Question 1

The Treynor-Black model requires estimates of

Accepted Answer

A) alpha/beta. 
B) alpha/beta/residual variance. 
C) beta/residual variance. 
D) alpha/residual variance. 
A) alpha/beta. 
B) alpha/beta/residual variance. 
C) beta/residual variance. 
D) alpha/residual variance.

Question 2

The beta of an active portfolio is 1.45.The standard deviation of the returns on the market index is 22%.The nonsystematic variance of the active portfolio is 3%.The standard deviation of the returns on the active portfolio is

Accepted Answer

A) 36.30%. 
B) 5.84%. 
C) 19.60%. 
D) 24.17%. 
E) 26.0%. 
A) 36.30%. 
B) 5.84%. 
C) 19.60%. 
D) 24.17%. 
E) 26.0%.

Question 3

You have a record of an analyst's past forecasts of alpha.Describe how you would use this information within the context of the Treynor-Black model to determine the forecasting ability of the analyst.

Accepted Answer

You can use the index model and valid es

Question 4

A purely passive strategy

Accepted Answer

A) uses only index funds. 
B) uses weights that change in response to market conditions. 
C) uses only risk-free assets. 
D) is best if there is "noise" in realized returns. 
E) is useless if abnormal returns are available. 
A) uses only index funds. 
B) uses weights that change in response to market conditions. 
C) uses only risk-free assets. 
D) is best if there is "noise" in realized returns. 
E) is useless if abnormal returns are available.

Question 5

The Black-Litterman model is geared toward ____________ while the Treynor-Black model is geared toward ____________.

Accepted Answer

A) security analysis; security analysis 
B) asset allocation; asset allocation 
C) security analysis; asset allocation 
D) asset allocation; security analysis 
E) None of the options 
A) security analysis; security analysis 
B) asset allocation; asset allocation 
C) security analysis; asset allocation 
D) asset allocation; security analysis 
E) None of the options

Question 6

The Treynor-Black model is a model that shows how an investment manager can use security analysis and statistics to construct

Accepted Answer

A) a market portfolio. 
B) a passive portfolio. 
C) an active portfolio. 
D) an index portfolio. 
E) a balanced portfolio. 
A) a market portfolio. 
B) a passive portfolio. 
C) an active portfolio. 
D) an index portfolio. 
E) a balanced portfolio.

Question 7

Which of the following are not true regarding the Treynor-Black model

Accepted Answer

A) It considers both macroeconomic and microeconomic risks. 
B) It considers security selection only. 
C) It is nearly impossible to implement. 
D) It considers both macroeconomic and microeconomic risks, and it is nearly impossible to implement. 
E) It considers security selection only, and it is nearly impossible to implement. 
A) It considers both macroeconomic and microeconomic risks. 
B) It considers security selection only. 
C) It is nearly impossible to implement. 
D) It considers both macroeconomic and microeconomic risks, and it is nearly impossible to implement. 
E) It considers security selection only, and it is nearly impossible to implement.

Question 8

Active portfolio managers try to construct a risky portfolio with

Accepted Answer

A) a higher Sharpe measure than a passive strategy. 
B) a lower Sharpe measure than a passive strategy. 
C) the same Sharpe measure as a passive strategy. 
D) very few securities. 
A) a higher Sharpe measure than a passive strategy. 
B) a lower Sharpe measure than a passive strategy. 
C) the same Sharpe measure as a passive strategy. 
D) very few securities.

Question 9

The beta of an active portfolio is 1.36.The standard deviation of the returns on the market index is 22%.The nonsystematic variance of the active portfolio is 1.2%.The standard deviation of the returns on the active portfolio is

Accepted Answer

A) 3.19%. 
B) 31.86%. 
C) 42.00%. 
D) 27.57%. 
E) 2.86%. 
A) 3.19%. 
B) 31.86%. 
C) 42.00%. 
D) 27.57%. 
E) 2.86%.

Question 10

The tracking error of an optimized portfolio can be expressed in terms of the ____________ of the portfolio and thus reveals ____________.

Accepted Answer

A) return; portfolio performance 
B) total risk; portfolio performance 
C) beta; portfolio performance 
D) beta; benchmark risk 
E) relative return; benchmark risk 
A) return; portfolio performance 
B) total risk; portfolio performance 
C) beta; portfolio performance 
D) beta; benchmark risk 
E) relative return; benchmark risk

The Treynor-Black model requires estimates of

The beta of an active portfolio is 1.45.The standard deviation of the returns on the market index is 22%.The nonsystematic variance of the active portfolio is 3%.The standard deviation of the returns on the active portfolio is

You have a record of an analyst's past forecasts of alpha.Describe how you would use this information within the context of the Treynor-Black model to determine the forecasting ability of the analyst.

A purely passive strategy

The Black-Litterman model is geared toward while the Treynor-Black model is geared toward .

The Treynor-Black model is a model that shows how an investment manager can use security analysis and statistics to construct

Which of the following are not true regarding the Treynor-Black model

Active portfolio managers try to construct a risky portfolio with

The beta of an active portfolio is 1.36.The standard deviation of the returns on the market index is 22%.The nonsystematic variance of the active portfolio is 1.2%.The standard deviation of the returns on the active portfolio is

The tracking error of an optimized portfolio can be expressed in terms of the of the portfolio and thus reveals .

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

Optimal Risky Portfolios

Index Models

The Capital Asset Pricing Model

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

Investment Policy and the Framework of the Cfa Institute

Filters

Exam 27: The Theory of Active Portfolio Management

The Treynor-Black model requires estimates of

The beta of an active portfolio is 1.45.The standard deviation of the returns on the market index is 22%.The nonsystematic variance of the active portfolio is 3%.The standard deviation of the returns on the active portfolio is

You have a record of an analyst's past forecasts of alpha.Describe how you would use this information within the context of the Treynor-Black model to determine the forecasting ability of the analyst.

A purely passive strategy

The Black-Litterman model is geared toward ____________ while the Treynor-Black model is geared toward ____________.

The Treynor-Black model is a model that shows how an investment manager can use security analysis and statistics to construct

Which of the following are not true regarding the Treynor-Black model

Active portfolio managers try to construct a risky portfolio with

The beta of an active portfolio is 1.36.The standard deviation of the returns on the market index is 22%.The nonsystematic variance of the active portfolio is 1.2%.The standard deviation of the returns on the active portfolio is

The tracking error of an optimized portfolio can be expressed in terms of the ____________ of the portfolio and thus reveals ____________.

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

Optimal Risky Portfolios

Index Models

The Capital Asset Pricing Model

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

Investment Policy and the Framework of the Cfa Institute

Filters

The Black-Litterman model is geared toward while the Treynor-Black model is geared toward .

The tracking error of an optimized portfolio can be expressed in terms of the of the portfolio and thus reveals .