SAPM QUIZ 1- 16.02.

21
Points:

[Link] to answer. Single line text.

[Link] to answer. Single line text.

[Link] type of risk is avoidable through proper diversification. Single choice.

(1/1 Point)
portfolio risk
systematic risk
unsystematic risk
total risk
Correct answers: unsystematic risk
[Link] M and N are equally risky with 20%(SD) but they have different
expected return, Stock M(Expected return= 16%; weight= 0.5) and Stock N
(Expected return= 24%; weight= 0.5); .The beta of stock M is 1.6 and Beta of
Stock N is .9. Calculate the Portfolio beta.. Single choice.
(1/1 Point)
1.6
1.5
1.25
1.1
Correct answers: 1.25
5. The greater the beta! the....... of the security involved.. Single choice.
(1/1 Point)
greater the unavoidable risk
greater the avoidable risk
less the unavoidable risk
less the avoidable risk
Correct answers: greater the unavoidable risk
6.A statistical measure of the degree to which two variables e.g. securities"returns
move together.. Single choice.
(1/1 Point)
 coefficient of variance
variance
covariance
All the points
Correct answers: covariance
[Link] the two security. Stock A (Correlation coefficient =0.06; SD=8.5%);
Stock B (Correlation coefficient =.58 .; SD=7.5%) and market SD =4.5%. Select the
correct beta value of the stocks .. Single choice.
(2/2 Points)
Stock A, Beta= 1; Stock B, Beta= .89
Stock A, Beta = .11; Stock B, Beta = 0.96
Stock A, Beta= .11; Stock B, Beta= .11;
Stock A, Beta= 0.99; Stock B , Beta= .91
Correct answers: Stock A, Beta = .11; Stock B, Beta = 0.96
[Link] M and N are equally risky with 20%(SD) but they have different
expected return, Stock M(Expected return= 16%; weight= 0.5) and Stock N
(Expected return= 24%; weight= 0.5); . What is the portfolio risk (SD) if the
Correlation coefficient between M and N is case 1 = -1.0 ; Case 2= 0.0. Single
choice.
(2/2 Points)
Case 1= 0.0%; Case 2= 14.14%
Case 1= 14.14; Case 2= 0.0%
Case 1= 20%; Case 2= 0.0%
Both cases will have 0.0% risk.
Correct answers: Case 1= 0.0%; Case 2= 14.14%
[Link] agree to invest in high- risk investments if only. Single choice.
(1/1 Point)
There are any true speculations
The predicted return is satisfactory for taking a risk
There are no safe options except for holding cash
The return is short
Correct answers: The predicted return is satisfactory for taking a risk
[Link] M and N are equally risky with 20%(SD) but they have different
expected return, Stock M(Expected return= 16%; weight= 0.5) and Stock N
(Expected return= 24%; weight= 0.5); . What is the portfolio return.. Single choice.
(1/1 Point)
25%
20%
 22%
21%
Correct answers: 20%
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QUIZ 2 SAPM 16.03.21 (MBA II SEM)

Points:
[Link] iof the following statement is true. Single choice.
(1/1 Point)

A lower allocation to the risky portfolio reduces the Sharpe ratio

The higher the borrowing rate, the lower the Sharpe ratios of the levered portfolio

With a fixed risk free rate, doubling the expected return and standard deviation of the risky
portfolio will double the Sharpe ratio

Holding constant the risk premium of the risky portfolio, a higher risk free rate will increase the
Sharpe ratio of investments with a positive allocation to the risky asset.

Correct answers: The higher the borrowing rate, the lower the Sharpe ratios of the levered portfolio

[Link] invest $100 in a risky asset with an expected rate of return of 0.12 and a
standard deviation of 0.15 and a T-bill with a rate of return of 0.05. A portfolio
that has an expected outcome of $115 is formed by. Single choice.

(1/1 Point)

investing $100 in the risky asset.

investing $80 in the risky asset and $20 in the risk-free asset.

borrowing $43 at the risk-free rate and investing the total amount ($143) in the risky asset.

Such a portfolio cannot be formed.

Correct answers: borrowing $43 at the risk-free rate and investing the total amount ($143) in the
risky asset.

[Link] a portfolio that offers an expected rate of return of 12% and a

standard deviations of 18 %. T -bills offer a risk free 7% rate of return. What is the
maximum level of risk aversion for which the risky portfolio is still preferred to
bills. A's value must be less than. Single choice.

(1/1 Point)

4.2

4.5

3.9

4.1

Correct answers: 3.9

[Link] the mean-standard deviation graph, which one of the following statements is
true regarding the indifference curve of a risk-averse investor? It is the locus of
the portfolio that. Single choice.

