Question 1

The security market line (SML)

Accepted Answer

A)  can be portrayed graphically as the expected return-beta relationship. 
B)  can be portrayed graphically as the expected return-standard deviation of market-returns relationship. 
C)  provides a benchmark for evaluation of investment performance. 
D)  can be portrayed graphically as the expected return-beta relationship and provides a benchmark for evaluation of investment performance. 
E)  can be portrayed graphically as the expected return-standard deviation of market-returns relationship and provides a benchmark for evaluation of investment performance. 
A)  can be portrayed graphically as the expected return-beta relationship. 
B)  can be portrayed graphically as the expected return-standard deviation of market-returns relationship. 
C)  provides a benchmark for evaluation of investment performance. 
D)  can be portrayed graphically as the expected return-beta relationship and provides a benchmark for evaluation of investment performance. 
E)  can be portrayed graphically as the expected return-standard deviation of market-returns relationship and provides a benchmark for evaluation of investment performance.

Question 2

The market is expected to generate a 12% return and the risk free rate is 4%. A portfolio manager has 70% of her capital allocated to stock A with a beta of 0.8, which generated a total return of 11%. 30% of her capital is allocated to stock B with a beta of 1.1, which generated a total return of 12%. What Alpha was generated by the manager by allocating more capital to stock A?

Accepted Answer

A)  0.11% 
B)  0.18% 
C)  0.25% 
D)  0.38% 
A)  0.11% 
B)  0.18% 
C)  0.25% 
D)  0.38%

Question 3

The market is expected to generate a 11% return and the risk free rate is 4%. A portfolio manager has 80% of her capital allocated to stock A with a beta of 0.9, which generated a total return of 12%. 20% of her capital is allocated to stock B with a beta of 1.3, which generated a total return of 13%. What concept is demonstrated to explain the alpha being generated by the manager?

Accepted Answer

A)  Capital allocation 
B)  Stock picking 
C)  Technical analysis 
D)  Fundamental analysis 
A)  Capital allocation 
B)  Stock picking 
C)  Technical analysis 
D)  Fundamental analysis

The security market line (SML)

The Investment Environment

Asset Classes and Financial Instruments

How Securities Are Traded

Mutual Funds and Other Investment Companies

Risk, Return, and the Historical Record

Capital Allocation to Risky Assets

Efficient Diversification

Index Models

Arbitrage Pricing Theory and Multifactor Models of Risk and Return

The Efficient Market Hypothesis

Behavioral Finance and Technical Analysis

Empirical Evidence on Security Returns

Bond Prices and Yields

The Term Structure of Interest Rates

Managing Bond Portfolios

Macroeconomic and Industry Analysis

Equity Valuation Models

Financial Statement Analysis

Options Markets: Introduction

Option Valuation

Futures Markets

Futures, Swaps, and Risk Management

Portfolio Performance Evaluation

International Diversification

Hedge Funds

The Theory of Active Portfolio Management

Investment Policy and the Framework of the Cfa Institute

Filters

Exam 9: The Capital Asset Pricing Model

The security market line (SML)

The Investment Environment

Asset Classes and Financial Instruments

How Securities Are Traded

Mutual Funds and Other Investment Companies

Risk, Return, and the Historical Record

Capital Allocation to Risky Assets

Efficient Diversification

Index Models

Arbitrage Pricing Theory and Multifactor Models of Risk and Return

The Efficient Market Hypothesis

Behavioral Finance and Technical Analysis

Empirical Evidence on Security Returns

Bond Prices and Yields

The Term Structure of Interest Rates

Managing Bond Portfolios

Macroeconomic and Industry Analysis

Equity Valuation Models

Financial Statement Analysis

Options Markets: Introduction

Option Valuation

Futures Markets

Futures, Swaps, and Risk Management

Portfolio Performance Evaluation

International Diversification

Hedge Funds

The Theory of Active Portfolio Management

Investment Policy and the Framework of the Cfa Institute

Filters