1.

An investor compares the market price to the intrinsic value of a stock to decide whether
he should buy the stock or not. Which of the following analysis best describes his method?

A. Fundamental analysis

B. Technical analysis

C. Strategic analysis

D. Economic analysis

2. Active portfolio managers just try to capture the expected return consistent with the risk
level of their portfolios.

A. True

B. False

3. A basic assumption of the Markowitz model is that investors base decisions solely on
expected return and risk.

A. True

B. False

4. Which of the following statements best describes the covariance of returns between the
two assets?

A. Never equal to 0

B. Measure the level of interdependence between the two assets

C. Always be positive

D. Always between -1 and 1

5. One of the assumptions of capital market theory is that investors can borrow or lend at
the risk-free rate.
A. True

B. False

6. Which of the following is NOT considered to be an investment objective?

A. capital preservation

B. capital appreciation

C. current income

D. total nominal preservation

7. Investors with shorter time horizons generally favor … liquid and … risky investments
because losses are harder to overcome in a short time frame.

A. more, less

B. less, more

C. less, less

D. more, more

8. Which of the following is NOT a technique for constructing a passive portfolio?

A. full replication

B. sampling

C. quadratic programming

D. linear programming

9. Passive portfolio managers attempt to “beat the market” by forming portfolio capable
of producing actual returns that exceed risk-adjusted expected returns.

A. True

B. False
10. Passive (indexed) portfolio management:

A. Seeks to replicate the broader market

B. Keep costs and fees to a minimum

C. Has a lower level of risk than that of the active benchmark D.

All of the options are true

11. BioTech Company has an expected return on equity (ROE) of 10%. The dividend growth
rate will be … if the firm follows a policy of paying 40% of earnings in the form of dividends
( a dividend-payout ratio = 40%).

A. 6.0% (g = 1 – 0.4)

B. 4.0%

C. 7.2%

D. 3.0%

12. Which of the following statements is FALSE about portfolio diversification?

A. Portfolio diversification depends on the financial ability of each investor

B. No matter how diversified a portfolio is, there is never zero risk

C. The more diversified the portfolio, the easier it is to beat the market

D. Portfolio diversification reduces unsystematic risk

13. Which of the following statements is TRUE about risk?

A. The larger the price fluctuation, the greater the risk

B. Risks are deviation from expectations

C. The larger the price fluctuation range, the smaller the risk

D. Risks are deviations from expectations. The larger the price fluctuation, the greater the
risk
14. The … phase is the stage when investors in their early-to-middle earning years attempt
to accumulate assets to satisfy fairly immediate needs (for example, a down payment for a
house) or longer-ter, goals (children’s college education, retirement)

A. accumulation

B. spending

C. gifting

D. consolidation

15. The active portfolio management:

A. Try to beat the market

B. Try to earn a portfolio return that exceeds the return of a passive benchmark
portfolio (net of transaction costs) on a risk-adjusted basis

C. Has a higher level of risk than that of the passive benchmark D.

All of the options are true

16. Elias is a risk-averse investor. David is a less risk-averse investor than Elias.
Therefore,

A. for the same risk, David requires a higher rate of return than Elias

B. for the same return, Elias tolerates higher risk than David

C. for the same risk, Elias requires a lower rate of return than David D.

for the same return, David tolerates higher risk than Elias

17. Diversifiable risk is also referred to as:

A. systematic risk or unique risk

B. systematic risk or market risk

C. unique risk or market risk

D. unique risk or firm-specific risk

d. Keeps costs and fees to a minimum

19. ……… focus more on past price movements of a firm's stock than on the
underlying determinants of future profitability.

Select one:

a. Technical analysts

b. Systems analysts

c. Credit analysts

d. Fundamental analysts

20. In Vietnam, securities investment portfolio management is an operation of: Select

one:

a. Banks

b. Financial companies

c. Fund management companies

d. Securities companies

21. As an investor enters retirement time, he will tend to:

Select one:

a. Willingness to invest in T-bond

b. Willingness to invest in real estate

c. Willingness to take higher risks for higher returns

d. Willingness to invest in derivatives

23. Assume a 25-year-old investor holds a steady job, is a valued employee, has adequate
insurance coverage, and has enough money in the bank to provide a cash reserve. His current
long-term, high-priority investment goal is to build a retirement fund. The most appropriate
strategies for his goal are:

