Chapter 7

Questão 1 de 16

1

Portfolio performance is:

Selecione uma das seguintes:

  • 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

Explicação

Questão 2 de 16

1

Which of the following is a limitation rather than an assumption of the Capital Asset Pricing
Model?

Selecione uma das seguintes:

  • Investors are rational and risk averse

  • Investors hold a well-diversified portfolio

  • Investors make investment decisions based on mean variance analysis

  • Investors are rewarded for more than just their exposure to systemic risk

Explicação

Questão 3 de 16

1

An investor allowed the principle of 'regret aversion' to influence his actions. This resulted in
him:

Selecione uma das seguintes:

  • declining to buy a stock based purely on a previous bad experience

  • B buying a badly performing stock from a friend as recompense for recommending it in the
    first place

  • holding a poorly performing stock for an irrationally long period

  • only selling stock once a specified loss threshold had been reached

Explicação

Questão 4 de 16

1

Why is a time weighted return (TWR) preferred to a money weighted return (MWR) when
evaluating performance?

Selecione uma das seguintes:

  • TWR only requires portfolio values at the start and end of the investment period along
    with dates and size of each cash flow

  • TWR eliminates the timing effect of cash flows into and out of the fund

  • 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

  • TWR calculates the risk adjusted return per unit of risk

Explicação

Questão 5 de 16

1

Four bond portfolios each hold a variety of stock. Which one of them is BEST described as
operating a barbell strategy?

Selecione uma das seguintes:

  • Portfolio A, which consists solely of bills maturing in one year plus bonds maturing in 25
    and 30 years

  • Portfolio B, which consists solely of bills maturing in six months plus bonds maturing in 5,
    10, 15 and 20 years

  • Portfolio C, which consists solely of bonds maturing in 1, 3 and 5 years

  • Portfolio D, which consists solely of bonds maturing in 20, 25 and 30 years

Explicação

Questão 6 de 16

1

Why do portfolios need a regular annual or periodic review?

Selecione uma das seguintes:

  • To ensure that all assets are priced on a regular basis

  • To ensure that all assets are reconciled against the market

  • To ensure that all cash balances are reconciled against the actual bank

  • To ensure the portfolio still meets the client's objectives and is positioned correctly given
    the market conditions

Explicação

Questão 7 de 16

1

The excess return of a portfolio or security above that of the risk adjusted benchmark is known
as:

Selecione uma das seguintes:

  • alpha

  • beta

  • duration

  • premium

Explicação

Questão 8 de 16

1

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?

Selecione uma das seguintes:

  • Passive

  • Indexation

  • Active

  • Satellite

Explicação

Questão 9 de 16

1

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:

Selecione uma das seguintes:

  • 1

  • 1.25

  • 1.5

  • 1.75

Explicação

Questão 10 de 16

1

Which of the following is a feature in Arbitrage Pricing Theory (APT)?

Selecione uma das seguintes:

  • APT relies on identified factors being correlated

  • The variables of APT include real economic factors

  • The principal component of APT is the return on an index of all shares

  • APT is equivalent to a single factor Capital Asset Pricing Model

Explicação

Questão 11 de 16

1

Based on the principles of Modern Portfolio theory, an equity fund will operate on the
'efficient frontier' if:

Selecione uma das seguintes:

  • 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

Explicação

Questão 12 de 16

1

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:

Selecione uma das seguintes:

  • generate higher yields

  • present less of a credit risk

  • be more sensitive to interest rate changes

  • represent a more diversified approach

Explicação

Questão 13 de 16

1

In which country can shareholders be assured that listed companies will comply with the OECD
Principles for Corporate Governance?

Selecione uma das seguintes:

  • France

  • Germany

  • UK

  • USA

Explicação

Questão 14 de 16

1

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:

Selecione uma das seguintes:

  • increase the likelihood that the stock would be suitable

  • decrease the likelihood that the stock would be suitable

  • automatically trigger an increase in the investor's required rate

  • automatically trigger a decrease in the investor's required rate

Explicação

Questão 15 de 16

1

Using Modern Portfolio Theory to create a two stock portfolio, which of the following is TRUE?

Selecione uma das seguintes:

  • The lower the correlation of stock returns, the greater the portfolio's diversification

  • The higher the correlation of stock returns, the greater the portfolio's diversification

  • The higher the correlation of stock returns, the lower the level of total risk associated with
    any given level of expected return

  • The lower the correlation of stock returns, the higher the level of total risk associated with
    any given level of expected return

Explicação

Questão 16 de 16

1

Which of the following does a passive investment manager principally invest in?

Selecione uma das seguintes:

  • Equities

  • An index

  • Fixed income

  • Other institutional funds

Explicação

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