1. (A)appendices.
2. (B)investment objectives.
3. (C)investment guidelines.

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

• 01Investment guidelines in an IPS will address policy execution, permitted asset types, and leverage to be deployed.
• 02Investment objectives refer to risk and return goals.
• 03The appendices typically include information such as baseline asset allocations and permitted deviations.

1. (A)an endowment fund.
2. (B)a life insurance company.
3. (C)a defined benefit pension plan.

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

• 01A life insurance company typically has low risk tolerance and high liquidity needs.
• 02Long investment horizons and low liquidity needs are typical of endowment funds and defined benefit pension plans.

1. (A)Financial risks come from market exposure.
2. (B)Interactions among risks occur infrequently.
3. (C)Non-financial risks come from external sources.

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

• 01There are many interactions among an organization's risk, and they occur frequently.
• 02Financial risks come from exposure to the market.
• 03Non-financial risks include risks that come from the firm's operations and risks that come from external sources

1. (A)evaluating individual investments by their contribution to the risk and return of a portfolio.
2. (B)rebalancing the portfolio to minimize the expected risk for a given level of expected return.
3. (C)creating a diversified portfolio by selecting investments with the best risk-adjusted returns.

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

• 01The portfolio approach to investing is evaluating individual investments in the context of their impact on the portfolio's risk and return.
• 02Without the portfolio perspective, the risk and return of each investment is evaluated in isolation.

1. (A)a straight line when a risk-free asset is available.
2. (B)the set of portfolios with the least risk for each possible value of expected returns.
3. (C)the set of portfolios with the highest expected return for each possible level of portfolio risk.

Đọc đề và định hướng phân tích.

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• 01The efficient frontier comprises the set of portfolios with the highest expected return for each possible level of portfolio risk, based on a universe of risky assets.
• 02The set of portfolios with the least risk for each possible value of expected returns is the minimum variance frontier.

1. (A)Minimizing and eliminating risks.
2. (B)Monitoring risk exposures over time.
3. (C)Identifying and measuring existing risks.

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

• 01Eliminating risks is not always possible or desirable.
• 02Instead a risk management framework should focus on managing and mitigating risks to achieve an optimal level of risk overall.

1. (A)Smith is more risk averse than Jones, and his optimal portfolio has less risk than Jones’s optimal portfolio.
2. (B)Smith is less risk averse than Jones, and his optimal portfolio has a lower expected return than Jones’s optimal portfolio.
3. (C)Smith is more risk averse than Jones, and his optimal portfolio has a greater expected return than Jones’s optimal portfolio.

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

• 01Smith's more steeply sloped utility curve indicates less willingness to assume more risk for more return.
• 02The optimal portfolio for the more risk averse Smith is less risky, and consequently has a lower expected return than Jones's optimal portfolio, given the risk- return trade-off offered along the CML.

1. (A)vega.
2. (B)delta.
3. (C)gamma.

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

• 01Delta is the sensitivity of derivatives values to the price of the underlying asset.
• 02Vega is the sensitivity of derivatives values to the volatility of the underlying asset price.
• 03Gamma is the sensitivity of delta to the change in price of the underlying asset.

1. (A)emphasize stocks over bonds.
2. (B)emphasize bonds over stocks.
3. (C)educate the client about investment risk and re-administer the questionnaire.

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

• 01When determining an investor's risk tolerance, an advisor must consider both the investor's ability and willingness to bear risk.
• 02Even though the investor has a high willingness to bear risk, his ability to take risk (based on his financial situation) is low, and this should take precedence.
• 03A portfolio that emphasizes bonds over stocks has less investment risk and is the most appropriate choice.

1. (A)framing bias.
2. (B)conservatism bias.
3. (C)mental accounting bias.

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

• 01Investing funds differently based on their source is an example of mental accounting bias.
• 02The investor should make investment decisions for her overall portfolio based on portfolio risk, expected return, and her preferences.

1. (A)had a Sharpe ratio less than that of the market portfolio.
2. (B)returned more than its equilibrium expected return based on its systematic risk.
3. (C)lies on a capital allocation line that has a slope greater than that of the capital market line.

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

• 01If a portfolio's M-squared alpha is positive, its Sharpe ratio, which equals the slope of the portfolio's capital allocation line, is greater than that of the market portfolio.
• 02Negative alpha means the portfolio returned less than its expected equilibrium return based on its systematic risk.

1. (A)strategic asset allocation for the fund.
2. (B)integral asset allocation for the fund.
3. (C)tactical asset allocation for the fund.

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

• 01A portfolio manager performs strategic asset allocation when she determines the portfolio weights in each of the appropriate asset classes that will best meet the investor's return and risk objectives.
• 02Tactical asset allocation is an active management strategy of deviating from the target asset allocation to take advantage of short-term opportunities.

1. (A)a high-risk biotech stock.
2. (B)a high-beta portfolio of risky assets.
3. (C)a leveraged position in the market portfolio.

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

• 01According to capital market theory, all investors will choose a combination of the market portfolio and borrowing or lending at the risk-free rate; that is, a portfolio on the CML.
• 02An investor with high risk tolerance will choose a position in the market portfolio, partially funded by borrowing at the risk-free rate.

1. (A)5% or more each year with a 95% probability.
2. (B)greater than or equal to the risk-free rate.
3. (C)above the return on the S&P 500 index with a 90% probability.

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

• 01Returns of 5% or more 95% of the time is an absolute return objective.
• 02The other objectives are stated relative to the risk-free rate and relative to the S&P 500 index.

1. (A)total risk.
2. (B)systematic risk
3. (C)unsystematic risk

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

• 01Systematic risk (non-diversifiable or market risk) is the risk that cannot be diversified away.
• 02Unsystematic risk can be diversified away, and doing so can decrease the total risk of a portfolio.

1. (A)multiplied by the product of the assets’ variances of returns.
2. (B)divided by the product of the assets’ standard deviations of returns.
3. (C)multiplied by the product of the assets’ standard deviations of returns.

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

• 01The covariance of asset returns is given by the formula: ${\mathrm{Cov}}_{1,2}={\mathrm{\sigma }}_1{\mathrm{\sigma }}_2{\mathrm{\rho }}_{1,2}$, where ${\mathrm{\sigma }}_1$ is the standard deviation of returns for asset 1, ${\mathrm{\sigma }}_2$ is the standard deviation of returns for asset 2, and ${\mathrm{\rho }}_{1,2}$ is the correlation of returns for assets 1 and 2.

1. (A)budgeting.
2. (B)governance.
3. (C)management.

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

• 01The process is termed risk budgeting
• 02which is part of risk governance and of the overall process of risk management.

1. (A)Venture capital fund
2. (B)Exchange-traded fund
3. (C)Open-end mutual fund

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

• 01A venture capital fund will have a limited number of investors who commit funds, and the venture capital fund's manager invests these monies in start-up companies.
• 02The venture capital fund does not trade itself, and it is highly illiquid.
• 03Any transactions in the fund by its investors are likely to occur at a discount or premium, depending on the fund's success to date.