Select one:

a. Total return and/or capital appreciation

b. Capital preservation and/or current income

c. Total return and/or current income

d. Capital preservation and/or total return

24. Comparing to the measure of risk for an individual asset, investors should understand
two more basic concepts in statistics to compute the standard deviation of returns for a
portfolio of assets – the measure of risk for a portfolio. The two concepts are ……… and
………

Select one:

a. Correlation and beta

b. Covariance and correlation coefficient

c. Coefficient of variation and Standard deviation

d. Covariance and coefficient of variation

25. Which of the following statements regarding risk-averse investors is true?

Select one:

a. They only accept risky investments that offer risk premiums over the risk-free rate.

b. They are willing to accept lower returns and high risk.

c. They only care about the rate of return.

d. They accept investments that are fair games.

 27. Given a portfolio of stocks, the envelope curve containing the set of best
possible combinations is known as the

Select one:

a. efficient frontier.

b. utility curve.

c. last frontier.

d. efficient portfolio.

28. According to the mean-variance criterion, which one of the following

investments dominates all others?

Select one:

a. E(r) = 0.15, σ = 0.25

b. E(r) = 0.10, σ = 0.20

c. E(r) = 0.10, σ = 0.25

d. E(r) = 0.15, σ = 0.20

29. You purchased a share of stock for $68. One year later you received $3.00 as a
dividend and sold the share for $74.50. What was your holding-period return?

Select one:

a. 14.0%

b. 11.8%

c. 13.6%

d. 12.5%
 30. Suppose a particular investment earns an arithmetic return of 10% in year
1, 20% in year 2, and 30% in year 3. The geometric average return for the period will be:

Select one:

a. less than the arithmetic average return

b. equal to the arithmetic average return

c. It cannot be determined from the information given

d. greater than the arithmetic average return

31. At the beginning of 2019, investor A buys a 8% coupon bond at the price of
VND 80,000. The interest payments are paid at the end of each year. At the beginning of
2022, investor A sells at the price of VND 110,000. The par value of the bond is VND
100,000. What is the compound annual rate of return (YTM) if the interest payments are
reinvested at the rate of 8%?

Select one:

a. 20,28%

b. 22,31%

c. 18.76%

d. 19,65%

32. According to the CAPM, the beta

measures: Select one:

a. Systematic risk

b. Unsystematic risk

c. Inflation risk

d. Standard deviation of the mean

 33. If stock X has beta = 1.50, the level of ...... risk of X is 50 percent ...... than
the average for the entire market,

Select one:

a. nonsystematic, greater b.

systematic, greater

c. systematic, lower

d. nonsystematic, lower

34. The capital market line (CML) uses

as a risk measurement, whereas the
capital asset pricing model (CAPM) uses .

Select one:

a. beta; total risk

b. standard deviation; systematic risk

c. standard deviation; total risk

d. unsystematic risk; total risk

35. According to the single index model, inflation risk is:

Select one:

a. Unsystematic risk

b. Diversifiable risk

c. Systematic risk

d. Total risk

36. The risk-free rate is 7%. The expected market rate of return is 15%. If you
expect a stock with a beta of 1.3 to offer a rate of return of 12%, you should:

Select one:
a. sell the stock because it is overpriced.

b. buy the stock because it is underpriced.

c. buy the stock because it is overpriced.

d. sell the stock because it is underpriced.

37. Calculate the expected return for B Services which has a beta of 0.83 when
the risk-free rate is 0.05 and you expect the market return to be 0.12.

Select one:

a. 14.96 percent

b. 10.81 percent

c. 17.00 percent

d. 16.15 percent

38. In an efficient financial market, when positive news appears, which of the
following is considered an investor overreacting to new information?

Select one:

a. The price dropped sharply on the day the news appeared, then fell on the following
days

b. The price increased sharply on the day the news appeared, then decreased the following
days

c. The price rose sharply on the day of the news and then sideways the following days

d. The price increased sharply on the day the news appeared, then continued to increase
the following days

