2021/11/30 下午9:31 Midterm 2: ECON 173A - Financial Markets - Toda [FA21] https://canvas.ucsd.edu/courses/29697/quizzes/85077 1/8 Midterm 2 Due Nov 12 at 7:20pm Points 16 Questions 16 Available Nov 11 at 7:20pm - Nov 12 at 7:20pm 1 day Time Limit 80 Minutes Instructions This quiz was locked Nov 12 at 7:20pm. Attempt History Attempt Time Score LATEST Attempt 1 51 minutes 7 out of 16 Correct answers are hidden. Score for this quiz: 7 out of 16 Submitted Nov 12 at 3:50pm This attempt took 51 minutes. This is midterm 2. Please carefully read ExamInstruction.pdf and ExamProtocol.pdf for specific instructions and make sure you are recording your session with Zoom. Failure of recording will result in receiving zero points. 1 / 1 ptsQuestion 1 Suppose the 1, 2, and 3-year pure yields (continuously compounded) are 4.17%, 3.21%, and 2.2%, respectively. What is the forward rate between year 2 and 3 (percentage point, continuously compounded, round to second decimal place)? 0.18 0 / 1 ptsQuestion 2Incorrect 2021/11/30 下午9:31 Midterm 2: ECON 173A - Financial Markets - Toda [FA21] https://canvas.ucsd.edu/courses/29697/quizzes/85077 2/8 Suppose a 1-year zero coupon bond trades at price 96.551, and 2-year and 3-year bonds making annual coupon payments at rate 5% trade at prices 102.876 and 104.485, respectively. (All bonds have face value 100.) What is the 3-year pure yield (percentage point, continuously compounded, round to second decimal place)? 1.74 0 / 1 ptsQuestion 3Incorrect Consider a 10-year bond that makes semiannual coupon payments. If the face value is 100, the coupon rate is 2% and the bond price is 84.867, what is the yield to maturity (percentage point, continuously compounded, round to second decimal place)? 1.64 1 / 1 ptsQuestion 4 Suppose a zero coupon bond with face value 100 and maturity 2 years trades at price 92.9043. What is the yield to maturity (percentage point, continuously compounded, round to second decimal place)? 3.68 0 / 1 ptsQuestion 5Incorrect 2021/11/30 下午9:31 Midterm 2: ECON 173A - Financial Markets - Toda [FA21] https://canvas.ucsd.edu/courses/29697/quizzes/85077 3/8 Suppose you expect to pay $20,000 for tuition per year at the end of the next four years. If the yield curve is flat at 3.0% and you can invest only in zero coupon bonds with maturity 1 and 5 years, what should be the dollar amount invested in the 5-year bond to immunize the tuition expenses? Round to the nearest 100 dollars. 47,100 0 / 1 ptsQuestion 6Incorrect Consider a mortgage-backed security (MBS) consisting of a pool of 15- year mortgages making monthly payments with APR 2.50%. If the MBS is tranched into the short (first 5 years), medium (next 5 years), and long (last 5 years) tranches, what is the duration of the medium tranche (round to second decimal place)? Assume no early payoffs or defaults. 11.2 0 / 1 ptsQuestion 7Incorrect What is the duration of a perpetuity (bond with infinite maturity) with semiannual coupon payments if the yield curve is flat at 4.86% (continuously compounded, round to first decimal place)? 21.1 2021/11/30 下午9:31 Midterm 2: ECON 173A - Financial Markets - Toda [FA21] https://canvas.ucsd.edu/courses/29697/quizzes/85077 4/8 0 / 1 ptsQuestion 8Incorrect Consider a 10-year bond that makes semiannual coupon payments, which was issued 1 year and 167 days ago. If the coupon rate is 8% and the yield to maturity is 3.84% (continuously compounded), what is the duration (round to second decimal place)? 4.63 1 / 1 ptsQuestion 9 You manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 28%. The T-bill rate is 8%. Suppose that your client decides to invest in your portfolio a proportion y of the total investment budget so that the overall portfolio will have an expected rate of return of 16%. What is the proportion y (in percentage points, round to the first decimal place)? 80 0 / 1 ptsQuestion 10Incorrect Which of the following statements are true? The higher the borrowing rate, the lower the Sharpe ratios of levered portfolios 2021/11/30 下午9:31 Midterm 2: ECON 173A - Financial Markets - Toda [FA21] https://canvas.ucsd.edu/courses/29697/quizzes/85077 5/8 Holding constant the risk premium of the risky portfolio, a higher risk- free rate will increase the Sharpe ratio of investments with a positive allocation to the risky asset A lower allocation to the risky portfolio reduces the Sharpe (reward-to- volatility) ratio With a fixed risk-free rate, doubling the expected return and standard deviation of the risky portfolio will double the Sharpe ratio 1 / 1 ptsQuestion 11 Investment Management Inc. (IMI) uses the capital market line to make asset allocation recommendations. IMI derives the following forecasts: Expected return on the market portfolio: 12% Standard deviation on the market portfolio: 20% Risk-free rate: 5% Samuel Johnson seeks IMI’s advice for a portfolio asset allocation. Johnson informs IMI that he wants the standard deviation of the portfolio to equal half of the standard deviation for the market portfolio. Using the capital market line, what expected return can IMI provide subject to Johnson’s risk constraint (in percentage points, round to the first decimal place)? 8.5 0 / 1 ptsQuestion 12Incorrect 2021/11/30 下午9:31 Midterm 2: ECON 173A - Financial Markets - Toda [FA21] https://canvas.ucsd.edu/courses/29697/quizzes/85077 6/8 You estimate that a passive portfolio, for example, one invested in a risky portfolio that mimics the S&P 500 stock index, yields an expected rate of return of 13% with a standard deviation of 25%. You manage an active portfolio with expected return 18% and standard deviation 28%. The risk-free rate is 8%. Consider a client with degree of risk aversion A = 3.5. If he chose to invest proportion y in the passive portfolio, what y would he select (in percentage points, round to the first decimal place)? 36.4 1 / 1 ptsQuestion 13 If the simple CAPM is valid, the following situation is possible (true or false). Portfolio Expected Return Beta Risk-free 10% 0 Market 18% 1.0 A 16% 0.9 True False 0 / 1 ptsQuestion 14Incorrect If the simple CAPM is valid, the following situation is possible (true or false). Portfolio Expected Return Standard Deviation Risk-free 10% 0% 2021/11/30 下午9:31 Midterm 2: ECON 173A - Financial Markets - Toda [FA21] https://canvas.ucsd.edu/courses/29697/quizzes/85077 7/8 Market 18% 24% A 16% 12% True False 1 / 1 ptsQuestion 15 Here are data on two companies. The T-bill rate is 4% and the market risk premium is 6%. Company $1 Discount Store Everything $5 Forecasted return 12% 11% Standard deviation of returns 8% 10% Beta 1.5 1.0 What would be the fair return for Everything $5 according to the capital asset pricing model (CAPM) (in percentage points, round to the first decimal place)? 10 1 / 1 ptsQuestion 16 What is the expected rate of return for a stock that has a beta of 1.0 if the expected return on the market is 15% (in percentage points)? Cannot be determined without the risk-free rate 15% 2021/11/30 下午9:31 Midterm 2: ECON 173A - Financial Markets - Toda [FA21] https://canvas.ucsd.edu/courses/29697/quizzes/85077 8/8 More than 15% Quiz Score: 7 out of 16
欢迎咨询51作业君
