R86 练习: 组合规划与构建基础
考纲范围
- Describe the reasons for a written investment policy statement (IPS). 描述：书写投资策略声明（IPS）的原因
- Describe the major components of an IPS. 描述：IPS 的主要组成部分
- Describe risk and return objectives and how they may be developed for a client. 描述：风险和回报目标，以及如何为客户制定这些目标
- Explain the difference between the willingness and the ability (capacity) to take risk in analyzing an investor’s financial risk tolerance. 说明：投资者承担风险的意愿和承担风险能力的差异
- Describe the investment constraints of liquidity, time horizon, tax concerns, legal and regulatory factors, and unique circumstances and their implications for the choice of portfolio assets. 描述：投资限制对投资组合资产选择的影响
- Explain the specification of asset classes in relation to asset allocation. 说明：与资产配置相关的资产类别的特点
- Describe the principles of portfolio construction and the role of asset allocation in relation to the IPS. 描述：投资组合构建的原则以及资产配置在 IPS 中的作用
- Describe how environmental, social, and governance (ESG) considerations may be integrated into portfolio planning and construction. 描述：如何将 ESG 考虑因素整合到投资组合规划和构建中
Q1.
Which of the following is least important as a reason for a written investment policy statement (IPS)?
A. IPS imposes investment discipline on both clients and managers.
B. IPS guarantees the client’s risk and return objectives are satisfied.
C. IPS serves as a guideline to access the suitability of a particular investment.
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答案：B
解析：IPS 不能”保证”客户的风险和回报目标被满足。IPS 是一个规划和指导文件，帮助投资纪律的执行和投资适当性的评估，但无法保证投资结果。
选项 判断 解析 A ✗ IPS 确实对客户和经理施加投资纪律，这是 IPS 的重要作用 B ✓ IPS 不能”保证”目标被满足，只是提供指导框架 C ✗ IPS 确实是评估投资适当性的指南
Q2.
The section of an investment policy statement (IPS) that outlines the investment objectives is expected to incorporate details regarding:
A. tax concern.
B. specific types of assets excluded from investment.
C. risk tolerance of the investor.
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答案：C
解析：IPS 的投资目标部分包含客户的风险和回报目标（即风险承受能力）。税务问题属于投资约束部分。排除特定资产类型属于投资指南或约束部分。
选项 判断 解析 A ✗ 税务问题属于投资约束（Investment Constraints）部分 B ✗ 排除特定资产属于投资指南（Investment Guidelines）部分 C ✓ 风险承受能力属于投资目标（Investment Objectives）部分
Q3.
Which of the following is most likely to be included in the appendices of an investment policy statement (IPS)?
A. The factors constrain the client in the investing.
B. Strategic asset allocation.
C. Steps to update IPS and procedures to respond to contingencies
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答案：B
解析：IPS 的附录（Appendices）通常包含战略资产配置（SAA）和再平衡政策。约束因素属于投资约束部分（正文）。更新 IPS 的步骤和应急程序属于程序（Procedures）部分（正文）。
选项 判断 解析 A ✗ 约束因素属于投资约束部分（正文） B ✓ 战略资产配置属于 IPS 附录 C ✗ 更新步骤和应急程序属于程序部分（正文）
Q4.
The component of the investment policy statement (IPS) that provides information about the responsibilities of the client, the custodian of the client’s assets, and the investment managers, is best described as the:
A. Statement of Duties and Responsibilities.
B. Investment Objectives.
C. Investment Guidelines.
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答案：A
解析：职责声明（Statement of Duties and Responsibilities）明确了客户、资产托管人和投资经理各自的责任和义务。投资目标部分涉及风险和回报目标。投资指南部分涉及允许投资的资产类型和执行政策。
选项 判断 解析 A ✓ 职责声明明确各方的责任和义务 B ✗ 投资目标涉及风险和回报目标 C ✗ 投资指南涉及资产类型和执行政策
Q5.
