FOI question paper 2016
(1) Expected return of the portfolio. (ii) Minimum risk of the portfolio. (iii) Maximum risk of the portfolio. Solution: (b). (1) E(R) = 0.3 X 13 +0.70 X 16.
Consolidated questions and answers (Q&A) on the PRIIPs Key
2023年5月17日 ... portfolio may be obtained including ... that not all of the return history of the fund may be representative of the fund's current overall risk.
ESMA34-43-392 Q&As on UCITS Directive
8. ESMA will review these questions and answers on a regular basis to identify if in a certain portfolio credit risk would remain un-hedged. Answer 1a: Yes ...
Questions and Answers
2017年4月4日 ... portfolio risk ratio to 3 which is consistent with your risk ... product's expected return in a “moderate” scenario as referred to in ...
Questions and Answers
2023年6月14日 AIFM to whom portfolio management or risk management activities have been delegated? ... expected annual return/IRR in normal market conditions?
Suggested Answer_Syl12_Jun2014_Paper_14
SUGGESTED ANSWERS TO QUESTIONS. JUNE 2014. Paper- 14: ADVANCED FINANCIAL Expected Return on the Portfolio in part (ii) is : RP = [3 × 0.20] + [( - )1 ...
Exam IFM Sample Questions and Solutions Finance and Investment
Assume the expected return of the portfolio is 0.12 the annual effective risk-free rate is 0.05
PORTFOLIO RISK AND RETURN PART I
In portfolio composition questions return and standard deviation are the key variables. Here you are told that both returns and standard deviations are
Individual investors information use subjective expectations
https://www.diva-portal.org/smash/get/diva2:1305567/FULLTEXT02.pdf
Spotlight Quiz - Portfolio Theory and Risk Worked Solutions
In combining assets with different risk / return characteristics which of the following generates the advantage that the portfolio can provide over investments
FOI question paper 2016
Portfolio Risk. ?(0.5)² (73.6) + (0.5)²(40) + 2(.5)(.5)(-52). = ?18.4+10-26. = ?2.4. = = 1.55 %. Hence risk will be reduced if the financial analyst
Suggested Answer_Syl12_Jun2014_Paper_14
From Section A: Answer any two questions. From Section B: Answer any portfolio with a standard deviation of 24% what is the return of such portfolio?
Investment Analysis and Portfolio Management
return and risk in the same portfolio? And what could be the influence of this relationship to the investor's portfolio? The answers to these questions are
Exam IFM Sample Questions and Solutions Finance and Investment
Calculate the standard deviation of the portfolio return. The other answer choices are more about alternative risk preferences (B) proxy error (C)
Questions and Answers
Jul 20 2022 Question 4: Efficient portfolio management techniques . ... Question 5: Calculation of counterparty risk for exchange-traded derivatives and.
Practice Problems for the Final Examination
Which of the following is a measure of the systematic risk of a stock? Portfolio A: expected return of 10% and standard deviation of 8%.
