Questions and Answers of Investment Analysis Portfolio

For Subscriber 2, and assuming all of the choices relate to the KRW/USD exchange rate, the best way to implement the trading strategy would be to:A. write a straddle.B. buy a put option.C. use a long
Which of the following market developments would be most favorable for Subscriber 3’s trading plan?A. A narrower interest rate differential.B. A higher forward premium for INR/USD.C. Higher
Jiang’s best response to Subscriber 4 would be that active trading in trading in emerging market currencies:A. typically leads to return distributions that are positively skewed.B. should not lead
To rebalance the SEK/GBP hedge, and assuming all instruments are based on SEK/GBP, Björk would buy:A. GBP 7,000,000 spot.B. GBP 7,000,000 forward to December 1.C. SEK 74,812,500 forward to December
Given her investment goals and market view, and assuming all options are based on SEK/CHF, the best strategy for Björk to manage the fund’s CHF exposure would be to buy an:A. ATM call option.B.
Given the recent movement in the forward premium for the SEK/EUR rate, Björk can expect that the hedge will experience higher:A. basis risk.B. roll yield.C. premia income.Rika Björk runs the
The most important risk to Björk’s Latin American currency hedge would be changes in:A. forward points.B. exchange rate volatility.C. cross-currency correlations.Rika Björk runs the currency
Based on her investigation, Al-Khalili would most likely recommend:A. active currency management.B. a hedging ratio closer to 100%.C. a narrow discretionary band for currency exposures.Kalila
Calculate the contribution of foreign currency to the Bhatt account’s total return. Show your calculations.Darden meets with Bhatt and learns that Bhatt will be moving back to his home country of
Determine the most appropriate currency management strategy for Bhatt. Justify your response.Following analysis of Indian economic fundamentals, C&M’s currency team expects continued stability
Recommend the trading strategy C&M should implement. Justify your response.Mason Darden is an adviser at Colgate & McIntire (C&M), managing large-cap global equity separate accounts.
Describe how a volatility-based strategy for Konev would most likely contrast with Murimi’s other institutional investors. Justify your response.Renita Murimi is a currency overlay manager and
Discuss how Murimi can use her technical skills to devise the strategy.Renita Murimi is a currency overlay manager and market technician who serves institutional investors seeking to address
Carnoustie Capital Management, Ltd. (CCM), a UK-based global investment advisory firm, is considering adding an emerging market currency product to its offerings. CCM has for the past three years
Identify the most likely approach for Lee to optimally locate Wilson’s portfolio on the currency risk spectrum, consistent with the IPS. Justify your response with two reasons supporting the
Discuss a key attribute of the currency overlay that would increase the likelihood it would be allowed in terms of strategic portfolio positioning.Wilson Manufacturing (Wilson) is an Australian
Determine which type of hedge instrument combination is most appropriate for Rivera’s situation. Justify your selection.Assume Rivera’s portfolio was perfectly hedged. It is now time to rebalance
Calculate the net cash flow (in euros) to maintain the desired hedge. Show your calculations.With the US dollar currently trading at a forward premium and US interest rates lower than Spanish rates,
Identify two strategies Delgado should use to earn a positive roll yield. Describe the specific steps needed to execute each strategy.Rosario Delgado is an investment manager in Spain. Delgado’s
Is Perreaux correct with respect to key features of cash flow matching?A. Yes.B. No, only Feature 1 is correct.C. No, only Feature 2 is correct.Cécile Perreaux is a junior analyst for an
Based on Exhibit 2, the total expected return of the fund’s global bond portfolio is closest to:A. 0.90%.B. 2.20%.C. 3.76%.Celia Deveraux is chief investment officer for the Topanga Investors Fund,
The Barboa Fund can be best described as a fund segmented by:A. size/style.B. geography.C. economic activity.Three years ago, the Albright Investment Management Company (Albright) added four new
