Chapter 27 The Theory of Active Portfolio ManagementWord格式.docx

Chapter 27 The Theory of Active Portfolio ManagementWord格式.docx

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Absentresearch,youshouldassumethealphaofastockis 

zero.

positive.

negative.

notzero.

zeroorpositive.

3. 

Ifyoubeginwitha______andobtainadditionaldatafromanexperimentyoucanforma______. 

posteriordistribution;

priordistribution

priordistribution;

posteriordistribution

tightposterior;

Bayesiananalysis

tightprior;

4. 

Benchmarkriskisdefinedas 

thereturndifferencebetweentheportfolioandthebenchmark.

thestandarddeviationofthereturnofthebenchmarkportfolio.

thestandarddeviationofthereturndifferencebetweentheportfolioandthebenchmark.

thestandarddeviationofthereturnoftheactively-managedportfolio.

5. 

Benchmarkrisk 

isinevitableandisneverasignificantissueinpractice.

isinevitableandisalwaysasignificantissueinpractice.

cannotbeconstrainedtokeepaTreynor-Blackportfoliowithinreasonableweights.

canbeconstrainedtokeepaTreynor-Blackportfoliowithinreasonableweights.

6. 

____________canbeusedtomeasureforecastqualityandguideintheproperadjustmentofforecasts. 

Regressionanalysis

Exponentialsmoothing

ARIMA

Movingaveragemodels

GAUSS

7. 

Evenlow-qualityforecastshaveproventobevaluablebecauseR-squaresofonly____________inregressionsofanalysts'

forecastscanbeusedtosubstantiallyimproveportfolioperformance. 

0.656

0.452

0.258

0.153

0.001

8. 

The____________modelallowstheprivateviewsoftheportfoliomanagertobeincorporatedwithmarketdataintheoptimizationprocedure. 

Black-Litterman

Treynor-Black

Treynor-Mazuy

Black-Scholes

9. 

TheBlack-LittermanmodelandTreynor-Blackmodelare 

niceintheorybutpracticallyuselessinmodernportfoliomanagement.

complementarytoolsthatshouldbeusedinportfoliomanagement.

contradictorymodelsthatcannotbeusedtogether;

therefore,portfoliomanagersmustchoosewhichonesuitstheirneeds.

notusefulduetotheircomplexity.

10. 

TheBlack-Littermanmodelisgearedtoward____________whiletheTreynor-Blackmodelisgearedtoward____________. 

securityanalysis;

securityanalysis

assetallocation;

assetallocation

11. 

Alphaforecastsmustbe____________toaccountforless-than-perfectforecastingquality.Whenalphaforecastsare____________toaccountforforecastimprecision,theresultingportfoliopositionbecomes____________. 

shrunk;

shrunk;

farlessmoderate

shrunk,shrunk;

farmoremoderate

grossedup;

grossedup;

12. 

Trackingerrorisdefinedas 

thedifferencebetweenthereturnsontheoverallriskyportfolioversusthebenchmarkreturn.

thevarianceofthereturnofthebenchmarkportfolio.

thevarianceofthereturndifferencebetweentheportfolioandthebenchmark.

thevarianceofthereturnoftheactively-managedportfolio.

13. 

Thetrackingerrorofanoptimizedportfoliocanbeexpressedintermsofthe____________oftheportfolioandthusreveals____________. 

return;

portfolioperformance

totalrisk;

beta;

benchmarkrisk

relativereturn;

14. 

TheTreynor-Blackmodelisamodelthatshowshowaninvestmentmanagercanusesecurityanalysisandstatisticstoconstruct__________. 

amarketportfolio

apassiveportfolio

anactiveportfolio

anindexportfolio

abalancedportfolio

15. 

IfaportfoliomanagerconsistentlyobtainsahighSharpemeasure,themanager'

sforecastingability__________. 

isaboveaverage

isaverage

isbelowaverage

doesnotexist

cannotbedeterminedbasedontheSharpemeasure

16. 

Activeportfoliomanagementconsistsof__________. 

markettiming

securityanalysis

indexing

markettimingandsecurityanalysis

17. 

Passiveportfoliomanagementconsistsof__________. 

18. 

Thecriticalvariableinthedeterminationofthesuccessoftheactiveportfoliois________. 

alpha/systematicrisk

alpha/nonsystematicrisk

gamma/systematicrisk

gamma/nonsystematicrisk

19. 