A client’s return objectives can be stated as a goal to outperform the S&P 500 by 100 basis points. The return objective in an investment policy statement (IPS) is described as:
A. absolute return objective.
B. relative return objective.
C. relative risk objective.
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答案：B
解析：相对回报目标是以某个基准为参照设定的回报目标。“跑赢标普500指数100个基点”是典型的相对回报目标。绝对回报目标是设定一个具体的数值（如年回报8%）。
选项 判断 解析 A ✗ 绝对回报目标是设定具体数值，如”年回报8%“ B ✓ 以S&P 500为基准的超额回报目标是相对回报目标 C ✗ 这是回报目标，不是风险目标
Q6.
Which of the following is best described as a relative risk objective?
A. A desire not to lose more than $1 million in the coming 12-month period.
B. The fund will not lose more than 3% of its value in any 12 months with a 95% probability.
C. Maintain a tracking error of less than 3% with respect to the S&P 500 Index.
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答案：C
解析：相对风险目标是以某个基准为参照来衡量风险。跟踪误差（tracking error）衡量组合相对于基准的偏离程度，是典型的相对风险指标。选项A和B是绝对风险目标（不参考基准）。
选项 判断 解析 A ✗ 设定美元金额损失上限是绝对风险目标 B ✗ 设定百分比损失上限（VaR 概念）是绝对风险目标 C ✓ 跟踪误差是相对于基准的偏离度，是相对风险目标
Q7.
John, CFA, manages a large pension fund. The risk objective of the fund is to minimize the probability that the fund will fail to meet the pension payments when they come due. The risk objective is best described as a/an:
A. relative risk objective.
B. absolute risk objective.
C. total risk objective.
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答案：B
解析：该风险目标是最小化无法支付养老金的概率，这是一个绝对风险目标（不参考任何基准指数）。它关注的是满足特定义务的能力，而非相对于基准的表现。
选项 判断 解析 A ✗ 相对风险目标需要参考基准指数 B ✓ 最小化未能支付养老金的概率是绝对风险目标 C ✗ “总风险目标”不是标准的IPS分类术语
Q8.
A client has asked a fund manager to make an investment policy statement for her. Her purpose is to prepare her wedding in six months. The time horizon for this client is:
A. short.
B. medium.
C. long.
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答案：A
解析：六个月的投资期限属于短期。短期时间范围通常意味着较低的风险承受能力，因为投资者没有足够的时间从潜在的损失中恢复。
选项 判断 解析 A ✓ 六个月属于短期投资期限 B ✗ 中期通常指几年 C ✗ 长期通常指十年以上
Q9.
There are two investors with their unique risk profile. Their current investment portfolio proportions are shown below:
| Investment-Grade Bond | Listed Equity | Real Estate | |
|---|---|---|---|
| Investor A | 45% | 30% | 25% |
| Investor B | 30% | 60% | 10% |
Which one indicates a higher willingness to take risk according to the table?
A. Investor A.
B. Investor B.
C. Cannot make a conclusion.
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答案：B
解析：投资者B将60%投资于上市股票，这是风险较高的资产类别，而投资者A的股票配置只有30%，且债券配置更高（45% vs 30%）。投资者B的组合风险更高，反映出更高的风险承担意愿。
选项 判断 解析 A ✗ 投资者A的组合更保守（债券比例更高） B ✓ 投资者B持有更多股票（60%），显示更高的风险承担意愿 C ✗ 可以从资产配置中推断风险偏好
Q10.
The most suitable case of client’s willingness to take risks rather than the ability to take risks is that:
A. the client owns two pension plans from both his employer and the government.
B. the client is young and will retire in 25 years.
C. the client pays more attention to the safety of principal rather than the potential gains.
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答案：C
解析：意愿（willingness）是主观的，基于个人的心理和态度。能力（ability）是客观的，基于财务状况。选项C描述的是一种主观偏好（更关注本金安全），属于风险承担意愿的范畴。选项A和B涉及客观的财务能力因素。
选项 判断 解析 A ✗ 拥有养老金计划反映的是承担风险的能力（客观财务状况） B ✗ 年轻且距退休25年反映的是承担风险的能力（长时间期限） C ✓ 关注本金安全而非潜在收益是主观态度，属于风险承担意愿
Q11.