The Caribou Fund is most likely classified as a:A. large-cap value fund.B. small-cap value fund.C. small-cap growth fund.Three years ago, the Albright Investment Management Company (Albright) added
The DoGood Fund’s approach to the aerospace and defense industry is best described as:A. positive screening.B. negative screening.C. thematic investing.Three years ago, the Albright Investment
The Elmer fund’s management strategy is:A. active.B. passive.C. blended.Three years ago, the Albright Investment Management Company (Albright) added four new funds—the Barboa Fund, the Caribou
Based on Note 1, the fee on the Caribou Fund is best described as a:A. performance fee.B. management fee.C. administrative fee.Three years ago, the Albright Investment Management Company (Albright)
Which of the following notes about the DoGood Fund is correct?A. Only Note 2 B. Only Note 3 C. Both Note 2 and Note 3 Three years ago, the Albright Investment Management Company (Albright) added four
Which of the notes regarding the Elmer Fund is correct?A. Only Note 4 B. Only Note 5 C. Both Note 4 and Note 5 Three years ago, the Albright Investment Management Company (Albright) added four new
Which of Frey’s statements about securities lending and covered call writing is correct?A. Only Statement 1 B. Only Statement 2 C. Both Statement 1 and Statement 2 Three years ago, the Albright
Which of Tong’s statements regarding equity index benchmarks is (are) correct?A. Only Statement 1 B. Only Statement 2 C. Both Statement 1 and Statement 2 Evan Winthrop, a senior officer of a
To satisfy Winthrop’s benchmark and security selection specifications, the Canadian equity index benchmark Tong selects should be:A. small-capitalization with a core tilt.B. large-capitalization
Based on Exhibit 1 and assuming a full-replication indexing approach, the tracking error is expected to be highest for:A. XIU.B. SPY.C. EFA.Evan Winthrop, a senior officer of a US-based corporation,
Method 1’s portfolio construction process is most likely:A. optimization.B. full replication.C. stratified sampling.Evan Winthrop, a senior officer of a US-based corporation, meets with Rebecca
Method 2’s portfolio construction process is most likely:A. optimization.B. full replication.C. stratified sampling.Evan Winthrop, a senior officer of a US-based corporation, meets with Rebecca
The method that Tong suggests to add incremental revenue is:A. program trading.B. securities lending.C. attribution analysis.Evan Winthrop, a senior officer of a US-based corporation, meets with
In preparation for receipt of the performance bonus, Tong should immediately:A. buy two US E-mini equity futures contracts.B. sell nine US E-mini equity futures contracts.C. buy seven US E-mini
The risk that Tong discloses regarding the equity futures strategy is most likely:A. basis risk.B. currency risk.C. counterparty risk.Evan Winthrop, a senior officer of a US-based corporation, meets
Compared with broad-market-cap weighting, the international equity strategy suggested by McMahon is most likely to:A. concentrate risk exposure.B. be based on the efficient market hypothesis.C.
The international strategy suggested by McMahon is most likely characterized as:A. risk based.B. return oriented.C. diversification oriented.The Mackenzie Education Foundation funds educational
The initial benchmark used for the US large-cap allocation:A. is unaffected by stocks splits.B. is essentially a liquidity-weighted index.C. holds the same number of shares in each component
Based on its HHI, the initial US large-cap benchmark most likely has:A. a concentration level of 4.29.B. an effective number of stocks of approximately 35.C. individual stocks held in approximately
Using a sector attribution analysis based on Exhibit 1, which US large-cap sector is the primary contributor to the portfolio’s underperformance relative to the benchmark?A. Utilities B. Consumer
Based on Exhibit 2, which portfolio will most likely have the lowest tracking error?A. Portfolio 1 B. Portfolio 2 C. Portfolio 3 The Mackenzie Education Foundation funds educational projects in a
Which fund manager’s investing approach is most consistent with fundamental management?A. Furlings B. Asgard C. Tokra James Leonard is a fund-of-funds manager with Future Generation, a large
Which of the following statements about the approaches and styles of either Furlings, Asgard, or Tokra is incorrect?A. Furlings is a top-down sector rotator with a value orientation within sectors.B.
