33026846
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Creado por Dale Doust
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Copiado por Dale Doust
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Pregunta 1
Pregunta
Portfolio performance is:
Respuesta
-
rarely measured in absolute terms, mostly measured in relative terms
-
rarely measured in relative terms, mostly measured in absolute terms
-
only ever measured in relative terms
-
only ever measured in absolute terms
Pregunta 2
Pregunta
Which of the following is a limitation rather than an assumption of the Capital Asset Pricing
Model?
Respuesta
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Investors are rational and risk averse
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Investors hold a well-diversified portfolio
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Investors make investment decisions based on mean variance analysis
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Investors are rewarded for more than just their exposure to systemic risk
Pregunta 3
Pregunta
An investor allowed the principle of 'regret aversion' to influence his actions. This resulted in
him:
Respuesta
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declining to buy a stock based purely on a previous bad experience
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B buying a badly performing stock from a friend as recompense for recommending it in the first place
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holding a poorly performing stock for an irrationally long period
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only selling stock once a specified loss threshold had been reached
Pregunta 4
Pregunta
Why is a time weighted return (TWR) preferred to a money weighted return (MWR) when
evaluating performance?
Respuesta
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TWR only requires portfolio values at the start and end of the investment period along with dates and size of each cash flow
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TWR eliminates the timing effect of cash flows into and out of the fund
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TWR measures the fund growth resulting from both the underlying performance of the portfolio and the size and timing of cash flows into and out of the fund
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TWR calculates the risk adjusted return per unit of risk
Pregunta 5
Pregunta
Four bond portfolios each hold a variety of stock. Which one of them is BEST described as
operating a barbell strategy?
Respuesta
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Portfolio A, which consists solely of bills maturing in one year plus bonds maturing in 25 and 30 years
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Portfolio B, which consists solely of bills maturing in six months plus bonds maturing in 5, 10, 15 and 20 years
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Portfolio C, which consists solely of bonds maturing in 1, 3 and 5 years
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Portfolio D, which consists solely of bonds maturing in 20, 25 and 30 years
Pregunta 6
Pregunta
Why do portfolios need a regular annual or periodic review?
Respuesta
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To ensure that all assets are priced on a regular basis
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To ensure that all assets are reconciled against the market
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To ensure that all cash balances are reconciled against the actual bank
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To ensure the portfolio still meets the client's objectives and is positioned correctly given the market conditions
Pregunta 7
Pregunta
The excess return of a portfolio or security above that of the risk adjusted benchmark is known
as:
Respuesta
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alpha
-
beta
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duration
-
premium
Pregunta 8
Pregunta
An investment manager believes that markets are inefficient and that he can obtain abnormal
returns after transaction charges. Which investment style is he most likely to adopt?
Respuesta
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Passive
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Indexation
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Active
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Satellite
Pregunta 9
Pregunta
An individual has been advised to invest in some shares by a friend. He wants to make sure that
he invests in companies which do not have a volatile share price. To achieve this he should
select shares which have a beta factor of:
Respuesta
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1
-
1.25
-
1.5
-
1.75
Pregunta 10
Pregunta
Which of the following is a feature in Arbitrage Pricing Theory (APT)?
Respuesta
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APT relies on identified factors being correlated
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The variables of APT include real economic factors
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The principal component of APT is the return on an index of all shares
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APT is equivalent to a single factor Capital Asset Pricing Model
Pregunta 11
Pregunta
Based on the principles of Modern Portfolio theory, an equity fund will operate on the
'efficient frontier' if:
Respuesta
-
the optimum level of systematic risk is obtained
-
the best level of diversification is achieved
-
the fund's alpha value is negative
-
the fund's beta value is one or more
Pregunta 12
Pregunta
Bond portfolio X exclusively contains relatively long-dated stock whereas Bond portfolio Y
operates a laddering strategy. This means that Bond X is likely to:
Respuesta
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generate higher yields
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present less of a credit risk
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be more sensitive to interest rate changes
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represent a more diversified approach
Pregunta 13
Pregunta
In which country can shareholders be assured that listed companies will comply with the OECD
Principles for Corporate Governance?
Respuesta
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France
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Germany
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UK
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USA
Pregunta 14
Pregunta
An investor has a requirement for an 8% return and is considering choosing Stock X to satisfy
this need. Based on the Capital Asset Pricing Model, if the beta value of this stock is
recalibrated from 1.2 to 1.3, this would:
Respuesta
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increase the likelihood that the stock would be suitable
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decrease the likelihood that the stock would be suitable
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automatically trigger an increase in the investor's required rate
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automatically trigger a decrease in the investor's required rate
Pregunta 15
Pregunta
Using Modern Portfolio Theory to create a two stock portfolio, which of the following is TRUE?
Respuesta
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The lower the correlation of stock returns, the greater the portfolio's diversification
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The higher the correlation of stock returns, the greater the portfolio's diversification
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The higher the correlation of stock returns, the lower the level of total risk associated with any given level of expected return
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The lower the correlation of stock returns, the higher the level of total risk associated with any given level of expected return
Pregunta 16
Pregunta
Which of the following does a passive investment manager principally invest in?
Respuesta
-
Equities
-
An index
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Fixed income
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Other institutional funds
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