l1練習exam question qm 2015學服咨詢郵箱網(wǎng)站

2015LevelIPracticeExam-tativeMethods

Thefollowingtablerepresentsthehistoryofaninvestmentina:

Time

Activity

Priceper

Share

DividendsPaidper

Share

BeginningofYear1

Purchase10shares

€160

EndofYear1

Purchase5shares

€168

€3.00

EndofYear2

€175

€4.00

EndofYear3

Sell15shares

€165

€0.00

Theinvestordoesnotreinvestthedividendsthathereceives.Ignoringtaxes,thetime-weightedrateofreturnonthisinvestmentisclosestto:

2.57%.

1.93%.

2.40%.

Assumethefollowing:Therealrisk-rateofreturnis3%.Theexpectedinflationpremiumis5%.Themarket-determinedinterestrateofasecurityis12%.Thesumofthedefaultriskpremium,liquiditypremium,andmaturitypremiumforthesecuityisclosestto:

10%.

4%.

8%

Givenalargerandomsample,whichofthefollowingtypesofdataareleastappropriayyzedwithnonparametrictests?

Rankeddata(e.g.,1st,3rd)

Signeddata(e.g.,numberof+'sand–'s)

Numericalvalues(e.g.,28.43,79.11)

Anystdeterminesthatapproximay99%oftheobservationsofdailysalesfora arewithintheintervalfrom$230,000to$480,000andthatdailysalesforthe arenormallydistributed.Ifapproximay99%ofalltheobservationsfallintheintervalμ±3σ,thenusingtheapproximatez-valueratherthantheprecisetable,thestandarddeviationofdailysalesfortheisclosestto:

$83,333.

$62,500.

$41,667.

Commonstockpricesareapproximaylognormallydistributed.Therefore,itismostlikelythatconventional(discrete)commonstockpricesare:

skewedtotheright.

leptokurtic.

skewedtotheleft.

Atraderdeterminesthatastockpriceformedapatternwithahorizontaltrendlinethatconnectsthehighpricesandatrendlinewithpositiveslopethatconnectsthelowprices.Giventhepatternformedbythestockprice,thetraderwillmostlikely:

purchasethestockbecausethepatternindicatesabullishsignal.

avoidtradingthestockbecausethepatternindicatesasidewaystrend.

sellthestockbecausethepatternindicatesabearishsignal.

Aconsumerpurchasesanautousingaloan.Theamountborrowedis

€30,000,andthetermsoftheloancallfortheloantoberepaidoverfiveyearsusingequalmonthlypaymentswithanannualnominainterestrateof8%andmonthlycompounding.Themonthlypaymentisclosestto:

€626.14.

€700.00.

€608.29.

Abankoffersaneffectiveannualrate(EAR)of12%.Assumingquarterlycompounding,thestatedannualinterestrateisclosestto:

12.55%

11.66%.

11.49%.

Aninvestorpurchases100sharesofstockat$40pershare.Theinvestorholdsthesharesforexactlyoneyearandthensellsallofthemat$4150pershare.Onthedateofsale,theinvestorreceivesdividendstotaling$200Theholdingperiodreturn(HPR)ontheinvestmentisclosestto:

3.75%.

8.75%.

8.43%.

Anreaseinwhichofthefollowingitemswillmostlikelyresultinawiderconfidenceintervalforthepopulationmean?

Reliabilityfactor

Degreesof

Samplesize

Thesamplingerrorisbestdescribedasthe:

sumofsquareddeviationsfromthemeandividedbythesamplesizeminusone.

differenc weentheobservedvalueofastatisticandthetyitisintendedtoestimate.

samplestandarddeviationdividedbythesquarerootofthesamplesize.

Thefollowingtableshowsthevolatilityofaseriesoffundsthatbelongtothesamepeergroup,rankedinascendingorder:

Volatility(%)

Volatility(%)

Fund1

9.81

Fund8

13.99

Fund2

10.12

Fund9

14.47

Fund3

10.84

Fund10

14.85

Fund4

11.33

Fund11

1500

Fund5

12.25

Fund12

1736

Fund6

13.39

Fund13

1798

Fund7

13.42

Theapproximatevalueofthefistquintileisclosestto:

11.09%.

