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Portfolio Management【Reading 43】Sample

In the Markowitz framework, an investor should most appropriately evaluate a potential investment based on its:
A)
intrinsic value compared to market value.
B)
effect on portfolio risk and return.
C)
expected return.



Modern portfolio theory concludes that an investor should evaluate potential investments from a portfolio perspective and consider how the investment will affect the risk and return characteristics of an investor’s portfolio as a whole.

The ratio of a portfolio’s standard deviation of return to the average standard deviation of the securities in the portfolio is known as the:
A)
Sharpe ratio.
B)
relative risk ratio.
C)
diversification ratio.



The diversification ratio is calculated by dividing a portfolio’s standard deviation of returns by the average standard deviation of returns of the individual securities in the portfolio.

TOP

High risk tolerance, a long investment horizon, and low liquidity needs are most likely to characterize the investment needs of a(n):
A)
insurance company.
B)
bank.
C)
defined benefit pension plan.



A defined benefit pension plan typically has a long investment time horizon, low liquidity needs, and high risk tolerance. Insurance companies and banks typically have low risk tolerance and high liquidity needs. Banks and property and casualty insurers typically have short investment horizons.

TOP

Which of the following statements about the steps in the portfolio management process is NOT correct?
A)
Developing an investment strategy is based on an analysis of historical performance in financial markets and economic conditions.
B)
Rebalancing the investor’s portfolio is done on an as-needed basis, and should be reviewed on a regular schedule.
C)
Implementing the plan is based on an analysis of the current and future forecast of financial and economic conditions.



Developing an investment strategy is based primarily on an analysis of the current and future financial market and economic conditions. Historical analysis serves to help develop an expectation for future conditions.

TOP

Which of the following is generally the first general step in the portfolio management process?
A)
Develop an investment strategy.
B)
Write a policy statement.
C)
Specify capital market expectations.



The policy statement is the foundation of the entire portfolio management process. Here, both risk and return are integrated to determine the investor’s goals and constraints.

TOP

Which of the following would be assessed first in a top-down valuation approach?
A)
Fiscal policy.
B)
Industry return on equity (ROE).
C)
Industry risks.



In the top-down valuation approach, the investor should analyze macroeconomic influences first, then industry influences, and then company influences. Fiscal policy, as part of the macroeconomic landscape, should be analyzed first.

TOP

In the top-down approach to asset allocation, industry analysis should be conducted before company analysis because:
A)
most valuation models recommend the use of industry-wide average required returns, rather than individual returns.
B)
the goal of the top-down approach is to identify those companies in non-cyclical industries with the lowest P/E ratios.
C)
an industry's prospects within the global business environment are a major determinant of how well individual firms in the industry perform.



In general, an industry’s prospects within the global business environment determine how well or poorly individual firms in the industry do. Thus, industry analysis should precede company analysis. The goal is to find the best companies in the most promising industries; even the best company in a weak industry is not likely to perform well.

TOP

A pooled investment with a share price significantly different from its net asset value (NAV) per share is most likely a(n):
A)
open-end fund.
B)
exchange-traded fund.
C)
closed-end fund.



Closed-end funds’ share prices can differ significantly from their NAVs. Open-end fund shares can be purchased and redeemed at their NAVs. Market forces keep exchange-traded fund share prices close to their NAVs because arbitrageurs can profit by trading when there are differences.

TOP

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