标题: Reading 31: Equity Portfolio Management－LOS p [打印本页]
作者: tycoon 时间: 2008-9-16 10:37 标题: [2008] Session 10－Reading 31: Equity Portfolio Management－LOS p
CFA Institute Area 8-11, 13: Asset Valuation
Session 10: Equity Portfolio Management
Reading 31: Equity Portfolio Management
LOS p, (Part 1): Contrast derivatives-based versus stock-based enhanced indexing strategies.
作者: tycoon 时间: 2008-9-16 10:38
How is risk controlled in a stock-based enhanced indexing strategy?
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B) | Through monitoring factor risk and industry exposures. |
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| C) | Selling equity futures contracts. |
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| D) | Buying puts on equity indices. |
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Answer and Explanation
In a stock-based enhanced indexing strategy, risk is controlled by monitoring factor risk and industry exposures.
作者: tycoon 时间: 2008-9-16 10:38
Which of the following concerning investment strategies is least accurate?
| A) | Stock-based enhanced indexing strategy can produce higher information ratios because investors can apply their knowledge to a large number of securities. |
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| B) | In a long-short, market neutral strategy the benchmark should be the risk-free rate. |
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C) | If a manager does not have an opinion about an index stock in stock-based enhanced indexing strategy, they will not hold the stock. |
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| D) | Growth portfolios will have higher turnover than value portfolios. |
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Answer and Explanation
If a manager does not have an opinion about an index stock in a stock-based enhanced indexing strategy, they will hold the stock at the same level as the benchmark. Stock-based enhanced indexing strategies can produce higher information ratios because the investor can systematically apply his knowledge to a large number of securities, each of which would require independent decisions. Because a long-short, market neutral strategy has no systematic risk, its benchmark should be the risk-free rate (the return on T-bills).
作者: tycoon 时间: 2008-9-16 10:39
Manager X follows the stocks in a broad market index and has made independent forecasts for 300 of them. Her information coefficient is 0.03. Manager Y has made independent forecasts for 100 stocks. His information coefficient is 0.05. Which manager has the better performance and why?
| A) | Manager Y because he has greater breadth. |
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| B) | Manager Y because he has more accurate forecasts. |
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C) | Manager X because she has greater breadth. |
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| D) | Manager X because she has more accurate forecasts. |
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Answer and Explanation
略
[此贴子已经被作者于2008-9-18 17:27:25编辑过]
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