CFA一级知识点大剖析之Quants（一）

        1. An analyst gathered information about three economic variables, He noted that whenever variable A increased by one unit, variable B increased by 0.6 units but variable C decreased by 0.6 units. The correlation between variables A and B and the correlation between variables A and C respectively, are closest to:

        Correct answer =B 
        Calculate and interpret a sample covariance and a sample correlation coefficient. The relationship between variables A and B is perfect positive correlation (1.0) and the relationship between variables A and C is perfect negative correlation (-1.0).

        CORRELATION的含义是什么?a增长1时b增长0.6 他们的相关系数为什么不是0.6? 因为根据题目的意思，是在判断A和B，A和C的相关系数，相关系数是指两者的变化方向，而不是两者的变化幅度关系，如果在两个变量的变化过程中，A上升时，B总是上升，或者A下降时，B总是下降，说明A和B是完全正相关；否则，完全负相关。 题目中的0.6是指两者的变化幅度之间的变化，是指一个变量变化一个单位，另一个变量变化是前一个变量的几倍，这是指Beta系数。 Beta=Cov(A,B)/var(B)=相关系数×标准差(A)/ 标准差(B)

        2. An  analyst gathered the following information ($ millions) about the performance  of a portfolio:
  

        The portfolio's  annual time-weighted rate of return is closest to:
        A.18%.
        B.  29%.
        C.  38%.
        Correct answer = C
        The time-weighted rate of return is calculated by  computing the quarterly holding period returns and linking those returns into  an annual return:
        1.0435 x 1 x 1.3913 x 0.9524 = 1.3827
        1.3827 - 1 = 0.3827 or 38.2%
        提问：各个季度的收益率是怎么计算出来的 题中的cash flow(outflow) at beginning of quarter是什么意思 是股利吗???关于cash flow(outflow) at beginning of quarter是指Cash flow是指流入的现金流，为正，outflow是指流出的现金流，为负； 因为是在每一季度开始的时候有的cash inflow和cash outflow，所以应该把cash flow加在起初的value上。 Quarter 1: HPR = 2.4 / (2.0 + 0.3) = 1.0435（期初的价值为2，又流入了0.3，所以期初为2.3） Quarter 2: HPR = 2.6 / (2.4 + 0.2) = 1Quarter 3: HPR = 3.2 / (2.6 – 0.3) = 1.3913（期初的价值为2.6，又流出了0.3，所以期初为2.6-0.3＝2.3） Quarter 4: HPR = 4.0 / (3.2 + 1.0) = 0.9524time-weighted rate of return = 1.0435 x 1 x 1.3913 x 0.9524-1= 1.3827-1=38.2%这题给的是季度收益率，而不是年化的，所以不用开3次方。