CFA Level I · o sesiune (90 de întrebări): simulare online gratuită

5 grile model, cu răspuns și explicație

1. 1. A real estate fund reports a 6% annual return from appraisal-based valuations. Compared with transaction-based returns, appraisal-based returns are most likely to exhibit:

   1. A. Higher volatility and higher correlation with equities
   2. B. Lower volatility and lagged recognition of market changes
   3. C. Identical volatility but lower income returns
   Răspuns corect: B

   Appraisals are smoothed and lag market prices, so measured volatility and correlations with other assets are understated. This is a well-known limitation of appraisal-based indexes.

2. 2. Which investment in timberland is most likely to provide a source of return that is unrelated to market commodity prices?

   1. A. Biological growth of the trees
   2. B. Changes in lumber futures prices
   3. C. Land price appreciation driven by speculative demand
   Răspuns corect: A

   Biological growth increases volume and value of the timber regardless of market prices, and the owner can delay harvest. The other two sources depend on market price movements.

3. 3. A private equity fund reports an IRR of 18% and a TVPI of 1.6x. Which statement about these measures is most accurate?

   1. A. IRR is unaffected by the timing of cash flows
   2. B. TVPI is the sum of distributions and residual value divided by paid-in capital
   3. C. TVPI is net of the committed but uncalled capital
   Răspuns corect: B

   TVPI equals (cumulative distributions + residual value) divided by paid-in capital. IRR is highly sensitive to cash flow timing, and TVPI is based on paid-in, not uncalled, capital.

4. 4. Which hedge fund strategy is best described as taking long and short positions in securities of companies involved in mergers or other corporate transactions?

   1. A. Event-driven
   2. B. Global macro
   3. C. Relative value convertible arbitrage
   Răspuns corect: A

   Event-driven strategies, including merger arbitrage, seek to profit from corporate events. Global macro bets on economic and policy trends; convertible arbitrage exploits mispricing between convertibles and the underlying stock.

5. 5. Which component of a fully collateralized commodity futures index return arises from interest earned on the margin collateral?

   1. A. Collateral yield
   2. B. Roll yield
   3. C. Spot return
   Răspuns corect: A

   Total return on a futures position = spot return + roll yield + collateral yield. The collateral yield is the interest earned on T-bills or cash backing the position.