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Free CFA Portfolio Management Practice Questions & Answers

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Question 361

Kupiec’s POF test evaluates:

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Question 362

A portfolio has 1‑day volatility 2%. Correlation between two assets is 0.5. If correlation rises to 0.8, portfolio volatility will:

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Question 363

ETF premium/discount is:

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Question 364

In factor models, specific risk is:

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Question 365

A portfolio has factor loading 1.2 and factor variance 3%. Systematic variance contribution?

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Question 366

A portfolio has specific variance 2% and systematic variance 6%. Total variance?

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Question 367

A portfolio has 1‑day VaR = 2%. If volatility doubles, VaR becomes:

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Question 368

Capacity constraints in backtesting refer to:

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Question 369

In mean‑variance optimization, adding a turnover constraint typically:

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Question 370

In Black–Litterman, the equilibrium returns Π are derived from:

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Question 371

A minimum‑variance portfolio with two assets has correlation = 1. The MVP weight becomes:

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Question 372

A U.S. investor earns 4% in AUD. AUD depreciates 5%. USD return?

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Question 373

A currency overlay program aims to:

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Question 374

A portfolio has 1‑day VaR = 2%. Correlation between assets falls. VaR will:

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Question 375

Stress VaR is typically:

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Question 376

A portfolio has 1‑day volatility 1.2%. What is 40‑day volatility?

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Question 377

A portfolio has delta = $4M per 1% and gamma = $1M per 1%². Market moves −3%. Approx P&L?

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Question 378

Component VaR increases when:

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Question 379

A portfolio has 1‑day VaR = 1.5%. What is 90‑day VaR?

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Question 380

In factor models, covariance contribution of factor i equals:

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Question 381

A portfolio has factor loading 0.5 and factor variance 9%. Contribution to variance?

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Question 382

Specific risk increases when:

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Question 383

Backtesting capacity limits arise because:

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Question 384

Turnover in backtesting affects:

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Question 385

A portfolio has 1‑day VaR = 2.5%. What is 25‑day VaR?

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Question 386

A portfolio has 1‑day CVaR = 4%. CVaR is:

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Question 387

Active return comes from:

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Question 388

IR = 0.50. This means:

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Question 389

Active return = 2%. Active risk = 4%. IR = ?

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Question 390

Sharpe vs. Information Ratio The Sharpe ratio differs from the Information Ratio because:

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Free CFA Portfolio Management Practice Questions & Answers

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