Value at Risk (VaR) modeling is used for evaluation of:

• A) Unsystematic risk
• B) Systematic risk
• C) Unique risk
• D) Diversifiable risk

If the value of correlation between returns of two securities is 0.9, it means:

• A) If price of one stock goes up, the price of other goes down
• B) Price movement of one asset has no effect on the price movement of the other asset
• C) Prices of both stocks move in same direction
• D) Prices of both stocks move in opposite directions

In ___________, the factors are attributes of stocks or companies that are important in explaining cross-sectional differences in stock prices.

• A) All of the given models
• B) Fundamental factor models
• C) Statistical factor models
• D) Macroeconomic factor models

Standard deviation of a portfolio measures which of the following?

• A) Systematic risk and unsystematic risk
• B) Systematic risk and market risk
• C) Unsystematic risk
• D) Systematic risk

Which one of the following statements regarding risk-seeker investors is TRUE?

• A) The investors who are willing to take on additional risk
• B) The investors who avoid additional risk and accept low returns
• C) The investors who take on additional risk only when it’s accompanied by a higher return
• D) The investors who only look at the potential gains of each investment and ignores the potential risk

Some investors prefer high-risk investments and some investors accept low-risk investments. Which of the following terms best describes this statement?

• A) Risk tolerance
• B) Rate of return
• C) Standard deviation
• D) Risk aversion

Markowitz efficient frontier contains all portfolios that _____________ investor would choose.

• A) Rational and risk-lover
• B) Irrational and risk-averse
• C) Rational and risk-averse
• D) Irrational and risk lover

Moving down the Capital Market Line (CML) from point of tangency, the risk of the portfolio will________.

• A) Increase
• B) Remain same
• C) Decrease
• D) Become zero

Which of the following is/are true, if the data is skewed left?

• A) All of the given options are correct
• B) Right tail is long as compared to left tail
• C) Left tail is long as compared to right tail
• D) Left tail is short as compared to right tail

The ___________ is a measure used to evaluate the skill of an active portfolio manager.

• A) Beta
• B) Treynor ratio
• C) Sharpe ratio
• D) Information coefficient

For Fama-French five-factor model, which of the following new factors were added into Fama-French three-factor model?

• A) Capital structure and momentum
• B) Profitability and investment
• C) Momentum and profitability
• D) Investment and momentum

The ___________ step of portfolio management includes the client’s investment objectives, constraints, and portfolio benchmark need to be documented.

• A) Execution
• B) Planning
• C) Security analysis
• D) Determine

The beta of a risk-free security is:

• A) 2
• B) 1.0
• C) 0.5
• D) 0

The Cahart model explains __________ of a portfolio’s diversified returns.

• A) 90%
• B) 80%
• C) 70%
• D) 95%

__________ is the change in stock price due to change in market.

• A) Market risk
• B) Unique risk
• C) Systematic risk
• D) Beta

Systematic risk is also referred as:

• A) Unique risk, diversifiable risk
• B) Market risk, diversifiable risk
• C) Market risk, non-diversifiable risk
• D) Unique risk, non-diversifiable risk

Which of the following is not True regarding Kurtosis?

• A) Data with high kurtosis tend to have outliers
• B) It measure whether data is light tailed relative to normal distribution
• C) It measures whether data is heavy tailed relative to normal distribution
• D) It is a measure of symmetry

The slope of the Security Market Line is called _____________.

• A) Expected return
• B) Risk free rate
• C) Market risk premium
• D) Beta

If expected return of a security is lower than its current market price, then that security is considered to be ___________.

• A) Under-valued
• B) Over-valued
• C) Not valued
• D) Fairly-valued

Which of the following is measured by Sharpe ratio and Treynor ratio?

• A) Alpha factor
• B) Risk adjusted return
• C) Standard deviation
• D) Beta