likaiba

 

AIM 5: Describe the portfolio-based performance analysis, including the use of performance attribution and performance analysis.

1、The fundamental goal of investment performance analysis is:

A) to develop non-parametric estimates. 

B) to compare past performance with future performance.

C) to estimate residual variance.

D) to distinguish skill from luck.

likaiba

 

The correct answer is D

The remaining statements are not the goals of investment performance analysis.

likaiba

 

2、Which of the following statements regarding portfolio attribution and portfolio performance analysis are CORRECT?

I.           Performance analysis is used to determine the statistical significance of information ratios (IR).

II.         Performance attribution analysis focuses on portfolio returns over a single period.

III.        Returns-based performance analysis is based on a top-down approach.

IV.      Portfolio-based analysis involves a three step process: cross-sectional analysis, portfolio attribution, and performance analysis.

A) I, II, III, and IV.

B) I, II, and IV only.

C) I, II, and III only.

D) II, III, and IV only.

likaiba

 

The correct answer is C

Portfolio-based analysis involves a two-step process: portfolio attribution and portfolio performance analysis.

likaiba

 

3、Which of the following statements is (are) CORRECT? Investment returns can be defined as:

I.           compound returns.

II.         geometric returns.

III.        arithmetic returns.

IV.      logarithmic returns.

A) III only.

B) I, II, III, and IV.

C) I, II, and III only.

D) I and III only.

likaiba

 

The correct answer is B

All the stated returns are examples of investment returns.

likaiba

 

AIM 6: Define, describe, and calculate active systematic returns, expected active beta returns, active beta surprise, and active benchmark timing return.

1、How many of the following statements regarding active systematic returns are NOT correct?

I.           Active returns are defined as the difference between the manager’s portfolio returns and the benchmark returns.

II.         Expected active beta return is the return that results from the product of average active beta and the long-run expected benchmark excess return, where excess return is defined as the realized return minus the risk-free rate.

III.        Active beta surprise is the product of active beta and the deviation of the benchmark returns from its long-term expected return.

IV.      Active benchmark timing return is a product of the deviation from the average beta and the deviation from the benchmark return.

A) Four of these.

B) Two of these.

C) One of these.

D) None of these.

likaiba

 

The correct answer is D

All of these statements are correct.

binsi

顶

neda

[em224]