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Q4. Which of the following characteristics of asset classes is most desirable? Asset classes should: ffice ffice" />
A) have an index.
B) be mutually exhaustive.
C) be negatively correlated.
Correct answer is B)
One of the desired characteristics of asset classes is that they should be mutually exhaustive- or cover most of the investable assets. They also should not be highly (positively or negatively) correlated with each other.
Q5. Which of the following would indicate that an asset class is useful for describing the returns of a portfolio?
A) The error term is high.
B) The intercept term is significantly different from zero.
C) The R-squared of the model is high.
Correct answer is C)
A high R-squared would indicate that the model explains a good proportion of portfolio returns.
Q6. Which of the following is NOT a desirable characteristic of an asset class used for describing the returns on a portfolio?
A) It should be easy to construct a bogey portfolio for each class.
B) The residual from the regression model of returns should be heteroskedastic.
C) The asset classes used should explain a large part of the variability of portfolio returns.
Correct answer is B)
The asset classes used should explain a large part of portfolio return variability, and it should be easy to construct a bogey portfolio for each class. Heteroskedasticity refers to a non-constant variance of the error terms in a regression, which makes the regression model unreliable.
Q7. Which of the following would indicate that the asset classes used for describing the returns of a portfolio are desirable?
A) High R-squared and large confidence intervals.
B) Low R-squared and easily measured manager asset proportions.
C) High R-squared and easily measured manager asset proportions.
Correct answer is C)
Desirable asset classes would explain a high proportion of portfolio returns and thus have a high R-squared. The asset mix proportions for each manager should be easily measured.
Q8. Which of the following statements regarding the characteristics of asset classes is most correct? Asset classes should:
A) have an index.
B) be negatively correlated.
C) not be highly correlated.
Correct answer is C)
Asset classes should not be highly correlated with each other is a desired characteristic. Furthermore, asset classes should be mutually exclusive and collectively mutually exhaustive.
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发表于 2009-3-5 14:25
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