1．Sidney Peterson is starting a new fund that is designed to have the same factor exposures as the Dow Jones Industrial Average, but seeks to outperform the index by at least 2% annually thorough superior stock selection. To achieve this, the fund would most likely use a:

A)   tracking portfolio.

B)   pure factor portfolio.

C)   top-down strategy.

D)   bottom-up strategy.

2．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% long position in the inflation factor portfolio.

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

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

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

[此贴子已经被作者于2008-4-18 14:57:19编辑过]

1．Sidney Peterson is starting a new fund that is designed to have the same factor exposures as the Dow Jones Industrial Average, but seeks to outperform the index by at least 2% annually thorough superior stock selection. To achieve this, the fund would most likely use a:

A)   tracking portfolio.

B)   pure factor portfolio.

C)   top-down strategy.

D)   bottom-up strategy.

The correct answer was A)

Tracking portfolios are typically used for active asset selection. A pure factor portfolio would be used to increase or decrease exposure to one specific factor, such as GNP. Top-down strategies are used to determine which industries to invest in. This would be unnecessary as the index composition already determines industry allocation. Conversely, a bottom-up strategy is also unsuitable because it solely focuses on a firm’s characteristics and fails to properly invest in the same industries as the index.

2．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% long position in the inflation factor portfolio.

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

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

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

The correct answer was D)

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.