Capitolo 3

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Finance Portfolio Evaluation Quiz

Test your knowledge on portfolio management and investment strategies with our engaging quiz! Dive into questions that cover various aspects such as expected returns, risk assessment, and correlation of assets.

Challenge yourself with topics including:

Risk-Return Ratios
Asset Correlation
Sharpe Ratios
Optimal Portfolio Construction

14 Questions4 MinutesCreated by CalculatingFox421

The expected return of a portfolio is 9.1%, and the risk-free rate is 5%. If the portfolio standard deviation is 14%, what is the reward-to-variability ratio of the portfolio?

0,29

0,35

0,71

0,54

The standard deviation of return on investment A is .27, while the standard deviation of return on investment B is .22. If the covariance of returns on A and B is .004, the correlation coefficient between the returns on A and B is _________.

0,067

-0,067

0,004

-0,004

You find that the annual Sharpe ratio for stock A returns is equal to 1.93. For a 4-year holding period, the Sharpe ratio would equal _______.

Semitool Corp. Has an expected excess return of 6% for next year. However, for every unexpected 1% change in the market, Semitool's return responds by a factor of 1.2. Suppose it turns out that the economy and the stock market do better than expected by 1.5% and Semitool's products experience more rapid growth than anticipated, pushing up the stock price by another 1%. Based on this information, what was Semitool's actual excess return?

8,8%

8,5%

9,25%

An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 15% and a standard deviation of return of 29%. Stock B has an expected return of 10% and a standard deviation of return of 14%. The correlation coefficient between the returns of A and B is .5. The risk-free rate of return is 5%. The proportion of the optimal risky portfolio that should be invested in stock B is approximately _________.

70%

48%

52%

30%

The term complete portfolio refers to a portfolio consisting of _________________.

Securities from domestic markets combined with securities from foreign markets

Common stocks combined with bonds

The risk-free asset combined with at least one risky asset

The market portfolio combined with the minimum-variance portfolio

Suppose that a stock portfolio and a bond portfolio have a zero correlation. This means that ______.

The returns on the stock and bond portfolios tend to vary independently of each other

The covariance of the stock and bond portfolios will be positive

The returns on the stock and bond portfolios tend to move together

The returns on the stock and bond portfolios tend to move inversely

Harry Markowitz is best known for his Nobel Prize-winning work on _____________.

Techniques used to identify efficient portfolios of risky assets

Techniques used to measure the systematic risk of securities

Techniques used in valuing securities options

Strategies for active securities trading

The optimal risky portfolio can be identified by finding: I. The minimum-variance point on the efficient frontier II. The maximum-return point on the efficient frontier and the minimum- variance point on the efficient frontier III. The tangency point of the capital market line and the efficient frontier IV. The line with the steepest slope that connects the risk-free rate to the efficient frontier

III and IV only

I and II only

II and III only

I and IV only

A stock has a correlation with the market of 0.48. The standard deviation of the market is 28%, and the standard deviation of the stock is 36%. What is the stock's beta?

0,62

0,37

0,38

1,62

The standard deviation of return on investment A is .14, while the standard deviation of return on investment B is .09. If the covariance of returns on A and B is .007, the correlation coefficient between the returns on A and B is _________.

0,556

-0,556

0,007

-0,007

An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 14% and a standard deviation of return of 26%. Stock B has an expected return of 9% and a standard deviation of return of 11%. The correlation coefficient between the returns of A and B is .5. The risk-free rate of return is 5%. The proportion of the optimal risky portfolio that should be invested in stock B is approximately _________.

73%

52%

48%

27%

You find that the annual Sharpe ratio for stock A returns is equal to 1.96. For a 3-year holding period, the Sharpe ratio would equal _______.

The expected return of a portfolio is 9.3%, and the risk-free rate is 3%. If the portfolio standard deviation is 16%, what is the reward-to-variability ratio of the portfolio?

0,39

0,42

0,61

0,72

Capitolo 3

Finance Portfolio Evaluation Quiz

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