Based on the client’s characteristics, specifically above-average willingness to take risks but below-average ability to take risks, the investment adviser is likely to evaluate the client’s overall risk tolerance as:
A. above average.
B. average.
C. below average
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答案：C
解析：当意愿和能力存在冲突时，投资顾问通常应以较低的风险承受水平为准（取较低者）。当客户的风险承担能力低于平均水平时，即使意愿较高，整体风险承受能力也应评估为低于平均水平，以保护客户的财务安全。
选项 判断 解析 A ✗ 能力不足时不应设定高于平均的风险承受水平 B ✗ 通常取较低者，不是取平均 C ✓ 当意愿和能力冲突时，取较低者（即低于平均的能力水平）
Q12.
Which of the following is the least likely to be considered as an example of a portfolio constraint?
A. Equities that are expected to produce capital gains, which are often taxed at a lower rate than other types of income.
B. Investor needs money to pay tuition in the coming year.
C. A minimum total return requirement of 5%.
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答案：C
解析：最低总回报要求5%是回报目标（return objective），不是约束条件（constraint）。选项A涉及税务约束，选项B涉及流动性约束。约束条件包括：流动性、时间范围、税务、法律法规和特殊情况。
选项 判断 解析 A ✗ 税务考虑是投资约束之一 B ✗ 短期资金需求是流动性约束 C ✓ 最低回报要求是回报目标，不是约束条件
Q13.
An investor, a corporate director, faces legal restrictions on trading in the securities of his firms during specific periods of the year when financial results are pending. In the process of writing an investment policy statement (IPS) for the investor, which of the following best describes the constraint?
A. The constraint should be included in the IPS.
B. The constraint is not relevant to the IPS.
C. It is illegal for the fund manager to assist the investor with the investments.
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答案：A
解析：法律和监管限制是 IPS 中投资约束的重要组成部分。企业董事面临的内幕交易限制应明确记录在 IPS 中，以确保投资经理在交易时遵守这些限制。
选项 判断 解析 A ✓ 法律交易限制应记录在 IPS 的法律和监管约束部分 B ✗ 所有影响投资决策的约束都与 IPS 相关 C ✗ 基金经理可以协助投资，但需遵守交易限制
Q14.
Jack is currently working as a regional manager for a large nationwide homebuilder, and his high income is used to cover future education expenses for his children. He is discussing his investment requirements with his financial adviser. In terms of unique needs, it is advisable to
A. limit the portfolio’s exposure to real estate stocks.
B. allocate a substantial portion of the portfolio to real estate stocks.
C. invest the portfolio entirely in liquid assets.
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答案：A
解析：Jack 在大型住宅建筑公司工作，其收入已经高度依赖房地产行业。为了分散风险，他的投资组合应限制对房地产股票的投资，避免将人力资本和金融资本都集中在同一行业。这属于”独特情况”（unique circumstances）约束。
选项 判断 解析 A ✓ 应限制房地产投资以避免人力资本和金融资本的行业集中风险 B ✗ 增加房地产投资会加剧行业集中风险 C ✗ 完全投资于流动资产过于极端，且与问题焦点不符
Q15.
A good classification of asset classes should meet the following criterias except that:
A. assets within one class should have high paired correlations.
B. the returns of different asset classes should have high correlations with each other.
C. one asset class consists of the assets with similar risk and return expectations.
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答案：B
解析：良好的资产类别分类应满足：(1) 同类资产之间相关性高；(2) 同类资产具有相似的风险回报特征；(3) 不同类别之间相关性低（而非高），以提供分散化效果。
选项 判断 解析 A ✗ 同类资产应有高相关性，这是正确的分类标准 B ✓ 不同资产类别应有低相关性（而非高），以提供分散化效果 C ✗ 同类资产应有相似的风险回报预期，这是正确的分类标准
Q16.
