patelsam1996
Question 11 pts Ibbotson and Kaplan (2000) study would most…
Question 11 pts
Ibbotson and Kaplan (2000) study would most likely support which statement?
Group of answer choices
About 90% of variability among funds is explained by policy
Almost 100% of variability of returns in time is explained by policy
Active security selection and market timing explain around 10% of variability of returns in time
About 40% of variability of returns in time is explained by policy
Flag question: Question 2Question 21 pts
The main finding from Xiong, Ibbotson, Idzorek, and Chen (2010) is most likely that
Group of answer choices
The decision to invest (be in the market) is the single most important decision
The interaction among the three decisions has substantial explanatory power to explain returns
Asset allocation and Active management together dominate the variation in returns
The asset allocation decision accounts for the largest share of variability of returns.
Flag question: Question 3Question 31 pts
All of the following are limitations of the Multiple Scenario Analysis strategy EXCEPT:
Group of answer choices
The results are too uncertain to be useful in practice
Difficult to estimate multiple scenarios
Fine-tuning of quantitative process could be subject to judgement heuristics
Compounding uncertainty of multiple scenarios
Flag question: Question 4Question 41 pts
For an investor with a portfolio consisting of 50% long-term bonds and 50% common stocks, how long should the investment be held in order to have no expected losses (over that holding period)?
Group of answer choices
Between 5 and 10 years
Above 20 years.
Under 5 years as exemplified by the rule “5 years, 5 years, 5 years”
Between 10 and 20 years
Flag question: Question 5Question 51 pts
The main critique of the BHB (1995) study as outlined in Hensel, Ezra, and Ilkiw (1990) was that:
Group of answer choices
There was no rebalancing done to the portfolio
The quarterly rebalances was done inappropriately
The BHB portfolio inappropriately started as ‘all cash’
BHB incorrectly included some corporate bonds in their initial portfolio
Flag question: Question 6Question 61 pts
To compute the impact of the investment policy and timing decisions on portfolio performance Brinson, Hood, and Beebower (1995) used
Group of answer choices
performance of the actual portfolio
Benchmark returns weighted by the actual allocation for that time period
Weighted average of benchmark returns
The product of normal policy weights and actual returns for each asset class
Flag question: Question 7Question 71 pts
Which of the following is true regarding the impact of Security selection and Market timing decisions on portfolio performance as identified by Brinson, Hood, and Beebower (1995)?
Group of answer choices
Security selection contributed to extra 0.67% to portfolio returns
Market timing lost over 1% on average per year
Market timing was twice as profitable as Security selection
The losses to Market timing were almost twice as bad as the losses to Security selection
Flag question: Question 8Question 81 pts
Which of the following statements about the three most important determinants of portfolio returns, identified in Brinson, Hood, and Beebower (1995), is most likely correct?
Group of answer choices
Asset class selection is as important as security selection
Market timing decision has higher contribution to profits than Active security selection
The selection of asset classes and their normal weights is much more important than security selection
Active security selection decision is as important as the market timing decision
Flag question: Question 9Question 91 pts
All of the following are valid criticisms of Asset Allocation EXCEPT:
Group of answer choices
Asset allocation models often use unsubstantiated input which leads to unrealistic expectations
Allocation models are based solely on historical data
Asset allocation models use projections (forward-looking expectations) instead of actual returns
Asset allocation models ignore ‘black swans’.
Flag question: Question 10Question 101 pts
All of the following were the asset classes used in the original study by Brinson, Hood, and Beebower (1995) EXCEPT:
Group of answer choices
Bonds
Common Stocks
Real Estate
Cash
