[20L1V6R53] Portfolio Risk and Return: Part II

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基本信息：
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1. The line depicting the total risk and expected return of portfolio combinations of a risk-free asset and any risky asset is the:
security market line.
capital allocation line.
security characteristic line.
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2. The portfolio of a risk-free asset and a risky asset has a better risk-return tradeoff than investing in only one asset type because the correlation between the risk-free asset and the risky asset is equal to:
−1.0.
0.0.
1.0.
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3. With respect to capital market theory, an investor’s optimal portfolio is the combination of a risk-free asset and a risky asset with the highest:
expected return.
indifference curve.
capital allocation line slope.
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4. Highly risk-averse investors will most likely invest the majority of their wealth in:
risky assets.
risk-free assets.
the optimal risky portfolio.
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5. The capital market line (CML) is the graph of the risk and return of portfolio combinations consisting of the risk-free asset and:
any risky portfolio.
the market portfolio.
the leveraged portfolio.
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6. Which of the following statements most accurately defines the market portfolio in capital market theory? The market portfolio consists of all:
risky assets.
tradable assets.
investable assets.
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7. With respect to capital market theory, the optimal risky portfolio:
is the market portfolio.
has the highest expected return.
has the lowest expected variance.
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8. Relative to portfolios on the CML, any portfolio that plots above the CML is considered:
inferior.
inefficient.
unachievable.
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9. A portfolio on the capital market line with returns greater than the returns on the market portfolio represents a(n):
lending portfolio.
borrowing portfolio.
unachievable portfolio.
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10. With respect to the capital market line, a portfolio on the CML with returns less than the returns on the market portfolio represents a(n):
lending portfolio.
borrowing portfolio.
unachievable portfolio.
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11. Which of the following types of risk is most likely avoided by forming a diversified portfolio?
Total risk.
Systematic risk.
Nonsystematic risk.
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12. Which of the following events is most likely an example of nonsystematic risk?
A decline in interest rates.[单选题](1分)
The resignation of chief executive officer.
An increase in the value of the US dollar.
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13. With respect to the pricing of risk in capital market theory, which of the following statements is most accurate?
All risk is priced.
Systematic risk is priced.
Nonsystematic risk is priced.
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14. The sum of an asset’s systematic variance and its nonsystematic variance of returns is equal to the asset’s:
beta.
total risk.
total variance.
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15. With respect to return-generating models, the intercept term of the market model is the asset’s estimated:
beta.
alpha.
variance.
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16. With respect to return-generating models, the slope term of the market model is an estimate of the asset’s:
total risk.
systematic risk.
nonsystematic risk.
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17. With respect to return-generating models, which of the following statements is most accurate? Return-generating models are used to directly estimate the:
expected return of a security.
weights of securities in a portfolio.
parameters of the capital market line.
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18. An analyst gathers the following information:

Which security has the highest total risk?
Security 1.
Security 2.
Security 3.
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19. An analyst gathers the following information:

Which security has the highest beta measure?
Security 1.
Security 2.
Security 3.
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20. An analyst gathers the following information:

Which security has the least amount of market risk?
Security 1.
Security 2.
Security 3.
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21. With respect to capital market theory, the average beta of all assets in the market is:
less than 1.0.
equal to 1.0.
greater than 1.0.
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22. The slope of the security characteristic line is an asset’s:
beta.
excess return.
risk premium.
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23. The graph of the capital asset pricing model is the:
capital market line.
security market line.
security characteristic line.
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24. With respect to capital market theory, correctly priced individual assets can be plotted on the:
capital market line.
security market line.
capital allocation line.
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25. With respect to the capital asset pricing model, the primary determinant of expected return of an individual asset is the:
asset’s beta.
market risk premium.
asset’s standard deviation.
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26. With respect to the capital asset pricing model, which of the following values of beta for an asset is most likely to have an expected return for the asset that is less than the risk-free rate?
−0.5
0.0
0.5
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27. With respect to the capital asset pricing model, the market risk premium is:
less than the excess market return.
equal to the excess market return.
greater than the excess market return.
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28. An analyst gathers the following information:

With respect to the capital asset pricing model, if the expected market risk premium is 6% and the risk-free rate is 3%, the expected return for Security 1 is closest to:
9.0%.
12.0%.
13.5%.
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29. An analyst gathers the following information:

With respect to the capital asset pricing model, if expected return for Security 2 is equal to 11.4% and the risk-free rate is 3%, the expected return for the market is closest to:
8.4%.
9.0%.
10.3%.
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30. An analyst gathers the following information:

With respect to the capital asset pricing model, if the expected market risk premium is 6% the security with the highest expected return is:
Security 1.
Security 2.
Security 3.
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31. An analyst gathers the following information:

With respect to the capital asset pricing model, a decline in the expected market return will have the greatest impact on the expected return of:
Security 1.
Security 2.
Security 3.
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32. Three equity fund managers have performance records summarized in the following table:

Given a risk-free rate of return of 2.60%, which manager performed best based on the Sharpe ratio?
Manager 1
Manager 2
Manager 3
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33. Which of the following performance measures is consistent with the CAPM?
M-squared.
Sharpe ratio.
Jensen’s alpha.
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34. Which of the following performance measures does not require the measure to be compared to another value?
Sharpe ratio.
Treynor ratio.
Jensen’s alpha.
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35. Which of the following performance measures is most appropriate for an investor who is not fully diversified?
M-squared.
Treynor ratio.
Jensen’s alpha.
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36. Analysts who have estimated returns of an asset to be greater than the expected returns generated by the capital asset pricing model should consider the asset to be:
overvalued.
undervalued.
properly valued.
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37. With respect to capital market theory, which of the following statements best describes the effect of the homogeneity assumption? Because all investors have the same economic expectations of future cash flows for all assets, investors will invest in:
the same optimal risky portfolio.
the Standard and Poor’s 500 Index.
assets with the same amount of risk.
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38. With respect to capital market theory, which of the following assumptions allows for the existence of the market portfolio? All investors:
are price takers.
have homogeneous expectations.
plan for the same, single holding period.
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39. The intercept of the best fit line formed by plotting the excess returns of a manager’s portfolio on the excess returns of the market is best described as Jensen’s:
beta.
ratio.
alpha.
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40. Portfolio managers who are maximizing risk-adjusted returns will seek to invest more in securities with:
lower values of Jensen’s alpha.
values of Jensen’s alpha equal to 0.
higher values of Jensen’s alpha.
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41. Portfolio managers, who are maximizing risk-adjusted returns, will seek to invest less in securities with:
lower values for nonsystematic variance.
values of nonsystematic variance equal to 0.
higher values for nonsystematic variance.
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