Question
QUESTION 40 A portfolio generates an annual return of 16%, a beta of 1.2, and a standard deviation of 19%. The market index return is
QUESTION 40
- A portfolio generates an annual return of 16%, a beta of 1.2, and a standard deviation of 19%. The market index return is 12% and has a standard deviation of 16%. What is Jensen's alpha of the portfolio if the risk-free rate is 6%?
| A. | 0.017 |
| B. | 0.036 |
| C. | 0.028 |
| D. | 0.078
|
1.82 points
QUESTION 41
- The clearing corporation has a net position equal to ________.
| A. | the open interest |
| B. | zero
|
| C. | the open interest times 2 |
| D. | the open interest divided by 2 |
1.82 points
QUESTION 42
- A manager is holding a $1.0 million bond portfolio with a modified duration of eight years. She would like to hedge the risk of the portfolio by short-selling Treasury bonds. The modified duration of T-bonds is 10 years. How many dollars' worth of T-bonds should she sell to minimize the risk of her position?
| A. | $800,000 of T- bonds |
| B. | $300,000 of T- bonds |
| C. | $500,000 of T- bonds |
| D. | $100,000 of T- bonds |
1.82 points
QUESTION 43
- The S&P 500 Index futures contract is an example of a(n) ________ delivery contract. The pork bellies contract is an example of a(n) ________ delivery contract.
| A. | actual; cash |
| B. | cash; actual |
| C. | actual; actual
|
| D. | cash; cash |
1.82 points
QUESTION 44
- When we compare a fund with its benchmark index, the interpretation becomes more intuitive if we use M2 rather than the Sharpe ratio because ______.
| A. | it shows the difference in return when portfolio variance is the same as market variance |
| B. | M2 uses excess return instead of average return |
| C. | M2 uses systematic risk instead of total risk |
| D. | it shows the difference in variance when portfolio return is the same as market return |
1.82
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