Bài tập Quantitatives Methods CFA (Môn Phương pháp định lượng CFA) kèm đáp án

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Với môn Quantitative Methods CFA (Đầu tư vốn cổ phần), Viện CFA chia tỷ trọng trong các level như sau:

Xem thêm: Quantitative Methods CFA (Môn Phương pháp phân tích định lượng CFA)

1. Bài tập Quantitatives Methods CFA Level 1

Question 1: Which of the following factors is not used in the calculation of a confidence interval? 

1. Point estimate 
2. Sampling error 
3. Reliability factor

Question 2: An analyst performs a simple linear regression of a stock’s monthly return on the monthly return of a market index (both in %) and gathers the following information: 

• Estimated slope 1.0 
• Estimated intercept 1.2% 
• Standard error of the forecast 1.4% 
• Critical t-values at a 5% significance level 2.032 

The 95% prediction interval for the stock’s monthly return, given that the forecasted monthly return on the index is 3.5%, is closest to: 

1. 0.7% to 6.3%. 
2. 1.9% to 7.5%. 
3. 3.3% to 6.1%.

Question 3: An investor purchases a stock for $100. Immediately after receiving a dividend of $7, the investor sells the stock for $107. The holding period return of the investment is closest to 

1. 0% 
2. 7% 
3. 14%

Question 4: For a sample of 50 observations, in which of the following situations is a nonparametric test least likely to be appropriate? The data

1. contain outliers. 
2. are given in ranks.
3. come from a population with a lognormal distribution.

Question 5: Which of the following test statistics is most appropriate for a hypothesis test concerning the mean difference between two normally distributed populations? 

1. t-statistic 
2. F-statistic 
3. Chi-square statistic

Question 6: An asset earns 13.1% over a 16-month period. The asset’s annualized compound rate of return is closest to: 

1. 9.3%. 
2. 9.7% 
3. 9.8%

Question 7: Which of the following statements is most accurate? Cryptocurrencies: 

1. exhibit low volatility 
2. have no limits on the total amount of currency that may be issued. 
3. allow transactions between parties without the need for an intermediary.

Question 8: A company estimates its revenue will be 50% higher than today in four years’ time. The compound annual growth rate is closest to: 

1. 10.7%. 
2. 11.8%. 
3. 12.5%.

Question 9: Which of the following statements is most accurate with respect to the widespread adoption of algorithmic trading in financial markets? 

1. The need for low-latency networks has grown. 
2. Markets have become less fragmented in terms of trading venues. 
3. Average trade size has increased as algorithmic trading is used to execute large institutional orders

Question 10: An investor considers the following certificates of deposit (CDs) available for purchase at face value: 

If each CD has the same maturity and default risk, the opportunity cost of investing in CD 1 is closest to 

1. 0.0%. 
2. 1.1%. 
3. 2.26.

Xem thêm: Bài tập môn Quantitatives Methods CFA Level 1 có đáp án (PDF Free Download)

2. Bài tập Quantitatives Methods CFA Level 2

Question 1: During the course of a multiple regression analysis, an analyst has observed several items that she believes may render incorrect conclusions. For example, the coefficient standard errors are too small, although the estimated coefficients are accurate. She believes that these small standard error terms will result in the computed t-statistics being too big, resulting in too many Type I errors. The analyst has most likely observed which of the following assumption violations in her regression analysis?

1. Positive serial correlation.
2. Homoscedasticity.
3. Multicollinearity.

Question 2: When two or more of the independent variables in a multiple regression are correlated with each other, the condition is called:

1. multicollinearity.
2. conditional heteroskedasticity.
3. serial correlation.

Question 3: An analyst is trying to determine whether fund return performance is persistent. The analyst divides funds into three groups based on whether their return performance was in the top third (group 1), middle third (group 2), or bottom third (group 3) during the previous year. The manager then creates the following equation: R = a + b1D1+ b2D2+ b3D3 + ε, where R is return premium on the fund (the return minus the return on the S&P 500 benchmark) and Di is equal to 1 if the fund is in group i. Assuming no other information, this equation will suffer from:

1. multicollinearity.
2. serial correlation.
3. heteroskedasticity.

Question 4: Which of the following is least likely to result in misspecification of a regression model?

1. Inappropriate variable form.
2. Transforming a variable.
3. Omission of an important independent variable.

Passage (Question 5-8):

Ben Sasse is a quantitative analyst at Gurnop Asset Managers. Sasse is interviewing Victor Sophie for a junior analyst position. Sasse mentions that the firm currently uses several proprietary multiple regression models and wants Sophie’s opinion about regression models.

Sophie makes the following statements:

Statement 1: Multiple regression models can be used to forecast independent variables.

Statement 2: Multiple regression models can be used to test existing theories of relationships among variables.

Sasse then discusses a model that the firm uses to forecast credit spread on investment-grade corporate bonds. Sasse states that while the current model parameters are a secret, the following is an older version of the model:

CSP = 0.22 + 1.04 × DSC – 0.32 × index + 1.33 × D/E

where:

CSP = credit spread (%)

DSC = EBITDA / unsecured debt

index = 1 if the issuer is part of CDX index; 0 otherwise

D/E = long-term debt / equity

Question 5-8: Regarding Sophie’s statement on multiple regression:

1. only Statement 1 is correct.
2. only Statement 2 is correct.
3. both statements are correct.

Question 6-8: everything else the same, which of the following statements most accurately describes the model’s forecast?

1. The credit spread on the rm’s issue would decrease by 10 bps.
2. The credit spread on the rm’s issue will increase by 32 bps.
3. The credit spread on the rm’s issue will decrease by 32 bps.

Question 7-8: hich of the following is least likely an assumption of multiple linear regression?

1. The dependent variable is not serially correlated.
2. There is no linear relationship between the independent variables.
3. The error term is normally distributed.

Question 8-8: Which assumption of multiple regression is most likely evaluated using a QQ plot?

1. Serial correlation of residuals.
2. Conditional heteroskedasticity.
3. Error term is normally distributed.

Question 9: Which of the following statements regarding the results of a regression analysis is least accurate? The:

1. slope coefficient in a multiple regression is the change in the dependent variable for a one-unit change in the independent variable, holding all other variables constant.
2. slope coefficients in the multiple regression are referred to as partial betas. 
3. slope coefficient in a multiple regression is the value of the dependent variable for a given value of the independent variable.

Question 10: One of the underlying assumptions of a multiple regression is that the variance of the residuals is constant for various levels of the independent variables. This quality is referred to as:

1. homoscedasticity.
2. a normal distribution.
3. a linear relationship.

Xem thêm: Bài tập môn Quantitatives Methods CFA Level 2 có đáp án (PDF Free Download)

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