39. Which of the following is the implication of the efficient market hypothesis?

Select one:
a. Stock price moves for no reason

b. Price reflects all available information

c. Can predict accurately the future events

d. Stock price does not volatile

40. Which of the following statements is false about efficient markets?

Select one:

a. Stock prices will not change when random positive news occurs in a strongly
efficient market

b. Investors can easily make profits in the highly efficient market if they own inside
information

c. Stock prices will increase sharply when random positive news appears in a strongly
efficient market

d. A and C

41. The weak form of the efficient-market hypothesis asserts

that: Select one:

a. stock prices do not rapidly adjust to new information contained in past prices or past
data, and future changes in stock prices cannot be predicted from past prices

b. future changes in stock prices cannot be predicted from past prices, and technicians
cannot expect to outperform the market

c. future changes in stock prices cannot be predicted from past prices

d. stock prices do not rapidly adjust to new information contained in past prices or past
data

42. Proponents of the efficient market hypothesis (EMH) think technical

analysts: Select one:

a. should focus on support levels

b. should focus on financial statements c.

are wasting their time

d. should focus on the relative strength

43. Holding other factors constant, the interest-rate risk of a coupon bond is
lower when the bond's:

Select one:

a. yield to maturity is lower

b. term to maturity is lower

c. coupon rate is lower

d. current yield is lower

44. Which bond has the shortest duration?

Select one:

a. Bond of 30 years maturity, coupon rate 11% b.

Bond of 20 years maturity, coupon rate 13%

c. Bond of 28 years maturity, coupon rate 0%

d. Bond of 30 years maturity, coupon rate 6%

45. Which of the following statements is false about “Duration”?

Select one:

a. “Duration” is the average maturity time of the bond

b. If the cash flow is received annually is low, and the payback period from the cash flow
will be longer, leading to an increase in “Duration”.
c. “Modified Duration” is used to measure the risk of interest rates on bond prices

d. “Duration” is the second derivative of the formula which calculates the bond price using
the discount rate

46. We have following bonds: A (coupon rate = 15%, maturity = 20 year, YTM =
10%), B (coupon rate = 15%, maturity = 15 year, YTM = 10%), C (coupon rate = 0%,
maturity = 20year, YTM = 10%), D (coupon rate = 8%, maturity = 20 year, YTM =
10%) and E (coupon rate = 15%, maturity = 15 year, YTM = 15%). Sort in descending
“Duration” order:

Select one:

a. A > C > D > B > E (> means greater)

b. There is no correct answer

c. C > D > A > B > E (> means greater)

d. D > C > A > B > E (> means greater)

49. The goal of the passive portfolio manager is to minimize:

Select one:

a. beta

b. alpha

c. tracking error

d. standard error

50. Which of the following is NOT a technique for constructing a passive index portfolio?

Select one:

a. quadratic programming b.

linear programming
c. full replication

d. sampling

2. The most of customers using personal wealth management services belong to: a.

High-income class b. Low-income class

c. Individual stock investors d. Middle-income class

4. Which of the following statements about the ascending level of risk of return objectives
are true? Select one:

a. Current income > Capital preservation > Capital appreciation

b. Capital appreciation > Capital preservation > Current income

c. Capital appreciation > Current income > Capital preservation d.

Capital preservation > Current income > Capital appreciation

6. Comparing to the measure of risk for an individual asset, investors should understand two
more basic concepts in statistics to compute the standard deviation of returns for a portfolio
of assets – the measure of risk for a portfolio. The two concepts are ……… and ………

a. Correlation and beta b. Covariance and coefficient of

variation

c. Covariance and correlation coefficient d. Coefficient of variation and

Standard deviation

10. A reward-to-volatility ratio is useful in

a. measuring the standard deviation of returns. b. None of the options

are correct

c. assessing the effects of inflation. d. analyzing returns on

variable-rate bonds.

e. understanding how returns increase relative to risk increases.

11. If markets are efficient, the difference between the intrinsic value and
market value of a company’s security is:

a. Positive and very large b. Positive c. Negative

d. Equal to zero

12. You purchased a share of stock for $68. One year later you received $3.00 as a dividend
and sold the share for $74.50. What was your holding-period return?

a. 11.8% b. 14.0% c. 12.5% d. 13.6%

13. Assume that you decide to invest in a portfolio of 80% equity index XXX and 20%
equity index YYY. The expected return and standard deviation of the equity index XXX are
8% and 16.21%, respectively. Those for the equity index YYY are 18% and 33.11%,
respectively. What is the expected return of the above portfolio, given the covariance of
returns between the two equity indices is 0.5%?

a. 13% b. 5% c. 10% d. 16%

14. An investor invests 40% of his wealth in a risky asset with an expected rate of return of
0.17 and a variance of 0.08 and 60% in a T-bill that pays 4.5%. His portfolio's expected
return and standard deviation are and , respectively.

a. 0.087; 0.068 b. 0.095; 0.113 c. 0.087; 0.124 d. 0.114; 0.126

15. Beta is a measure of:

a. diversifiable risk. b. industry risk.

c. systematic risk. d. company specific risk.