18 UBM 306 FINANCIAL MANAGEMENT Multiple Choice Questions
ANSWER: C. 11.Risk-return trade off implies_____________. A. Increasing the portfolio of the firm through increased production. B. Not taking any loans which
Answers to Discussion Questions
What does modern portfolio theory (i.e. traditional finance) say about how an Next
TYBAF- SEM -6 SAPM MCQ (Bold = Correct Answer)
The efficient frontier is the set of ______ portfolios that offers the highest expected return for a defined level of risk on the lowest risk for a given
Chapter 6 -- Interest Rates
Risk premium: additional return to compensate for additional risk Answer: yield on 1-year bond r1 = 3% + 2% = 5%; yield on 3-year bond
CHAPTER 11 RISK AND RETURN: THE CAPITAL ASSET PRICING MODEL
RISK AND RETURN: THE CAPITAL ASSET PRICING MODEL (CAPM) Answers to Concepts Review and Critical Thinking Questions Some of the risk in holding any asset is unique to the asset in question By investing in a variety of assets this unique portion of the total risk can be eliminated at little cost
Concept of Risk-Return in Portfolio Context (With Formulas)
risk and if some of the investments do not pan out the others will keep the value of the portfolio intact The two main features of a portfolio are its risk and expected return In 1952 Harry Markowitz first developed the ideas of portfolio theory based upon statistical reasoning
PRACTICE QUESTIONS TO HELP YOU MASTER THE PART I FRM EXAM
Answer: A Systematic risk is the risk that can’t be diversified away and the beta of our portfolio is: ? = (? PM* ? * ?M) / ?2 where ? PMis the correlation coeffi cient between the portfolio and the market ? is the risk of the portfolioand ? is the risk of the market
RISK AND RETURN - Cengage
This chapter explores the relationship between risk and return inherent in investing in securities especially stocks In what follows we’ll define risk and return precisely investi- gate the nature of their relationship and find that there are ways to limit exposure to in- vestment risk
CHAPTER 2 RISK AND RATES OF RETURN - umledu
Portfolio return Answer: a 8 An investor is forming a portfolio by investing $50000 in stock A that return on the market is equal to 6 percent and Treasury bonds have a yield of 4 percent What is the required rate of return on the investor’s portfolio? a 6 6 b 6 8 c 5 8 d 7 0 e 7 5 Portfolio return Answer: b 9
Searches related to portfolio risk and return questions and answers filetype:pdf
Answers 2-1 Stand-alone risk is the risk faced by an investor who holds just one asset versus the risk inherent in a diversified portfolio Stand-alone risk is measured by the standard deviation (SD) of expected returns or the coefficient of variation (CV) of returns = SD/expected return
What are the risk-return characteristics of a portfolio?
- Each portfolio has risk-return characteristics of its own. A portfolio comprising securities that yield a maximum return for given level of risk or minimum risk for given level of return is termed as ‘efficient portfolio’.
What is risk-return in portfolio context?
- Concept of Risk-Return in Portfolio Context (With Formulas) 1 i. Portfolio Return: The expected return of a portfolio represents weighted average of the expected returns on the securities comprising that portfolio with weights being the proportion of total funds ... 2 ii. ... 3 iii. ... 4 iv. ...
What are ask portfolio returns?
- ASK Portfolio returns are composite returns of all the Portfolios aligned to the investment approach as on Mar 31, 2023. Returns for individual client may differ depending on time of entry in the Portfolio. Past performance may or may not be sustained in future and should not be used as basis for comparison with other investments.
What are the assumptions of the portfolio theory?
- Another assumption of the portfolio theory is that the returns of assets are normally distributed which means that the mean (expected value) and variance analysis is the foundation of the portfolio. i. Portfolio Return:
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PRACTICE QUESTIONS
TO HELP YOU MASTER
THE PART I FRM
EXAMFRM® Exam Review
Top questions you must master to pass the Part I FRM® Exam Preparing for the Part I exam is tough, but you can make life easier with an effective study plan. If you have yet to get a plan, Wiley's adaptive Digital Exam Planner in our Silver and Self-Study FRM® review courses will help you create a personalized plan down to the day, provide a dashboard to keep on track and track your progress every step of the way. But first, here are some questions to test your knowledge of typical, fundamental topics that are likely to appear on the actual exam. 1. The minimum variance frontier most likely consists of: A.Individual assets only.
B.Portfolios only.
C.Individual assets and portfolios.
D.Only risk-free assets.