10.70%.

10.84%.

Thecharttotherightdepictstherelativestrengthlinesforastockindexversusbothabondindexandgold.

InthemonthofJune,itwouldbemostappropriateforan ystusingintermarket ysistomoveinvestmentsfrom:

stockstobonds.

bondstogold.

goldtostocks.

Anystgatheredthefollowinginformationaboutastockindex:

Meaomeforallcompaniesintheindex

$2.4million

Standarddeviationo omeforallcompaniesinthe

$3.2million

index

Iftheysttakesasampleof36companiesfromtheindex,thestandarderrorofthesamplemeanisclosestto:

$533,333.

$400,000.

$88,889.

Ifthepriceofastockgoesfrom$15.00to$16.20inoneyear,thecontinuouslycompoundedrateofreturnisclosestto:

8.33%.

7.70%.

8.00%.

Aborrowerisconsideringthreecompetingmortgageloanoffersfromherbank.Theamountborrowedonthemortgageis$100,000withmonthlycompounding.

MortgageType

SatedAnnualInterest

RateatInitiationoftheLoan

YearinWhich

RateFirstAdjusts

30-yearfixedrate

5.000%

N/A

20-yearfixedrate

4.385%

N/A

30-yearadjustable-ratemortgage(ARM)

3.750%

3

TherateontheARMresetsatofYear3.AssumingtheARMispermanentlyresetat5.500%(i.e.,theremainingbalanceontheloanisassumedtoberepaidwitha5.500%statedannualinterest),whichofthethreeloanswillhave

thesmallestmonthlypaymentaftertherateresetatofYear3?

20-yearfixed-raoan

30-yearfixed-raoan

30-yearARM

Ifthestatedannualinterestrateis20%andthefrequencyofcompoundingismonthly,theeffectiveannualrate(EAR)isclosestto:

20%.

22%.

21%.

Agroupoffundystshavetoselectthefirst,second,andthirdbestfundmanageroftheyearfor2012basedontheirsubjectivejudgment.If10fundmanagersarecandidatesforthethree,thenumberofwaysinwhicheachystcanmakehisrankingisclosestto:

720.

120.

30.

Arandomvariablewithafinitenumberofequallylikelyoutcomesisbestdescribedbya:

binomialdistribution.

continuousuniformdistribution.

discreteuniformdistribution.

Aneconomiststatesthattheprobabilityofhavingthegrossdomesticproduct(GDP)ofacountryhigherthan3%is0.20.WhataretheoddsaGDPhigherthan3%?

4to1

6to1

5to1

Amutualfundmanagerwantstocreateafundbasedonahigh-gradecorporatebondindex.Shefirstdistinguishesbetweenutilitybondsandindustrialbonds;shethen,foreachsegment,definesmaturityintervalsoflessthan5years,5to10years,andgreaterthan10yearsForeachsegmentandmaturitylevel,sheclassifiesthebondsascallableornoncallable.Shethenrandomlyselectsbondsfromeachofthesubpopulationsshehascreated.Forthemanager’ssample,whichofthe

followingbestdescribesthesamplingapproach?

Stratifiedrandom

Simplerandom

Systematic

Thenullhypothesisismostappropriayrejectedwhenthep-valueis:

closetozero.

negative.

Cclosetoone.

Whendealingwithmutuallyexclusiveprojects,themostreliabledecisionruleis:

NPV.

time-weightedrateofreturn.

IRR.

Aprojectoffersthefollowingrementalafter-taxcashflows(CF):

Year

0

1

2

3

4

Cashflow(€)

–12,500

2,000

4,000

5,000

2,000

Theappropriatediscountratetouseinevaluatingtheprojectis8%.Th presentvalue(NPV)oftheprojectisclosestto:

–€922.

