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10.PORTFOLIOMANAGEMENT
Q-1.
Thetimingofpayoutsforpropertyandcasualtyinsurersisunpredictable("lumpy")in
comparisonwiththetimingofpayoutsforlifeinsurancecompanies.Therefore,in
general,propertyandcasualtyinsurershave:
A.lowerliquidityneedsthanlifeinsurancecompanies.
B.greaterliquidityneedsthanlifeinsurancecompanies.
C.ahigherreturnobjectivethanlifeinsurancecompanies.
Solution:B.
Theunpredictablenatureofpropertyandcasualty(P&C)claimsforcesP&Cinsurerstoallocatea
substantialproportionoftheirinvestmentsintoliquid,shortmaturityassets.Thisneedfor
liquidityalsoforcesP&Ccompaniestoacceptinvestmentswithrelativelylowexpectedreturns.
Liquidityisoflessconcerntolifeinsurancecompaniesgiventhegreaterpredictabilityoflife
insurancepayouts.
1-10
Q-2.
Aninvestorwhoseportfolioislocatedonthecapitalmarketlinetotheleftofthe
marketportfoliomostlikelyhas:
A.Lowerunsystematicriskthanthemarketportfolio.
B.Higherunsystematicriskthanthemarketportfolio.
C.Lessthan100percentofhiswealthinvestedinthemarketportfolio.
Solution:C.
AportfoliothatisontheCMLtotheleftofthemarketportfolioisalendingportfoliowithpartof
theinvestor’swealthinvestedintherisk-freeasset(loanedattherisk-freerate).
2-10
Q-3.
Withrespecttothesecuritymarketline,iftworiskyassetshavethesamecovariance
withthemarketportfoliobuthavedifferentestimatedratesofreturn,themost
accurateconclusionisthatthetworiskyassetshave:
A.Thesameamountofsystematicrisk,andbothassetsareproperlyvalued.
B.Differentamountsofsystematicrisk,andbothassetsareproperlyvalued.
C.Thesameamountofsystematicrisk,andatleastoneoftheassetsiseitherovervaluedor
undervalued.
Solution:C.
Betaisthecovarianceofanassetwiththemarketportfoliodividedbythevarianceofthemarket
portfolio.Thevarianceofthemarketportfolioisthesameforallassets.Soifthecovariancewith
themarketportfolioisthesame,theassetsmusthavethesamebeta(amountofsystematicrisk),
shouldplotatthesameplaceontheSML,andhavethesamerequiredrateofreturn.Ifthe
estimatedratesofreturnforthetwoassetsaredifferent,atleastoneofthemisnotproperly
valuedandwillnotplotontheSML.
3-10
Q-4.
Theslopeofthesecuritycharacteristiclineisanasset's:
A.beta.
B.excessreturn.
C.riskpremium.
Solution:A.
Thesecuritycharacteristiclineisaplotoftheexcessreturnofthesecurityonthereturnofthe
market.Insuchagraph,Jensen'salphaistheinterceptandthebetaistheslope.
4-10
Q-5.
Portfoliomanagerswhoaremaximizingrisk–adjustedreturnswillseektoinvestlessin
securitieswith:
A.lowervaluesfornonsystematicvariance.
B.valuesofnonsystematicvarianceequalto0.
C.highervaluesfornonsystematicvariance.
Solution:C.
Sincemanagersareconcernedwithmaximizingrisk–adjustedreturns,securitieswithgreater
nonsystematicriskshouldbegivenlessweightintheportfolio.
5-10
Q-6.
Afterinterviewingaclientinordertoprepareawritteninvestmentpolicystatement
(IPS),youhaveestablishedthefollowing:
Theclienthasearningsthatvarydramaticallybetween£30,000and£70,000
(pre-tax)dependingonweatherpatternsinBritain.
Inthreeofthepreviousfiveyears,theafter-taxincomeoftheclienthasbeenless
than£20,000.
Theclient’smotherisdependentonherson(theclient)forapproximately£9,000
peryearsupport.
Theclient’sownsubsistenceneedsareapproximately£12,000peryear.
Theclienthasmorethan10years’experiencetradinginvestmentsincluding
commodityfutures,stockoptions,andsellingstockshort.
Theclient’sresponsestoastandardriskassessmentquestionnairesuggesthehas
aboveaveragerisktolerance.
Theclientisbestdescribedashavinga:
A.lowabilitytotakerisk,butahighwillingnesstotakerisk.
B.highabilitytotakerisk,butalowwillingnesstotakerisk.
C.highabilitytotakeriskandahighwillingnesstotakerisk.
Solutions:A.
Thevolatilityoftheclient’sincomeandthesignificantsupportneedsforhismotherand
himselfsuggestthattheclienthasalowabilitytotakerisk.Theclient’stradingexperience
andhisresponsestotheriskassessmentquestionnaireindicatethattheclienthasanabove
averagewillingnesstotakerisk.
6-10
Q-7.
Akeydifferencebetweenawrapaccountandamutualfundisthatwrapaccounts:
A.haveassetsthatareowneddirectlybytheindividual.
B.cannotbetailoredtothetaxneedsofaclient.
C.havealowerrequiredminimuminvestment.
Solution:A.
Thekeydifferencebetweenawrapaccountandamutualfundisthatinawrapaccount,the
assetsareowneddirectlybytheindividual.
7-10
Q-8.
Aninvestor'stransactionsinamutualfundandthefund'sreturnsoverafour-year
periodareprovidedinthefollowingtable:
Year
1
2
3
4
Newinvestmentatthebeginningoftheyear(US$)
Investmentreturnfortheyear
2,600
-21%
0
1,600
66%
-600
1,100
-26%
-600
0
10%
0
Withdrawlbyinvestorattheendoftheyear(US$)
Basedonthisdata,themoney-weightedreturn(orinternalrateofreturn)fortheinvestoris
closestto:
A.7.50%.
B.2.15%.
C.3.57%.
Solution:C.
Year
1
2
3
4
4,258.57
0.00
Startingbalance(US$)
0.00
2,054.005,465.64
Newinvestmentatthebeginningoftheyear(US$)2,600.001,600.001,100.00
Netbalanceatthebeginningofyear(US$)
Investmentreturnfortheyear
Investmentgain(loss)(US$)
2,600.003,654.006,565.64
4,258.57
10%
-21%
66%
2,411.64-1,707.07
-600.00-600.00
-26%
-546.00
425.86
0.00
Withdrawalbyinvestorattheendofthe0.00
year(US$)
Balanceattheendofyear(US$)
Themoneyweightedreturniscalculatedbysolvingforiinthefollowingequation:
?1600?5006004684.43
(1+?)1(1+?)2(1+?)3(1+?)4
2,054.005,465.644,258.57
4,684.43
2600=
+
+
+
CF0=–2,600
CF1=–1,600(newinvestmentbeginningofYear2)
CF2=–500(withdrawalof600,endofYear2;–1100newinvestmentbeginningYear3)
CF3=600(withdrawalof600,endofYear3)
CF4=4,684.43(balanceatendofYear4),i=3.57%.
8-10
Q-9.
Areturn-generatingmodelthatprovidesanestimateoftheexpectedreturnofa
securitybasedonfactorssuchasearningsgrowthandcashflowgenerationisbest
describedasa:
A.marketfactormodel.
B.fundamentalfactormodel.
C.macroeconomicfactormodel.
Solution:B.
Explainreturngeneratingmodels(inclu
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