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1、CFA一级百题预测1.ETHICSANDPROFESSIONALSTANDARDS2.QUANTITATIVEMETHODS3.ECONOMICS4.FINANCIALREPORTINGANDANALYSIS5.CORPORATEFINANCE6EQUITY7.Fixedincome8.DERIVATIVES9.ALTERNATIVEINVESTMENTS10.PORTFOLIOMANAGEMENT9.AlternativeInvestments9.1.TraditionalInvestmentvs.AlternativeInvestment9.1.1.重要知识点9.1.1.1.理解其他类投资
2、与传统投资的不同之处，并掌握其他类投资的特性AIlliquidityofunderlyinginvestments;ANarrowmanagespecialization;ALowcorrelationwithtraditionalinvestments;ALowlevelofregulationandlesstransparency;ALimitedandpotentiallyproblematichistoricalriskandreturndata;AUniquelegalandtaxconsiderations.9.1.1.2.掌握其他类投资在整个投资组合中的特点AHighreturn
3、;Highrisk.Lowcorrelation(improvebothportfolioriskandexpectedreturn);9.1.2.基础题Q-l.Categoriesofalternativeinvestmentswouldleastlikelybedescribedbywhichofthefollowing?A.FinewineandothertangiblesB.Schoolsandotherlong-livedrealassetsC.CashandOtherliquidinvestmentsQ-2.Comparedtotraditionalinvestments,alte
4、rnativeinvestmentsleastlikelydemonstratewhichofthefollowingcharacteristics?A.NarrowmanagerspecializationB.UnderlyinginvestmentsthatareilliquidC.AhighdegreeofregulationQ-3.Alternativeinvestmentsthatrelyonestimatesratherthanobservablemarketpricesforvaluationpurposesaremostlikelytoreport:A.returnsthata
5、reunderstated.B.volatilityofreturnsthatisunderstated.C.correlationsofreturnswiththereturnsoftraditionalassetsthatareoverstated.Q-4.Thepotentialbenefitsofallocatingaportionofaportfoliotoalternativeinvestmentsinclude:A.easeofmanagerselection.B.improvementinthePortfoIiosrisk-returnrelationship.C.access
6、ibleandreliablemeasuresofriskandreturn.Q-5.Comparedwithlong-onlyinvestmentsinstocksandbonds,alternativeinvestmentsaremostlikelycharacterizedbyless:A.flexibilitytousederivatives.B.managerspecialization.C.transparency.Q-6.Whichofthefollowingmostlikelybelongsinanalternativeassetcategory?A.Securitizedco
7、mmercialrealestatedebt.B.Equityinanemergingmarketcompanythatistradedover-the-counter.C.Alimitedpartnershipthattakeslongandshortpositionsinpubliclytradedequity.Q-7.Ameasurethatismostlikelywell-suitedtoanalyzingtheperformanceofalternativeinvestmentsthatmayexhibitnegativeskewnessinreturnsisthe:A.safety
8、-firstmeasure.B.Sortinoratio.C.Sharperatio.Q-8.Whichofthefollowingstatementsconcerningthehistoricalrecordofalternativeinvestmentsismostlikelycorrect?A.Theinclusionofpreviousreturndataforfundsthatentertheindexleadstoadownwardbiasinindexperformance.B.Theexclusionofreturnsoffundsthathavebeenliquidatedl
9、eadstoanupwardbiasinindexperformance.C.Theuseofappraisedvaluesinsteadofmarketpricesleadstoanupwardbiasinvolatility.Q-9.Addingalternativeinvestmentstoaportfoliooftraditionalinvestmentswillmostlikelyresultinanewcombinedportfoliowithreturnsandstandarddeviationthatare,respectively:ReturnsStandardDeviati
10、onA.lowerlowerB.higherlowerC.higherhigher9.2.RiskManagementofAlternativeInvestments921.重要知识点9.2.1.1.掌握其他类投资的风险管理与尽职调查RisksmanagementTraditionalriskandreturnmeasures(suchasmeanreturn,standarddeviationofreturns,andbeta)maynotprovideanadequatepictureofcharacteristicsOfalternativeinvestments.Becauseofth
11、eactiveuseofderivativesbymanyalternativesmanagers,operationalrisk,financialrisk,counterpartyrisk,andliquidityriskarekeyconsiderationsforprospectiveinvestors.Asymmetricriskandreturnprofiles,limitedportfoliotransparency,andilliquidity.Pastperformanceisnotnecessarilyrepresentativeoffutureperformance.Th
12、ereportedcorrelationsofthoseinvestmentswithotherinvestmentsmayvaryfromtheactualcorrelations.AAtypicalduediligenceprocessOrganization;Portfoliomanagement;Operationsandcontrols;Riskmanagement;Legalreview;Fundterms.9.2.2.基础题Q-10.Thevalueatriskofanalternativeinvestmentisbestdescribedasthe:A.probabilityo
