative InvestmentsLOS aSection 2

关联考点：19-58

5、单选：Concentrated portfolio strategies are attractive because of their:

A．potential to generate alpha.

B．ability to track market indices.

C．low risk.

答案：A

解析：集中投资组合策略（Concentrated portfolio strategies）只关注少数证券、策略或管理者。这种集中策略减少了多样化，但如果这种策略的表现超过了市场预期，就能使投资者实现超额收益。

原解析：Concentrated portfolio strategies focus on only a few securities, strategies, or managers. This focus reduces diversification but may enable investors to achieve alpha.

关联页码：CFA Level I"Introduction to Alternative Investments," Terri Duhon, George Spentzos, and Scott D. Stewart Section 2.2

关联考点：19-58

6

6、单选：Relative to traditional investments, alternative investments are best characterized as having:

A．higher correlations with other asset classes.

B．unique legal and tax considerations.

C．greater liquidity.

答案：B

解析：由于广泛且复杂的投资范围，另类投资在法律和税收方面具有一定的特殊性。 

原解析：Alternative investments are more likely characterized as having unique legal and tax considerations because of the broad range and complexity of the investments.

关联页码：CFA Level I"Introduction to Alternative Investments," Terri Duhon, George Spentzos, and Scott D. Stewart Section 2

关联考点：19-58

7、单选：Alternative investments that rely on estimates rather than observable market prices for valuation purposes are most likely to report:

A．returns that are understated.

B．volatility of returns that is understated.

C．correlations of returns with the returns of traditional assets that are overstated.

答案：B

解析：由于有一些另类投资的流动性很差，没有可用的市场价值，所以只能用一些估计的方法去判断市场的价值，但是结果就会导致风险被低估。举个例子，如果一个房子每年估价一次。第一年估计这个房子的价格是300万，第二年是500万，第三年1月份是800万，通过作图，将三个时间点的价格连到一起，我们可以看到房价处于一个平滑的上升阶段，所以人们就会认为房价一直在上涨。但是，人们忽略了房价在每个估值时间之间的波动，比如第一年，房价可能中间从300万跌到过50万，又从50万涨到了第二年的500万，这个时间段的的波动往往会被投资者所忽视，风险会被低估。

原解析：The use of estimates tends to smooth the return series. As a consequence, the volatility of returns will be understated.

关联页码：CFA Level I"Introduction to Alternative Investments," Terri Duhon, George Spentzos, and Scott D. Stewart Section 8.2

关联考点：19-58

8、单选：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:

A．Lower  Lower.

B．Higher  Lower.

C．Higher  Higher.

答案：B

解析：由于另类投资于传统投资的相关性较低，两者之间会产生分散化的效应，所在将另类产品加入到传统产品的投资组合中，会提高整个组合中的收益，降低整个组合中的风险。

原解析：B is correct because the risk/return profile of the overall portfolio will potentially improve. The overall risk will most likely drop, and the overall return will most likely rise.

关联页码：“Introduction to Alternative Investments”, Terri Duhon, George Spentzos, CFA, and Scott D. Stewart, CFA2013 Modular Level I, Vol. 6, Reading 66, Section 2.3 Study Session 18-66-cDescribe potential benefits of alternative investments in the context of portfolio management.

关联考点：19-58

9、单选：Compared with traditional investments, alternative investments are more likely to have：

A．greater use of leverage.

B．long-only positions in liquid assets.

C．more transparent and reliable risk and return data.

答案：A

解析：很多另类投资产品都会大量的使用杠杆；另类投资产品不只会使用多头头寸（long position），也会使用空头头寸（short position）；另类投资的透明性比较低，导致其收益和风险的历史数据都不可靠。

原解析：Investing in alternative investments is often pursued through such special vehicles as hedge funds and private equity funds, which have flexibility to use leverage. Alternative investments include investments in such assets as real estate, which is an illiquid asset, and investments in such special vehicles as private equity and hedge funds, which may make investments in illiquid assets and take short positions. Obtaining information on strategies used and identifying reliable measures of risk and return are challenges of investing in alternatives.

关联考点：19-58