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LOS m, (Part 2): Explain factor portfolio and tracking portfolio.
Q1. 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% short position in the inflation factor portfolio.
B) 30% short position in the inflation tracking portfolio.
C) 30% long position in the inflation factor portfolio.
Q2. 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) bottom-up strategy.
B) tracking portfolio.
C) pure factor portfolio. | 
发表于 2009-4-2 13:24
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