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CFA一级 Alternative Investments 经典习题

编辑:Lin/时间:2016-12-15/浏览:185 views


【题1】Bear’s Town Fund has 250M of initial capital.Fee structure”2 and 20”,hurdle rate is 8%and the incentive fee is based on returns in excess of the hurdle rate.The management fee is based on assets under management at the end of the year.The Capital appreciates 16%last year,so the investor’s net return assuming the incentive fee is calculated net of management fee is closest to:



【题2】Japanese farmers are concerned about the oversupply of wheat in the next summer,so their hedging activities will most likely drive the market condition to:



C.Full carry

【题3】From the investor’s perspective,which of the following is a key risk point of a private equity fund that focuses on venture capital,but not that of a REIT that holds undeveloped land?

A.Liquidity risk

B.Market risk

C.Credit risk

【题4】It is most likely easiest for a research analyst to value the holdings of a:

A.Hedge fund that follows a short bias strategy.

B.REIT invested only in high-rise office buildings.

C.Private equity firm concentrating in management buy-in LBOs.

【题5】When a commodity market is in backwardation,the roll yield is most likely:




【题6】An investor is seeking an investment that can take long and short positions may use multi-strategies,and historically exhibits low correlation with a traditional investment portfolio.The investor’s goals will be best satisfied with an investment in:

A.real estate.

B.a hedge fund.

C.a private equity fund.

【题7】An investor is most likely to consider adding alternative investments to a traditional investment portfolio because:

A.of their historically higher returns.

B.of their historically lower standard deviation of returns.

C.their inclusion is expected to reduce the portfolio’s Sharpe ratio.

【题8】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:




【题9】A hedge fund invests primarily in distressed debt.Quoted market prices are available for the underlying holdings but they trade infrequently.Which of the following will the hedge fund most likely use in calculating net asset value for trading purposes?

A.Average quotes

B.Average quotes adjusted for liquidity

C.Bid prices for short positions and ask prices for long positions

【题10】An analyst wanting to assess the downside risk of an alternative investment is least likely to use the investment’s:

A.Sortino ratio.

B.value at risk(VaR).

C.standard deviation of returns.

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