2015年12月CFA一级考试模拟题

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1 .If the standard deviation of stock A is 13.2 percent, the standard deviation ofstock B is 17.6percent,and the covariance between the two is 0, what is the correlation coefficient?A) +1.B) 0.31.C) 0.The correct answer was CSince covariance is zero, the correlationcoefficient must be zero.

2 .A mutual fund that invests in short-term debt securities and maintains a netasset value of $1.00 pershareis best described as a:A) money market fund.B) balanced fund.C) bond mutual fund.The correct answer was AMoney market funds invest primarily inshort-term debt securities and are managed to maintain aconstant net asset value, typically oneunit of currency per share. A bond mutual fund typically investsin longer-maturity securities than a moneymarket fund. A balanced fund invests in both debt andequity securities.

3 .When the market is in equilibrium:A) all assets plot on the CML.B) investors own 100% of the marketportfolio.C) all assets plot on the SML.The correct answer was CWhen the market is in equilibrium, expectedreturns equal required returns. Since this means that allassets are correctly priced, all assetsplot on the SML.By definition, all stocks and portfoliosother than the market portfolio fall below the CML. (Only themarket portfolio is efficient.

4 .Which of the following statements regarding the covariance of rates of returnis least accurate?A) It is a measure of the degree to whichtwo variables move together over time.B) If the covariance is negative, the ratesof return on two investments will always move in differentdirections relative to their means.C) It is not a very useful measure of thestrength of the relationship, there is absent information aboutthe volatility of the two variables.The correct answer was BNegative covariance means rates of returnwill tend to move in opposite directions on average. For thereturns to always move in oppositedirections, they would have to be perfectly negatively correlated.Negative covariance by itself does notimply anything about the strength of the negative correlation.

5 .Which of the following statements about a stock's beta is CORRECT? A betagreater than one is:A) risky, while a beta less than one isrisk-free.B) riskier than the market, while a betaless than one is less risky than the market.C) undervalued, while a beta less than oneis overvalued.The correct answer was BBeta is a measure of the volatility of astock.    The overall market's beta isone. A stock with highersystematic risk than the market will have abeta greater than one, while a stock that has a lowersystematic risk will have a beta less thanone.

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