Top 350+ Solved Security Analysis and Investment Management MCQ Questions Answer
Q. ____________ can be used to measure forecast quality and guide in the proper adjustment of forecasts.
a. Regression analysis
b. Exponential smoothing
c. ARIMA
d. Moving average models
Q. The ____________ model allows the private views of the portfolio manager to be incorporated with market data in the optimization procedure.
a. Black-Litterman
b. Treynor-Black
c. Treynor-Mazuy
d. Black-Scholes
Q. The Black-Litterman model and Treynor-Black model are
a. nice in theory but practically useless in modern portfolio management.
b. complementary tools that should be used in portfolio management.
c. contradictory models can not be use together; therefore, portfolio managers must choose which one suits their needs.
d. not useful due to their complexity.
Q. Alpha forecasts must be ____________ to account for less-than-perfect forecasting quality. When alpha forecasts are ____________ to account for forecast imprecision, the resulting portfolio position becomes ____________.
a. shrunk, shrunk, far less moderate
b. shrunk, shrunk, far more moderate
c. grossed up, grossed up, far less moderate
d. grossed up, grossed up, far more moderate
Q. Tracking error is defined as
a. the difference between the returns on the overall risky portfolio versus the benchmark return.
b. the variance of the return of the benchmark portfolio
c. the variance of the return difference between the portfolio and the benchmark
d. the variance of the return of the actively-managed portfolio
Q. The tracking error of an optimized portfolio can be expressed in terms of the ____________ ofthe portfolio and thus reveal ____________.
a. return; portfolio performance
b. total risk; portfolio performance
c. beta; portfolio performance
d. beta; benchmark risk
Q. If a portfolio manager consistently obtains a high Sharpe measure, the manager's forecasting ability __________.
a. is above average
b. is average
c. is below average
d. does not exist.
Q. Active portfolio management consists of __________.
a. market timing
b. security analysis
c. indexing
d. Aand B
Q. The critical variable in the determination of the success of the active portfolio is ________.
a. alpha/systematic risk
b. alpha/nonsystematic risk
c. gamma/systematic risk
d. gamma/nonsystematic risk
Q. Active portfolio managers try to construct a risky portfolio with __________.
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
Q. A purely passive strategy is defined as
a. one that uses only index funds.
b. one that allocates assets in fixed proportions that do not vary with market conditions.
c. one that is mean-variance efficient.
d. both A and B.
Q. According to the index model, covariances among security pairs are
a. Due to the influence of a single common factor represented by the market index return
b. Extremely difficult to calculate
c. Usually positive
d. A and c
Q. In a factor model, the return on a stock in a particular period will be related to _________.
a. firm-specific events
b. macroeconomic events
c. the error term
d. both A and B