CFA特許金融分析師-CFA一級-強(qiáng)化練習(xí)題（參考）-08-AlternativeInvestments

CFA特許金融分析師-CFA一級-強(qiáng)化練習(xí)題（參考）-08-AlternativeInvestments[單選題]1.Ahedgefundinvestsprimarilyindistressed（江南博哥）debt.Quotedmarketpricesareavailablefortheunderlyingholdingsbuttheytradeinfrequently.Whichofthefollowingwillthehedgefundmostlikelyuseincalculatingnetassetvaluefortradingpurposes?A.AveragequotesB.AveragequotesadjustedforliquidityC.Bidpricesforshortpositionsandaskpricesforlongpositions正確答案：B參考解析：Biscorrect.Manypractitionersbelievethatliquiditydiscountsarenecessarytoreflectfairvalue.ThishasresultedinsomefundshavingtwoNAVs-fortradingandreporting.Thefundmayuseaveragequotesforreportingpurposesbutapplyliquiditydiscountsfortradingpurposes.[單選題]2.Angelinvestingcapitalistypicallyprovidedinwhichstageoffinancing?A.Later-stage.B.Formative-stage.C.Mezzanine-stage.正確答案：B參考解析：Biscorrect.Formative-stagefinancingoccurswhenthecompanyisstillintheprocessofbeingformedandencompassesseveralfinancingsteps.Angelinvestingcapitalistypicallyraisedinthisearlystageoffinancing.[單選題]3.Whatisthemostsignificantdrawbackofarepeatsalesindextomeasurereturnstorealestate?A.SampleselectionbiasB.UnderstatementofvolatilityC.Relianceonsubjectiveappraisals正確答案：A參考解析：Aiscorrect.Arepeatsalesindexusesthechangesinpriceofrepeat-salepropertiestoconstructtheindex.Sampleselectionbiasisasignificantdrawbackbecausethepropertiesthatsellineachperiodvaryandmaynotberepresentativeoftheoverallmarkettheindexismeanttocover.Thepropertiesthattransactarenotarandomsampleandmaybebiasedtowardpropertiesthatchangedinvalue.Understatedvolatilityandrelianceonsubjectiveappraisalsbyexpertsaredrawbacksofanappraisalindex.[單選題]4.Thepotentialbenefitsofallocatingaportionofaportfoliotoalternativeinvestmentsinclude:A.easeofmanagerselection.B.improvementintheportfolio’srisk–returnrelationship.C.accessibleandreliablemeasuresofriskandreturn.正確答案：B參考解析：Biscorrect.Addingalternativeinvestmentstoaportfoliomayprovidediversificationbenefitsbecauseoftheseinvestments’lessthanperfectcorrelationwithotherassetsintheportfolio.Asaresult,allocatingaportionofone’sfundstoalternativescouldpotentiallyresultinanimprovedrisk–returnrelationship.Challengestoallocatingaportionofaportfoliotoalternativeinvestmentsincludeobtainingreliablemeasuresofriskandreturnaswellasselectingportfoliomanagersforthealternativeinvestments.[單選題]5.Relativetotraditionalinvestments,alternativeinvestmentsareleastlikelytobecharacterizedby:A.highlevelsoftransparency.B.limitedhistoricalreturndata.C.significantrestrictionsonredemptions.正確答案：A參考解析：Aiscorrect.Alternativeinvestmentsarecharacterizedastypicallyhavinglowlevelsoftransparency.[單選題]6.Aneffectiveriskmanagementprocessusedbyalternativeinvestmentfundsmostlikelyincludes:A.in-housevaluations.B.internalcustodyofassets.C.segregationofriskandinvestmentprocessduties.正確答案：C參考解析：Ciscorrect.Investmentriskshouldbemonitoredbyachiefriskofficerwhoisseparatedfromtheinvestmentprocess.Riskfactorsmonitoredincludeleverage,sector,andindividualpositionlimitsaswellascounterpartyrisks.Independent(asopposedtoin-house)valuationofunderlyingpositionsshouldbeperformedandreviewedonaregularbasis.Third-partycustodyofassetscanhelpreducethechanceoffraud.[單選題]7.Anequityhedgefundfollowingafundamentalgrowthstrategyusesfundamentalanalysistoidentifycompaniesthataremostlikelyto:A.beundervalued.B.beeitherundervaluedorovervalued.C.experiencehighgrowthandcapitalappreciation.正確答案：C參考解析：Ciscorrect.Fundamentalgrowthstrategiestakelongpositionsincompaniesidentified,usingfundamentalanalysis,tohavehighgrowthandcapitalappreciation.Fundamentalvaluestrategiesusefundamentalanalysistoidentifyundervaluedcompanies.Market-neutralstrategiesusequantitativeand/orfundamentalanalysistoidentifyunder-andovervaluedcompanies.