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87

What would the yield to maturity be on a four-year zero-coupon bond purchased today? <image_1>

['5.75%', '6.30%', '5.65%', '5.25%']

table

A

<ans_image_1>

easy

multiple-choice

fixed-income

english

2

1

../image/q/huihui/

../image/a/huihui/

83

The following is a list of prices for zero-coupon bonds with different maturities and par values of $1,000. <image_1> What is the price of a 4-year maturity bond with a 10% coupon rate paid annually? (Par values = $1,000.)

['$742.09', '$1,222.09', '$1,035.66', '$1,141.84']

table

C

<ans_image_1>

median

multiple-choice

fixed-income

english

2

1

../image/q/huihui/

../image/a/huihui/

632

Based on the current asset allocations, the total next 12-month liabilities of the HYDU endowment are closest to

['$60 million', '$153 million', '$147 million']

table

B

Solution: B. The endowment has next-12-month liabilities as follows: Approximately $60 million to the university ($1,500 million x 4%). Approximately $93 million in capital calls from private investment commitments (equally allocated across private real estate, and private equity [(10% + 21%) × 1,500m× 20%] = $93 million. Total liabilities next 12 months = $60 million + $93 million = $153 million

difficult

multiple-choice

alternative investment

english

103

2

../image/q/yuan/

../image/a/yuan/

616

Based on the data regarding the HHI calculations, which of the following is most likely correct

['Portfolio 3 holds more than 500 stocks', 'The effective number of stocks in Portfolio 1 is 182', 'Portfolio 3 has more non-systematic risk that Portfolio 2']

table

A

Solution: A. <ans_image_1>

difficult

multiple-choice

equity

english

100

3

../image/q/yuan/

../image/a/yuan/

711

Abigail Grace has a $900,000 fully diversified portfolio. She subsequently inherits ABC Com- pany common stock worth $100,000. Her financial adviser provided her with the following forecast information:<image_1>.The correlation coefficient of ABC stock returns with the original portfolio returns is .40.

The inheritance changes Grace’s overall portfolio and she is deciding whether to keep the ABC stock. Assuming Grace keeps the ABC stock, calculate the: Expected return of her new portfolio which includes the ABC stock.

table

0.0073

E(rNP) = wOP E(rOP ) + wABC E(rABC ) = (0.9 × 0.67) + (0.1 × 1.25) = 0.728%

easy

open

portfolio management

english

129

1

../image/q/yuan_two/

../image/a/yuan_two/

671

The arrival cost for purchasing 3,000 SNR shares is closest to

['63 bp', '72 bp', '81 bp']

table

C

Solution: C. Arrival cost = +1 × [($22.47 – $22.29) / $22.29] × 10,000 = 80.8 bp. The arrival cost calculation uses the price of the shares when the trader releases the order to the market, not the portfolio manager’s benchmark price.

difficult

multiple-choice

portfolio management

english

111

3

../image/q/yuan/

../image/a/yuan/

164

Of Kumar’s three points regarding interest rate linkages between countries proposed for the new fund, she is least likely correct with respect to bond yields in:

['Chile.', 'Denmark.', 'Singapore and Sweden.']

table

B

B is correct: Kumar’s second point regarding Danish bonds is incorrect. When two currencies are pegged or linked, the bond yields of the country with the weaker currency are nearly always higher unless the market is confident that the government will maintain the peg. Kumar stated that because Denmark’s currency may not remain pegged to the euro, if the Danish krone weakens relative to the euro, then Danish bond yields can be expected to drop. They should be expected to rise.

difficult

multiple-choice

portfolio management

english

4

3

../image/q/qiao/

../image/a/qiao/

145

You are given the following information about a portfolio you are to manage. For the long term, you are bullish, but you think the market may fall over the next month. <image_1> If the anticipated market value materializes, what will be your expected loss on the portfolio?

['7.58%', '6.52%', '15.43%', '8.57%', '6.42%']

table

B

The change would represent a drop of (915 990)/990 = 7.58% in the index. Given the portfolio's beta, your portfolio would be expected to lose 0.86 脳 7.58% = 6.52%.

easy

multiple-choice

derivative

english

2

1

../image/q/huihui/

../image/a/huihui/