1.The implication of efficient capital markets and a lack of superior analysts have led to the introduction of:

A)   futures options.

B)   January funds.

C)   balanced funds.

D)   index funds.

2.Under the Efficient Market Hypothesis (EMH), the major effort of the portfolio manager should be to:

A)   minimize systematic risk in the portfolio.

B)   stay the course by following a strict buy and hold strategy.

C)   achieve complete diversification of the portfolio.

D)   maintain the same investment plan over time.

3.A portfolio manager should help an individual do all of the following EXCEPT:

A)   rebalance portfolios when necessary.

B)   ignore risk tolerances because markets are efficient.

C)   determine the client's risk-return preferences.

D)   offer the client diversification and a stable risk level.

4.Which of the following statements does NOT describe the role of a portfolio manager in perfectly efficient markets? Portfolio managers should:

A)   construct diversified portfolios that include international securities to eliminate unsystematic risk.

B)   quantify client's risk tolerance, communicate portfolio policies and strategies, and maintain a strict buy and hold policy avoiding any changes in the portfolio to minimize transaction costs.

C)   help clients minimize taxes and reduce trading turnover.

D)   construct a portfolio that includes financial and real assets.

5.The performance of professional money managers taken as a whole has been:

A)   below average.

B)   above average.

C)   better than a simple buy and hold strategy.

D)   a support for semi-strong form of the EMH.

答案和详解如下：

1.The implication of efficient capital markets and a lack of superior analysts have led to the introduction of:

A)   futures options.

B)   January funds.

C)   balanced funds.

D)   index funds.

The correct answer was D)

An index fund is designed to duplicate the composition of a specific index series or market segment. There is a strong argument suggesting that portfolio managers cannot beat the market after fees, therefore an index fund should be used to try to match the market.

2.Under the Efficient Market Hypothesis (EMH), the major effort of the portfolio manager should be to:

A)   minimize systematic risk in the portfolio.

B)   stay the course by following a strict buy and hold strategy.

C)   achieve complete diversification of the portfolio.

D)   maintain the same investment plan over time.

The correct answer was C)

In an efficient market, portfolio managers must create and maintain the appropriate mix of assets to meet their client’s needs. The portfolio should be diversified to eliminate unsystematic risk. The appropriate systematic risk will depend on the clients risk tolerance and return requirement. Over time the needs of the client and environment will justify changes to the portfolio. The manager should also try to minimize transaction costs and at least try to match the performance of a benchmark.

3.A portfolio manager should help an individual do all of the following EXCEPT:

A)   rebalance portfolios when necessary.

B)   ignore risk tolerances because markets are efficient.

C)   determine the client's risk-return preferences.

D)   offer the client diversification and a stable risk level.

The correct answer was B)

Portfolio managers should help their clients quantify their risk tolerances and return needs within the bounds of the client’s liquidity, income, time horizon, legal, and regulatory constraints.

4.Which of the following statements does NOT describe the role of a portfolio manager in perfectly efficient markets? Portfolio managers should:

A)   construct diversified portfolios that include international securities to eliminate unsystematic risk.

B)   quantify client's risk tolerance, communicate portfolio policies and strategies, and maintain a strict buy and hold policy avoiding any changes in the portfolio to minimize transaction costs.

C)   help clients minimize taxes and reduce trading turnover.

D)   construct a portfolio that includes financial and real assets.

The correct answer was B)

A portfolio manager should quantify each client's risk tolerance and communicate portfolio policies and strategies. However, portfolio managers should monitor client's needs and changing circumstances and make appropriate changes to the portfolio. Adhering to a strict buy and hold policy would not be in the client's best interest. Portfolios need to be rebalanced and changed to meet client’s changing needs.

5.The performance of professional money managers taken as a whole has been:

A)   below average.

B)   above average.

C)   better than a simple buy and hold strategy.

D)   a support for semi-strong form of the EMH.

The correct answer was A)

The implication of the strong-form tests is that money managers as a group have not outperformed the buy-and-hold policy. In fact after accounting for fees, mutual funds, bank trust departments, pension plans, and endowment funds are not able to match the performance of a simple buy-and-hold policy.