[單選題]8.CapricornFundofFundsinvestsGBP100millionineachofAlphaHedgeFundandABCHedgeFund.CapricornFOFhasa“1and10”feestructure.Managementfeesandincentivefeesarecalculatedindependentlyattheendofeachyear.Afteroneyear,netoftheirrespectivemanagementandincentivefees,theinvestmentinAlphaisvaluedatGBP80millionandtheinvestmentinABCisvaluedatGBP140million.TheannualreturntoaninvestorinCapricorn,netoffeesassessedatthefundoffundslevel,isclosestto:A.7.9%.B.8.0%.C.8.1%.正確答案：A參考解析：Aiscorrectbecausethenetinvestorreturnis7.9%,calculatedas:First,notethat“1and10”referstoa1%managementfee,anda10%incentivefee.Endofyearcapital=GBP140million＋GBP80million=GBP220million.Managementfee=GBP220million×1%=GBP2.2million.Incentivefee=(GBP220－GBP200)million×10%=GBP2million.TotalfeestoCapricorn=(GBP2.2＋GBP2)million=GBP4.2million.Investornetreturn:(GBP220－GBP200－GBP4.2)/GBP200=7.9%[單選題]9.Whichofthefollowingformsofinfrastructureinvestmentsisthemostliquid?A.AnunlistedinfrastructuremutualfundB.AdirectinvestmentinagreenfieldprojectC.Anexchange-tradedmasterlimitedpartnership(MLP)正確答案：C參考解析：Ciscorrect.Apubliclytradedinfrastructuresecurity,suchasanexchange-tradedMLP,providesthebenefitofliquidity.[單選題]10.Theprivatizationofanexistinghospitalisbestdescribedas:A.agreenfieldinvestment.B.abrownfieldinvestment.C.aneconomicinfrastructureinvestment.正確答案：B參考解析：Biscorrect.Investinginanexistinginfrastructureassetwiththeintenttoprivatize,lease,orsellandleasebacktheassetisreferredtoasabrownfieldinvestment.Aneconomicinfrastructureassetsupportseconomicactivityandincludessuchassetsastransportationandutilityassets.Hospitalsaresocialinfrastructureassets,whicharefocusedonhumanactivities.[單選題]11.Aninvestormaypreferasinglehedgefundtoafundoffundsifheseeks:A.duediligenceexpertise.B.betterredemptionterms.C.alesscomplexfeestructure.正確答案：C參考解析：Ciscorrect.Hedgefundsoffundshavemulti-layeredfeestructures,whilethefeestructureforasinglehedgefundislesscomplex.Fundsoffundspresumablyhavesomeexpertiseinconductingduediligenceonhedgefundsandmaybeabletonegotiatemorefavorableredemptiontermsthancouldanindividualinvestorinasinglehedgefund.[單選題]12.Aninvestorchoosestoinvestinabrownfieldratherthanagreenfieldinfrastructureproject.Theinvestorismostlikelymotivatedby:A.growthopportunities.B.predictablecashflows.C.higherexpectedreturns.正確答案：B參考解析：Biscorrect.Abrownfieldinvestmentisaninvestmentinanexistinginfrastructureasset,whichismorelikelytohaveahistoryofsteadycashflowscomparedwiththatofagreenfieldinvestment.Growthopportunitiesandreturnsareexpectedtobelowerforbrownfieldinvestments,whicharelessriskythangreenfieldinvestments.[單選題]13.UnitedCapitalisahedgefundwith$250millionofinitialcapital.Unitedchargesa2%managementfeebasedonassetsundermanagementatyearend,anda20%incentivefeebasedonreturnsinexcessofan8%hurdlerate.Initsfirstyear,Unitedappreciates16%.Assumemanagementfeesarecalculatedusingend-of-periodvaluation.Theinvestor’snetreturnassumingtheperformancefeeiscalculatednetofthemanagementfeeisclosestto:A.11.58%.B.12.54%.C.12.80%.正確答案：B參考解析：Biscorrect.Thenetinvestorreturnis12.54%,calculatedas:Endofyearcapital=$250million×1.16=$290millionManagementfee=$290million×2%=$5.8millionHurdleamount=8%of$250million=$20millionIncentivefee=($290-$250-$20-$5.8)million×20%=$2.84millionTotalfeestoUnitedCapital=($5.8$2.84)million=$8.64millionInvestornetreturn:($290-$250-$8.64)/$250=12.54%[單選題]14.Hedgefundlossesaremostlikelytobemagnifiedbya:A.margincall.B.lockupperiod.C.redemptionnoticeperiod.