–€1,780.

–€1,736.

Amajorinvestmentdataserviceprovidesinformationonysts’performanceusingthefollowingscale:

Outstanding

Strong

Average

BelowAverage

Poor

1

2

3

4

5

Themostappropriatetesttodeterminewhethertheysts’averageperformancedifferedbetweentwoconsecutive10-yearperiodsisa:

Wilcoxonsigned-ranktest.

Mann-WhitneyU-test.

signtest.

Thereturnsofafundareasfollows:

Year

Return(%)

1

–20.60

2

15.00

3

0.50

4

9.80

5

4.60

Themeanabsolutedeviation(MAD)ofreturnsforthefundisclosestto:

9.53%

B13.69%

C.11.91%.

Considerthefollowing20itemslistedinascendingorder:

–41

–18

–17

–9

–8

–6

–5

3

3

3

5

5

7

7

11

12

20

21

21

61

Themedianvalueoftheitemsisclosestto:

4.

5.

3.

Agraphicaldepictionofacontinuousdistributionshowsthelefttailtobelongerthantherighttail.Thedistributionisbestdescribedashaving:

negativeskewness.

leptokurtosis.

positiveskewness.

Thebond-equivalentyieldforasemi-annualpaybondismostlikely:

morethantheeffectiveannualyield.

equaltodoublethesemi-annualyieldtomaturity.

equaltotheeffectiveannualyield.

Asampleof438observationsisrandomlyselectedfromapopulation.Themeanofthesampleis382andthestandarddeviationis14.BasedonChebyshev'sinequality,pointsoftheintervalthatmustcontainatleast88.89%oftheobservationsareclosestto:

340and424.

396and480.

354and410.

Aprojectoffersthefollowing rementalafter-taxcashflows(CF):

Year

0

1

2

3

4

5

6

Cashflow(€)

–12,500

2,000

4,000

5000

2,000

1,000

500

Theinternalrateofreturn(IRR)oftheprojectisclosestto:

5.5%.

4.4%.

2.5%.

Thestated(quoted)annualinterestrateonanautoloanis10%.Theeffectiveannualrate(EAR)oftheloanis10.47%.Thefrequencyofcompoundingperyearfortheloanisclosestto:

monthly.

quarterly.Cweekly.

Ariskmanagerwouldliketocalculatethecoefficientofvariationofaportfolio.Thefollowingtablereportstheannualreturnsoftheportfolioandoftherisk-rateoverthemostrecentfiveyears:

Year

Portfolio

Return

Risk-

Rate

1

4.0%

2.0%

2

–1.0%

1.5%

3

7.0%

1.0%

4

11.0%

1.0%

5

2.0%

0.5%

Thecoefficientofvariationoftheportfolioisclosestto:

1.00.

0.90.

0.74.

Givenadiscountrateof10%,th presentvalue(NPV)ofthefollowinginvestmentisclosestto:

Time

0

1

2

3

4

5

6

Cashflow

–1,500

300

600

1,000

200

500

300

578.

636.

605.

Theleastaccuratestatementaboutmeasuresofdispersionforadistributionisthatthe:

meanabsolutedeviationwillbeeitherlessthanorequaltothestandarddeviation.

rangeprovidesnoinformationabouttheshapeofthedatadistribution.

arithmeticaverageofthedeviationsaroundthemeanwillbeequaltoone.

ThejointprobabilityofeventsAandBis32%,withtheprobabilityofeventAbeing60%andtheprobabilityofeventBbeing50%.Onthebasisofthisinformation,theconditionalprobabilityofeventAgiventhateventBoccursisclosestto:

30.0%.

64.0%.

53.3%.

AUSTreasurybill(T-bill)has90daystomaturityandabankdiscountyieldof3.25%Theeffectiveannualyield(EAY)fortheT-billisclosestto

336%

3.32%.

C3.29%.