13、flosingafixedamountofmoneyoveragiventimeperiod.B.minimumamountoflossexpectedoveragiventimeperiodatagivenprobabilitylevel.C.timeperiodduringwhichafixedamountislostatagivenprobabilitylevel.9.3.HedgeFund9.3.1.重要知识点9.3L1.了解对冲基金的收益目标(绝对和相对)，投资策略，并能理解四种策略中的子策略，潜在收益与风险、估值方式、尽职调查的要点AReturnobjectiveAbsoluter
14、eturn:e.g.totalreturnof12%.Relativereturn:e.g.thereturnis6%higherthanDJIA.RestrictionsonredemptionsLockupperiod:theminimumperiodbeforeinvestorsareallowedtomakewithdrawalsorredeemsharesfromafund;Noticeperiod:thelengthoftime(typically30to90days)inadvancethatinvestorsmayberequiredtonotifyafundoftheirin
15、tenttoredeem;AFundoffund:fundsthatholdaportfolioofhedgefund.FoFbenefitsanddrawbacksFOFsenablesmallinvestorstohavereturnsinhedgefunds;FOFshavesomeexpertiseinconductingduediligenceonhedgefunds;Negotiatebetterredemptiontermsforinvestors;FOFsinvestinnumeroushedgefunds,diversifyingacrossfundstrategies,in
16、vestmentregions,andmanagementstyles;FOFsmanagerschargeanadditionallayeroffeesbeyondthefeeschargedbytheindividualhedgefundsintheportfolio.StrategiesEvent-drivenstrategiesMergerarbitrage:goinglong(buying)thestockofthecompanybeingacquiredandgoingshort(selling)thestockoftheacquiringcompany;Distressed/re
17、structuring:focusonthesecuritiesofcompanieseitherinbankruptcyorperceivedtobeneartobankruptcy;Activistshareholder:purchaseofsufficientequityinordertoinfluenceacompan/spoliciesordirection;Specialsituations:focusoncompaniesthatarecurrentlyengagedinrestructuringactivitiesotherthanmerger/acquisitionsandb
18、ankruptcy.RelativevaluestrategiesFixedincomeconvertiblearbitrage:marketneutral(zerobeta)strategiesthatseektoexploitaperceivedmispricingbetweenaconvertiblebondanditscomponentparts;Fixedincomeassetbacked:takeadvantageofmispricingacrossdifferentassetbackedsecurities;Fixedincomegeneral:focusontherelativ
19、evaluewithinthefixedincomemarkets;Volatility:useoptionstogolongorshortmarketvolatility;Multi-strategy:looksforinvestmentopportunitieswherevertheymightexistMacrostrategiesEquityhedgestrategiesMarketneutral:Maintainanetpositionthatisneutralwithrespecttomarketrisk.Theintentistoprofitfromindividualsecur
20、itiesmovementswhilehedgingagainstmarketrisk;Fundamentalgrowth:fundamentalanalysistoidentifycompaniesexpectedtoexhibithighgrowthandcapitalappreciation;Fundamentalvalue:buyequitysecuritiesbelievedtobeundervaluedbasedonfundamentalanalysis;Quantitativedirectional:technicalanalysistoidentifycompaniesthat
21、areunder-andovervalued;Shortbias:variesitsnetshortexposurebaseduponmarketexpectations,goingfullyshortindecliningmarkets.PotentialbenefitsandrisksHedgefundstrategiesthatgeneratethehighestreturnsinsomeyearscanbetheonestoperformthemostpoorlyinsubsequentyears;Inperiodsoffinancialcrisis,thecorrelationofr
22、eturnsbetweenglobalequitiesandhedgefundstendstoincrease,whichlimitshedgefundseffectivenessasadiversifyingassetclass.AValuationThevaluationofhedgefundmayusemarketorestimatedvaluesofunderlyingpositions.AKeyduediligencepointstoconsiderincludeinvestmentstrategy,investmentprocess,competitiveadvantage,tra
23、ckrecord,sizeandlongevity,managementstyle,key-personriskzreputation,investorrelations,plansforgrowth,andsystemsriskmanagement.93.2.基础题Q-ll.Invaluingunderlyinghedgefundpositions,themostconservativeapproachismostlikelyonethatuses:A.theaverageofthebidandaskprices.B.bidpricesforlongsandaskpricesforshort
24、s.C.themostrecentmarketprices.Q-12.Ahedgefundthatimplementstradesbasedonatop-downanalysisofexpectedmovementsineconomicvariablesmostlikelyusesa(n):A.macrostrategy.B.relativevaluestrategy.C.event-drivenstrategy.Q-13.Hedgefundsareleastlikelytohaverestrictionsconcerning:A.thewithdrawalofinvestedfunds.B.
