LOS g: Evaluate whether an asset class or set of asset classes has been appropriately specified.
Q1. Which of the following characteristics of asset classes is most desirable? Asset classes should:
A) have an index.
B) be negatively correlated.
C) be mutually exclusive.
Q2. Based on the following information, which asset class is the least significant in an efficient portfolio with an expected return of 12.50%?
The following are the long-term capital market expectations:
|
|
Asset Class |
Expected
Return |
Exp. Std. Dev. |
|
1 |
US Equity |
12.00% |
16.00% |
|
2 |
US Bonds |
8.25% |
6.50% |
|
3 |
Intl Equities |
14.00% |
18.00% |
|
4 |
Intl Bonds |
9.25% |
12.25% |
|
5 |
Alt Inv |
11.50% |
21.00% |
The details of each corner portfolio are given below.
|
Corner
Portfolio |
Expected
Return |
Exp. Std.
Dev. |
Sharpe
Ratio |
Asset Class Weights |
|
1 |
2 |
3 |
4 |
5 |
|
1 |
14.00% |
18.00% |
0.639 |
0.00% |
0.00% |
100.00% |
0.00% |
0.00% |
|
2 |
13.66% |
16.03% |
0.696 |
0.00% |
0.00% |
86.36% |
0% |
14.00% |
|
3 |
13.02% |
13.58% |
0.775 |
21.69% |
0.00% |
56.56% |
0.00% |
21.76% |
|
4 |
12.79% |
13.00% |
0.792 |
21.48% |
0.00% |
52.01% |
5.24% |
21.27% |
|
5 |
10.54% |
8.14% |
0.988 |
9.40% |
51.30% |
26.55% |
0.00% |
12.76% |
|
6 |
8.70% |
6.32% |
0.981 |
0.00% |
89.65% |
4.67% |
0.00% |
5.68% |
A) International bonds with a weight of 4.56%.
B) US bonds with a weight of 3.71%.
C) Alternative investments with a weight of 20.17%.
Q3. Following information is a partial list of corner portfolios:
|
Portfolio |
Exp. Return |
Std. Dev. |
Asset class weights |
|
1 |
2 |
3 |
|
|
1 |
12.00% |
10.50% |
65.00% |
0.00% |
35.00% |
|
|
2 |
16.50% |
14.00% |
15.00% |
20.00% |
50.00% |
|
|
3 |
18.00% |
20.00% |
30.00% |
20.00% |
25.00% |
|
|
4 |
23.00% |
24.00% |
15.00% |
20.00% |
55.00% |
|
Which asset class is the most significant for an efficient portfolio with an expected return of 15% and the approximate standard deviation of this efficient portfolio?
A) Asset class 1, 15.00%.
B) Asset class 2, 12.85%.
C) Asset class 3, 12.85%.
[此贴子已经被作者于2009-3-5 14:30:33编辑过] | 
发表于 2009-3-5 14:20
| 