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LOS a: Summarize the function of strategic asset allocation in portfolio management and discuss its role in relation to specifying and controlling the investor's exposures to systematic risk.
Q1. According to the modern portfolio theory, which risk is rewarded?
A) Systematic risk.
B) Total risk.
C) Efficient risk.
Q2. What does Strategic Asset Allocation allow managers to do with respect to systematic risk?
A) Reduce.
B) Identify and minimize.
C) Monitor and control.
Q3. Strategic asset allocation reflects what systematic risk exposure?
A) Asset class systematic risk.
B) Investor’s desired systematic risk exposure.
C) Long-term systematic risk exposure.
Q4. Each of the following statements concerns either strategic asset allocation or tactical asset allocation. Which of the following statements is least accurate?
A) Strategic asset allocation is typically a constant mix strategy.
B) Strategic asset allocation employs a long-run view of capital market conditions.
C) Tactical asset allocation employs a long-run view of capital market conditions.
Q5. In a market that can be characterized by up-down or down-up movements, rather than a sustained up or down trend, which of the following statements is least accurate with regard to the benefits of rebalancing the asset mix of a portfolio?
A) Under a buy and hold strategy, asset allocation changes occur solely in response to changes in relative market values.
B) Momentum-based rebalancing strategies outperform disciplined rebalancing strategies.
C) Disciplined rebalancing strategies are superior to a buy and hold strategy.
Q6. The first step in the portfolio construction process is called:
A) tactical asset allocation.
B) strategic asset allocation.
C) capital market expectation.
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Q7. Assignment of asset class weights for a portfolio based on long-term capital market expectations is called:
A) portfolio optimization.
B) strategic asset allocation.
C) tactical asset allocation.
Q8. Strategic asset allocation is based upon:
A) long-term capital market expectations and risk/return preferences of the investor.
B) short-term capital market expectations and the investment policy statement.
C) long-term capital market expectations and the investment policy statement.
Q9. Which of the following statements regarding the strategic asset allocation process is least accurate?
A) Strategic asset allocation, similar to tactical asset allocation, employs a short-run capital market projection.
B) The strategic asset allocation must be rebalanced periodically for changes in the valuation of the various asset classes in the portfolio.
C) The strategic asset allocation review is typically performed once per year.
Q10. Carl Allen and Cliff Hanes are analysts for Tacticon Advisory (Tacticon). Allen and Hanes have been assigned the task of documenting some of Tacticon’s asset allocation techniques. After receiving accolades in a recent trade magazine article featuring investment firms with innovative trading strategies, their supervisor, Amos Ridley, decides it is time the firm began formally documenting the firm’s proprietary asset allocation process.
Ridley wants Allen and Hanes to record the specifics of Tacticon’s investment process for internal use. He also wants them to compile a document explaining a variety of allocation techniques to be used by the marketing staff and portfolio managers when working with prospects and clients.
At their first meeting after receiving the assignment, a discussion of strategic and tactical allocation commences. Allen and Hanes feel confident about the distinction between the two, but are less certain about the differences between asset-liability management (ALM) versus asset-only approaches to asset allocation.
Hanes states “ALM and asset-only approaches are used for strategic asset allocation. With ALM an investor’s optimal asset allocation is directly related to explicit liability modeling. On the other hand, with asset-only strategies, liabilities only indirectly impact the return objective.”
Allen replies, “I’m not so sure. I thought that tactical, asset-only approaches like immunization and cash flow matching are more precise than ALM for controlling risk.”
Strategic asset allocation:
A) establishes a portfolio’s long-term asset class exposures by integrating each element of investment policy with capital market expectations.
B) sets a portfolio’s asset class exposures to unsystematic risk.
C) involves short-term variations from an investor’s normal asset mix.
Q11. Concerning the discussion between Hanes and Allen about ALM versus asset-only allocation approaches:
A) both are correct.
B) only one is correct.
C) both are incorrect. | 
发表于 2009-3-5 13:39
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