正確答案：A參考解析：Aiscorrect.Margincallscanmagnifylosses.Tomeetthemargincall,thehedgefundmanagermaybeforcedtoliquidatealosingpositioninasecurity,which,dependingonthepositionsize,couldexertfurtherpricepressureonthesecurity,resultinginfurtherlosses.Restrictionsonredemptions,suchaslockupandnoticeperiods,mayallowthemanagertoclosepositionsinamoreorderlymannerandminimizeforced-saleliquidationsoflosingpositions.[單選題]15.Ananalystwantingtoassessthedownsideriskofanalternativeinvestmentisleastlikelytousetheinvestment’s:A.Sortinoratio.B.valueatrisk(VaR).C.standarddeviationofreturns.正確答案：C參考解析：Ciscorrect.Downsideriskmeasuresfocusontheleftsideofthereturndistributioncurvewherelossesoccur.Thestandarddeviationofreturnsassumesthatreturnsarenormallydistributed.Manyalternativeinvestmentsdonotexhibitclose-to-normaldistributionofreturns,whichisacrucialassumptionforthevalidityofastandarddeviationasacomprehensiveriskmeasure.Assumingnormalprobabilitydistributionswhencalculatingthesemeasureswillleadtoanunderestimationofdownsideriskforanegativelyskeweddistribution.BoththeSortinoratioandthevalue-at-riskmeasurearebothmeasuresofdownsiderisk.[單選題]16.Thefirststageoffinancingatwhichaventurecapitalfundmostlikelyinvestsisthe:A.seedstage.B.mezzaninestage.C.angelinvestingstage.正確答案：A參考解析：:Aiscorrect.Theseedstagesupportsmarketresearchandproductdevelopmentandisgenerallythefirststageatwhichventurecapitalfundsinvest.Theseedstagefollowstheangelinvestingstage.Intheangelinvestingstage,fundsaretypicallyprovidedbyindividuals(oftenfriendsorfamily),ratherthanaventurecapitalfund,toassessanidea’spotentialandtotransformtheideaintoaplan.Mezzanine-stagefinancingisprovidedbyventurecapitalfundstopreparetheportfoliocompanyforitsIPO.[單選題]17.Aninvestorseeksacurrentincomestreamasacomponentoftotalreturn,anddesiresaninvestmentthathistoricallyhaslowcorrelationwithotherassetclasses.Theinvestmentmostlikelytoachievetheinvestor’sgoalsis:A.timberland.B.collectibles.C.commodities.正確答案：A參考解析：Aiscorrect.Timberlandoffersanincomestreambasedonthesaleoftimberproductsasacomponentoftotalreturnandhashistoricallygeneratedreturnsnothighlycorrelatedwithotherassetclasses.[單選題]18.Astheloan-to-valueratioincreasesforarealestateinvestment,riskmostlikelyincreasesfor:A.debtinvestorsonly.B.equityinvestorsonly.C.bothdebtandequityinvestors.正確答案：C參考解析：Ciscorrect.Thehighertheloan-to-valueratio,thehigherleverageisforarealestateinvestment,whichincreasestherisktobothdebtandequityinvestors.[單選題]19.Ifacommodity’sforwardcurveisincontango,thecomponentofacommoditiesfuturesreturnmostlikelytoreflectthisis:A.spotprices.B.therollyield.C.thecollateralyield.正確答案：B參考解析：Biscorrect.Rollyieldreferstothedifferencebetweenthespotpriceofacommodityandthepricespecifiedbyitsfuturescontract(orthedifferencebetweentwofuturescontractswithdifferentexpirationdates).Whenfuturespricesarehigherthanthespotprice,thecommodityforwardcurveisupwardsloping,andthepricesarereferredtoasbeingincontango.Contangooccurswhenthereislittleornoconvenienceyield.[單選題]20.Aprivateequityfunddesiringtorealizeanimmediateandcompletecashexitfromaportfoliocompanyismostlikelytopursuea(n):A.IPO.B.tradesale.C.recapitalization.正確答案：B參考解析：Biscorrect.Privateequityfundscanrealizeanimmediatecashexitinatradesale.Usingthisstrategy,theportfoliocompanyistypicallysoldtoastrategicbuyer.