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Q11. What is the expected return on a portfolio with $10 million invested in the Value Fund, $6 million in the Growth Fund, and $4 million in the Small-Cap Fund?
|
|
Value |
Growth |
Small-Cap |
|
Expected Return |
30.0% |
20.0% |
25.0% |
|
Standard Deviation |
24.0% |
18.0% |
16.0% |
|
Correlation Matrix |
|
|
Value |
Growth |
Small-Cap |
|
Value |
1.0 |
|
|
|
Growth |
0.3 |
1.0 |
|
|
Small-Cap |
0.5 |
0.4 |
1.0 |
A) 25.0%.
B) 26.0%.
C) 20.6%.
Q12. Sandy Wilson is a research analyst for WWW Equities Investments. She has just finished collecting the information on Table 1 to answer questions posed by her supervisor, Jackie Lewis. For example, using the Capital Market Line (CML), Lewis wants to know the market price of risk. Also, given all the attention paid to index funds in recent years, Lewis asked Wilson to see if any one of the securities would prove a better investment than the S& 500. If not, can she compose a portfolio from stocks A, B, and C that is more efficient than the S& 500?
Lewis wants Wilson to explore whether the results on Table 1 are congruent with the Capital Asset Pricing Model (CAPM). Using a regression analysis where the S& 500 represents the market portfolio, she computes the beta of Stock A, and finds that it equals one. Using this, she will derive the betas of the other stocks and compare them to betas estimated with other techniques. As she performs her calculations, she reviews reasons why her results might not be congruent with the CAPM. Lewis asserts that the S& 500 may not be a good proxy for “the market portfolio” needed for CAPM calculations.
Table 1
|
Expected Return and Risk for Selected Investments |
|
Investment |
Expected Return |
Standard Deviation |
|
Stock A |
12% |
30% |
|
Stock B |
15% |
35% |
|
Stock C |
11% |
40% |
|
S& 500 |
12% |
22% |
|
Treasury Bills |
3% |
0% |
|
Correlation Coefficient for Stocks A and B equals 0.4.
Correlation Coefficient for Stocks A and C equals -0.5.
Correlation Coefficient for Stocks B and C equals 0.1. |
Assuming that the S& 500 is the market portfolio and her estimates are accurate, what is the price of risk based on the slope of the Capital Market Line (CML)?
A) 0.545.
B) 0.409.
C) 0.250.
Q13. What is the expected return and standard deviation of a portfolio that consists of 40% of stock A and 60% of stock B?
A) Expected Return: 13.8%, Standard Deviation: 29.5%.
B) Expected Return: 13.8%, Standard Deviation: 33.0%.
C) Expected Return: 13.8%, Standard Deviation: 28.0%.
Q14. Wilson uses the computed beta of stock A, the covariance of stock A and B, and their standard deviations to compute stock B’s beta. Given stock B’s expected return, the results are:
A) not congruent with the CAPM, which supports Lewis’ assertion concerning the S& 500 as a proxy for the market.
B) not congruent with the CAPM, which does not support Lewis’ assertion concerning the S& 500 as a proxy for the market.
C) congruent with the CAPM, which does not support Lewis’ assertion concerning the S& 500 as a proxy for the market.
Q15. Based upon the given information, can Wilson compose a portfolio with any one of the three stocks and Treasury bills that is more efficient than the S& 500?
A) No, the S&P 500 is more efficient than any of the individual stocks.
B) Yes, stock B.
C) Yes, stock A.
Q16. With regards to the capital allocation line (CAL), moving along the CAL above the point of the tangency portfolio represents:
A) buying T-bills to reduce risk yet still maximize efficiency by being on the CAL.
B) increasing risk exposure by being above the efficient frontier.
C) borrowing at the risk-free rate to be invested in more than 100% of the tangency portfolio.
Q17. Which of the following is least likely an assumption of the Capital Asset Pricing Model (CAPM)?
A) Capital markets are perfectly competitive and all assets are marketable.
B) Investors can borrow and lend at the risk-free rate.
C) The distribution of investors' forecasts of a given asset’s return is normal.
Q18. Allen Marko, CFA, is analyzing the diversification benefits available from investing in three equity funds. He is basing his analysis on monthly returns for the three funds and an appropriate market index over the past twenty years. He feels that there is no reason that the past performance should not carry forward into the future. Treasury bills currently pay 5%.
Table 1: Expected Returns, Variances, and Covariance for Funds A, B, & C
|
|
Equity Fund A |
Equity Fund B |
Equity Fund C |
|
Average Return |
12% |
9% |
8% |
|
Variance |
0.0256 |
0.0196 |
0.0172 |
|
Correlation of A & B is 0.5
Correlation of A & C is 0.38
Correlation of B & C is 0.85 |
Marko has also obtained information about a fourth fund, Fund D. He does not have any information regarding the covariance of Fund D with Funds A, B, and C. The average return and variance for fund D are 10% and 0.018, respectively. The beta of Fund D is 0.714.
Based on this data, what is the expected return of a portfolio that is made up of 60% of Fund A, 30% of Fund B, and 10% of Fund C?
A) 10.2%.
B) 11.4%.
C) 10.7%.
Q19. Which of the following is closest to the standard deviation of a portfolio that is made up of 60% of Fund A, 30% of Fund B, and 10% of Fund C?
A) 14.840%.
B) 2.205%.
C) 13.062%.
Q20. With respect to the relative efficiencies of the Funds, which of the following is most accurate?
A) Fund B is inefficient relative to Fund D.
B) No determination is possible.
C) Fund B and D are both inefficient.
Q21. If Marko had to choose to form a portfolio using only T-bills and one of the four funds, which should he choose?
A) Fund B.
B) Fund D.
C) Fund A.
Q22. Which of the following statements regarding the graph of return vs. risk for all possible portfolio combinations consisting of Funds A, B, and C is least accurate?
A) Combinations of Fund A, B, and C will dominate all other combinations of portfolios that have a lower return for the same level of risk.
B) If the objective of the portfolio manager is to maximize return the optimal portfolio must lie on the curved line above the minimum-variance portfolio.
C) If the objective of the portfolio manager is to minimize risk the optimal portfolio must lie on the curved line below the minimum-variance portfolio.
[此贴子已经被作者于2009-4-2 10:50:44编辑过] | 
发表于 2009-4-2 10:42
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