TheTreynor-Blackmodelrequiresestimatesof________. 

alpha/beta

alpha/beta/residualvariance

beta/residualvariance

alpha/residualvariance

20. 

Activeportfoliomanagerstrytoconstructariskyportfoliowith__________. 

ahigherSharpemeasurethanapassivestrategy

alowerSharpemeasurethanapassivestrategy

thesameSharpemeasureasapassivestrategy

veryfewsecurities

21. 

Thebetaofanactiveportfoliois1.20.Thestandarddeviationofthereturnsonthemarketindexis20%.Thenonsystematicvarianceoftheactiveportfoliois1%.Thestandarddeviationofthereturnsontheactiveportfoliois__________. 

3.84%

5.84%

19.60%

24.17%

26.0%

22. 

Thebetaofanactiveportfoliois1.36.Thestandarddeviationofthereturnsonthemarketindexis22%.Thenonsystematicvarianceoftheactiveportfoliois1.2%.Thestandarddeviationofthereturnsontheactiveportfoliois__________. 

3.19%

31.86%

42.00%

27.57%

2.86%

23. 

ConsidertheTreynor-Blackmodel.Thealphaofanactiveportfoliois2%.Theexpectedreturnonthemarketindexis16%.Thevarianceofreturnonthemarketportfoliois4%.Thenonsystematicvarianceoftheactiveportfoliois1%.Therisk-freerateofreturnis8%.Thebetaoftheactiveportfoliois1.Theoptimalproportiontoinvestintheactiveportfoliois__________.

0%

25%

50%

100%

24. 

ConsidertheTreynor-Blackmodel.Thealphaofanactiveportfoliois1%.Theexpectedreturnonthemarketindexis16%.Thevarianceofthereturnonthemarketportfoliois4%.Thenonsystematicvarianceoftheactiveportfoliois1%.Therisk-freerateofreturnis8%.Thebetaoftheactiveportfoliois1.05.Theoptimalproportiontoinvestintheactiveportfoliois__________. 

48.7%

50.0%

51.3%

100.0%

25. 

Thereappearstobearoleforatheoryofactiveportfoliomanagementbecause 

someportfoliomanagershaveproducedsequencesofabnormalreturnsthataredifficulttolabelasluckyoutcomes.

the"

noise"

intherealizedreturnsisenoughtopreventtherejectionofthehypothesisthatsomemoneymanagershaveoutperformedapassivestrategybyastatisticallysmall,yeteconomic,margin.

someanomaliesinrealizedreturnshavebeenpersistentenoughtosuggestthatportfoliomanagerswhoidentifiedtheseanomaliesinatimelyfashioncouldhaveoutperformedapassivestrategyoverprolongedperiods.

someportfoliomanagershaveproducedsequencesofabnormalreturnsthataredifficulttolabelasluckyoutcomes;

andthe"

the"

intherealizedreturnsisenoughtopreventtherejectionofthehypothesisthatsomemoneymanagershaveoutperformedapassivestrategybyastatisticallysmall,yeteconomic,margin;

andsomeanomaliesinrealizedreturnshavebeenpersistentenoughtosuggestthatportfoliomanagerswhoidentifiedtheseanomaliesinatimelyfashioncouldhaveoutperformedapassivestrategyoverprolongedperiods.

26. 

TheTreynor-Blackmodel 

considersbothmacroeconomicandmicroeconomicrisks.

considerssecurityselectiononly.

isnearlyimpossibletoimplement.

considersbothmacroeconomicandmicroeconomicrisksandisnearlyimpossibletoimplement.

considerssecurityselectiononlyandisnearlyimpossibletoimplement.

27. 

WhichofthefollowingarenottrueregardingtheTreynor-Blackmodel?

considersbothmacroeconomicandmicroeconomicrisks

considerssecurityselectiononly

isnearlyimpossibletoimplement

considersbothmacroeconomicandmicroeconomicrisksandisnearlyimpossibletoimplement

considerssecurityselectiononlyandisnearlyimpossibletoimplement

28. 

Toimprovefutureanalystforecastsusingthestatisticalpropertiesofpastforecasts,aregressionmodelcanbefittedtopastforecasts.Theinterceptoftheregressionisa__________coefficient,andtheregressionbe