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LOS c: Appraise the importance of asset allocation for portfolio performance.
Q1. Brad Windbigler and Crystal Williams, portfolio managers for Lucite Investment Management, are discussing the importance of asset allocation for portfolio performance. In their conversation, Windbigler makes two statements:
Statement 1: “A clearly defined strategic asset allocation provides discipline in ensuring that the investor’s portfolio accurately reflects the investor’s desires with respect to risk and return.”
Statement 2: “Over the long run, asset classes seem to respond somewhat homogenously to systematic risk factors, which means that tactical asset allocation will tend to explain the majority of the variability of portfolio returns.
After listening to Windbigler’s statements, Williams should agree with:
A) Statement 2 only.
B) both Statement 1 and Statement 2.
C) Statement 1 only.
Q2. Professor Erik Rickel, an instructor for Babcock College asked his Investments 340 class to identify reasons that support the conclusion that strategic asset allocation is the most important factor for defining portfolio performance. Three of Rickel’s students raised their hands and gave answers to his question. The answers given are as follows:
Prickett: “Defining an investor’s strategic asset allocation helps the portfolio manager focus on the investor’s goals with respect to risk and return.”
Rorrer: “Results of academic studies show that the overall returns to market timing and security selecting are minimal at best and in many cases do not cover a portfolio’s operating expenses and trading costs.”
Cloe: “Since the assets within asset classes tend to have a similar response to macroeconomic changes, the target weights of the portfolio’s chosen asset classes will tend to drive the variability of portfolio returns.”
Which of the students’ statements accurately support the conclusion that strategic asset allocation is the most important factor for defining portfolio performance?
A) Prickett’s, Rorrer’s, and Cloe’s.
B) Prickett’s and Cloe’s only.
C) Rorrer’s and Cloe’s only.
Q3. Empirical studies indicate that the majority of the variability in a portfolio’s returns and a portfolio’s long-term performance are each respectively explained by:
A) strategic asset allocation for the variability in returns and tactical asset allocation for the portfolio long-term performance.
B) strategic asset allocation for both the variability in returns and the portfolio long-term performance.
C) tactical asset allocation for the variability in returns and strategic asset allocation for the portfolio long-term performance.
[此贴子已经被作者于2009-3-5 13:57:01编辑过] | 
发表于 2009-3-5 13:55
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