(1/1 Point)

have the same expected rates of return

have the same standard deviation and different rate of returns

offers same utility according to the same standard deviation and returns

All the statements are correct

Correct answers: offers same utility according to the same standard deviation and returns

[Link] investor invests 30 percent of his wealth in a risky asset with an expected
rate of return of 0.15 and a variance of 0.04 and 70 percent in a T-bill that pays 6
percent. His portfolio's expected return and standard deviation are __________ and
__________, respectively.. Single choice.

(1.5/1.5 Points)

0.114; 0.12

0.087;0.06
 0.295; 0.12

0.087; 0.12

Correct answers: 0.087;0.06

[Link] invest $100 in a risky asset with an expected rate of return of 0.12 and a
standard deviation of 0.15 and a T-bill with a rate of return of 0.05. The slope of
the Capital Allocation Line formed with the risky asset and the risk-free asset is
equal to. Single choice.

(1/1 Point)

0.4667.

0.8000.

2.14.

0.41667.

Correct answers: 0.4667.

[Link] the S& P 500 for the last 10 years earns average annual returns of 11.67% and
1 month T bill rate is 3.58%. If the deviation in the average annual returns is
reported as 20.48%. How much proportion of the portfolio should be invested in
the risky portfolio for the investor with A= 4.. Single choice.

(0/1.5 Points)

48%

28%

27%

47%

Your answer to question 7 is wrong. Correct answers: 48%

[Link] invest $100 in a risky asset with an expected rate of return of 0.12 and a
standard deviation of 0.15 and a T-bill with a rate of return of 0.05. What
percentages of your money must be invested in the risky asset and the risk-free
asset, respectively, to form a portfolio with an expected return of 0.09?. Single
choice.
(2/2 Points)

85% and 15%

75% and 25%

7% and 33%

57% and 43%

Correct answers: 57% and 43%

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SAPM QUIZ 3 1ST APRIL

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Points:
[Link] who wish to generate efficient portfolios using the Markowitz analysis
must supply which inputs?. Single choice.
(1/1 Point)

Statement 1:an expected return for each security being considered

Statement 2:the standard deviation for each security being considered

Statement 2:the weights for each security

 Statement 1, 2 , 3 along with at least one other variable

Correct answers: Statement 1, 2 , 3 along with at least one other variable

[Link] on the upper right portion of the efficient frontier are likely to be
chosen by. Single choice.

(-/1 Point)

aggressive investors

conservative investors

highly risk-averse investors

defensive investors

[Link] to the Markowitz analysis, an efficient portfolio is one that. Single

choice.

(0/1 Point)

Has the largest expected return for the smallest level of risk

Has the smallest level of risk

has the minimum risk for a specified level of return

has the largest expected return and zero risk

Your answer to question 3 is wrong. Correct answers: has the minimum risk for a specified level of
return

[Link] the portfolio from the following set that is NOT on the efficient
frontier.. Single choice.

(-/1 Point)

Portfolio A: expected return of 10% and standard deviation of 8%.

Portfolio B: expected return of 18% and standard deviation of 13%.

Portfolio C: expected return of 38% and standard deviation of 30%.

Portfolio D: expected return of 19% and standard deviation of 12%.

[Link] the statement below most closely associated with the work of
Markowtiz.. Single choice.
(1/1 Point)

Diversifying properly depends only upon the number of securities chosen.

Systematic risk can be identified and assessed.

The efficient frontier is an arc and not a straight line.

The Markowitz technique designates the one portfolio in the efficient set that is optimal for all
investors

Correct answers: The efficient frontier is an arc and not a straight line.

6.A pension fund manager considers three mutual funds, with various risk and
return combination. Equity stock fund (Expected return= 20%, SD=30%) Bond
fund (Expected return= 12%, SD= 15%) and T- bill money market fund having
rate of return of 8%. If the optimal weight of stock fund is 17.39% for minimum
variance portfolio. What will be the minimum variance portfolio's mean and
standard deviation respectively. (The correlation between Stock and bond is
=.10). Single choice.

(2/2 Points)

13.39%, 13.92%

14.32%, 15.65%

12.23%,11.45%

16.32%,15.45%

Correct answers: 13.39%, 13.92%

7.A pension fund manager considers three mutual funds, with various risk and
return combination. Equity stock fund (Expected return= 20%, SD=30%) Bond
fund (Expected return= 12%, SD= 15%) and T- bill money market fund having
rate of return of 8%. If the optimal weight of stock fund is 45.16% for optimal
portfolio. What will be the optimal risky portfolio's mean and standard deviation
respectively. (The correlation between Stock and bond is =.10). Single choice.