16. MSN stock has beta = 1.35, which of the following statements is true? Select one:

a. If the market portfolio is up 1%, the stock is up 1.35%

b. If the market portfolio is up 1%, the stock is down 1.35%

c. The price volatility of MSN is lower than VN Index

d. A and B

19. The risk-free rate is 6%. The expected market rate of return is 15%. If you expect a stock
with a beta of 0.8 to offer a rate of return of 11.40%, you should:

a. sell the stock because it is overpriced. b. buy the stock because it

is underpriced.

c. buy the stock because it is overpriced. d. sell the stock because it

is underpriced.

21. Tests of the semi-strong efficient market hypothesis (EMH) include:

a. Regression analysis

b. Testing stock price adjustment speed for company announcements

c. Testing the queuing line theory

d. Correlation test comparing stock returns with market returns

22. Proponents of the efficient market hypothesis (EMH) typically advocate:

a. an active trading strategy

b. investing in an index fund and a passive investment strategy

c. a passive investment strategy

d. investing in an index fund

23. In an efficient financial market, when negative news occurs, which of the
following is considered an investor overreacting to new information?

a. The price dropped sharply on the day the news appeared, then fell on the
following days

b. The price dropped sharply on the day the news appeared, then increased the
following days

c. The price increased sharply on the day the news appeared, then fell on the
following days
d. The price increased sharply on the day the news appeared, then increased the
following days

24. Consider the following statements: (I) Can not make profit in a strong-form efficient
market, (II) Market price is equal to fair price in a strong-form efficient market. Which
choice is correct?

a. Only I is correct b. Both I and II are wrong

c. Only II is correct d. Both I and II are correct

25. Studies of stock price reactions to specific significant economic events are called:

a. reaction studies and drift studies b. event studies

c. reaction studies d. drift studies

26. Which bond has the longest duration? Select one:

a. Bond of 30 years maturity, coupon rate 11%

b. Bond of 30 years maturity, coupon rate 6%

c. Bond of 28 years maturity, coupon rate 0%

d. Bond of 20 years maturity, coupon rate 13%

27. Ceteris paribus, the duration of a bond is negatively correlated with the bond's: a.

yield to maturity b. coupon rate and yield to maturity

c. time to maturity d. coupon rate

28. We have following bonds: A (coupon rate = 15%, maturity = 20 year, YTM = 10%), B
(coupon rate = 15%, maturity = 15 year, YTM = 10%), C (coupon rate = 0%, maturity =
20year, YTM = 10%), D (coupon rate = 8%, maturity = 20 year, YTM = 10%) and E
(coupon rate = 15%, maturity = 15 year, YTM = 15%). Sort in descending “Duration” order:
a. D > C > A > B > E (> means greater)

b. A > C > D > B > E (> means greater)

c. There is no correct answer

d. C > D > A > B > E (> means greater)

29. Which of the following is most accurate about a bond with positive convexity?

a. Price increases when interest rates drop are greater than price decreases when
interest rates rise by the same amount.

b. The direction of change in interest rates is directly related to the change in bond’s
price.

c. The speed of increasing and decreasing in bond price is faster than that in YTM.

d. Bond’s price declines when interest rates increase is more than its price
appreciation when interest rates decrease

30. The duration of a zero-coupon bond is:

a. Longer than the maturity of the bond.

b. Equal to the ratio between the maturity and yield to maturity of the bond.

c. Equal to the maturity of the bond

d. Equal to half of the maturity of the bond

31. Company X has announced the next dividend for its stock is 500 VND/stock. The
required rate of return is 12%, the growth rate of dividend is 8%/year. Assume that company
X follows a constant growth path forever. What is the fair price of the stock of company X?

a. 14,250 VND b. 12,500 VND c. 11,000 VND d. 16,670 VND

32. Which of the following investment funds simulates an index? Select one:

a. Growth investment fund b. Venture capital fund

c. ETF d. Value investment fund

33. When an exchange-traded fund that simulates the VN 30 index sees VNM's share price
continuously decreasing and HPG's price continuously increasing, what should this
investment fund do in its next portfolio restructuring period?

a. Increase the proportion of VNM and HPG

b. Increase the proportion of VNM and decrease HPG c.

