1.A factor portfolio is a portfolio with: A) a factor sensitivity of one to a particular factor in a multi-factor model and zero to all other factors. B) factor sensitivities of zero to all factors, positive expected net cash flow, and an initial investment of zero. C) a factor sensitivity of zero to a particular factor in a multi-factor model and one to all other factors. D) a specific set of factor sensitivities designed to replicate the factor exposures of a benchmark index. The correct answer was A) 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. A tracking portfolio is a portfolio with a specific set of factor sensitivities designed to replicate the factor exposures of a benchmark index. 2.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 factor sensitivity of zero to a particular factor in a multi-factor model and one to all other factors. C) a specific set of factor sensitivities designed to replicate the factor exposures of a benchmark index. D) a factor sensitivity of one to a particular factor in a multi-factor model and zero to all other factors. The correct answer was C) 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. 3.Janice Barefoot, CFA, has managed a portfolio where she used the Dow Jones Industrial Average (DJIA) as a benchmark. In the past two years the average monthly return on her portfolio has been higher than that of the DJIA. To get a measure of active return per unit of active risk Barefoot should compute the: A) Sharpe ratio, which is the standard deviation of the differences between the portfolio and benchmark returns divided into the average of those differences. B) information ratio, which is the standard deviation of the differences between the portfolio and benchmark returns divided by the average of those differences. C) Sharpe ratio, which is the standard deviation of the differences between the portfolio and benchmark returns divided by the average of those differences. D) information ratio, which is the standard deviation of the differences between the portfolio and benchmark returns divided into the average of those differences. The correct answer was D) The information ratio is the measure of active return per unit of active risk. If we let X = monthly portfolio return minus the benchmark return, then the information ratio is the average of X divided by the standard deviation of X. It is similar to the Sharpe ratio, which defines the random variable Y as Y = monthly portfolio return minus the risk-free rate. The Sharpe ratio is the average of Y divided by the standard deviation of the portfolio return, which equals the standard deviation of Y if the risk-free rate is constant. 4.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) positive and negative respectively. B) both positive. C) both negative. D) negative and positive respectively. The correct answer was A) 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. 5.A portfolio with a specific set of factor sensitivities designed to replicate the factor exposures of a benchmark index is called a: A) arbitrage portfolio. B) factor portfolio. C) tracking portfolio. D) efficient portfolio. The correct answer was C) 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. An efficient portfolio is, in the context of mean-variance analysis, a portfolio with a higher expected return than all other portfolios with the same level of risk. | 
发表于 2008-4-16 14:53
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