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标题: [ 2009 Mock Exam (AM) ] Portfolio Management .Questions 115-120 [打印本页]
作者: bingning    时间: 2009-6-29 16:54     标题: [ 2009 Mock Exam (AM) ] Portfolio Management .Questions 115-120


115. An analyst collected the following data for an asset:
 ossible Rate
of Return (Percent)  		  robability   
   -10%    0.20
   -5    0.30
   10    0.40
   25    0.10
The variance of returns for the asset are closest to:

A. 121.
B. 188.
C. 213.

116. An analyst gathered the following information about a portfolio comprised of two assets:
   Asset     Weight (%)   Expected Return     Expected Standard Deviation  
    X      75      11%               5%
    Y      25       7%               4%
 If the correlation of returns for the two assets equals 0.75, and the risk-free interest rate 1 percent, then the expected standard deviation of the portfolio is closest to:
A. 3.07%.
B. 4.23%.
C. 4.55%.

117. An analyst has gathered monthly returns for two stock indexes A and B:
  Month  Returns for Index A  Returns for Index B  
   1        -6.4%       -6.2%
   2        6.6%       19.0%
   3      12.9%       -7.7%
   4       3.2%        4.0% 
The covariance between Index A and Index B is closest to:

A. 10.37.
B. 13.82.
C. 19.64.

作者: bingning    时间: 2009-6-29 16:54

 


115. An analyst collected the following data for an asset:
 ossible Rate
of Return (Percent)  		  robability   
   -10%    0.20
   -5    0.30
   10    0.40
   25    0.10
The variance of returns for the asset are closest to:

A. 121.
B. 188.
C. 213.

Answer: A
“Managing Investment Portfolio: A Dynamic Process” John Maginn, Donald Tuttle, Denis McLeavy, Jerald Pinto
2009 Modular Level I, Volume 4, pp. 226-227
Study Session 12-50-c Compute and interpret the expected return, variance, and standard deviation for individual investment and expected return and standard deviation for a portfolio. The variance of returns is = [(-10-3).2+(-5-3).3+(10-3).4+(25-3).1]=121

116. An analyst gathered the following information about a portfolio comprised of two assets:
   Asset     Weight (%)   Expected Return     Expected Standard Deviation  
    X      75      11%               5%
    Y      25       7%               4%
 If the correlation of returns for the two assets equals 0.75, and the risk-free interest rate 1 percent, then the expected standard deviation of the portfolio is closest to:
A. 3.07%.
B. 4.23%.
C. 4.55%.

Answer: C
“An Introduction to Portfolio Management,” Frank K. Reilly and Keith C. Brown 2009 Modular Level I, Volume 4, pp. 226-241
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.
Portfolio expected standard deviation = [(0. × 0.) + (0. × 0.) + (2 × 0.75 × 0.25 × 0.75 × 0.05 × 0.04)]0.5 = 4.55%

117. An analyst has gathered monthly returns for two stock indexes A and B:
  Month  Returns for Index A  Returns for Index B  
   1        -6.4%       -6.2%
   2        6.6%       19.0%
   3      12.9%       -7.7%
   4       3.2%        4.0% 
The covariance between Index A and Index B is closest to:

A. 10.37.
B. 13.82.
C. 19.64.

Answer: B
“Managing Investment Portfolio: A Dynamic Process,” John Maginn, Donald Tuttle, Denis McLeavy, Jerald Pinto 2009 Modular Level I, Volume 4, pp. 229-231
Study Session 12-50-d Compute and interpret the covariance of rates of return, and show how it is related to correlation coefficient.
Calculation of the covariance proceeds as follows: 1) Compute the average for each index:
Index A = (-6.4 + 6.6 + 12.9+3.2)/4 = 4.08 Index B = (-6.2 + 19.0 - 7.7 + 4)/4 = 2.28 2) Compute the following sum: (-6.4-4.08) × (-6.2-2.28) + (6.6-4.08) × (19.0-2.28) + (12.9-4.08) × (-7.7-2.28) + (3.2-4.08) × (4.0-2.28) = 41.47
3) Divide the sum found in 2) by number of observation minus one = 41.47/(4-1) =13.82

作者: bingning    时间: 2009-6-29 16:57


118. A completely diversified portfolio will most likely result in the elimination of:

A. systematic variance.
B. unsystematic variance.
C. both systematic and unsystematic variance.

119. Beta can be viewed as:

A. a measure of unsystematic risk.
B. covariance of an asset with the market portfolio.
C. correlation coefficient with the market portfolio.

120. For an investor borrowing money at the risk-free interest rate to invest in the market portfolio, the estimated rate of return of his portfolio is most likely to:

A. increase.
B. decrease.
C. remain unchanged.
作者: bingning    时间: 2009-6-29 16:57


118. A completely diversified portfolio will most likely result in the elimination of:

A. systematic variance.
B. unsystematic variance.
C. both systematic and unsystematic variance.

Answer: B
“Managing Investment Portfolio: A Dynamic Process,” John Maginn, Donald Tuttle, Denis McLeavy, Jerald Pinto 2009 Modular Level I, Volume 4, pp. 256-258
Study Session 12-51-c The candidate should be able to define systematic and unsystematic risk, and explain why an investor should not expect to receive additional return for assuming unsystematic risk;
A completely diversified portfolio, such as the market portfolio, will eliminate all unsystematic risk. Systematic risk cannot be diversified away.

119. Beta can be viewed as:

A. a measure of unsystematic risk.
B. covariance of an asset with the market portfolio.
C. correlation coefficient with the market portfolio.

Answer: B
“Managing Investment Portfolio: A Dynamic Process,” John Maginn, Donald Tuttle, Denis McLeavy, Jerald Pinto
2009 Modular Level I, Volume 4, pp. 259-260
Study Session 12-51-d; Explain the capital asset pricing model, including the security market line (SML) and beta, and describe the effect of relaxing its underlying assumptions; Beta is a standardized measure of risk because it relates this covariance to the variance of the market portfolio.

120. For an investor borrowing money at the risk-free interest rate to invest in the market portfolio, the estimated rate of return of his portfolio is most likely to:

A. increase.
B. decrease.
C. remain unchanged.

Answer: A
“Managing Investment Portfolio: A Dynamic Process,” John Maginn, Donald Tuttle, Denis McLeavy, Jerald Pinto 2009 Modular Level I, Volume 4, p 254
Study Session 12-51 a;
The candidate should be able to explain the capital market theory, including the underlying assumptions, and explain the effect on expected returns, the standard deviation of returns, and possible risk/return combinations when risk-free asset is combined with a portfolio of risky assets;
An investor who wants to attain a higher estimated rate of return than the market portfolio may want to use leverage by borrowing money at the risk-free of interest.
作者: viss    时间: 2010-11-6 23:05

123
作者: xxjj564    时间: 2011-2-11 09:04

 a



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