[20L1V6R52] Portfolio Risk and Return: Part I

* 基本信息：

* 1. An investor purchased 100 shares of a stock for $34.50 per share at the beginning of the quarter. If the investor sold all of the shares for $30.50 per share after receiving a $51.55 dividend payment at the end of the quarter, the holding period return is closest to:

* 2. An analyst obtains the following annual rates of return for a mutual fund:

The funds holding period return over the three-year period is closest to:

* 3. An analyst observes the following annual rates of return for a hedge fund:

The hedge fund's annual geometric mean return is closest to:

* 4. Which of the following return calculating methods is best for evaluating the annualized returns of a buy-and-hold strategy of an investor who has made annual deposits to an account for each of the last five years?（）

* 5. An investor performs the following transactions on the shares of a firm. At t = 0, she purchases a share for $1,000. At t = 1, she receives a dividend of $25 and then purchases three additional shares for $1,055 each. At t = 2, she receives a total dividend of $100 and then sells the four shares for $1,100 each.The money-weighted rate of return is closest to:

* 6. A fund receives investments at the beginning of each year and generates returns as shown in the table.

Which return measure over the three-year period is negative?

* 7. At the beginning of Year 1, a fund has $10 million under management; it earns a return of 14% for the year. The fund attracts another $100 million at the start of Year 2 and earns a return of 8% for that year. The money-weighted rate of return is most likely:

* 8. An investor evaluating the returns of three recently formed exchange-traded funds gathers the following information:

The ETF with the highest annualized rate of return is:

* 9. With respect to capital market theory, which of the following asset characteristics is least likely to impact the variance of an investor's equally weighted portfolio?

* 10. A portfolio manager creates the following portfolio:

If the correlation of returns between the two securities is 0.40, the expected standard deviation of the portfolio is closest to:

* 11. A portfolio manager creates the following portfolio:

If the covariance of returns between the two securities is -0.0240, the expected standard deviation of the portfolio is closest to:

* 12. If the standard deviation of the portfolio is 14.40%, the correlation between the two securities is equal to:

* 13. If the standard deviation of the portfolio is 14.40%, the covariance between the two securities is equal to:

* 14. An analyst observes the following historic geometric returns:

The real rate of return for equities is closest to:

* 15. An analyst observes the following historic geometric returns:

The real rate of return for corporate bonds is closest to:

* 16. An analyst observes the following historic geometric returns:


The risk premium for equities is closest to:

* 17. An analyst observes the following historic geometric returns:

The risk premium for corporate bonds is closest to:

* 18. With respect to trading costs, liquidity is least likely to impact the:

* 19. Evidence of risk aversion is best illustrated by a risk-return relationship that is:

* 20. With respect to risk-averse investors, a risk-free asset will generate a numerical utility that is:

* 21. With respect to utility theory, the most risk-averse investor will have an indifference curve with the:

* 22. With respect to an investor's utility function expressed as: U=E[r]−12 Aσ² , which of the following values for the measure for risk aversion has the least amount of risk aversion?

* 23. A financial planner has created the following data to illustrate the application of utility theory to portfolio selection:

A risk-neutral investor is most likely to choose:

* 24. A financial planner has created the following data to illustrate the application of utility theory to portfolio selection:

If an investor’s utility function is expressed as U=E(r)−12 Aσ² and the measure for risk aversion has a value of −2, the risk-seeking investor is most likely to choose:

* 25. A financial planner has created the following data to illustrate the application of utility theory to portfolio selection:

If an investor’s utility function is expressed as U=E(r)−12 Aσ²  and the measure for risk aversion has a value of 2, the risk-averse investor is most likely to choose:

* 26. A financial planner has created the following data to illustrate the application of utility theory to portfolio selection:

If an investor’s utility function is expressed as U=E(r)−12 Aσ²  and the measure for risk aversion has a value of 4, the risk-averse investor is most likely to choose:

* 27. With respect to the mean–variance portfolio theory, the capital allocation line, CAL, is the combination of the risk-free asset and a portfolio of all:

* 28. Two individual investors with different levels of risk aversion will have optimal portfolios that are:

* 29. A portfolio manager creates the following portfolio:

If the portfolio of the two securities has an expected return of 15%, the proportion invested in Security 1 is:

* 30. A portfolio manager creates the following portfolio:

If the correlation of returns between the two securities is −0.15, the expected standard deviation of an equal-weighted portfolio is closest to:

* 31. A portfolio manager creates the following portfolio:

If the two securities are uncorrelated, the expected standard deviation of an equal-weighted portfolio is closest to:

* 32. As the number of assets in an equally-weighted portfolio increases, the contribution of each individual asset’s variance to the volatility of the portfolio:()

* 33. With respect to an equally-weighted portfolio made up of a large number of assets, which of the following contributes the most to the volatility of the portfolio?()

* 34. The correlation between assets in a two-asset portfolio increases during a market decline. If there is no change in the proportion of each asset held in the portfolio or the expected standard deviation of the individual assets, the volatility of the portfolio is most likely to:()

* 35. An analyst has made the following return projections for each of three possible outcomes with an equal likelihood of occurrence:

Which pair of assets is perfectly negatively correlated?

* 36. An analyst has made the following return projections for each of three possible outcomes with an equal likelihood of occurrence:

If the analyst constructs two-asset portfolios that are equally-weighted, which pair of assets has the lowest expected standard deviation?

* 37. An analyst has made the following return projections for each of three possible outcomes with an equal likelihood of occurrence:

If the analyst constructs two-asset portfolios that are equally weighted, which pair of assets provides the least amount of risk reduction?

* 38. Which of the following statements is least accurate? The efficient frontier is the set of all attainable risky assets with the:()

* 39. The portfolio on the minimum-variance frontier with the lowest standard deviation is:()

* 40. The set of portfolios on the minimum-variance frontier that dominates all sets of portfolios below the global minimum-variance portfolio is the:()

* 41. The dominant capital allocation line is the combination of the risk-free asset and the:()

* 42. Compared to the efficient frontier of risky assets, the dominant capital allocation line has higher rates of return for levels of risk greater than the optimal risky portfolio because of the investor’s ability to:()

* 43. With respect to the mean–variance theory, the optimal portfolio is determined by each individual investor’s:()