Answer: B
Assets with low correlations can be combined into
portfolios that have a lower risk than any of the individual assets in the portfolio. The minimum variance frontier consists of portfolios that minimize the level of risk for each level of expected return. 2. Compute her portfolio's standard deviation, if the correlation between the two assets equals 0.7. A. 8.05% B. 9.86% C. 7.06% D.12.68%
Answer: D
[(0.3 2× 0.12
2 ) + (0.7 2× 0.0
2 ) + 2 (0.3) (0.7) (0.12) (0.1414) (0.7)] 0.5 = 12.68% 3. Use the following information to answer the next four questions:The following information is available regarding the portfolio performance of three investment managers:
ManagerReturnStandard
DeviationBeta
A19%27%0.7
B14%22%1.2
C16%19%0.9
Market (M)11%24%
Risk-free rate5%
I. Manager B's expected return is
closest to: A. 9.20% B. 8.34% C.10.40%
D.12.20%
Answer: D
Expected return =
R f R R m R f Expected return = 0.05 + 1.2 (0.11 - 0.05) = 12.20% II.Manager A's Sharpe ratio is closest to:
A. 0.51 B. 0.40 C. 0.20 D. 0.68Answer: A
Sharpe ratio = (
R A R f R A = (0.19 - 0.05) / 0.27 = 0.5185 III.Manager C's Treynor ratio is closest to:
A. 0.20 B. 0.25 C. 0.57 D. 0.12Answer: D
Treynor ratio = (
R C R f R C = (0.16 - 0.05) / 0.9 = 0.1222 IV.Manager C's Jensen's alpha is closest to:
A. 5.60% B.10.40%
C. 8.5% D. 9.0%Answer: A
Manager C's expected return =
R f R R m R f ) = 0.05 + 0.9 (0.11 - 0.05) = 10.4%FRM® Exam Review
4. Darren Peters, FRM, has gathered information on all the monthly returns of actively managed portfolios and passive indices. He is using multifactor models, of which he has examined many. Darren determines the optimal models. The following results were derived for the historical data:RTN = -.0025 + .15MKT - .08EPSS - .07LCSC
Which of the following is not a reason to support the case for active portfolio management? A.Failure of the CAPM beta to explain returns
B.Excess volatility in market prices
C.The existence of market anomalies
Answer: D
All are valid reasons to support the case for active portfolio allocate their money between the risk-free asset and the 5. A.Treynor ratio
B.Sharpe ratio
C.Jensen's alpha
D.Sortino ratio
Answer: A
and the beta of our portfolio is: P PM P M2 where
PM cient between the portfolio and the market, p is the risk of the portfolio, and M is the risk of the market. In either case, beta explains the volatility of the portfolio compared to the volatility of the market, which captures only systematic risk.The Sharpe ratio is standardized by sigma, not beta, so the Treynor ratio is the correct ratio to use in this case. The Treynor formula is T E R R f] / systematic risk - the beta - which is what the question asks. 6. A.4.13% to 4.37%
B.4.22% to 4.44%
C.4.14% to 4.36%
Answer: A
Since the population variance is not known, but the population is assumed to be normally distributed, and the sample size is small we must use the t -distribution.Standard error = 0.3 / (20)
0.5 = 0.06708The relevant
t -score with 19 degrees of freedom is 1.7291. = 4.25% ± (1.7291 × 0.067%) = 4.13% to 4.37% 7. A.Reject the null hypothesis, and conclude that the
B. C.Answer: C
H 0 : μ = 0; H a Since the population (index comprising of all shares traded in the country) standard deviation is known, use the z -test. critical z -values for a two-tailed test are ± 1.96. 0.5 ]} = 10.607FRM® Exam Review
Since the test stat (10.607) is greater than the upper critical value (+1.96), the null hypothesis is rejected. Alexis would conclude that the mean daily return is statistically questions:An analyst regresses the bid/ask spread (dependent variable) for a sample of 1,900 stocks against the natural log of trading volume (independent variable). The results of the regression are provided below:
ANOVASS
Regression18.395
Residual47.428
Errort-Statistic
Intercept0.629410.02663523.63094
A.0.2795
B.0.3879
C.0.7205
Answer: A
47.428) = 0.2795
A.0.6228
C.0.5286
Answer: B
0.5 0.5 = 0.5286 r III.The standard error is closest to:
A.0.0984
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