Reading 64: Portfolio Concepts-LOS M习题精选

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2^#

发表于 2010-4-14 16:10 | 只看该作者

A portfolio manager uses a two-factor model to manage her portfolio. The two factors are confidence risk and time-horizon risk. If she wants to bet on an unexpected increase in the confidence risk factor (which has a positive risk premium), but hedge away her exposure to time-horizon risk (which has a negative risk premium), she should create a portfolio with a sensitivity of:

A)	1.0 to the confidence risk factor and -1.0 to the time-horizon factor.

B)	?1.0 to the confidence risk factor and 1.0 to the time-horizon factor.

C)	1.0 to the confidence risk factor and 0.0 to the time-horizon factor.

She wants to create a confidence risk factor portfolio, which has a sensitivity of 1.0 to the confidence risk factor and 0.0 to the time horizon factor. Because the risk premium on the confidence risk factor is positive, an unexpected increase in this factor will increase the returns on her portfolio. The exposure to the time-horizon risk factor has been hedged away, because the sensitivity to that factor is zero.

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3^#

发表于 2010-4-14 16:10 | 只看该作者

A)	1.0 to the confidence risk factor and -1.0 to the time-horizon factor.

B)	?1.0 to the confidence risk factor and 1.0 to the time-horizon factor.

C)	1.0 to the confidence risk factor and 0.0 to the time-horizon factor.

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4^#

发表于 2010-4-14 16:11 | 只看该作者

A common strategy in bond portfolio management is enhanced indexing by matching primary risk factors. This strategy could be implemented by forming:

A)	a portfolio with factor sensitivities that sum to one.

B)	a portfolio with factor sensitivities equal to that of the index.

C)	a portfolio with asset portfolio weights equal to that of the index.

Enhanced indexing by matching primary risk factors could be implemented by creating a tracking portfolio with the same factor sensitivities as the index but with a different set of bonds. Then any differences in performance between the portfolio and the benchmark index will be the result of bond selection ability and not from different exposures to macroeconomic factors like GDP, inflation, and interest rates.

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5^#

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A portfolio with a specific set of factor sensitivities designed to replicate the factor exposures of a benchmark index is called a:

A)	factor portfolio.

B)	tracking portfolio.

C)	arbitrage portfolio.

A tracking portfolio is a portfolio with a specific set of factor sensitivities designed to replicate the factor exposures of a benchmark index. A factor portfolio is a portfolio with a factor sensitivity of one to a particular factor and zero to all other factors. An arbitrage portfolio is a portfolio with factor sensitivities of zero to all factors, positive expected net cash flow, and an initial investment of zero.

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6^#

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Janice Barefoot, CFA, has been managing a portfolio for a client who has asked Barefoot to use the Dow Jones Industrial Average (DJIA) as a benchmark. In her first year Barefoot managed the portfolio by choosing 29 of the 30 DJIA stocks. She selected a non-DJIA stock in the same industry as the omitted stock to replace that stock. Compared to the DJIA, Barefoot has placed a higher weight on the financial stocks and a lower weight on the other stocks still in the portfolio. Over that year, the non-DJIA stock in the portfolio had a negative return while the omitted DJIA stock had a positive return. The portfolio managed by Barefoot outperformed the DJIA. Based on this we can say that the return from factor tilts and asset selection were:

A)	negative and positive respectively.

B)	positive and negative respectively.

C)	both positive.

Since the replacement of the asset obviously had a negative effect, the tilting towards financial stocks must have been positive to not only compensate for the loss but produce a portfolio return greater than the DJIA.

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7^#

发表于 2010-4-14 16:11 | 只看该作者

A)	negative and positive respectively.

B)	positive and negative respectively.

C)	both positive.

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8^#

发表于 2010-4-14 16:12 | 只看该作者

A tracking portfolio is a portfolio with:

A)	factor sensitivities of zero to all factors, positive expected net cash flow, and an initial investment of zero.

B)	a specific set of factor sensitivities designed to replicate the factor exposures of a benchmark index.

C)	a factor sensitivity of one to a particular factor in a multi-factor model and zero to all other factors.

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9^#

发表于 2010-4-14 16:12 | 只看该作者

A factor portfolio is a portfolio with:

A)	a specific set of factor sensitivities designed to replicate the factor exposures of a benchmark index.

B)	factor sensitivities of zero to all factors, positive expected net cash flow, and an initial investment of zero.

C)	a factor sensitivity of one to a particular factor in a multi-factor model and zero to all other factors.

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The Real Value Fund is designed to have zero exposure to inflation. However its current inflation factor sensitivity is 0.30. To correct for this, the portfolio manager should take a:

A)	30% short position in the inflation factor portfolio.

B)	30% short position in the inflation tracking portfolio.

C)	30% long position in the inflation factor portfolio.

To hedge inflation, the fund should take a 30% short position in the inflation factor portfolio. This short position will fully offset the fund’s positive exposure to inflation. Tracking portfolios are typically used for active asset selection and have multiple factor exposures which would prevent them from adequately hedging the inflation exposure of the fund.