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Mock Test 2 — Topic 9: Portfolio Management

Kết quả: 9/19 (47%) Nguồn: SAPP CFA1 Revision Mock Test 2 Liên kết: Portfolio Mgmt

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Câu 95

Question 95: Which of the following is an assumption of the Capital Asset Pricing Model?

(A) Markets have transaction costs.

(B) Investments are infinitely divisible.

(C) Investors have heterogeneous expectations.

Câu 99

Question 99: A risk averse investor is best described as an individual who:

(A) only invests in risk-free investments.

(B) will choose a relatively low-risk portfolio.

(C) prefers investments with less risk to those with more risk if they have the same expected return.

Câu 103

Question 103: The monetary authority is pursuing an expansionary monetary policy and has decreased the risk-free rate of return. If the market’s expected return is unchanged, the capital asset pricing model predicts that the expected return for a common stock that has less systematic risk than the market portfolio will:

(A) increase.

(B) decrease.

(C) be unchanged.

Câu 104

Question 104: Boswell is less risk-averse than Johnson. Using the same capital allocation line for Boswell and Johnson, Boswell will have:

(A) a higher risk aversion coefficient than Johnson.

(B) steeper risk-return indifference curves than Johnson.

(C) an optimal portfolio with a higher expected return than Johnson.

Câu 111

Question 111: An analyst predicts that the return on Royal Company stock will be 15%. The analyst is provided with the following data for Royal and the broad market: Royal company beta 1.5 Risk-free rate 5% Expected market return 11% Based on these data, the analyst should conclude that Royal Company stock is:

(A) overvalued

(B) undervalued.

(C) correctly valued.

Câu 116

Question 116: The risk that extreme outcomes are more likely than an analyst has estimated is most accurately described as:

(A) tail risk.

(B) asymmetric risk.

(C) positive kurtosis.

Câu 118

Question 118: Which action is most likely to occur at the beginning of the portfolio management process?

(A) Asset allocation.

(B) Security analysis.

(C) Benchmark identification.

Câu 122

Question 122: A small bank has calculated a one-month Value at Risk (VaR) of $10 million with a probability of 2.5%. This result is most appropriately interpreted as:

(A) a maximum loss of $250,000 is expected in any given month.

(B) in 2.5% of months, the bank will lose a maximum of $10 million.

(C) a one-month loss of $10 million is expected to happen in 2.5% of months.

Câu 126

Question 126: For investments in managed futures, a financial advisor would most appropriately recommend a separately managed account to:

(A) smaller investors who require more guidance.

(B) smaller investors who need customized portfolios.

(C) larger investors who need customized portfolios.

Câu 131

Question 131: Which of the following behavioral biases is a financial advisor most likely to be able to mitigate by educating the client?

(A) Status quo.

(B) Loss aversion.

(C) Illusion of control.

Câu 136

Question 136: An investor’s wealth is approximately 50% in bonds and broad-based equities and 50% in shares of a company she founded. Which of the following measures of risk-adjusted returns is least appropriate for this investor’s portfolio?

(A) M-squared.

(B) Sharpe ratio.

(C) Jensen’s alpha.

Câu 140

Question 140: A portfolio is 40% invested in Asset J and 60% invested in Asset K. Which of the following correlations between Asset J and Asset K will result in the lowest portfolio risk?

(A) -0.4.

(B) 0.0

(C) +0.7.

Câu 150

Question 150: Low risk tolerance and high liquidity needs are typical characteristics of which type of investor?

(A) Banks

(B) Foundations.

(C) Defined benefit pension plans.

Câu 155

Question 155: The creation and redemption of shares by authorized participants, which keeps the price of fund shares close to their net asset value, is a feature unique to which of the following types of pooled investments?

(A) Hedge funds.

(B) Closed-end funds.

(C) Exchange-traded funds.

Câu 159

Question 159: An analyst uses a multifactor model to estimate the sensitivity of returns to a range of factors, including research expenditures of the firm. This factor is most accurately classified as:

(A) statistical.

(B) fundamental.

(C) macroeconomic.

Câu 161

Question 161: Capital market theory implies that all investors:

(A) hold at least some of the risk-free asset.

(B) who hold risky assets will invest in the market portfolio.

(C) will select portfolios that lie on the Markowitz efficient frontier.

Câu 162

Question 162: A stock price recently peaked at $45 per share, after which it has declined to its current value of $38. If an investor believes that $45 was a rational price even without fundamental evidence to support it, this is best viewed as an example of:

(A) anchoring.

(B) overconfidence.

(C) confirmation bias.

Câu 172

Question 172: A portfolio manager and a client are developing an investment policy statement (IPS). The client works as an auditor for a public accounting firm that has a policy prohibiting its employees from investing in companies the firm audits. This restriction is most appropriately:

(A) not included in the IPS.

(B) listed in the IPS as a constraint.

(C) listed in an appendix to the IPS.

Câu 176

Question 176: The covariance of monthly returns for two stocks is 0.91. Based on the covariance, it is most accurate to conclude that the monthly returns on these two stocks have:

(A) no linear relationship.

(B) a strong linear relationship.

(C) a positive linear relationship.

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