116、The final step in the portfolio management process is most likely to include:

Select exactly 1 answer(s) from the following:

A. investment research.

B. portfolio construction.

C. evaluation of portfolio performance.

D. evaluation of investor's investment knowledge.

117、The second step of the portfolio management process is least likely to include examining:

Select exactly 1 answer(s) from the following:

A. historical trends.

B. current social conditions.

C. projected financial forecasts.

D. current and projected political conditions.

118、Over time, the major source of investment return and risk is most likely attributed to:

Select exactly 1 answer(s) from the following:

A. market timing.

B. stockSelection.

C. asset allocation.

D. risk management.

119、When compared to investors living in a country with high inflation, investors living in a country with generous state pensions will most likely have allocations to equities and fixed income investments, respectively, that are:

Select exactly 1 answer(s) from the following:

A. AnswerA.

B. AnswerB.

C. AnswerC.

D. AnswerD.

120、An analyst gathered the following information about a portfolio comprised of two assets:

If the covariance of returns for the two assets equals 0.75, then the expected return and expected standard deviation of the portfolio are closest to:

Select exactly 1 answer(s) from the following:

A. AnswerA.

B. AnswerB.

C. AnswerC.

D. AnswerD.

答案和详解如下：

116 Correct answer is C

“The Asset Allocation Decision,” Frank K. Reilly and KeithC. Brown
2008 Modular Level I, Vol. 4, pp. 202-203
Study Session 12-49-a
describe the steps in the portfolio management process, and explain the reasons for a policy statement
The final step in the portfolio management process includes evaluating portfolio performance. Evaluation of investor’s investment knowledge, investment research, and portfolio construction are part of the first three steps in the process.

117 Correct answer is A

“The Asset Allocation Decision,” Frank K. Reilly and KeithC. Brown
2008 Modular Level I, Vol. 4, pp. 202-203
Study Session 12-49-a
describe the steps in the portfolio management process, and explain the reasons for a policy statement
The second step in the portfolio management process includes examining current and projected financial, economic, political, and social conditions. Historical trends may be educational, but the focus of the second phase is determining the short-term and intermediate-term expected conditions to use in constructing a specific portfolio.

118 Correct answer is C

“The Asset Allocation Decision,” Frank K. Reilly and KeithC. Brown
2008 Modular Level I, Vol. 4, pp. 218-220
Study Session 12-49-e
describe the importance of asset allocation, in terms of the percentage of a portfolio’s return that can be explained by the target asset allocation, and explain how political and economic factors result in differing asset allocations by investors in various countries
The asset allocation decision explains about 90% of a fund’s returns over time. Across all funds, asset allocation explains an average of 40% of the variation in fund returns, and slightly more than 100% of the average fund’s level of return.

119 Correct answer is C

“The Asset Allocation Decision,” Frank K. Reilly and KeithC. Brown
2008 Modular Level I, Vol. 4, pp. 223-224
Study Session 12-49-e
describe the importance of asset allocation, in terms of the percentage of a portfolio’s return that can be explained by the target asset allocation, and explain how political and economic factors result in differing asset allocations by investors in various countries
The need to invest for portfolio growth is higher in inflationary environments and lower in countries where workers receive generous state pensions.

120 Correct answer is C

“An Introduction to Portfolio Management,” Frank K. Reilly and KeithC. Brown
2008
Modular Level I, Vol. 4, pp. 230-245
Study Session 12-50-c
compute and interpret the expected return, variance, and standard deviation for an individual
investment and the expected return and standard deviation for a portfolio
The expected return of the portfolio is the weighted average return of the two
assets = 0.60 x 11 + 0.40 x 7 = 9.4%.
The expected standard deviation of the portfolio is calculated as:

= [(0.602 x 0.052) + (0.402 x 0.042) + (2 x 0.60 x 0.40 x 0.75 x 0.05 x 0.04)]0.5
= [0.0009 + 0.000256 + 0.00072]0.5
= [0.001876]0.5 = 0.0433 ≈ 4.3%

good

好好学习，天天向上。

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