Question 1

Which of the following statements regarding momentum strategies is true?

Accepted Answer

A)   Price momentum is a fundamental strategy.
B)   Earnings momentum is a technical strategy.
C)   Price momentum and earnings momentum strategies will often result in identical portfolio strategies and holdings.
D)   The earnings momentum investor will most likely acquire stocks for companies that have positive earnings surprises.
E)   All of the above statements are true D

Question 2

Which of the following statements about investment style is false?

Accepted Answer

A)   Growth stocks generally have smaller capitalisations than value stocks.
B)   Value stocks have P/E and P/B ratios significantly lower than those of growth stocks.
C)   Value stocks dividend yields are much higher than those of growth stocks.
D)   Growth and levels of earnings is higher in growth stocks.
E)   Value stocks have a higher risk premium.

Question 3

Growth stocks would have the following characteristics:

Accepted Answer

A)   low price/book, high price/earnings.
B)   low price/book, low price/earnings.
C)   high EPS growth, high profitability.
D)   low EPS growth, high profitability.
E)   none of the above.

Question 4

A portfolio manager who is trying to generate alpha could use

Accepted Answer

A)   hedge funds.
B)   mutual funds.
C)   insured asset allocation.
D)   ETFs.
E)   none of the above. A

Question 5

In ____ strategy, certain economic sectors or industries are overweighted relative to the benchmark in anticipation of the next phase of the business cycle.

Accepted Answer

A)   sector rotation
B)   price momentum
C)   earnings momentum
D)   return rotation
E)   none of the above

Question 6

Which of the following is an example of a fundamental active equity portfolio management strategy.

Accepted Answer

A)   Contrarian investing.
B)   Earnings momentum investing.
C)   Low P/E and low P/BV investing.
D)   Bottom up investing.
E)   Investing on the basis of calendar effects.

Question 7

A fundamental tenet of the contrarian investment strategy is the notion that

Accepted Answer

A)   all stock returns are mean reverting.
B)   certain stocks outperform others during different stages of the business cycle.
C)   value stock investing is superior to growth stock investing.
D)   growth stock investing is superior to value stock investing.
E)   none of the above.

Question 8

Which of the following is considered a strategy for timing the market and adding value to actively managed portfolios?

Accepted Answer

A)   Time the markets by shifting between different types of securities based on market forecasts and estimated risk premiums.
B)   Shift funds between the various equity sectors, industries, investment styles, etc., in order to take advantage of the 'hot' concept before the remainder of the market does.
C)   Individual stockpicking in order to buy low and sell high.
D)   Choices a and b only.
E)   All of the above.

Question 9

Which of the following is not considered an active management strategy?

Accepted Answer

A)   Sector rotation
B)   Use of factor models
C)   Quantitative screens
D)   Full replication
E)   Linear programming

Question 10

In returns-based style analysis a coefficient of determination of 95% would suggest that

Accepted Answer

A)   the portfolio manager outperformed 95% of his peers.
B)   the portfolio manager was outperformed by 95% of his peers.
C)   95% of the portfolio return variability could be attributed to portfolio style.
D)   95% of the portfolio return variability could be attributed to stock selection skills.
E)   5% of the portfolio return variability could be attributed to portfolio style.

Question 11

The following are ways to implement index portfolio investing:

Accepted Answer

A)   buying shares in index mutual funds;
B)   buying hedge funds;
C)   buying exchange traded funds;
D)   a and b;
E)   a and c.

Question 12

Which of the following statements concerning active equity portfolio management strategies is true?

Accepted Answer

A)   An actively managed equity portfolio has lower total transaction costs.
B)   The goal of active equity portfolio management is to earn a portfolio return that exceeds the return of a passive benchmark portfolio (net of transaction costs)  on a risk-adjusted basis.
C)   An actively managed equity portfolio has lower risk than the passive benchmark.
D)   A key to success for an actively managed equity portfolio is to maximise trading activity.
E)   All of the above.