Increase the proportion of HPG and decrease VNM

d. Decrease the proportion of VNM and HPG

35. WACC is the most appropriate discount rate to use when applying a … valuation
model?

a. P/E b. FCFE c. P/B d. FCFF

36. Suppose two portfolios have the same average return and the same standard deviation of
returns, but portfolio A has a higher beta than portfolio B. According to the Treynor
measure, the performance of portfolio A:

a. cannot be measured as there are no data on the alpha of the portfolio

b. is poorer than the performance of portfolio B

c. is the same as the performance of portfolio B

d. is better than the performance of portfolio B

37. Which of the following portfolio performance measures is compatible with the
CAPM? Select one:

a. Alpha Jensen b. Sharpe ratio

c. M-squared d. All of the options are correct

38. Suppose two portfolios have the same average return and the same standard deviation of
returns, but portfolio A has a higher beta than portfolio B. According to the Sharpe
measure, the performance of portfolio A:

a. is poorer than the performance of portfolio B

b. is better than the performance of portfolio B

c. is the same as the performance of portfolio B

d. cannot be measured as there are no data on the alpha of the portfolio

39. Which of the following statements is false about the “Sharpe ratio”: Select one:

a. “Sharpe ratio” is one of the popular portfolio management metrics today

b. “Sharpe ratio” is intended to measure the risk-adjusted rate of return of an

investment

c. “Sharpe ratio” is used to compare portfolio return with target return

d. A higher “Sharpe ratio” indicates a better risk-adjusted rate of return

40. Which of the following portfolio management performance measures is used to compare
portfolio returns with target returns?

a. Roy’s Safety-First b. Treynor ratio c. Sharpe ratio

d. Sortino

44. Other things equal, the utility score an investor assigns to a particular portfolio:

a. will decrease as the standard deviation decreases

b. will decrease as the rate of return increases

c. will increase as the variance increases

d. will increase as the rate of return increases

45. An investor invests 30% of his wealth in a risky asset with an expected rate of return of
0.15 and a variance of 0.04 and 70% in a T-bill that pays 6%. His portfolio's expected return
and standard deviation are ……… and ………, respectively.
a. 0.142; 0.15 b. 0.087; 0.06 c. 0.124; 0.22 d. 0.114; 0.12

46. Consider a T-bill with a rate of return of 5% and the following risky securities: Security
A has E(r) = 0.15, Variance = 0.04. Security B has E(r) = 0.10, Variance = 0.0225. Security
C has E(r) = 0.12, Variance = 0.01. Security D has E(r) = 0.13; Variance = 0.0625. From
which set of portfolios, formed with the T-bill and any one of the four risky securities, would
a risk-averse investor always choose his portfolio?

a. The set of portfolios formed with the T-bill and security C.

b. The set of portfolios formed with the T-bill and security B.

c. The set of portfolios formed with the T-bill and security A.

d. The set of portfolios formed with the T-bill and security D.

47. Suppose a particular investment earns an arithmetic return of 10% in year 1, 20% in
year 2, and 30% in year 3. The geometric average return for the period will be:

a. less than the arithmetic average return

b. It cannot be determined from the information given

c. greater than the arithmetic average return

d. equal to the arithmetic average return

49. The beta of the market portfolio is:

a. 1 b. 0 c. 0.5 d. 2

50. The risk-free rate is 7%. The expected market rate of return is 15%. If you expect a stock
with a beta of 1.3 to offer a rate of return of 12%, you should:

a. sell the stock because it is underpriced. b. buy the stock because it

is overpriced.

c. buy the stock because it is underpriced. d. sell the stock because it

is overpriced.
51. A stock has an expected rate of return of 0.10 and a beta of 1.1. The market expected
rate of return is 0.08, and the risk- free rate is 0.05. The alpha of the stock is:

a. 3.3% b. 2.7% c. 5.7% d. 1.7%

54. The efficient market assumption does not include:

a. Requires a large number of competitors to enter the market with the goal of
maximizing profits

b. New information about securities is published on the market randomly and

automatically

c. Investors always have flexible investment policies that are suitable for all
available information on the market

d. Investors have access to information at the same time.

