答案和详解如下： 1.When markets are at equilibrium, all asset A) alphas will equal zero. B) alphas will be positive. C) betas will equal zero. D) betas will be positive. The correct answer was A) When markets are at equilibrium, forecast returns equal equilibrium expected returns. The stock’s alpha is defined as the difference between the analyst’s forecast return for the stock and the stock’s equilibrium expected return. Therefore, when markets are at equilibrium, all alphas will equal zero. 2.Gemini Investment Management Company (GIMC) assumes markets will remain at equilibrium indefinitely. GIMC defines security analysis as the examination of factors affecting the value of individual securities. GIMC defines asset allocation as the examination of factors affecting the optimal allocation of assets to the market portfolio and to the risk-free asset. Given GIMC’s assumption that markets are at equilibrium indefinitely, indicate whether GIMC should place significant or insignificant emphasis on security selection and asset allocation.
| Security selection | Asset allocation |
A) Insignificant Insignificant B) Significant Insignificant C) Significant Significant D) Insignificant Significant The correct answer was D) When markets are at equilibrium, all asset prices will equal their fair values. Assets are neither undervalued nor overvalued. Therefore, if GIMC believes markets will remain at equilibrium indefinitely, then they should place very little, if any, emphasis on security selection. In contrast, active portfolio management is needed to determine the appropriate allocation of the client’s investment between the market portfolio and the risk free asset. Active portfolio management is needed to forecast the expected returns and risk for the market portfolio and to forecast the return on the risk-free asset. GIMC should allocate large percentages to the market portfolio for highly risk tolerant clients and high percentages to the risk-free asset for highly risk averse clients. Significant effort must be expended to determine the appropriate mix of assets for the client. 3.Intelligent Investors Inc. (III) manages $10 billion in assets using active portfolio management. III believes that security prices often stray from their equilibrium values. Elizabeth Adams and Rajendra Rao work as analysts at III. Adams states that III should overweight all positive alpha stocks. An overweight is defined as an allocation in excess of the asset’s relative market value weight. Rao states that III should allocate assets to maximize the portfolio Sharpe ratio.
Regarding the statements by Adam and Rao: A) Adams is correct; Rao is incorrect. B) Adams is incorrect; Rao is correct. C) Adams is incorrect; Rao is incorrect. D) Adams is correct; Rao is correct. The correct answer was D) Adams’ statement is correct. If markets are in disequilibrium, asset prices will deviate from their fair values. An asset’s alpha equals the difference between the analyst’s forecast return for an asset and its required return. All positive alpha assets should be overweighted. Note that a neutral weight for III equals the asset’s relative market value weight, which is how assets are allocated with the “market” portfolio. Rao’s statement is correct too. All allocations should provide investments with the maximum Sharpe ratio defined as the portfolio’s expected excess return, E(Rp) minus RF, divided by the portfolio’s standard deviation. 4.Intelligent Investors Inc. (III) manages $10 billion in assets using active portfolio management. III believes that security prices often stray from their equilibrium values. Elizabeth Adams and Rajendra Rao work as analysts at III. Adams states that III should overweight all positive alpha stocks. An overweight is defined as an allocation in excess of the asset’s relative market value weight. Rao states that III should allocate assets to maximize the portfolio Sharpe ratio.
Regarding the statements by Adam and Rao: A) Adams is correct; Rao is incorrect. B) Adams is incorrect; Rao is correct. C) Adams is incorrect; Rao is incorrect. D) Adams is correct; Rao is correct. The correct answer was D) Adams’ statement is correct. If markets are in disequilibrium, asset prices will deviate from their fair values. An asset’s alpha equals the difference between the analyst’s forecast return for an asset and its required return. All positive alpha assets should be overweighted. Note that a neutral weight for III equals the asset’s relative market value weight, which is how assets are allocated with the “market” portfolio. Rao’s statement is correct too. All allocations should provide investments with the maximum Sharpe ratio defined as the portfolio’s expected excess return, E(Rp) minus RF, divided by the portfolio’s standard deviation. 5.MPT Associates selects optimal portfolios using the Treynor-Black model. Randall Morgan and Charles Alverson, research associates at MPT, debate the assumptions of the model. Morgan states that the model assumes that large numbers of assets are mispriced. Alverson states that the model places high importance on diversification.
Regarding the statements made by Morgan and Alverson: A) Morgan is correct; Alverson is incorrect. B) Morgan is incorrect; Alverson is incorrect. C) Morgan is incorrect; Alverson is correct. D) Morgan is correct; Alverson is correct. The correct answer was C) The Treynor-Black model combines modern portfolio theory and market inefficiency. The model is based on the premise that markets are nearly efficient, implying that the number of mispriced assets is small. Therefore, Morgan’s statement is not correct. In contrast, Alverson’s statement is correct. The Treynor-Black model incorporates active security selection within an optimally diversified portfolio context. Therefore, the model places large value on the importance of diversification. 6.Rosemary Stone, CFA, uses the Treynor-Black active portfolio optimization model. Stone attempts to quantify the importance of security selection in the model. Stone should conclude that security selection is of high importance if the actively managed portfolio is characterized by:
A) Large Large B) Large Small C) Small Small D) Small Large The correct answer was B) The Treynor-Black portfolio optimization model assigns greater weight to the actively managed portfolio if its alpha is large relative to its unsystematic risk. As more weight is given to the actively managed portfolio, more importance is placed on active security selection (from which the actively managed portfolio is created). 7.Amanda Keene, CFA, works for an investment firm that employs the Treynor-Black portfolio optimization model. Keene predicts that the market index return will move higher next year as markets move closer to equilibrium. Keene advises a client, whose risk aversion will remain unchanged next year. Using the Treynor-Black framework, Keene should make which of the following changes in her client’s allocations, noting that the remaining percentage is allocated to cash?
| Percentage
actively managed | Percentage
passively managed |
A) Decrease Decrease B) Increase Increase C) Increase Decrease D) Decrease Increase The correct answer was D) The client’s risk aversion will remain unchanged next year, which suggests that the percentage allocated to cash will not change. A higher market return suggests greater weight should be placed on the passively managed portfolio, especially in light of Keene’s prediction that markets will move closer to equilibrium. Less emphasis is placed on active management as markets move toward equilibrium (alphas move closer to zero). | 
发表于 2008-5-20 17:08
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