25、theuseofderivatives.C.thenumberofinvestorsinthefund.Q-14.Whichofthefollowingleastlikelydescribesanadvantageofinvestinginhedgefundsthroughafundoffunds?Afundoffundsmayprovideinvestorswith:A,accesstoduediligenceexpertise.B.lowerfeesbecauseofeconomiesofscale.C.accesstomanagerswhocannegotiatebetterredemp
26、tionterms.Q-15.Investorslookatmanykeyduediligencefactorswheninvestinginhedgefunds.Whichofthefollowingfactorsismostlikelythebiggestchallengetofullyassess?A.InvestmentstrategyandprocessB.SizeandlongevityC.Trackrecord9.4.FeeStructureofHedgeFunds94L重要知识点9411.掌握hedgefunds的管理费用结构ManagementfeeBasedoncapita
27、lundermanagementAttractivetoportfoliomanagersbecausethemanagementfeealonewillgeneratesignificantrevenueifassetsundermanagementarelarge.EarnedirrespectiveofreturnsAIncentivefeeBasedonprofitsnetof(orbefore)managementfee;Onlyearnedifthereturnexceedsahurdlerate;Highwatermark:highestvaluereportedThehedge
28、fundmustrecoverpastlossesandreturntoprevioushighwatermarkbeforeanyadditionalincentivefeeisearned;Protectclientsfrompayingtwiceforthesameperformance.2and20means2%managementfeeand20%incentivefeeforhedgefunds;FoFsmaychargeextra1%managementfeeand10%incentivefee.9.4.2.基础题Q-16.High-watermarksaretypicallyu
29、sedwhencalculatingtheincentivefeeonhedgefunds.Theyaremostlikelyusedbyclientsto:A.avoidprimebrokeragefees.B.avoidpayingtwiceforthesameperformance.C.clawbackthemanagementfees.Q-17.GFCapitalisahedgefundwith$200millionofinitialinvestmentcapital.Theychargea2percentmanagementfeebasedonassetsundermanagemen
30、tatyear-endanda20percentincentivefee.Initsfirstyear,AWJCapitalhasa20percentreturn.Assumemanagementfeesarecalculatedusingend-of-periodvaluation.Iftheincentiveandmanagementfeesarecalculatedindependently,whatisaninvestorseffectivereturngiventhisfeestructure?A.12.71%.B.14.08%.C.13.6%.Q-18.Domanagementfe
31、esmostlikelygetpaidtothemanagerofahedgefund,regardlessofthefundsperformance?A.No,onlywhenthefundsnetassetvalueexceedstheprevioushigh-watermarkB.No,onlywhenthefundsgrossreturnispositiveC.YesQ-19.Ahedgefundwith$100millionofinitialcapitalchargesamanagementfeeof2%andanincentivefeeof20%.Themanagementfeei
32、sbasedonassetsundermanagementatyear-end,andtheincentivefeeiscalculatedindependentlyfromthemanagementfee.Assumingthefundearnsa20%returnatyear-end,totalfeesearnedbythehedgefundduringtheyearareclosestto:A.$6.4million.B.S5.92million.C.$5.63million.Q-20.AGFhedgefundbeginstheyearwith$235millionandearnsa30
33、%returnfortheyear.Thefundchargesa2%managementfeeonend-of-yearfundvalueanda20%incentivefeeonthereturn,netofthemanagementfees,thatisinexcessofa8%fixedhurdlerate.Thefundsinvestorsreturnfortheyear,netoffees,isclosestto:A.21.92%.B.23.52%.C.23%.9.5PrivateEquity9.5.1.重要知识点9.5.1.1.掌握PE的分类和退出策略.了解PE的费用结构、潜在收
34、益与风险等。StrategiesLeveragedbuyouts(LBOs):acquirecompanieswithasignificantpercentageofthepurchasepricefinancedthroughdebt.LBO的两种形式:MB。和MBIManagementbuyout(MBO):thecurrentmanagementteamisinvolvedintheacquisition;Managementbuy-ins(MBI):ancurrentmanagementteamisbeingreplacedandtheacquiringteamwillbeinvolv
35、edinmanagingthecompany.Venturecapital(VC):investinprivatecompanieswithhighgrowthpotential.Formativestage:Angelinvesting:attheideastagezfundsareusedtotransformtheideaintoabusinessplanandtoassessmarketpotential.令seedstage:supportproductdevelopmentand/ormarketingeffortsThefirststageatwhichVCfundsinvest
36、.令earlystage:helpcompaniesmovetowardoperationbutbeforecommercialproductionandsaleshaveoccurred.Laterstage:aftercommercialproductionandsaleshavebegun,butbeforeanyIPO.Fundsmaybeusedforexpansion.Mezzanine-stagefinancing:preIPODevelopmentcapital:minorityequityinvestmentsinmorematurecompaniesthatarelooki
