AAFM Investment Analysis and Portfolio Management 2

Question 1

The Capital Market Line (CML) represents portfolios combining the risk-free asset with which other portfolio?

Accepted Answer

Market portfolio

Answer

Minimum variance portfolio

Answer

Equally weighted portfolio

Answer

Optimal risky portfolio

Question 2

Which measure adjusts portfolio performance for systematic risk rather than total risk?

Accepted Answer

Treynor ratio

Answer

Sharpe ratio

Answer

Information ratio

Answer

Sortino ratio

Question 3

An efficient frontier depicts portfolios that offer the highest expected return for each level of which factor?

Accepted Answer

Return volatility

Answer

Liquidity

Answer

Time horizon

Answer

Tax efficiency

Question 4

Which bond immunization technique matches the duration of assets to the duration of liabilities?

Accepted Answer

Duration matching

Answer

Bullet strategy

Answer

Barbell strategy

Answer

Cash flow matching

Question 5

In factor investing, the value factor refers to buying stocks with which characteristic?

Accepted Answer

Low price-to-book ratios

Answer

High momentum

Answer

High price-to-book ratios

Answer

Low beta

Question 6

Which risk metric measures the expected loss in a portfolio beyond a given confidence level threshold?

Accepted Answer

Expected Shortfall

Answer

Value at Risk

Answer

Maximum Drawdown

Answer

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