Question 1

Over the period 2002-2011, most correlations between the U.S.stock index and stock-index portfolios of other countries were

Accepted Answer

A)  negative.
B)  positive but less than .9.
C)  approximately zero.
D)  .9 or above.
E)  None of the optionsF) A) and B)
G) A) and C)

Question 2

Shares of several foreign firms are traded in the U.S.markets in the form of

Accepted Answer

A)  ADRs.
B)  ECUs.
C)  single-country funds.
D)  All of the options
E)  None of the optionsF) A) and D)
G) A) and E)

Question 3

Discuss some of the factors that might be included in a multifactor model of security returns in an international application of arbitrage pricing theory (APT).

Accepted Answer

Some of the factors that might be consid...

Question 4

The __________ equity market had the highest average local currency excess return between 2002-2011.

Accepted Answer

A)  Colombian
B)  Norwegian
C)  U.K.
D)  U.S.E) B) and C)
F) All of the above

Question 5

The EAFE is

Accepted Answer

A)  the East Asia Foreign Equity index.
B)  the Economic Advisor's Foreign Estimator index.
C)  the European and Asian Foreign Equity index.
D)  the European, Asian, French Equity index.
E)  the European, Australian, Far East index.F) A) and D)
G) A) and E)

Question 6

In 2011, the U.S.equity market represented __________ of the world equity market.

Accepted Answer

A)  19%
B)  60%
C)  43%
D)  36%E) C) and D)
F) B) and C)

Question 7

The manager of Quantitative International Fund uses EAFE as a benchmark.Last year's performance for the fund and the benchmark were as follows:  Calculate Quantitative's stock selection return contribution.

Accepted Answer

A)  1.0%
B)  -1.0%
C)  3.0%
D)  0.25%E) C) and D)
F) B) and C)

Question 8

"ADRs" stands for ___________ and "WEBS" stands for ____________.

Accepted Answer

A)  additional dollar returns; weekly equity and bond survey
B)  additional daily returns; world equity and bond survey
C)  American dollar returns; world equity and bond statistics
D)  American depository receipts; world equity benchmark shares
E)  adjusted dollar returns; weighted equity benchmark sharesF) A) and B)
G) A) and C)

Question 9

The present exchange rate is C$ = U.S.$0.78.The 1-year future rate is C$ = U.S.$0.76.The yield on a 1-year U.S.bill is 4%.A yield of __________ on a 1-year Canadian bill will make investor indifferent between investing in the U.S.bill and the Canadian bill.

Accepted Answer

A)  2.4%
B)  1.3%
C)  6.4%
D)  6.7%
E)  None of the optionsF) A) and B)
G) B) and E)

Question 10

Assume there is a fixed exchange rate between the Canadian and U.S.dollar.The expected return and standard deviation of return on the U.S.stock market are 18% and 15%, respectively.The expected return and standard deviation on the Canadian stock market are 13% and 20%, respectively.The covariance of returns between the U.S.and Canadian stock markets is 1.5%. If you invested 50% of your money in the Canadian stock market and 50% in the U.S.stock market, the expected return on your portfolio would be

Accepted Answer

A)  12.0%.
B)  12.5%.
C)  13.0%.
D)  15.5%.E) A) and B)
F) A) and C)

Question 11

Using the S&P 500 portfolio as a proxy of the market portfolio

Accepted Answer

A)  is appropriate because U.S.securities represent more than 60% of world equities.
B)  is appropriate because most U.S.investors are primarily interested in U.S.securities.
C)  is appropriate because most U.S.and non-U.S.investors are primarily interested in U.S.securities.
D)  is inappropriate because U.S.securities make up less than 40% of world equities.
E)  is inappropriate because the average U.S.investor has less than 20% of her portfolio in non-U.S.equities.F) A) and D)
G) B) and C)

Question 12

Discuss performance evaluation of international portfolio managers in terms of potential sources of abnormal returns.

Accepted Answer

The following factors may be measured to...

Exam 25: International Diversification

Shares of several foreign firms are traded in the U.S.markets in the form of

Correct Answer
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Correct Answer
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Using the S&P 500 portfolio as a proxy of the market portfolio

Correct Answer
verified

The present exchange rate is C$ = U.S.$0.78.The 1-year future rate is C$ = U.S.$0.76.The yield on a 1-year U.S.bill is 4%.A yield of __________ on a 1-year Canadian bill will make investor indifferent between investing in the U.S.bill and the Canadian bill.

Correct Answer
verified

The manager of Quantitative International Fund uses EAFE as a benchmark.Last year's performance for the fund and the benchmark were as follows: Calculate Quantitative's stock selection return contribution.

Correct Answer
verified

The EAFE is

Correct Answer
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In 2011, the U.S.equity market represented __________ of the world equity market.

Correct Answer
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Over the period 2002-2011, most correlations between the U.S.stock index and stock-index portfolios of other countries were

Correct Answer
verified

Discuss performance evaluation of international portfolio managers in terms of potential sources of abnormal returns.

Correct Answer
verified
The following factors may be measured to...
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Discuss some of the factors that might be included in a multifactor model of security returns in an international application of arbitrage pricing theory (APT).

Correct Answer
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Some of the factors that might be consid...
View Answer

The __________ equity market had the highest average local currency excess return between 2002-2011.

Correct Answer
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"ADRs" stands for _ and "WEBS" stands for __.

Correct Answer
verified

Exam 25: International Diversification

Shares of several foreign firms are traded in the U.S.markets in the form of

Correct AnswerverifiedShow Answer

Correct AnswerverifiedShow Answer

Using the S&P 500 portfolio as a proxy of the market portfolio

Correct AnswerverifiedShow Answer

The present exchange rate is C$ = U.S.$0.78.The 1-year future rate is C$ = U.S.$0.76.The yield on a 1-year U.S.bill is 4%.A yield of __________ on a 1-year Canadian bill will make investor indifferent between investing in the U.S.bill and the Canadian bill.

Correct AnswerverifiedShow Answer

The manager of Quantitative International Fund uses EAFE as a benchmark.Last year's performance for the fund and the benchmark were as follows: Calculate Quantitative's stock selection return contribution.

Correct AnswerverifiedShow Answer

The EAFE is

Correct AnswerverifiedShow Answer

In 2011, the U.S.equity market represented __________ of the world equity market.

Correct AnswerverifiedShow Answer

Over the period 2002-2011, most correlations between the U.S.stock index and stock-index portfolios of other countries were

Correct AnswerverifiedShow Answer

Discuss performance evaluation of international portfolio managers in terms of potential sources of abnormal returns.

Correct AnswerverifiedThe following factors may be measured to...View AnswerShow Answer

Discuss some of the factors that might be included in a multifactor model of security returns in an international application of arbitrage pricing theory (APT).

Correct AnswerverifiedSome of the factors that might be consid...View AnswerShow Answer

The __________ equity market had the highest average local currency excess return between 2002-2011.

Correct AnswerverifiedShow Answer

"ADRs" stands for ___________ and "WEBS" stands for ____________.

Correct AnswerverifiedShow Answer

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The following factors may be measured to...
View Answer

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Some of the factors that might be consid...
View Answer

Correct Answer
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"ADRs" stands for _ and "WEBS" stands for __.

Correct Answer
verified