1.Which of the following have studies shown has the greatest impact on the return of a portfolio?

A)   Security selection.

B)   Target asset allocation.

C)   Market timing.

D)   Manager selection.

2.David Hoch, a graduate student at Miami University, is putting together a research paper on differences in asset allocations between countries. Hoch’s paper contains the following statements:

Hoch’s finance professor, Walter Denk, reads his research paper. Which of the following conclusions would be most valid for Denk to make?

A)   Statement 2 reflects a common reason why average asset allocations differ across countries, but Statement 3 does not.

B)   Statement 1 reflects a common reason why average asset allocations differ across countries, but Statement 2 does not.

C)   Both Statements 1 and 4 reflect common reasons why average asset allocations differ across countries.

D)   Statement 3 reflects a common reason why average asset allocations differ across countries, but Statement 1 does not.

3．The manager of the Fullen Balanced Fund is putting together a report that breaks out the percentage of portfolio return that is explained by the target asset allocation, security selection, and tactical variations from the target, respectively. Which of the following sets of numbers was the most likely conclusion for the report?

A)   90%, 6%, 4%.

B)   50%, 25%, 25%.

C)   33%, 33%, 33%.

D)   20%, 30%, 50%.

答案和详解如下：

1.Which of the following have studies shown has the greatest impact on the return of a portfolio?

A)   Security selection.

B)   Target asset allocation.

C)   Market timing.

D)   Manager selection.

The correct answer was B)

Several studies support the idea that approximately 90 percent of a portfolio’s returns can be explained by its target asset allocations. Security selection, manager selection and market timing are all less important factors.

2.David Hoch, a graduate student at Miami University, is putting together a research paper on differences in asset allocations between countries. Hoch’s paper contains the following statements:

Statement 1:	Countries with higher income tax rates typically have lower allocations to bonds.
Statement 2:	Countries with older populations typically have lower allocations to equities.
Statement 3:	A strong government pension program may decrease the average equity allocation of a country’s citizens.
Statement 4:	Countries with an historical aversion to financial risk typically have lower allocations to equities.

Hoch’s finance professor, Walter Denk, reads his research paper. Which of the following conclusions would be most valid for Denk to make?

A)   Statement 2 reflects a common reason why average asset allocations differ across countries, but Statement 3 does not.

B)   Statement 1 reflects a common reason why average asset allocations differ across countries, but Statement 2 does not.

C)   Both Statements 1 and 4 reflect common reasons why average asset allocations differ across countries.

D)   Statement 3 reflects a common reason why average asset allocations differ across countries, but Statement 1 does not.

The correct answer was C)

Average asset allocations differ across countries for reasons related to demographics, social factors, legal constraints, and taxation. Each of the four statements made by Hoch are an example of one of these factors, therefore all four of the statements reflect common reasons why average asset allocations differ across countries.

3．The manager of the Fullen Balanced Fund is putting together a report that breaks out the percentage of portfolio return that is explained by the target asset allocation, security selection, and tactical variations from the target, respectively. Which of the following sets of numbers was the most likely conclusion for the report?

A)   90%, 6%, 4%.

B)   50%, 25%, 25%.

C)   33%, 33%, 33%.

D)   20%, 30%, 50%.

The correct answer was A)

Several studies support the idea that approximately 90 percent of a portfolio’s returns can be explained by its target asset allocations, with security selection and tactical variations from the target (market timing) playing a much less significant role. In fact, for actively managed funds, actual portfolio returns are slightly less than those that would have been achieved if the manager strictly maintained the target allocation, thus illustrating the difficultly of improving returns through security selection or market timing.

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