完整word版投资学第7版Test Bank答案27.docx
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完整word版投资学第7版TestBank答案27
MultipleChoiceQuestions
1.IntheTreynor-Blackmodel
A)portfolioweightaresensitivetolargealphavalueswhichcanleadtoinfeasiblelongorshortpositionformanyportfoliomanagers.
B)portfolioweightarenotsensitivetolargealphavalueswhichcanleadtoinfeasiblelongorshortpositionformanyportfoliomanagers.
C)portfolioweightaresensitivetolargealphavalueswhichcanleadtotheoptimalportfolioformostportfoliomanagers.
D)portfolioweightarenotsensitivetolargealphavalueswhichcanleadtotheoptimalportfolioformostportfoliomanagers.
E)noneoftheabove.
Answer:
ADifficulty:
Moderate
2.Benchmarkportfolioriskisdefinedas
A)thereturndifferencebetweentheportfolioandthebenchmark
B)thevarianceofthereturnofthebenchmarkportfolio
C)thevarianceofthereturndifferencebetweentheportfolioandthebenchmark
D)thevarianceofthereturnoftheactively-managedportfolio
E)noneoftheabove.
Answer:
CDifficulty:
Moderate
3.Benchmarkportfoliorisk
A)isinevitableandisneverasignificantissueinpractice.
B)isinevitableandisalwaysasignificantissueinpractice.
C)cannotbeconstrainedtokeepaTreynor-Blackportfoliowithinreasonableweights.
D)canbeconstrainedtokeepaTreynor-Blackportfoliowithinreasonableweights.
E)noneoftheabove.
Answer:
DDifficulty:
Moderate
4.____________canbeusedtomeasureforecastqualityandguideintheproperadjustmentofforecasts.
A)regressionanalysis
B)exponentialsmoothing
C)ARIMA
D)movingaveragemodels
E)GAUSS
Answer:
ADifficulty:
Moderate
5.Evenlow-qualityforecastshaveproventobevaluablebecauseR-squaresofonly____________inregressionsofanalysts'forecastscanbeusedtosubstantiallyimproveportfolioperformance.
A)0.656
B)0.452
C)0.258
D)0.153
E)0.001
Answer:
EDifficulty:
Moderate
6.The____________modelallowstheprivateviewsoftheportfoliomanagertobeincorporatedwithmarketdataintheoptimizationprocedure.
A)Black-Litterman
B)Treynor-Black
C)Treynor-Mazuy
D)Black-Scholes
E)noneoftheabove.
Answer:
ADifficulty:
Moderate
7.TheBlack-LittermanmodelandTreynor-Blackmodelare
A)niceintheorybutpracticallyuselessinmodernportfoliomanagement.
B)complementarytoolsthatshouldbeusedinportfoliomanagement.
C)contradictorymodelscannotbeusetogether;therefore,portfoliomanagersmustchoosewhichonesuitstheirneeds.
D)notusefulduetotheircomplexity.
E)noneoftheabove.
Answer:
BDifficulty:
Moderate
8.TheBlack-Littermanmodelisgearedtoward____________whiletheTreynor-Blackmodelisgearedtoward____________.
A)securityanalysis;securityanalysis
B)assetallocation;assetallocation
C)securityanalysis;assetallocation
D)assetallocation;securityanalysis
E)noneoftheabove
Answer:
DDifficulty:
Moderate
9.Alphaforecastsmustbe____________toaccountforless-than-perfectforecastingquality.Whenalphaforecastsare____________toaccountforforecastimprecision,theresultingportfoliopositionbecomes____________.
A)shrunk,shrunk,farlessmoderate
B)shrunk,shrunk,farmoremoderate
C)grossedup,grossedup,farlessmoderate
D)grossedup,grossedup,farmoremoderate
E)noneoftheabove
Answer:
BDifficulty:
Moderate
10.Trackingerrorisdefinedas
A)thedifferencebetweenthereturnsontheoverallriskyportfolioversusthebenchmarkreturn.
B)thevarianceofthereturnofthebenchmarkportfolio
C)thevarianceofthereturndifferencebetweentheportfolioandthebenchmark
D)thevarianceofthereturnoftheactively-managedportfolio
E)noneoftheabove.
Answer:
ADifficulty:
Moderate
11.Thetrackingerrorofanoptimizedportfoliocanbeexpressedintermsofthe____________oftheportfolioandthusreveal____________.
A)return;portfolioperformance
B)totalrisk;portfolioperformance
C)beta;portfolioperformance
D)beta;benchmarkrisk
E)relativereturn;benchmarkrisk
Answer:
DDifficulty:
Moderate
12.TheTreynor-Blackmodelisamodelthatshowshowaninvestmentmanagercanusesecurityanalysisandstatisticstoconstruct__________.
A)amarketportfolio
B)apassiveportfolio
C)anactiveportfolio
D)anindexportfolio
E)abalancedportfolio
Answer:
CDifficulty:
Easy
Rationale:
TheTreynor-Blackmodelutilizesthestatisticsofdiversificationtoselectsecuritiesforanactivelymanagedportfolio.
13.IfaportfoliomanagerconsistentlyobtainsahighSharpemeasure,themanager'sforecastingability__________.
A)isaboveaverage
B)isaverage
C)isbelowaverage
D)doesnotexist.
E)cannotbedeterminedbasedontheSharpemeasure
Answer:
ADifficulty:
Easy
Rationale:
ThemanagerwiththehighestSharpemeasurepresumablyhastrueforecastingabilities.