ThejointprobabilityofreturnsforsecuritiesAandBareasfollows:

JointProbabilityFunctionofSecurityAandSecurityBReturns(EntriesAreJointProbabilities)

ReturnonSecurityB=30%

ReturnonSecurityB=20%

ReturnonSecurityA=25%

0.60

0

ReturnonSecurityA=20%

0

0.40

ThecovarianceofthereturnsbetweenSecuritiesAandBisclosestto:

13.

14.

12.

Aninvestordeposits￡2,000intoanaccountthatpays6%perannumcompoundedcontinuously.Thevalueoftheaccountatoffouryearsisclosestto:

￡2,854.

￡2,542.

￡2,525.

WithBayes’formula,itispossibletoupdatetheprobabilityforaneventgivensomenewinformation.WhichofthefollowingmostaccurayrepresentsBayes’formula?

A.

B.

C.

Thestatedannualinterestrateis12.75%.Ifthefrequencyofcompoundingismonthly,theeffectiveannualrate(EAR)isclosestto:

13.52%.

12.06%.

C12.75%

Anystcollectsthefollowingsetof10returnsfromthepast:

Year

1

2

3

4

5

6

7

8

9

10

Return(%)

2.2

6.2

8.9

9.3

10.5

11.7

123

14.1

15.3

18.4

Thegeometricmeanreturnisclosestto:

10.89%.

9.62%.

10.80%.

Usingadiscountrateof5%,compoundedmonthly,thepresentvalue(PV)of

$5,000tobereceivedthreeyearsfromtodayisclosestto:

$4,250.

$4,319.

$4,305.

Whenconsiderinomutuallyexclusivecapitalbudgetingprojectswithingrankings,themostappropriateconclusionistochoosetheprojectwith

the:

shorterpayback.

higherinternalrateofreturn(IRR).

highe presentvalue(NPV).

Whichofthefollowingismostlikelytobeanexnationofthepowerofatest?Thepowerofa theprobabilityof:

notacceptingthealternativewhenitisfalse.

aTypeIerror.

rejectingthenullwhenitisfalse.

Anystcollectsdatarelatingtofivecommonlyusedmeasuresofleverageandinterestcoverageforarandomlychosensampleof300firms.Thed omesfro

thosefirms’fiscalyear2012annualreportsThisdataarebestcharacterizedas:

time-seriesdata.

cross-sectionaldata.

longitudinaldata.

Whichofthefollowingstatementsismostaccurate?Thefirstquintilegenerallyexceedsthe:

median.

firstquartile.

firstdecile

Anystgathersthefollowinginformationabouttheperformanceofaportfolio($millions):

Quarter

ValueatBeginningofQuarter

(PriortoInfloworOutflow)

CashInflow(Outflow)

atBeginningofQuarter

ValueatEndofQuarter

1

2.0

0.2

2.4

2

2.4

0.4

2.6

3

2.6

(0.2)

3.2

4

3.2

1.0

4.1

Theportfolio’sannualtime-weightedrateofreturnisclosestto:

27%.

32%.

8%.

Thefollowing10observationsareasampledrawnfromanormalpopulation:25,

20,18,–5,35,21,–11,8,20,and9.Themeanofthesampleisclosestto:

17.20.

15.56.

14.00.

Overafour-yearperiod,aportfoliohasreturnsof10%,–2%,18%and12%Thegeometricmeanreturnacrosstheperiodisclosestto:

8.1%.

3.5%.

2.9%.

Anystdeterminesthat60%ofallU.S.pensionfundsholdhedgefunds.Inevaluatingthisprobability,arandomsampleof10U.S.pensionfundsistaken.Usingthebinomialprobabilityfunction,theprobabilitythatexactly6ofthe10firmsinthesampleholdhedgefundsisclosestto:

25.1%.

60.0%.

11.2%.

Asubsetofapopulationisbestdescribedasa:

conditionaldistribution.

sample.

statistic.

Theliquiditypremiumcanbestbedescribedascompensationtoinvestorsforth