(The following information relates to Questions 20 and 21)

A portfolio manager purchases shares in YUL that are worth $2,000. At the same time, this manager goes short shares worth $700.

20. What is the net market exposure?

_____

1. 50%
2. 65%
3. 90%
4. 45%

21. What is the leverage factor?

_____

1. 1.05
2. 1.08
3. 1.35
4. 1.65

22. All of the following are advantages of funds of hedge funds except

_____

1. Consistent returns with lower volatility
2. Experienced portfolio manager
3. Easier access hedge funds
4. Liquidity

23. What does a negative Sharpe ratio mean about a portfolio?

_____

A) It has underperformed the benchmark

B) It has underperformed other portfolios

C) It has underperformed the risk-free asset

D) None of the above

24. A fixed income portfolio manager who actively rebalances his portfolio weights in government versus corporate bonds in response to beliefs regarding changes in the relative yields on these securities would be referred to as a

_____

1. Maturity switcher
2. Interest rate anticipator
3. Spread trader
4. Credit quality manager

25. An investor whose primary investing objective is income would be interested in common shares of a company in an industry in the ____ life cycle stage.

_____

1. Emerging
2. Initial growth
3. Rapid growth
4. Mature

26. Duration will always be ____ the bonds term to maturity for coupon bonds.

_____

1. More than
2. Less than
3. Equal to
4. Unrelated to

27. Which of the following is false regarding value-at-risk (VaR)?

_____

A) VaR provides an estimate of the worst possible loss a firm can incur with a given probability

B) The analytical method of estimating VaR requires the assumption of a normal distribution

C) VaR estimates for portfolios must take into account the correlation among the various assets and liabilities in a portfolio

D) None of the above

28. XYZ stock has an average annual return () of 15% with an annual return standard deviation () of 50%. What loss level can we expect over a two-year investment horizon with a probability of 17%?

_____

1. -35.00%
2. -28.12%
3. -25.05%
4. -40.71%

29. Based on a normal distribution with a mean of 500 and a standard deviation of 150, the Z-value for an observation of 200 is closest to

_____

1. -2.00
2. -1.75
3. 1.75
4. 2.00

30. A firm has 800 female employees and 200 male employees. According to the stratified sampling technique, how to select from each subgroup to have a sample of 50 people to reflect the gender balance of the firm?

_____

1. 40 women and 10 men
2. 25 women and 25 men
3. 10 women and 40 men
4. 45 women and 5 men