Q$1$ Suppose, your expected return on a portfolio is $12\%,$ the risk free rate is $6\%,$ the standard

deviation is $18\%,$ beta is $1\mathrm{.}2,$ and the minimum acceptable rate of return is $4\%.$ What is the Roy's

Safety First Ratio? Select one

A $0\mathrm{.}44$

B $0\mathrm{.}33$

C $6\mathrm{.}67$

D $5$

Q$2$ Suppose, your expected return on a portfolio is $12\%,$ the risk free rate is $6\%,$ the standard

deviation is $18\%,$ beta is $1\mathrm{.}2,$ and the minimum acceptable rate of return is $4\%.$ What is the Sortino

Ratio? A $6\mathrm{.}67$

B cannot be determined

c $0\mathrm{.}44$

D $0\mathrm{.}89$

Q$3$ Most factors deliver above market excess returns. What is the most likely reason that these high

returns persist $($i$.$e$.$ have not been eliminated over time$)?$

factor returns have been quite steady

Factors are counter$-$cyclical

Factors have low volatility

most investors have short investing horizons

Q$4$

The diversification between any two assets most likely to occur when which of the following

conditions is met?

Correlation between the two assets is less than $1\mathrm{.}0$

Correlation between the two assets is strictly zero

Correlation between the two assets is greater than $1$

Correlation between the two assets is strictly negative

Q$5$

Each of the following is a lagging economic indicator EXCEPT.

Ratio of inventories to sales

Bank prime rate

Personal income

Commercial loans outstanding

Q$6$

The diversification between any two assets most likely to occur when which of the following

conditions is met?

Correlation between the two assets is less than $1\mathrm{.}0$

Correlation between the two assets is strictly zero

Correlation between the two assets is greater than $1$

Correlation between the two assets is strictly negative