(2/2 Points)
 15.61%, 16.54%

12.65%, 14.89%

32.21%, 25.8%

14.00%, 12.00%

Correct answers: 15.61%, 16.54%

[Link] the answer from question 7. calculate the slope of CAL. [A pension fund
manager considers three mutual funds, with various risk and return combination.
Equity stock fund (Expected return= 20%, SD=30%) Bond fund (Expected return=
12%, SD= 15%) and T- bill money market fund having rate of return of 8%. If the
optimal weight of stock fund is 45.16% for optimal portfolio. What will be the
optimal risky portfolio's mean and standard deviation respectively. (The
correlation between Stock and bond is =.10). ]. Single choice.

(1/1 Point)

.312

.45

.93

.5

Correct answers: .45

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Quiz-4 SAPM MBA II sem 15/04/21
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Points:
[Link] Sharpe, Treynor, and Jensen measures will agree on portfolio rankings if.
Single choice.
(0/1 Point)

the portfolios are completely diversified.

Only ex post data are used.

Quarterly data are used in all three.

Each portfolio consists of only one security.

Your answer to question 1 is wrong. Correct answers: the portfolios are completely diversified.

[Link] regard to the reward-to-variability ratio (RVAR):. Single choice.

(1/1 Point)

RVAR is an absolute measure of performance.

RVAR measures the slope of the line from RF to the portfolio being evaluated.

The closer the RVAR to 0.0, the better is the performance.

RVAR does not take into account how well diversified a portfolio was.

Correct answers: RVAR measures the slope of the line from RF to the portfolio being evaluated.

[Link] to Jensen’s differential return measure, what is alpha?. Single choice.

(0/1 Point)

The intercept of the SML line.

The intercept of CML line.

A means of identifying superior or inferior portfolio performance.

 The actual excess return on a portfolio during some period.

Your answer to question 3 is wrong. Correct answers: A means of identifying superior or inferior
portfolio performance.

[Link] of the following portfolios would rank best in terms of portfolio

performance? Portfolio 1 7% Portfolio 2 18% Portfolio 3 25% Risk-free rate 9%.
Single choice.

(0/1 Point)

Option 13, 2, 1

3, 2, risk-free rate, 1

3, 2, portfolio 1 was not acceptable because return was below the risk-free rate

not enough information is provided to answer this question

Your answer to question 4 is wrong. Correct answers: not enough information is provided to answer
this question

[Link] the performance of a portfolio, according to Jensen's measure, when

the portfolio had an actual return of 13%, and the risk-free rate = 6%, the market
return = 12%, and the portfolio had a beta of 1.2. Single choice.

(1/1 Point)

inferior

superior

same as that of the market

not enough information is provided to answer this question

Correct answers: inferior

[Link] regard to asset allocation, choose the INCORRECT statement:. Single

choice.

(1/1 Point)

the asset allocation decision involves deciding the percentage of investable funds to be placed in
stocks, bonds, and cash equivalents
 differences in asset allocation will be the key factor over time causing differences in portfolio
performance

it is the second most important decision made by investors in the portfolio management process,
security selection being the most important

how asset allocation decisions are made by investors remains a subject that is not fully
understood.

Correct answers: it is the second most important decision made by investors in the portfolio
management process, security selection being the most important

[Link] regard to the Sharpe and Treynor measures of performance, which is

CORRECT?. Single choice.

(-/1 Point)

RVAR does not take into account how well diversified a portfolio was during the measurement
period.

RVAR implies that total risk is the proper measure to use.

If an investor thinks it is correct to use systematic risk, RVAR is appropriate.

Both measures will always provide the same rankings of portfolios.

[Link] the composite measures of portfolio evaluation:. Single choice.

(0/1 Point)

Jensen’s differential return measure is based on the CAPM.

Jensen’s alpha evaluates the ability of the portfolio manager to diversify.

In the case of non-diversified portfolios, all three measures will provide similar results.

All three measures test for the significance of excess returns.

Your answer to question 8 is wrong. Correct answers: Jensen’s differential return measure is based on
the CAPM.

[Link] are asked to calculate a rate of return over a certain time horizon in order
to evaluate the portfolio manager. You should use a. Single choice.

(1/1 Point)

Optiodollar-weighted return.
 time-weighted return.

client-weighted return.

internal rate of return.n 1

Correct answers: time-weighted return.

[Link] attribution. Single choice.

(1/1 Point)

seeks to determine before the fact why success or failure occurred.

does not decompose

does not require the identification of a benchmark of performance.

often begins with the policy statement that guides the management of a portfolio.

Correct answers: often begins with the policy statement that guides the management of a portfolio.

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