Question 13

A portfolio management strategy that overweights a particular industry, relative to the benchmark portfolio, based on the next expected phase of the business cycle is called

Accepted Answer

A)   tactical asset allocation.
B)   indexing.
C)   sector rotation.
D)   contrarian investing.
E)   bottom up investing. C

Question 14

In equity portfolio management, tracking error occurs when

Accepted Answer

A)   the managed portfolio outperforms the benchmark portfolio.
B)   the managed portfolio under performs the benchmark portfolio.
C)   the return volatility of the managed portfolio is not correlated with the return volatility of the benchmark portfolio.
D)   the return volatility of the managed portfolio is positively correlated with the return volatility of the benchmark portfolio.
E)   the return volatility of the managed portfolio is negatively correlated with the return volatility of the benchmark portfolio.

Question 15

Which of the following is not considered an asset allocation strategy?

Accepted Answer

A)   Integrated asset allocation
B)   Strategic asset allocation
C)   Tactical asset allocation
D)   Insured asset allocation
E)   None of the above (that is, all are asset allocation strategies)

Exam 13: Equity Portfolio Management Strategies

Which of the following statements regarding momentum strategies is true?

Correct Answer
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D

Which of the following statements about investment style is false?

Correct Answer
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Growth stocks would have the following characteristics:

Correct Answer
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A portfolio manager who is trying to generate alpha could use

Correct Answer
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A

In ____ strategy, certain economic sectors or industries are overweighted relative to the benchmark in anticipation of the next phase of the business cycle.

Correct Answer
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Which of the following is an example of a fundamental active equity portfolio management strategy.

Correct Answer
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A fundamental tenet of the contrarian investment strategy is the notion that

Correct Answer
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Which of the following is considered a strategy for timing the market and adding value to actively managed portfolios?

Correct Answer
verified

Which of the following is not considered an active management strategy?

Correct Answer
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In returns-based style analysis a coefficient of determination of 95% would suggest that

Correct Answer
verified

The following are ways to implement index portfolio investing:

Correct Answer
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Which of the following statements concerning active equity portfolio management strategies is true?

Correct Answer
verified

A portfolio management strategy that overweights a particular industry, relative to the benchmark portfolio, based on the next expected phase of the business cycle is called

Correct Answer
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C

In equity portfolio management, tracking error occurs when

Correct Answer
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Which of the following is not considered an asset allocation strategy?

Correct Answer
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Exam 13: Equity Portfolio Management Strategies

Which of the following statements regarding momentum strategies is true?

Correct AnswerverifiedD

Which of the following statements about investment style is false?

Correct AnswerverifiedShow Answer

Growth stocks would have the following characteristics:

Correct AnswerverifiedShow Answer

A portfolio manager who is trying to generate alpha could use

Correct AnswerverifiedA

In ____ strategy, certain economic sectors or industries are overweighted relative to the benchmark in anticipation of the next phase of the business cycle.

Correct AnswerverifiedShow Answer

Which of the following is an example of a fundamental active equity portfolio management strategy.

Correct AnswerverifiedShow Answer

A fundamental tenet of the contrarian investment strategy is the notion that

Correct AnswerverifiedShow Answer

Which of the following is considered a strategy for timing the market and adding value to actively managed portfolios?

Correct AnswerverifiedShow Answer

Which of the following is not considered an active management strategy?

Correct AnswerverifiedShow Answer

In returns-based style analysis a coefficient of determination of 95% would suggest that

Correct AnswerverifiedShow Answer

The following are ways to implement index portfolio investing:

Correct AnswerverifiedShow Answer

Which of the following statements concerning active equity portfolio management strategies is true?

Correct AnswerverifiedShow Answer

A portfolio management strategy that overweights a particular industry, relative to the benchmark portfolio, based on the next expected phase of the business cycle is called

Correct AnswerverifiedC

In equity portfolio management, tracking error occurs when

Correct AnswerverifiedShow Answer

Which of the following is not considered an asset allocation strategy?

Correct AnswerverifiedShow Answer

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D

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A

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C

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