【文章內(nèi)容簡介】 he realized returns is enough to prevent the rejection of the hypothesis that some money managers have outperformed a passive strategy by a statistically small, yet economic, margin. C) some anomalies in realized returns have been persistent enough to suggest that portfolio managers who identified these anomalies in a timely fashion could have outperformed a passive strategy over prolonged periods. D) A and B. E) A, B, and C. Answer: E Difficulty: Easy Rationale: Statements A, B, and C are true. 22. The TreynorBlack model A) considers both macroeconomic and microeconomic risks. B) considers security selection only. C) is relatively easy to implement. D) A and C. E) B and C. Answer: D Difficulty: Easy Rationale: A and C are true for the model. 23. To improve future analyst forecasts using the statistical properties of past forecasts, a regression model can be fitted to past forecasts. The intercept of the regression is a __________ coefficient, and the regression beta represents a __________ coefficient. A) bias, precision B) bias, bias C) precision, precision D) precision, bias E) none of the above Answer: A Difficulty: Moderate Rationale: The estimated equation adjusts future forecasts for direction and magnitude of bias and degree of imprecision in past forecasts. 24. 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 meanvariance efficient. D) both A and B. E) all of the above. Answer: D Difficulty: Easy Rationale: A purely passive strategy is one that calls for no market analysis. 25. Consider these two investment strategies: Strategy ___ is the dominant strategy because __________. A) 1, it is riskless B) 1, it has the highest reward/risk ratio C) 2, its return is at least equal to Strategy 1 and sometimes greater D) 2, it has the highest reward/risk ratio E) both strategies are equally preferred. Answer: C Difficulty: Moderate Rationale: Strategy 2 dominates Strategy 1, even though it is riskier, because it always returns at least as much as Strategy 1 and sometimes more. 26. The TreynorBlack model assumes that A) the objective of security analysis is to form an active portfolio of a limited number of mispriced securities. B) the cost of less than full diversification es from the nonsystematic risk of the mispriced stock. C) the optimal weight of a mispriced security in the active portfolio is a function of the degree of mispricing, the market sensitivity of the security, and its degree of nonsystematic risk. D) all of the above are true. E) none of the above is true. Answer: D Difficulty: Moderate Rationale: All of the statements correctly describe assumptions of the TreynorBlack model. 27. Consider the TreynorBlack model. The alpha of an active portfolio is 3%. The expected return on the market index is 18%. The standard deviation of the return on the market portfolio is 25%. The nonsystematic standard deviation of the active portfolio is 15%. The riskfree rate of return is 6%. The beta of the active portfolio is . The optimal proportion to invest in the active portfolio is __________. A) % B) % C) % D) % E) % Answer: D Difficulty: Difficult Rationale: wO = [3%/%]/[(18% 6%)/%] = 。 w* = [1 + (1 )] = , or %. 28. According to the TreynorBlack model, the weight of a security in the active portfolio depends on the ratio of __________ to __________. A) the degree of mispricing。 the nonsystematic risk of the security B) the degree of mispricing。 the systematic risk of the security C) the market sensitivity of the security。 the nonsystematic risk of the security D) the nonsystematic risk of the security。 the systematic risk of the security E) the total return on the security。 the nonsystematic risk of the security Answer: A Difficulty: Moderate Rationale: The weight of the mispriced security in the active portfolio depends on the degree of mispricing (alpha) in proportion to the nonsystematic risk added by holding the security. 29. One property of a risky portfolio that bines an active portfolio