Which manager is most likely to get caught in a value trap?A. Furlings B. Asgard C. Tokra James Leonard is a fund-of-funds manager with Future Generation, a large sovereign fund.He is considering
Which activist investing tactic is Asgard least likely to use?A. Engaging with management by writing letters to management, calling for and explaining suggested changes, and participating in
Based on the information provided in Exhibits 1 and 2, which manager’s portfolio characteristics is most likely at odds with its declared style?A. Furlings B. Asgard C. Tokra James Leonard is a
Leonard is looking at the style classification from Asgard as reported by Morningstar and Thomson Reuters Lipper. He is surprised to find that Asgard is classified as a blend fund by Morningstar and
Which of the following asset allocation methods would not likely be used by Nowacki and Knight to select investments for the existing equity fund?A. Sector and industry rotation B. Growth at a
Relative to Heydon’s existing fund, the new fund will most likely:A. hold a smaller number of stocks.B. rebalance at more regular intervals.C. see risk at the company level rather than the
Which characteristic suggested by Knight to describe the quantitative approach to active management is incorrect?A. Characteristic 1 B. Characteristic 2 C. Characteristic 3 Aleksy Nowacki is a new
Nowacki’s most appropriate response to Knight’s question about the quantitative investment process is to:A. backtest the new strategy.B. define the market opportunity.C. identify the factors to
In Nowacki’s backtesting of the factor-based strategy for the new fund, the calculated information coefficient should be based on:A. FS(t) and SR(t).B. FS(t) and SR(t þ 1).C. SR(t) and FS(t þ
Nowacki’s calculated price/book ratios (P/Bs) and price/earnings ratios (P/Es), in his backtesting of the new strategy, are a problem because of:A. data mining.B. look-ahead bias.C. survivorship
Based on Exhibit 1, which stock pair should Knight recommend as the best candidate for statistical arbitrage?A. Stock 1 and Stock 2 B. Stock 3 and Stock 4 C. Stock 5 and Stock 6 Aleksy Nowacki is a
The most appropriate response to Knight’s question regarding the potential future scenario for the Heydon Quant Fund is:A. only the returns-based approach.B. only the holdings-based approach.C.
In managing the fund at his previous employer, Dewey’s investment process can be best described as:A. an activist strategy.B. a top-down strategy.C. a bottom-up strategy.Jack Dewey is managing
Sardar’s recommendation for the next step should be to:A. review results from backtesting the strategy.B. make recommendations for rebalancing the portfolio.C. forecast companies’ performances
Based upon Dewey’s chosen investment process for the management of the Purity Fund, rebalancing of the fund will most likely occur:A. at regular intervals.B. in response to changes in
Which investment approach is the most likely basis for Sardar’s buy recommendation for AZ Industrial?A. Relative value B. High-quality value C. Deep-value investing Jack Dewey is managing partner
The analysis performed by Sardar on the Purity Fund can be best described as being based on:A. a holdings-based approach.B. manager self-identification.C. a returns-based style analysis.Jack Dewey is
Bern Zang is the chief investment officer of the Janson University Endowment Investment Office. The Janson University Endowment Fund (the “Fund”) is based in the United States and has current
Describe how the conditional linear factor model can be used to address Shaindy’s concern.During a monthly board meeting, Shaindy discusses her updated market forecast for equity markets. Due to a
Determine the most appropriate equity-related hedge fund strategy that Shaindy should employ. Justify your response.Jane Shaindy is the chief investment officer of a large pension fund. The pension
Gunnar Patel is an event-driven hedge fund manager for Senson Fund, which focuses on merger arbitrage strategies. Patel has been monitoring the potential acquisition of Meura Inc. by Sellshom, Inc.
John Puten is the chief investment officer of the Markus University Endowment Investment Office. Puten seeks to increase the diversification of the endowment by investing in hedge funds. He recently
Yankel Stein is the chief investment officer of a large charitable foundation based in the United States. Although the foundation has significant exposure to alternative investments and hedge funds,
Describe three paths for implementing the strategy of Hedge Fund A.After a significant amount of internal discussion, Wallace concludes that the pension fund should invest in either Hedge Fund B or C
Discuss two advantages of Hedge Fund B relative to Hedge Fund C with respect to investment characteristics.Sushil Wallace is the chief investment officer of a large pension fund. Wallace wants to
Kloss Investments is an investment adviser whose clients are small institutional investors.Muskogh Charitable Foundation (the “Foundation”) is a client with $70 million of assets under
Which of the IC member’s statements regarding hedge fund strategies is incorrect?A. Statement 1 B. Statement 2 C. Statement 3 Snohomish Mukilteo is a portfolio analyst for the Puyallup-Wenatchee
Based on what the IC considers important for equity-related strategies, which strategy should Mukilteo most likely avoid?A. Long/short equity B. Equity market neutral C. Dedicated short selling and
Which of the following set of derivative positions will most likely satisfy the IC’s concern about the event-driven strategy involving AA and TT?A. Long out-of-the-money puts on AA shares and long
The government bond strategy that Mukilteo considers is best described as a:A. carry trade.B. yield curve trade.C. long/short credit trade.Snohomish Mukilteo is a portfolio analyst for the
The opportunistic strategy that Mukilteo considers is most likely to be described as a:A. global macro strategy.B. time-series momentum strategy.C. cross-sectional momentum strategy.Snohomish
The specialist hedge fund strategy that Mukilteo plans to recommend is most likely:A. cross-asset volatility trading between the US and Japanese markets.B. selling equity volatility and collecting
Based on the email that Mukilteo received, the IC member’s perspective is correct with regard to:A. layering and netting of fees.B. tactical allocation capabilities.C. manager-specific operational
Based on the IC’s primary considerations for a combined portfolio, which simulated hedge fund strategy portfolio in Exhibit 1 creates the most suitable combined portfolio?A. Merger arbitrage B.
