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Chapters 21 and 22
CHAPTER 21
1.
2.
3.
Which of the following describes the process of forming expectations according to the
portfolio management process?
a.
form micro or individual asset expectations
b.
form micro expectations, and then macro or capital market expectations
c.
form macro expectations first, and then micro expectations
d.
none of the above describes the process as outlined
4.
The life cycle approach for individual investors has four phaseswhich of the
following is not one of these phases?
a.
The consolidation phase
b.
the accumulation phase
c.
The spending phase
d.
The capital preservation phase.
5.
6.
7.
8.
9.
10.
11.
At least for large institutional portfolios, asset allocation is thought to account for about
what percentage of the portfolios results?
a.
40%.
b.
90% or more
c.
80%
d.
60%
12.
CHAPTER 22
13.
You are asked to calculate a rate of return over a certain time horizon in order to
evaluate the portfolio manager. You should use a
a.
dollar-weighted return.
b.
time-weighted return.
c.
client-weighted return.
d.
internal rate of return.
14.
15.
16.
Which one of the following statements is CORRECT concerning RVAR and RVOL?
a.
RVOL is based on total risk while RVAR is based on systematic risk
b.
RVAR is based on total risk while RVOL is based on systematic risk
c.
RVAR is based on unsystematic risk while RVOL is based on systematic risk
d.
RVOL is based on systematic risk while RVAR is based on unsystematic risk
17.
Which is the better measure to estimate the performance of a portfolio: The Sharpe
Index or the Treynor Index?
a.
The Sharpe Index
b.
The Treynor Index.
c.
Both are equally good.
d.
Not enough information is provided to answer this question.
18.
19.
20.
21.
22.
23.
24.
The Sharpe, Treynor, and Jensen measures will agree on portfolio rankings if
a.
the portfolios are completely diversified.
b.
Only ex post data are used.
c.
Quarterly data are used in all three.
d.
Each portfolio consists of only one security.
25.
26.
27.
This statistical measure indicates the percentage of the variance in the portfolios
returns that is explained by the markets returns.
a.
The standard deviation.
b.
The coefficient of determination.
c.
The beta.
d.
The alpha.
28.
29.
Performance attribution
a.
seeks to determine before the fact why success or failure occurred.
b.
is typically a bottom-up approach.
c.
does not require the identification of a benchmark of performance.
d.
often begins with the policy statement that guides the management of a portfolio.
30.
Which of the following portfolios would rank best in terms of portfolio performance?
Portfolio 1 7%
Portfolio 2 18%
Portfolio 3 25%
Risk-free rate 9%
a.
3, 2, 1
b.
3, 2, risk-free rate, 1
c.
3, 2, portfolio 1 was not acceptable because return was below the risk-free rate
d.
not enough information is provided to answer this question
Fund 1
Fund 2
Fund 3
Fund 4
SD
Beta
1.97
2.94
1.82
4.70
1.0
.8
1.2
1.1
1.3
.6*
-3.5
4.2
R2
.85
.80
.90
.65
*significant at 5% level
31.
Which of these four funds returns are best explained by the markets returns?
a.
Fund 1
b.
Fund 2
c.
Fund 3
d.
Fund 4
32.
33.
34.
35.