QFC QFC Portfolio Management & Asset Allocation

Question 1

Which portfolio optimization technique minimizes portfolio variance for a given expected return?

Accepted Answer

Mean-variance optimization

Answer

Capital Asset Pricing Model

Answer

Arbitrage Pricing Theory

Answer

Black-Litterman model

Question 2

In the context of asset allocation, what does 'rebalancing' refer to?

Accepted Answer

Realigning portfolio weights back to target allocations

Answer

Selling all assets at year-end

Answer

Replacing underperforming assets with new ones

Answer

Increasing equity exposure during bull markets

Question 3

What is the Sharpe ratio used to measure?

Accepted Answer

Risk-adjusted return per unit of total risk

Answer

Total portfolio risk

Answer

Return relative to a benchmark

Answer

Portfolio beta vs. the market

Question 4

Which allocation strategy systematically shifts from equities to bonds as an investor approaches retirement?

Accepted Answer

Glide path (lifecycle) allocation

Answer

Tactical asset allocation

Answer

Dynamic asset allocation

Answer

Core-satellite allocation

Question 5

In the Black-Litterman model, what inputs does the investor provide in addition to market equilibrium returns?

Accepted Answer

Proprietary views and confidence levels

Answer

Historical betas for all assets

Answer

Risk-free rate forecasts

Answer

Dividend yield projections

Question 6

Which risk measure captures the expected loss in the worst percentage of scenarios beyond the VaR threshold?

Accepted Answer

Expected Shortfall (CVaR)

Answer

Standard deviation

Answer

Beta

Answer

Tracking error