QUESTION: 169 Exam Topic: 2 Volume B

An endowment asset manager with a focus on long/short equity strategies is evaluating the risks of an equity portfolio.
Which of the following risk types does the asset manager need to consider when evaluating her diversified equity portfolio?

I) Company-specific projected earnings and earnings risk
II) Aggregate earnings expectations
III) Market liquidity
IV) Individual asset volatility

I
I, IV
II, III
I, II, IV

Answer(s): C

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QUESTION: 170 Exam Topic: 2 Volume B

Which one of the following four relationships should be used to price equity forwards or futures?

Equity forward or futures price = market equity price + (1 + risk-free rate expected dividend rate)t
Equity forward or futures price = market equity price x (1 - risk-free rate expected dividend rate)t
Equity forward or futures price = market equity price x (1 + risk-free rate expected dividend rate)t
Equity forward or futures price = market equity price + (1 + risk-free rate + expected dividend rate)t

Answer(s): C

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QUESTION: 171 Exam Topic: 2 Volume B

Unico Delta stock is trading at $20 per share, its annualized dividend yield is 5% and the 12-month LIBOR is 3%. Given these statistics, the 12-month futures contact will trade at:

$10.08
$20.04
$30.04
$40.08

Answer(s): B

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QUESTION: 172 Exam Topic: 2 Volume B

Which of the following statements defines Value-at-risk (VaR)?

VaR is the worst possible loss on a financial instrument or a portfolio of financial instruments over a given time period.
VaR is the minimum likely loss on a financial instrument or a portfolio of financial instruments with a given degree of probabilistic confidence.
VaR is the maximum of past losses over a given period of time.
VaR is the maximum likely loss on a financial instrument or a portfolio of financial instruments over a given time period with a given degree of probabilistic confidence.

Answer(s): D

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QUESTION: 169 Exam Topic: 2 Volume B

QUESTION: 170 Exam Topic: 2 Volume B

QUESTION: 171 Exam Topic: 2 Volume B

QUESTION: 172 Exam Topic: 2 Volume B