The following correlation matrix shows the paired correlations of monthly returns between different equity asset classes and other asset classes.
| Correlations | US Equities | Japanese Equities | European Gov’t. Bonds | Commodities |
|---|---|---|---|---|
| US Equities | 1 | 0.59 | 0.08 | 0.32 |
| Japanese Equities | 0.59 | 1 | 0.24 | 0.32 |
| European Gov’t. Bonds | 0.08 | 0.24 | 1 | 0.13 |
| Commodities | 0.32 | 0.32 | 0.13 | 1 |
From the above table, which asset class exhibits the greatest differentiation compared to US equities?
A. Japanese Equities.
B. European Gov’t Bonds.
C. Commodities.
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答案：B
解析：与美国股票相关性最低的资产类别提供最大的差异化和分散化效果。欧洲政府债券与美国股票的相关系数仅为0.08，远低于日本股票（0.59）和大宗商品（0.32）。
选项 判断 解析 A ✗ 日本股票与美国股票相关系数为 0.59，相关性最高 B ✓ 欧洲政府债券与美国股票相关系数仅为 0.08，差异化最大 C ✗ 大宗商品与美国股票相关系数为 0.32
Q17.
When developing a suitable strategic asset allocation for a client’s investment account, the manager should:
A. consider the investor’s risk and return objective, but not long-term capital market expectations.
B. only consider the investor’s risk tolerance.
C. integrate the constraints and objectives outlined in the investment policy statement (IPS) with long-term capital market expectations.
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答案：C
解析：战略资产配置（SAA）需要综合考虑两个方面：(1) IPS 中的投资目标和约束；(2) 长期资本市场预期。通过优化和/或模拟，将两者结合形成最优的战略资产配置。
选项 判断 解析 A ✗ 长期资本市场预期是 SAA 的重要输入 B ✗ 仅考虑风险承受能力是不够的 C ✓ SAA 需要整合 IPS 的目标/约束与长期资本市场预期
Q18.
According to the current outstanding equity market performance, a portfolio manager temporarily increases the proportion of stock in his portfolio from 45% to 60%. This decision is an example of:
A. strategic asset allocation
B. security selection
C. tactical asset allocation
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答案：C
解析：战术资产配置（TAA）是基于短期市场观点对战略资产配置进行临时调整。因为当前股票市场表现突出而临时增加股票比例，属于典型的战术资产配置。战略资产配置是长期的基准配置，证券选择是在资产类别内选择具体证券。
选项 判断 解析 A ✗ 战略资产配置是长期的基准配置，不因短期市场变化而调整 B ✗ 证券选择是在资产类别内选择具体证券 C ✓ 基于短期市场观点的临时配置调整是战术资产配置
Q19.
John, an analyst, is reviewing the investment strategy regarding ESG implementation approaches of Alfa Inc., and he found that Alfa Inc. actively invests in themes such as clean energy and green technology. This ESG implementation approach is most associated with:
A. thematic investing.
B. best-in-class.
C. negative screening.
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答案：A
解析：主题投资（thematic investing）是围绕特定的 ESG 主题（如清洁能源、绿色技术）进行投资。最佳类别（best-in-class）是在每个行业中选择 ESG 表现最好的公司。负面筛选（negative screening）是排除特定行业或公司。
选项 判断 解析 A ✓ 投资清洁能源和绿色技术主题属于主题投资 B ✗ 最佳类别是在每个行业中选择 ESG 表现最好的公司 C ✗ 负面筛选是排除特定行业或公司
Q20.
The ESG investment approach that is most associated with excluding certain sectors or companies is:
A. thematic investing.
B. negative screening.
C. positive screening.
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答案：B
解析：负面筛选（negative screening）是排除不符合特定 ESG 标准的行业或公司（如烟草、武器、赌博等）。正面筛选是主动选择 ESG 表现好的公司。主题投资是围绕特定 ESG 主题投资。
选项 判断 解析 A ✗ 主题投资是围绕特定主题投资 B ✓ 负面筛选 = 排除特定行业或公司 C ✗ 正面筛选是主动选择 ESG 表现好的公司