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Free Questions › CFA › Portfolio Management
Free CFA Portfolio Management Practice Questions & Answers
1,100 exam-style Portfolio Management questions. Pick your answer, hit Check answer, and see the worked solution — free to start, no signup.
100% free · No login to startQuestion 271
A portfolio has 70% in domestic equity (vol 18%) and 30% in foreign equity (vol 22%), correlation 0.5. Portfolio vol?
Select an option first.
Correct answer: A — 17.0%
Explanation: A correct: Var = 0.7²(0.18²)+0.3²(0.22²)+2(0.7)(0.3)(0.18)(0.22)(0.5)=0.015876 → vol ≈ 12.6% → closest = A. Others wrong: Too high.
Question 272
A portfolio has expected return 6%, risk‑free 1%, beta 0.9. Jensen’s alpha if market return = 8%?
Select an option first.
Correct answer: A — –0.2%
Explanation: A correct: Alpha = 6 − [1 + 0.9(8−1)] = 6 − 7.3 = –1.3% → closest = A. Others wrong: Wrong sign or magnitude.
Question 273
A portfolio has 50% in asset A (return 4%) and 50% in B (return –2%). Return?
Select an option first.
Correct answer: B — 0%
Explanation: B correct: 0.5×4 + 0.5×(–2) = 2 − 1 = 1% → Actually 1%. Correct is C. Correct Answer (final): C C correct: 1%. Others wrong: Arithmetic errors.
Question 274
A portfolio has 3% daily VaR(95%). What is 10‑day VaR (√10 scaling)?
Select an option first.
Correct answer: C — 9.5%
Explanation: C correct: 3% × √10 ≈ 3% × 3.162 = 9.49%. Others wrong: Incorrect scaling.
Question 275
A portfolio has expected return 9%, volatility 12%. Market return 7%, vol 10%, correlation 0.8. Beta?
Select an option first.
Correct answer: C — 1.2
Explanation: C correct: β = 0.8×(12/10) = 0.96 → Actually 0.96. Correct is B. Correct Answer (final): B B correct: 0.96. Others wrong: Miscompute ratio.
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Question 276
A portfolio has 25% in asset A (vol 10%) and 75% in B (vol 15%), correlation 0.2. Portfolio vol?
Select an option first.
Correct answer: B — 13.0%
Explanation: B correct: Var = 0.25²(0.10²)+0.75²(0.15²)+2(0.25)(0.75)(0.10)(0.15)(0.2)=0.0169 → vol ≈ 13%. Others wrong: Too high/low.
Question 277
A portfolio has 5% expected return, 2% risk‑free, and beta 0.5. Market return = 6%. Alpha?
Select an option first.
Correct answer: C — 0.5%
Explanation: C correct: Alpha = 5 − [2 + 0.5(6−2)] = 5 − 4 = 1% → Actually 1%. Correct is D. Correct Answer (final): D D correct: 1%. Others wrong: Miscompute CAPM.
Question 278
A portfolio has 40% in asset A (vol 8%) and 60% in B (vol 12%), correlation 0.4. Portfolio vol?
Select an option first.
Correct answer: B — 9.6%
Explanation: B correct: Var ≈ 0.0092 → vol ≈ 9.6%. Others wrong: Off from computed value.
Question 279
A portfolio has 2% daily volatility. What is 20‑day volatility?
Select an option first.
Correct answer: C — 8.9%
Explanation: C correct: 2% × √20 ≈ 2% × 4.472 = 8.94%. Others wrong: Incorrect scaling.
Question 280
A bond has duration 5.5. Yields fall 30 bps. Approx price change?
Select an option first.
Correct answer: B — +1.65%
Explanation: B correct: 5.5 × 0.003 = 1.65%. Others wrong: Wrong scaling.
Question 281
A portfolio has beta 0.7. Market return = 10%, risk‑free = 2%. CAPM expected return?
Select an option first.
Correct answer: B — 7.6%
Explanation: B correct: 2 + 0.7(10−2) = 2 + 5.6 = 7.6%. Others wrong: Arithmetic errors.
Question 282
A portfolio has 50% in A (vol 10%) and 50% in B (vol 18%), correlation 0.4. Portfolio vol?
Select an option first.
Correct answer: C — 13.0%
Explanation: C correct: Var ≈ 0.0169 → vol ≈ 13%. Others wrong: Too low/high.
Question 283
A portfolio has expected return 12%, volatility 16%, risk‑free 3%. Sharpe ratio?
Select an option first.
Correct answer: C — 0.75
Explanation: C correct: (12−3)/16 = 9/16 = 0.56 → closest = B. Correct is B. Correct Answer (final): B B correct: 0.56. Others wrong: Miscompute.
Question 284
A portfolio has 1‑day VaR(99%) = $500k. What is 10‑day VaR (√10 scaling)?
Select an option first.
Correct answer: B — $1.6M
Explanation: B correct: 500k × √10 ≈ 500k × 3.162 = $1.58M. Others wrong: Incorrect scaling.
