1) two investment advisers are comparing performance. adviser a averaged a 20%
return with a portfolio beta of 1.5, and adviser b averaged a 15% return with a portfolio
beta of 1.2. if the t-bill rate was 5% and the market return during the period was 13%,
which adviser was the better stock picker?
a.advisor a was better because he generated a larger alpha.
b.advisor b was better because she generated a larger alpha.
c.advisor a was better because he generated a higher return.
d.advisor b was better because she achieved a good return with a lower beta.
2)
the beta of this stock is ____.
a..12
b..35
c.1.32
d.4.05
3) floating-rate bonds have a __________ that is adjusted with current market interest
rates.
a.maturity date
b.coupon payment date
c.coupon rate
d.dividend yield
4) the treynor-black model is a model that shows how an investment manager can use
security analysis and statistics to construct __________.
a.a market portfolio
b.a passive portfolio
c.an active portfolio
d.an index portfolio
5) the two topics of primary concern in macroeconomics are:
a.short-run fluctuations in output and employment, and long-run economic growth.
b.unemployment, and wage rates in labor markets.
c.monopoly power of corporations, and small business profitability.
d.oil prices and housing markets.
6) historically, small-firm stocks have earned higher returns than large-firm stocks.
when viewed in the context of an efficient market, this suggests that ___________.
a.small firms are better run than large firms
b.government subsidies available to small firms produce effects that are discernible in
stock market statistics
c.small firms are riskier than large firms
d.small firms are not being accurately represented in the data
7) before the period of modern economic growth:
a.only civilizations such as the roman empire experienced economic growth.
b.rates of population growth virtually matched rates of output growth.
c.most economies realized high rates of growth in output per person.
d.output and population growth were stagnant.
8) a portfolio generates an annual return of 13%, a beta of .7, and a standard deviation
of 17%. the market index return is 14% and has a standard deviation of 21%. what is
jensen’s alpha of the portfolio if the risk-free rate is 5%?
a..017
b..034
c..067
d..078
9) the option clearing corporation is owned by _________.
a.the exchanges on which stock options are traded
b.the federal deposit insurance corporation
c.the federal reserve system
d.major u.s. banks
10) the ratio of the average yield on 10 top-rated corporate bonds to the average yield
on 10 intermediate-grade bonds is called the __________.
a.bond price index
b.confidence index
c.relative strength index
d.trin ratio
11) hedge ratios for long calls are always __________.
a.between -1 and 0
b.between 0 and 1
c.1
d.greater than 1
12) gdp refers to _________.
a.the amount of personal disposable income in the economy
b.the difference between government spending and government revenues
c.the total manufacturing output in the economy
d.the total production of goods and services in the economy
13) a hedge fund has $150 million in assets at the beginning of the year and 10 million
shares outstanding throughout the year. throughout the year assets grow at 12%. the
fund charges a 3% management fee on the assets. the fee is imposed on year-end asset
values. what is the end-of-year nav for the fund?
a.$15
b.$15.60
c.$16.30
d.$17.55