Chapter 27 The Theory of Active Portfolio ManagementWord文档格式.docx
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Chapter 27 The Theory of Active Portfolio ManagementWord文档格式.docx
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Absentresearch,youshouldassumethealphaofastockis
zero.
positive.
negative.
notzero.
zeroorpositive.
3.
Ifyoubeginwitha______andobtainadditionaldatafromanexperimentyoucanforma______.
posteriordistribution;
priordistribution
priordistribution;
posteriordistribution
tightposterior;
Bayesiananalysis
tightprior;
4.
Benchmarkriskisdefinedas
thereturndifferencebetweentheportfolioandthebenchmark.
thestandarddeviationofthereturnofthebenchmarkportfolio.
thestandarddeviationofthereturndifferencebetweentheportfolioandthebenchmark.
thestandarddeviationofthereturnoftheactively-managedportfolio.
5.
Benchmarkrisk
isinevitableandisneverasignificantissueinpractice.
isinevitableandisalwaysasignificantissueinpractice.
cannotbeconstrainedtokeepaTreynor-Blackportfoliowithinreasonableweights.
canbeconstrainedtokeepaTreynor-Blackportfoliowithinreasonableweights.
6.
____________canbeusedtomeasureforecastqualityandguideintheproperadjustmentofforecasts.
Regressionanalysis
Exponentialsmoothing
ARIMA
Movingaveragemodels
GAUSS
7.
Evenlow-qualityforecastshaveproventobevaluablebecauseR-squaresofonly____________inregressionsofanalysts'
forecastscanbeusedtosubstantiallyimproveportfolioperformance.
0.656
0.452
0.258
0.153
0.001
8.
The____________modelallowstheprivateviewsoftheportfoliomanagertobeincorporatedwithmarketdataintheoptimizationprocedure.
Black-Litterman
Treynor-Black
Treynor-Mazuy
Black-Scholes
9.
TheBlack-LittermanmodelandTreynor-Blackmodelare
niceintheorybutpracticallyuselessinmodernportfoliomanagement.
complementarytoolsthatshouldbeusedinportfoliomanagement.
contradictorymodelsthatcannotbeusedtogether;
therefore,portfoliomanagersmustchoosewhichonesuitstheirneeds.
notusefulduetotheircomplexity.
10.
TheBlack-Littermanmodelisgearedtoward____________whiletheTreynor-Blackmodelisgearedtoward____________.
securityanalysis;
securityanalysis
assetallocation;
assetallocation
11.
Alphaforecastsmustbe____________toaccountforless-than-perfectforecastingquality.Whenalphaforecastsare____________toaccountforforecastimprecision,theresultingportfoliopositionbecomes____________.
shrunk;
shrunk;
farlessmoderate
shrunk,shrunk;
farmoremoderate
grossedup;
grossedup;
12.
Trackingerrorisdefinedas
thedifferencebetweenthereturnsontheoverallriskyportfolioversusthebenchmarkreturn.
thevarianceofthereturnofthebenchmarkportfolio.
thevarianceofthereturndifferencebetweentheportfolioandthebenchmark.
thevarianceofthereturnoftheactively-managedportfolio.
13.
Thetrackingerrorofanoptimizedportfoliocanbeexpressedintermsofthe____________oftheportfolioandthusreveals____________.
return;
portfolioperformance
totalrisk;
beta;
benchmarkrisk
relativereturn;
14.
TheTreynor-Blackmodelisamodelthatshowshowaninvestmentmanagercanusesecurityanalysisandstatisticstoconstruct__________.
amarketportfolio
apassiveportfolio
anactiveportfolio
anindexportfolio
abalancedportfolio
15.
IfaportfoliomanagerconsistentlyobtainsahighSharpemeasure,themanager'
sforecastingability__________.
isaboveaverage
isaverage
isbelowaverage
doesnotexist
cannotbedeterminedbasedontheSharpemeasure
16.
Activeportfoliomanagementconsistsof__________.
markettiming
securityanalysis
indexing
markettimingandsecurityanalysis
17.
Passiveportfoliomanagementconsistsof__________.
18.
Thecriticalvariableinthedeterminationofthesuccessoftheactiveportfoliois________.
alpha/systematicrisk
alpha/nonsystematicrisk
gamma/systematicrisk
gamma/nonsystematicrisk
19.