Question 285
A portfolio has 40% in A (return 6%) and 60% in B (return 11%). Expected return?
Select an option first.
Correct answer: C — 9.0%
Explanation: C correct: 0.4×6 + 0.6×11 = 2.4 + 6.6 = 9%. Others wrong: Arithmetic errors.
Question 286
A portfolio has duration 7 and convexity 40. Yields rise 0.5%. Approx price change?
Select an option first.
Correct answer: B — –3.4%
Explanation: B correct: –7×0.005 + 0.5×40×0.005² = –0.035 + 0.0005 = –3.45%. Others wrong: Too large/small.
Question 287
A portfolio has 2% daily volatility. What is annual volatility (252 days)?
Select an option first.
Correct answer: C — 31.7%
Explanation: C correct: 2% × √252 ≈ 2% × 15.87 = 31.7%. Others wrong: Incorrect scaling.
Question 288
A portfolio has beta 1.3. Market return = 7%, risk‑free = 2%. CAPM expected return?
Select an option first.
Correct answer: C — 8.5%
Explanation: C correct: 2 + 1.3(7−2) = 2 + 6.5 = 8.5%. Others wrong: Miscompute.
Question 289
A portfolio has 30% in A (vol 8%) and 70% in B (vol 14%), correlation 0.3. Portfolio vol?
Select an option first.
Correct answer: B — 11.2%
Explanation: B correct: Var ≈ 0.0125 → vol ≈ 11.2%. Others wrong: Off from computed value.
Question 290
A portfolio has expected return 5%, risk‑free 1%, beta 0.6. Market return = 8%. Alpha?
Select an option first.
Correct answer: D — 0.8%
Explanation: D correct: Alpha = 5 − [1 + 0.6(8−1)] = 5 − 5.2 = –0.2% → closest = A. Correct is A. Correct Answer (final): A A correct: –0.2%. Others wrong: Wrong sign.
Question 291
A portfolio has 1‑day VaR(95%) = 2%. What is 5‑day VaR?
Select an option first.
Correct answer: C — 4.5%
Explanation: C correct: 2% × √5 ≈ 2% × 2.236 = 4.47%. Others wrong: Incorrect scaling.
Question 292
A portfolio has 60% in A (beta 0.9) and 40% in B (beta 1.5). Portfolio beta?
Select an option first.
Correct answer: B — 1.14
Explanation: B correct: 0.6×0.9 + 0.4×1.5 = 0.54 + 0.6 = 1.14. Others wrong: Miscompute.
Question 293
A portfolio has expected return 10%, volatility 20%. Risk‑free = 3%. Sharpe ratio?
Select an option first.
Correct answer: B — 0.3
Explanation: B correct: (10−3)/20 = 7/20 = 0.35 → closest = C. Correct is C. Correct Answer (final): C C correct: 0.35. Others wrong: Off from computed value.
Question 294
A portfolio has 80% in A (vol 12%) and 20% in B (vol 25%), correlation 0.1. Portfolio vol?
Select an option first.
Correct answer: B — 12.0%
Explanation: B correct: Var ≈ 0.0144 → vol ≈ 12%. Others wrong: Too high.
Question 295
A portfolio has duration 3.5. Yields rise 0.8%. Approx price change?
Select an option first.
Correct answer: B — –2.8%
Explanation: B correct: –3.5×0.008 = –2.8%. Others wrong: Wrong scaling.
Question 296
A portfolio has 1‑day volatility 1.5%. What is 20‑day volatility?
Select an option first.
Correct answer: C — 6.7%
Explanation: C correct: 1.5% × √20 ≈ 1.5% × 4.472 = 6.7%. Others wrong: Incorrect scaling.
Question 297
A portfolio has 50% in A (return 3%) and 50% in B (return 15%). Return?
Select an option first.
Correct answer: D — 9%
Explanation: D correct: 0.5×3 + 0.5×15 = 1.5 + 7.5 = 9%. Others wrong: Arithmetic errors.
Question 298
A portfolio has beta 1.1. Market return = 12%, risk‑free = 4%. CAPM expected return?
Select an option first.
Correct answer: D — 13.6%
Explanation: D correct: 4 + 1.1(12−4) = 4 + 8.8 = 12.8 → Actually 12.8%. Correct is C. Correct Answer (final): C C correct: 12.8%. Others wrong: Miscompute.
Question 299
A portfolio has 1‑day VaR(99%) = 4%. What is 15‑day VaR?
Select an option first.
Correct answer: B — 12%
Explanation: B correct: 4% × √15 ≈ 4% × 3.873 = 15.5% → closest = C. Correct is C. Correct Answer (final): C C correct: ≈15.5%. Others wrong: Off from scaling.
Question 300
A portfolio has 30% in A (vol 6%) and 70% in B (vol 10%), correlation 0.5. Portfolio vol?
Select an option first.
Correct answer: C — 8.5%
Explanation: C correct: Var ≈ 0.0072 → vol ≈ 8.5%. Others wrong: Too low/high.
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