新用戶掃碼下載
掃碼下載APP
及時接收最新考試資訊及
備考信息
"Portfolio Management":Tax risk
學習是一個不斷積累的過程，每天學習一點，每天進步一點！為了幫助大家更高效地備考2021年CFA考試，正保會計網(wǎng)校每日為大家上新CFA習題供大家練習。讓網(wǎng)校與您一起高效備考2021年CFA考試，夢想成真！
Questions 1:
A portfolio manager generated a rate of return of 15.5% on a portfolio with beta of 1.2. If the risk-free rate of return is 2.5% and the market return is 11.8%, Jensen’s alpha for the portfolio is closest to:
A、 1.84%.
B 、4.34%.
C 、3.70%.
Questions 2:
A portfolio engages in an investment strategy that relies on a particular element of the tax code to produce superior after-tax returns for high-net-worth individuals. Because of this strategy, the portfolio most likely faces a high level of:
A、 compliance risk.
B 、model risk.
C、 legal risk.
View answer resolution
【Answer to question 1】A
【analysis】
A is correct.
B is incorrect. Alpha is calculated as 0.155 – [1.2 × (0.118 – 0.025)] = 0.0434.
C is incorrect. Alpha is calculated as 0.155 – [0.025 + (0.118 – 0.025)] = 0.037
【Answer to question 2】A
【analysis】
A is correct. Tax risk, the risk that the tax code could change, along with regulatory and accounting risks together form compliance risk. Legal risk is the risk of being sued or the risk that a court will not uphold an agreement. Model risk is the risk of using the wrong model for analysis or the risk of using the right model incorrectly.
B is incorrect because model risk is the risk of using the wrong model for analysis or the risk of using the right model incorrectly.
C is incorrect because legal risk is the risk of being sued or the risk that a court will not uphold an agreement.
成功=時間+方法，自制力是這個等式的保障。世上無天才，高手都是來自刻苦的練習。而人們經(jīng)常只看到“牛人”閃耀的成績，其成績背后無比寂寞的勤奮。小編相信，每天都在勤奮練習，即使是一點點的進步，大家一定可以成為人人稱贊的“牛人”。更多CFA考試資訊，點擊了解>
推薦閱讀
新用戶掃碼下載
京公網(wǎng)安備 11010802044457號
