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周教授CFA金融课程:2021年CFA一二三级系列课程
Which of the following statements regarding asset allocation strategies is least accurate?
A)
Tactical allocation is a contrarian investment strategy.
B)
In order to effectively implement a strategic asset allocation strategy, the investor's risk tolerance must remain constant.
C)
Strategic asset allocation is a drifting mix strategy.



Strategic asset allocation is a constant-mix strategy. It requires that a portfolio is rebalanced in order to maintain a prescribed allocation.

TOP

Strategic asset allocation analysis:
A)
often results in a buy and hold strategy.
B)
often results in constant mix strategies.
C)
is usually done more frequently than tactical asset allocation.



This is often expressed as a percentage of total value invested in each asset class.
Strategic asset allocation analysis is usually done whenever the investor's circumstances change significantly and is often done as frequently as yearly. It is based on long-run capital market conditions, and requires transactions to rebalance the mix periodically.

TOP

Deviation from the policy portfolio due to short-term capital market expectations is called:
A)
strategic asset allocation.
B)
targeted asset allocation.
C)
tactical asset allocation.



Tactical asset allocation is the deviation from the policy portfolio (Strategic asset allocation) based on short-term capital market expectations.

TOP

Bruce Calloway is interested in utilizing an appropriate asset allocation strategy for his portfolio. His long-term view of the capital market conditions is that there will always be change and opportunities to capture excess returns in the market. As a risk neutral investor, he is a consistent risk taker and his risk tolerance on his portfolio can be expected to be constant based on such market expectations. Which asset allocation strategy is the most appropriate strategy for his portfolio?
A)
The tactical asset allocation strategy is most appropriate since this strategy assumes the investor’s risk tolerance is constant and his capital market expectations are subject to frequent change.
B)
The dynamic strategic asset allocation strategy is most appropriate since this allows the capability to quickly move in and out of different assets as market conditions change.
C)
The strategic asset allocation strategy is most appropriate since this strategy allows the portfolio to be periodically rebalanced according to market conditions.



The most appropriate asset allocation strategy is the tactical strategy. This strategy assumes that the investor’s risk tolerance is constant and his capital market expectations are subject to frequent change. The tactical strategy assumes that investment allocation decisions are based on current market conditions, but the risk tolerances do not change with changes in wealth levels. For example, when the market conditions are bearish, the investor’s view of risk does not change with respect to capital commitments to stocks and will allocate a consistent level of his portfolio to cash or bonds. In bull market or when markets rally, the investor’s risk tolerance will not change and would continue to allocate consistent amounts to stocks and cash or bonds.

TOP

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 both the variability in returns and the portfolio long-term performance.
B)
strategic asset allocation for the variability in returns and tactical asset allocation for the portfolio long-term performance.
C)
tactical asset allocation for the variability in returns and strategic asset allocation for the portfolio long-term performance.



Strategic asset allocation combines long-term capital market expectations, investor risk and return objectives, and constraints to determine target weight to asset classes. A study by Brinson, Hood, and Beebower (1986) found that 94% of the variability of portfolio returns is explained by the portfolio’s strategic asset allocation. A second study by the Vanguard Group (2003) showed that more than 100% of the long-term performance of a portfolio is explained by its strategic allocation. Based on these studies and others, the importance of strategic asset allocation for portfolio performance is without question.

TOP

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 and Cloe’s only.
B)
Prickett’s, Rorrer’s, and Cloe’s.
C)
Rorrer’s and Cloe’s only.



All three of the students’ statements are accurate and all three support the conclusion that strategic asset allocation is the most important factor for defining portfolio performance. A clearly defined asset allocation provides discipline and focus on an investor’s goals by ensuring that the investor’s portfolio accurately reflects the investor’s desires with respect to risk and return. Also, empirical studies support the conclusion that strategic asset allocation (not timing or security selection) defines the vast majority of a portfolio’s long term performance, and the variability of portfolio returns.

TOP

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 1 only.
B)
Statement 2 only.
C)
both Statement 1 and Statement 2.



Williams should agree with Statement 1. Even though investment managers are “experts” at selecting good investments, investment managers need discipline in the search for reward versus systematic risk. A clearly defined asset allocation provides such discipline by ensuring that the investor’s portfolio accurately reflects the investor’s desires with respect to risk and return. Williams should disagree with Statement 2. It is true that over the long run, asset classes do respond somewhat homogenously to systematic (macroeconomic) risk factors, however, this supports the conclusions drawn by empirical studies that strategic asset allocation tends to explain the majority of the variability in portfolio returns. This is because the asset class selected (not necessarily the security or timing) will tend to dictate the response of the portfolio to changes in interest rates or other macro economic factors.

TOP

The investment committee of a life insurance company recommends a strategic asset allocation for the company based on the projected policy premium inflows and payouts along with long-term capital market expectations. This approach to strategic asset allocation is known as the:
A)
static approach.
B)
asset-liability approach.
C)
investment policy statement approach.



Because the committee takes into account the company’s inflows and outflows (liabilities), the approach is called the asset-liability approach to strategic asset allocation.

TOP

Mark Zedon, a financial consultant prepares a strategic asset allocation for his client based on the client’s risk/return preferences. This approach to strategic asset allocation is called the:
A)
efficient frontier approach.
B)
asset only approach.
C)
investment policy statement approach.



Because the consultant only takes into account the investor’s risk and return preferences, he is using the asset only approach to strategic asset allocation.

TOP

Which one of the following most closely matches an advantage of the asset-liability approach over the asset only approach to strategic asset allocation?
A)
Asset classes have different systematic risk exposures.
B)
Liability funding is more accurately controlled.
C)
Liabilities and assets are highly correlated.



The asset-liability approach to strategic asset allocation is desirable because liabilities are more accurately controlled.

TOP

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