TheTreynor-Blackmodelrequiresestimatesof________.
alpha/beta
alpha/beta/residualvariance
beta/residualvariance
alpha/residualvariance
20.
Activeportfoliomanagerstrytoconstructariskyportfoliowith__________.
ahigherSharpemeasurethanapassivestrategy
alowerSharpemeasurethanapassivestrategy
thesameSharpemeasureasapassivestrategy
veryfewsecurities
21.
Thebetaofanactiveportfoliois1.20.Thestandarddeviationofthereturnsonthemarketindexis20%.Thenonsystematicvarianceoftheactiveportfoliois1%.Thestandarddeviationofthereturnsontheactiveportfoliois__________.
3.84%
5.84%
19.60%
24.17%
26.0%
22.
Thebetaofanactiveportfoliois1.36.Thestandarddeviationofthereturnsonthemarketindexis22%.Thenonsystematicvarianceoftheactiveportfoliois1.2%.Thestandarddeviationofthereturnsontheactiveportfoliois__________.
3.19%
31.86%
42.00%
27.57%
2.86%
23.
ConsidertheTreynor-Blackmodel.Thealphaofanactiveportfoliois2%.Theexpectedreturnonthemarketindexis16%.Thevarianceofreturnonthemarketportfoliois4%.Thenonsystematicvarianceoftheactiveportfoliois1%.Therisk-freerateofreturnis8%.Thebetaoftheactiveportfoliois1.Theoptimalproportiontoinvestintheactiveportfoliois__________.
0%
25%
50%
100%
24.
ConsidertheTreynor-Blackmodel.Thealphaofanactiveportfoliois1%.Theexpectedreturnonthemarketindexis16%.Thevarianceofthereturnonthemarketportfoliois4%.Thenonsystematicvarianceoftheactiveportfoliois1%.Therisk-freerateofreturnis8%.Thebetaoftheactiveportfoliois1.05.Theoptimalproportiontoinvestintheactiveportfoliois__________.
48.7%
50.0%
51.3%
100.0%
25.
Thereappearstobearoleforatheoryofactiveportfoliomanagementbecause
someportfoliomanagershaveproducedsequencesofabnormalreturnsthataredifficulttolabelasluckyoutcomes.
the"
noise"
intherealizedreturnsisenoughtopreventtherejectionofthehypothesisthatsomemoneymanagershaveoutperformedapassivestrategybyastatisticallysmall,yeteconomic,margin.
someanomaliesinrealizedreturnshavebeenpersistentenoughtosuggestthatportfoliomanagerswhoidentifiedtheseanomaliesinatimelyfashioncouldhaveoutperformedapassivestrategyoverprolongedperiods.
someportfoliomanagershaveproducedsequencesofabnormalreturnsthataredifficulttolabelasluckyoutcomes;
andthe"
the"
intherealizedreturnsisenoughtopreventtherejectionofthehypothesisthatsomemoneymanagershaveoutperformedapassivestrategybyastatisticallysmall,yeteconomic,margin;
andsomeanomaliesinrealizedreturnshavebeenpersistentenoughtosuggestthatportfoliomanagerswhoidentifiedtheseanomaliesinatimelyfashioncouldhaveoutperformedapassivestrategyoverprolongedperiods.
26.
TheTreynor-Blackmodel
considersbothmacroeconomicandmicroeconomicrisks.
considerssecurityselectiononly.
isnearlyimpossibletoimplement.
considersbothmacroeconomicandmicroeconomicrisksandisnearlyimpossibletoimplement.
considerssecurityselectiononlyandisnearlyimpossibletoimplement.
27.
WhichofthefollowingarenottrueregardingtheTreynor-Blackmodel?
considersbothmacroeconomicandmicroeconomicrisks
considerssecurityselectiononly
isnearlyimpossibletoimplement
considersbothmacroeconomicandmicroeconomicrisksandisnearlyimpossibletoimplement
considerssecurityselectiononlyandisnearlyimpossibletoimplement
28.
Toimprovefutureanalystforecastsusingthestatisticalpropertiesofpastforecasts,aregressionmodelcanbefittedtopastforecasts.Theinterceptoftheregressionisa__________coefficient,andtheregressionbe
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