[單選題]21.Aninvestorinaprivateequityfundisconcernedthatthegeneralpartnercanreceiveincentivefeesinexcessoftheagreed-onincentivefeesbymakingdistributionsovertimebasedonprofitsearnedratherthanmakingdistributionsonlyatexitfrominvestmentsofthefund.Whichofthefollowingismostlikeytoprotecttheinvestorfromthegeneralpartnerreceivingexcessfees?A.AhighhurdlerateB.AclawbackprovisionC.Alowercapitalcommitment正確答案：B參考解析：Biscorrect.Aclawbackprovisionrequiresthegeneralpartnerinaprivateequityfundtoreturnanyfundsdistributed(tothegeneralpartner)asincentivefeesuntilthelimitedpartnershavereceivedbacktheirinitialinvestmentsandthecontractedportionofthetotalprofits.Ahighhurdleratewillresultindistributionsoccurringonlyafterthefundachievesaspecifiedreturn.Ahighhurdleratedecreasesthelikelihoodof,butdoesnotprevent,excessdistributions.Managementfees,notincentivefees,arebasedoncommittedcapital.[單選題]22.Bothevent-drivenandmacrohedgefundstrategiesuse:A.long–shortpositions.B.atop-downapproach.C.long-termmarketcycles.正確答案：A參考解析：Aiscorrect.Long–shortpositionsareusedbybothtypesofhedgefundstopotentiallyprofitfromanticipatedmarketorsecuritymoves.Event-drivenstrategiesuseabottom-upapproachandseektoprofitfromshort-termeventstypicallyinvolvingacorporateaction,suchasanacquisitionorarestructuring.Macrostrategiesseektoprofitfromexpectedmovementsinevolvingeconomicvariables.[單選題]23.Hedgefundsaresimilartoprivateequityfundsinthatboth:A.aretypicallystructuredaspartnerships.B.assessmanagementfeesbasedonassetsundermanagement.C.donotearnanincentivefeeuntiltheinitialinvestmentisrepaid.正確答案：A參考解析：Aiscorrect.Privateequityfundsandhedgefundsaretypicallystructuredaspartnershipswhereinvestorsarelimitedpartners(LP)andthefundisthegeneralpartner(GP).Themanagementfeeforprivateequityfundsisbasedoncommittedcapitalwhereasforhedgefundsthemanagementfeesarebasedonassetsundermanagement.Formostprivateequityfunds,thegeneralpartnerdoesnotearnanincentivefeeuntilthelimitedpartnershavereceivedtheirinitialinvestmentback.[單選題]24.Comparedwithdirectinvestmentininfrastructure,publiclytradedinfrastructuresecuritiesarecharacterizedby:A.higherconcentrationrisk.B.more-transparentgovernance.C.greatercontrolovertheinfrastructureassets.正確答案：B參考解析：Biscorrect.Publiclytradedinfrastructuresecurities,whichincludesharesofcompanies,exchange-tradedfunds,andlistedfundsthatinvestininfrastructure,providethebenefitsoftransparentgovernance,liquidity,reasonablefees,marketprices,andtheabilitytodiversifyacrossunderlyingassets.Directinvestmentininfrastructureinvolvesalargecapitalinvestmentinanysingleproject,resultinginhighconcentrationrisks.Directinvestmentininfrastructureprovidescontrolovertheassetsandtheopportunitytocapturetheassets’fullvalue.[單選題]25.Alternativeinvestmentfundsaretypicallymanaged:A.actively.B.togeneratepositivebetareturn.C.assumingthatmarketsareefficient正確答案：A參考解析：Aiscorrect.Therearemanyapproachestomanagingalternativeinvestmentfundsbuttypicallythesefundsareactivelymanaged.[單選題]26.Aninvestorisseekinganinvestmentthatcantakelongandshortpositions,mayusemulti-strategies,andhistoricallyexhibitslowcorrelationwithatraditionalinvestmentportfolio.Theinvestor’sgoalswillbebestsatisfiedwithaninvestmentin:A.realestate.B.ahedgefund.C.aprivateequityfund.正確答案：B參考解析：Biscorrect.Hedgefundsmayuseavarietyofstrategies(event-driven,relativevalue,macroandequityhedge),generallyhavealowcorrelationwithtraditionalinvestments,andmaytakelongandshortpositions.[單選題]27.Risksininfrastructureinvestingaremostlikelygreatestwhentheprojectinvolves:A.constructionofinfrastructureassets.B.investmentinexistinginfrastructureassets.C.investinginassetsthatwillbeleasedbacktoagovernment.正確答案：A參考解析：Aiscorrect.Infrastructureprojectsinvolvingconstructionhavemoreriskthaninvestmentsinexistingassetswithademonstratedcashfloworinvestmentsinassetsthatareexpectedtogenerateregularcashflowsbecausetheassetswillbeleasedbacktoagovern