Discuss additional personal information that McZhao should gather from Cree in order to properly advise this new client.McZhao then focuses on Cree’s financial goals:▪ Cree wants to fund
Discuss the issues relating to Cree’s:i. goal quantification.ii. goal prioritization.McZhao continues the discussion with Cree in order to evaluate his degree of risk tolerance associated with each
Determine Cree’s degree of risk tolerance associated with each of the following individual goals. Justify each response.Henlopen McZhao is a private wealth manager. After a successful introductory
Prepare the Investment Objectives section of Patel’s IPS.Patel has been working with Zik for 10 years. At the beginning of the 10-year period,Zik forecasted that the equities in Patel’s portfolio
Evaluate the success of Zik’s investment program for Patel in terms of:i. goal achievement.ii. process consistency.iii. portfolio performance.After every regular monthly rebalancing, Zik sends an
Recommend additional information that Zik could provide to enhance his portfolio reports for Patel.Sharfepto Zik, a private wealth manager, is meeting with a client, Garbanzo Patel, in order to
Determine the client segment or adviser type that is most appropriate for each stage of Sili’s plan. Justify each response.Sili next uses three approaches to analyze his retirement goals:Approach
Identify each approach that Sili uses to analyze his retirement goals. Explain each response.Val Sili, age 22, has just graduated from college and begins making ambitious future financial plans. The
Based on Exhibit 1, which of the following items is Açor most likely to include in the section of the IPS she is drafting for Njau?A. Moderate risk toleranceB. 40% allocation to
Based on Açor’s notes from her previous meeting with Njau, the behavioral consideration exhibited by Njau is most likely:A. a consumption gap.B. the “annuity puzzle.”C. heightened loss
Açor’s portfolio allocation for Njau is most likely optimized on the basis of:A. a stated maximum level of volatility.B. total portfolio mean–variance efficiency.C. the results of the risk
Based on Exhibits 1 and 2, the probability that Njau will be able to meet her charitable goal is closest to:A. 25%.B. 50%.C. 75%.Noèmie Açor works for an international bank as a private wealth
Which comment in Njau’s response to the client satisfaction survey best describes a soft skill exhibited by Açor?A. Comment 1B. Comment 2C. Comment 3 Noèmie Açor works for an international
Açor’s recommendation regarding asset location in Bañuq’s portfolio is most likely an example of tax:A. deferral.B. reduction.C. avoidance.Noèmie Açor works for an international bank as a
The most appropriate response to Bañuq’s question is that he has:A. a shorter time horizon.B. less significant tax considerations.C. less diverse investment objectives.Noèmie Açor works for
The ethical concern that Açor most likely raised is:A. KYC.B. suitability.C. confidentiality.Noèmie Açor works for an international bank as a private wealth adviser. Açor speaks several
The risk mitigation strategy that would most likely allow Payne to achieve her primary objective with respect to the Solar Falls Power ownership position is to:A. have Solar Falls Power conduct a
A strategy that would most likely allow Payne to achieve both her primary and secondary objectives would be to:A. contribute the property to a donor-advised fund.B. obtain a fixed-rate mortgage
The most appropriate response to Payne’s tax-related question is:A. on all income earned worldwide.B. only on income earned where Payne is a citizen.C. only on income earned where Payne is a
The tax liability on the sale of the Steelworq shares is:A. −$$4$,000.B. $$0$.C. $$33$,020.Jevan Chen is a tax adviser who provides tax-aware advice to various private clients. Two of
Based on Exhibit 1, the mutual fund most likely to be the most tax efficient going forward is:A. Fund A.B. Fund B.C. Fund C.Jevan Chen is a tax adviser who provides tax-aware advice to various

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