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1、The Global Investment Performance Standardsleastlikely require:
A．nondiscretionary portfolios to be included incomposites
B．non-fee-paying portfolios to be excluded in thereturns of appropriate composites
C．composites to be defined according to similarinvestment objectives and/or strategies
【答案】A
【解析】
Composites (Standard Ⅳ- Composites) must be defined according to similar investment objectives and/orstrategies. Terminated portfolios must be included in the historical returns ofappropriate composites, and only fee-paying portfolios are to be included incomposites. Non-discrectionary portfolios must not be included in a firm'scomposites.
2、Monte Carlo simulation is best described as:
A．a(chǎn) restrictive form of scenario analysis
B．providing a distribution of possible solutionsto complex functions
C．a(chǎn)n approach to backtest data
【答案】B
【解析】
Monte Carlo simulation provides a distribution of possiblesolutions to complex functions. The central tendency and the variance of thedistribution of solutions give important clues to decision makers regardingexpected results and risk.
