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1、Over the past year, the Fund A had a return of 7.5%, while its benchmark, the S&P 500 index, had a return of 6.7%. Over this period, the S&P index';s volatility was 10.7% and the fund';s TEV was 1.8%. Assume a risk-free rate of 5%. What is the information Ratio for the Fund A?

　　A. 0.480

　　B. 0.444

　　C. 0.234

　　D. 1.389

Answer: B

金程frm解析：IR=（7.5%-6.7%）/1.8%=0.4444

2、Which of the following statements about the Sharpe Ratio is correct?

　　I.The Sharpe Ratio considers both the systematic and unsystematic risks of a portfolio.

　　II.The Sharpe Ratio is equal to the excess return of a portfolio over the risk-free rate divided by the total risk of the portfolio.

　　III.The Sharpe Ratio cannot be used to evaluate relative performance of undiversified portfolios.

　　IV.The Sharpe Ratio is derived from the Capital Market Line.

　　A.I,II and III

　　B.I,II and IV

　　C.II,III and IV

　　D.All of the above

　　Answer: B

金程frm解析:The SR considers total risk, which includes systematic and unsystematic risks, so I. and II. are correct statements, and incorrect answers. Similarly, the SR is derived from the CML, which states that the market is mean-variance efficient and hence has the highest Sharpe Ratio of any feasible portfolio. Finally, the SR can be used to evaluate undiversified portfolios precisely, because it includes idiosyncratic risk.

3、What is the most appropriate interpretation of a slope coefficient estimate equal to 10.0?

　　A. The predicted value of the dependent variable when the independent variable is zero is 10.0.

　　B. The predicted value of the independent variable when the dependent variable is zero is 0.1.

　　C. For every one unit change in the independent variable the model predicts that the dependent variable will change by 0.1 units.

　　D. For every one unit change in the independent variable the model predicts that the dependent variable will change by 10 units.

　　Answer: D

金程frm解析:Explanation: The slope coefficient is best interpreted as the predicted change in the dependent variable for a 1-unit change in the independent variable. If the slope coefficient estimate is 10.0 and the independent variable changes by one unit, the dependent variable will change by 10 units. The intercept term is best interpreted as the value of the dependent variable when the independent variable is equal to zero.

4、Which of the following statements are wrong?

　　I Type I error occurs when the null hypothesis is not rejected when it is actually false.

　　II Type II error occurs when the null hypothesis is rejected when it is actually true.

　　III Type I error occurs when the alternate hypothesis is wrongly accepted.

　　IV Minimizing the probability of Type I error maximizes the power of the test.

　　A. I and II

　　B. I and III

　　C. II and IV

　　D. I, II and IV

　　Answer: D

　　金程frm解析：In hypothesis testing we accept the alternate hypothesis if the null hypothesis has been rejected. Type I error happens if the null hypothesis is rejected when it is actually true. Type II error happens if the null hypothesis is accepted when it is actually false. The power of the test is the probability of correctly rejecting the null hypothesis (when it is false), so minimizing Type II (not Type I) errors would maximize the power of the test.

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