14.Activeportfoliomanagementconsistsof__________.
A)markettiming
B)securityanalysis
C)indexing
D)AandB
E)noneoftheabove
Answer:
DDifficulty:
Easy
Rationale:
Althoughonecanengageinvariousdegreesofactiveportfoliomanagement(securityselectionwithoutmarkettimingandviceversa),themostactiveportfoliomanagementstrategyconsistsofengaginginbothpursuits.
15.Thecriticalvariableinthedeterminationofthesuccessoftheactiveportfoliois________.
A)alpha/systematicrisk
B)alpha/nonsystematicrisk
C)gamma/systematicrisk
D)gamma/nonsystematicrisk
E)noneoftheabove
Answer:
BDifficulty:
Moderate
Rationale:
Aportfoliowithapositivealphaisoutperformingthemarket.Ifthisportfolioalsohasalowdegreeofnonsystematicrisk,theportfolioisadequatelydiversified.
16.IntheTreynor-Blackmodel,theweightofeachsecurityintheportfolioshouldbeproportionaltoits__________.
A)alpha/beta
B)alpha/beta/residualvariance
C)beta/residualvariance
D)alpha/residualvariance
E)noneoftheabove
Answer:
BDifficulty:
Moderate
Rationale:
Usetheestimatesofalpha,beta,andresidualrisktodeterminetheoptimalweightofeachsecurityintheportfolio.
17.Activeportfoliomanagerstrytoconstructariskyportfoliowith__________.
A)ahigherSharpemeasurethanapassivestrategy
B)alowerSharpemeasurethanapassivestrategy
C)thesameSharpemeasureasapassivestrategy
D)veryfewsecurities
E)noneoftheabove
Answer:
ADifficulty:
Moderate
Rationale:
AhigherSharpemeasurethanapassivestrategyisindicativeofthebenefitsofactivemanagement.
18.Thebetaofanactiveportfoliois1.20.Thestandarddeviationofthereturnsonthemarketindexis20%.Thenonsystematicvarianceoftheactiveportfoliois1%.Thestandarddeviationofthereturnsontheactiveportfoliois__________.
A)3.84%
B)5.84%
C)19.60%
D)24.17%
E)26.0%
Answer:
EDifficulty:
Difficult
Rationale:
s=[(1.2)2(0.2)2+0.01]1/2=[0.0676]1/2=26.0%.
19.ConsidertheTreynor-Blackmodel.Thealphaofanactiveportfoliois2%.Theexpectedreturnonthemarketindexis16%.Thevarianceofreturnonthemarketportfoliois4%.Thenonsystematicvarianceoftheactiveportfoliois1%.Therisk-freerateofreturnis8%.Thebetaoftheactiveportfoliois1.Theoptimalproportiontoinvestintheactiveportfoliois__________.
A)0%
B)25%
C)50%
D)100%
E)noneoftheabove
Answer:
DDifficulty:
Difficult
Rationale:
wO=[2%/1%]/[(16%-8%)/4%]=1,or100%;w*=1/[1+(1-1)1]=1.
20.ConsidertheTreynor-Blackmodel.Thealphaofanactiveportfoliois1%.Theexpectedreturnonthemarketindexis16%.Thevarianceofthereturnonthemarketportfoliois4%.Thenonsystematicvarianceoftheactiveportfoliois1%.Therisk-freerateofreturnis8%.Thebetaoftheactiveportfoliois1.05.Theoptimalproportiontoinvestintheactiveportfoliois__________.
A)48.7%
B)50.0%
C)51.3%
D)100.0%
E)noneoftheabove
Answer:
CDifficulty:
Difficult
Rationale:
wO=[1%/1%]/[(16%-8%)/4%]=0.5;w*=0.5/[1+(1-1.05)0.5]=0.513,or51.3%.
21.Thereappearstobearoleforatheoryofactiveportfoliomanagementbecause
A)someportfoliomanagershaveproducedsequencesofabnormalreturnsthataredifficulttolabelasluckyoutcomes.
B)the"noise"intherealizedreturnsisenoughtopreventtherejectionofthehypothesisthatsomemoneymanagershaveoutperformedapassivestrategybyastatisticallysmall,yeteconomic,margin.
C)someanomaliesinrealizedreturnshavebeenpersistentenoughtosuggestthatportfoliomanagerswhoidentifiedtheseanomaliesinatimelyfashioncouldhaveoutperformedapassivestrategyoverprolongedperiods.
D)AandB.
E)A,B,andC.
Answer:
EDifficulty:
Easy
Rationale:
StatementsA,B,andCaretrue.
22.TheTreynor-Blackmodel
A)considersbothmacroeconomicandmicroeconomicrisks.
B)considerssecurityselectiononly.
C)isrelativelyeasytoimplement.
D)AandC.
E)BandC.
Answer:
DDifficulty:
Easy
Rationale:
AandCaretrueforthemodel.
23.Toimprovefutureanalystforecastsusingthestatisticalpropertiesofpastforecasts,aregressionmodelcanbefittedtopastforecasts.Theinterceptoftheregressionisa__________coefficient,andtheregressionbetarepresentsa__________coefficient.
A)bias,precision
B)bias,bias
C)precision,precision
D)precision,bias
E)noneoftheabove
Answer:
ADifficulty:
Moderate
Rationale:
Theestimatedequationadjustsfutureforecastsfordirectionandmagnitudeofbiasanddeg