37、ngforcapitaltoexpandorrestructureoperations,enternewmarkets,orfinancemajoracquisitions;Distressedinvesting:investinginsecuritiesofcompaniesinfinancialdifficulties.StructureandfeesCommittedcapital:theamountthatthelimitedpartnershaveagreedtoprovidetotheprivateequityfund;Managementfee:typically1%3%ofco
38、mmittedcapital;Incentivefee:fundsdistributedbythegeneralpartnertothelimitedpartner(s)basedonrealizedprofits.AExitstrategiesTradeSale:saleofcompanytoastrategicbuyersuchasacompetitors;IPO:theportfoliocompanysellingitssharestopublicinvestorsthroughanIPO;Recapitalization:theprivateequityfirmre-leverages
39、orintroducesleveragetothecompanyandpaysitselfadividend;SecondarySale:asaletoanotherprivateequityfirmoragroupofinvestors;Write-off/Liquidation:whenatransactionhasnogoneWelLtheprivateequityfirmisupdatingitsvalueoftheinvestmentorliquidatingtheportfoliocompanytomoveontootherprojects.9.5.2.基础题Q-21.Manage
40、mentfeesforaprivateequityfundaremostlikelybasedonthe:A.fairvalueofassetsundermanagement.B.drawdownofcommittedcapitalplusanyundistributedcapitalgains.C.totalcommittedcapitalminuscapitalreturnedfrominvestmentsthatareexited.Q-22.Hedgefundsaresimilartoprivateequityfundsinthatboth:A.aretypicallystructure
41、daspartnerships.B.assessmanagementfeesbasedonassetsundermanagement.C.donotearnanincentivefeeuntiltheinitialinvestmentisrepaid.Q-23.Angelinvestingcapitalistypicallyprovidedinwhichstageoffinancing?A.Later-stage.B.Formative-stage.C.Mezzanine-stage.Q-24.Themajorityofprivateequityactivityinvolves:A.deriv
42、ativepositions.B.leveragedbuyouts.C.investinginmortgaged-backedsecurities.Q-25.Whichofthefollowingcharacteristicsofatargetcompanyistheleastattractiveforaleveragedbuyout?A.Substantialamountofphysicalassets.B.Strongandsustainablecashflow.C.Highleverage.Q-26.Aventurecapitaltypicallyprovidesfundforfirms
43、toprepareinitialpublicoffering.Inwhichstagethisventurecapitalismostlikeprovidefinancing?A.Formativestage.B.Mezzanine-stage.C.Laterstage.Q-27.Illiquidityismostlikelyamajorconcernwheninvestingin:A.privateequity.B.realestateinvestmenttrusts.C.commodities.Q-28.Withregardtoventurecapital,whichofthefollow
44、ingstatementsismostlikelytrueregardingventurecapital?A.Investmentstypicallyareinlaterstageandmoreestablishedcompanies.B.Investorstendtohaveshorttimehorizons.C.Investorsrequireahigherreturnthaninvestorsinpubliclytradedequity.Q-29.Firmswithwhichofthefollowingcharacteristicsaremostlikelycandidatesforam
45、anagementbuyout(MBO)?A.FirmswithlargeamountsofundervaluedassetsB.FirmswithlowlevelsofcashflowC.FirmswithhighdividendpayoutratiosQ-30.Inthecontextofventurecapitalfinancing,seed-stagefinancingmostlikelysupports:A.initialcommercialproductionandsales.B.productdevelopmentand/ormarketingefforts.C.transfor
46、mationofanideaintoabusinessplan.Q-31.Whichofthefollowingismostlikelyaprivateequitystrategy?A.MergerarbitrageB.QuantitativedirectionalC.Venturecapital9.6.RealEstate961重要知识点9.6.1.1.掌握房地产投资的形式、潜在收益与风险、估值方法与尽职调查的要点AFormsEquityDebtPrivateDirectinvestmentsinrealestate.Thiscanbethroughsoleownership,jointve
47、ntures,realestatelimitedpartnerships,orotherformsofcommingledfundsMortgagesonstructionlendingPubliclytradedSharesofrealestateoperatingcompaniesSharesofREITsMBS(Residentialandcommercial)ollateralizedmortgageobligationsAPerformancemeasureAppraisalindexUseestimatesofvalue(appraisals)asinputstotheindices;Relyoncomparablesalesandcashflowanalysistechniques;Understatevolatility.RepeatsalesindexUsechangesinpricesofpropertiestoconstructtheindices;Sampleselectionbias.REITindicesUsethepricesofpubliclytradedshar
