6.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 asset portfolio weights equal to that of the index. B) a portfolio with factor sensitivities equal to that of the index. C) a portfolio with factor sensitivities that sum to one. D) the market portfolio. The correct answer was B) Enhanced indexing by matching primary risk factors (from the Volpert reading in Study Session 7) 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. 7.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 second year, Barefoot used 29 of the 30 DJIA stocks. She selected a non-DJIA stock in the same industry as the omitted DJIA stock to replace that stock. Compared to the DJIA, Barefoot placed a lower weight on the communication stocks and a higher weight on the other stocks still in the portfolio. Over that year, the non-DJIA stock in the portfolio had a positive and higher return than the omitted DJIA stock. The communication stocks had a negative return while all of the other stocks 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) both positive. B) positive and negative respectively. C) both negative. D) negative and positive respectively. The correct answer was A) Since the communications stocks had a negative return while all the other stocks had a positive return, Barefoot’s underweighting of those stocks produced a positive tilt return. Since the asset chosen to replace the DJIA stock outperformed the omitted stock, the asset selection return was positive. 8.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 0.0 to the time-horizon factor. C) 1.0 to the confidence risk factor and -1.0 to the time-horizon factor. D) 1.0 to the confidence risk factor and 0.0 to the time-horizon factor. The correct answer was D) 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. 9.A portfolio with a factor sensitivity of one to a particular factor in a multi-factor model and zero to all other factors is called a(n): A) arbitrage portfolio. B) factor portfolio. C) tracking portfolio. D) efficient portfolio. The correct answer was B) 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. A tracking portfolio is a portfolio with a specific set of factor sensitivities designed to replicate the factor exposures of a benchmark index. | 
发表于 2008-4-16 14:54
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