Learning exercise: Foundations von Edu Pristine

Preservation of confidentiality applies to the information that an researcher learns from:

Which of the following does not form the part of principles in GARP code of conduct?

Which of the following belongs to strategic risk?

Which of the following is a problem when using historical betas?

Which of the following is not a step in AIRMIC Risk Management Process?

Which of the following is a common issue resulting in data errors?

Which of the following is not a benefit of data inspection?

Which of the following statements is correct about portfolio possibilities curve?

Which of the following describes the shape of portfolio possibilities curve?

The market portfolio in Capital Market Theory consist of:

A portfolio to the right of the market portfolio on the capital market line (CML) is created by:

There are benefits to diversification as long as:

Which of the following is the assumption of Multi Beta CAPM ?

How is the assumption of personal taxes relaxed in CAPM?

An analyst has compiled the following information on a portfolio:Sortino Ratio: 0.82Beta: 1.15Expected return: 12.2%Standard deviation: 16.4%Benchmark return: 11.9%Risk-free rate: 4.75%Calculate the mean squared deviation of the portfolio?

If the top management of a large firm finds that the overall risk of the firm's portfolios has changed, which of the following would NOT be a likely reason?

Which of the following statements about the Sortino ratio are valid?I. The Sortino ratio is more appropriate for asymmetrical return distributions.II. The Sortino ratio compares the portfolio return to the return of a benchmark portfolio.III. The Sortino ratio allows one to evaluate portfolios obtained through an optimization algorithm that uses variance as a risk metric.IV. The Sortino ratio is defined on the same principles as the Sharpe ratio, but the Sortino ratio replaces the risk free rate with the minimum acceptable return and the standard deviation of returns with the standard deviation of returns below the minimum acceptable return.

A portfolio has an average return over the last year of 13.2%. Its benchmark has provided an average return over the same period of 12.3%. The portfolio’s standard deviation is 15.3%, its beta is 1.15, its tracking error volatility is 6.5% and its semi-standard deviation is 9.4%. Lastly the risk free rate is 4.5%.Calculate the portfolio’s Information Ratio (IR).

A bank credit officer, who has reviewed a loan application, has made the following statement: “On a standalone basis, I was not very keen on granting this loan however, I granted this loan after looking at the overall asset portfolio of the bank.” Based on the above statement, which of the following is true.

When there are risky assets and a risk-free asset available, investors can achieve the best combinations of risk and return by holding:

Assume that a portfolio underperformed its benchmark by 2% in the most recent month. In this scenario...

Systemic risk is

An investment manager is given the task of beating a benchmark. Hence, the risk should be measuredI. In terms of loss relative to the initial investment II. In terms of loss relative to the expected portfolio value III. In terms of loss relative to the benchmark IV. In terms of loss attributed to the benchmark

Which concept gives a measure of historical value added per unit of risk taken and can be useful, among other tools, to risk managers?

A portfolio manager returns 10% with a volatility of 20%. The benchmark returns 8% with risk of 14%. The correlation between the two is 0.98. The risk-free rate is 3%. Which of the following statements is correct?

Assume that a hedge fund provides a large positive alpha. The fund can take leveraged long and short positions in stocks. The market went up over the period. Based on this information,I. If the fund has net positive beta, all of the alpha must come from the market. II. If the fund has net negative beta, part of the alpha comes from the market. III. If the fund has net positive beta, part of the alpha comes from the market. IV. If the fund has net negative beta, all of the alpha must come from the market.

Which of the following assumptions are NOT true for CAPM model?I.Investors seek to maximize the expected utility of their wealth at the end of the period and all investors need not have the same time horizon.II.Investors are risk averseIII.Investors can borrow and lend at the same risk-free rate.IV.There are neither taxes nor transaction costs, and assets are infinitely divisible. This often is referred to as ‘perfect markets”

For a given portfolio, the expected return is 10% with a standard deviation of 15%. The beta of the portfolio is 0.50. The expected return of the market is 11 % with a standard deviation of 18%. The risk-free rate is 6%. The portfolio's Treynor measure is:

The derivation of CAPM implicitly assumes that the level of the market is

While evaluating Ram and Shyam against their performances as compared to Tata Mutual Fund Manager Gopal, their boss looked at the following data. Gopal had been getting an average return of 18% on his portfolio. Managing, 25% lower money, Ram had been doing excellent at 24% and Shyam at 23%. Both Ram and Shyam had equal tracking error. The risk free rate was pretty high at 6%. Both Ram and Shyam claim to be better than each other. Whose claim is better justified. To decide on the candidate which ratio(s) will be most appropriate-

While analyzing a portfolio an analyst found that the beta of the portfolio was high at 1.15. The portfolio had an expected return of 13.6% and had standard deviation of 16.4%. The portfolio was benchmarked against the Sensex which had an expected return of 11.9% and a standard deviation of 13.2%. The minimum acceptable return on the portfolio is 5%. The analyst also noticed that the Sortino ratio was 0.78. Using this information can you deduce the semi-standard deviation of the portfolio?

According to Capital Assent Pricing Model(CAPM)I. Only efficient portfolios lie on the Securities market LineII.Portfolios with high volatility have high systematic riskIII.Expected Security returns depend on the covariance of returns with the marketIV.Portfolio expected returns equal the risk free rate plus the portfolio beta times the market premium.

At the beginning of the analysis, an analyst was able to gather the expected returns, the standard deviations of return and market value weights for the assets that comprise a portfolio. In the absence of covariance’s of returns between asset pairs which parameter(s) can the analyst calculate.I. expected return on the portfolio.II. variance of the return on the portfolioIII. correlations between asset pairs.IV reduction in risk due to diversification.

Manoj says that Beta in CAPM has the following properties-I. Beta is calculated as the correlation/variance of the market II. Any security with a zero beta is risk-free assetIII.A negative beta might occur even when both the benchmark index and the stock under consideration have positive returns.IV. Since beta is a result of regression of one stock against the market where it is quoted, betas from different countries are not comparable.Which of the above statements is/are true?

Mr. Ramesh is evaluating the performance of a fund manager appointed last year. Akash had a negative Jensen’s alpha and therefore claimed a promotion. Brajesh kept silent as Jensen’s alpha of his portfolio was 0. Chandresh wanted promotion because he had a very high Jensen’s alpha. Based on this information only, Mr. Ramesh should