55. The basic purpose of immunization is to Select one:

a. produce a zero net-interest-rate risk and offset price and reinvestment risk.

b. eliminate default risk.

c. produce a zero net-interest-rate risk.

d. eliminate default risk and produce a zero net-interest-rate risk.

57. Assume that interest rates increase, what is a duration of a 20-year zero-coupon bond?

a. Decreases b. Increases c. Remains unchanged

d. Increases then decreases

58. The disadvantages of passive investing strategies include:

a. Lack of flexibility

b. This investment strategy is often easier to implement than an active one, which
requires constant research and adjustment.

c. Suffering market risk and Lack of flexibility

d. Passive investment suffers market risk

59. The most appropriate discount rate to use when applying a FCFE valuation model is the:
Select one:

a. required rate of return on equity b. risk-free rate

c. WACC d. YTM

62. The market price of AT stock is 55,000 VND/stock. The company has just paid a
dividend of 1,320 VND /stock. Assume that the dividend has a constant growth rate of
7%/year. What should be the required rate of return of the AT stock given that the market
price is fair?

a. 8.69% b. 9.57% c. 9.4% d. 9.24%

63. Ceteris paribus, the duration of a bond is positively correlated with the bond's:

a. yield to maturity b. time to maturity

c. coupon rate d. None of the options are correct

64. Which of the following portfolio performance measures uses the standard deviation of
active return as a measure of risk rather than the standard deviation of the portfolio?

a. Sharpe ratio b. Roy’s Safety-First

c. Sortino d. Information ratio

66. The letter M in the SMART rule for building a portfolio is:

a. Money b. Motivational c. Measurable d.

Model

67. Which of the following market regulations will most likely impede market
efficiency? Select one:

a. All of the options are correct

b. Penalizing investors who trade with insider information

c. Allowing foreign investors trading

d. Restricting short sell

68. Which of the following statement is true regarding portfolio management?

a. The only purpose of portfolio management is to maximizing profits and does not
focus on risk

b. Portfolio management is an asset management service for clients

c. Portfolio management excludes life insurance contract management

d. Portfolio management is a service provided by a industrial company

69. Which of the following institutions will on average have the greatest need for
liquidity? Select one:

a. Financial leasing companies b. Life insurance companies.

c. Investment companies d. Banks

70. Which of the following variable is not used to measure the variance of a portfolio?
Select one:

a. Variance of each asset b. Allocation weight of the two

assets

c. Expected return of each asset d. Covariance of returns

between the two assets

71. Which of the following statements regarding risk-averse investors is true?

a. They are willing to accept lower returns and high risk.

b. They only care about the rate of return.

c. They accept investments that are fair games.

d. They only accept risky investments that offer risk premiums over the risk-free rate.
72. A year ago, you invested $1,000 in a savings account that pays an annual interest rate of
9%. What is your approximate annual real rate of return if the rate of inflation was 4% over
the year?

a. 5% b. 3% c. 10%
d. 7%

73. If the annual real rate of interest is 2.5% and the expected inflation rate is 3.7%, the
nominal rate of interest would be approximately

a. 3.7%. b. -1.2%. c. 6.2%. d. 2.5%.

74. There are three scenarios of the economy (Boom, Normal and Recession). The
probability of Boom is 30% and the HPR of KMP stock in this scenario is 18%. The
probability of Normal is 50% and the HPR in this scenario is 12%. The probability of
Recession is 20% and the HPR in this scenario is -5%. What is the expected standard
deviation for KMP stock?

a. 6.91% b. 7.79% c. 8.13% d. 7.25%

76. A completely diversified portfolio would have a correlation with the market portfolio
that is:

a. equal to one because it has only systematic risk.

b. equal to zero because it has only unsystematic risk.

c. less than one because it has only unsystematic risk.

d. less than zero because it has only systematic risk.

77. The capital market line (CML) uses…. as a risk measurement, whereas the capital asset
pricing model (CAPM) uses……

a. standard deviation; systematic risk b. beta; total risk

c. unsystematic risk; total risk d. standard deviation;

total risk
78. Recently you have received a tip that the stock of Bubbly Incorporated is going to rise
from $57 to $61 per share over the next year. You know that the annual return on the S&P
500 has been 9.25 percent and the 90-day T-bill rate has been yielding
3.75 percent per year over the past 10 years. If beta for Bubbly is 0.85, will you purchase the
stock?

a. No, because it is overvalued. b. Yes, because it is

undervalued.

c. No, because it is undervalued. d. Yes, because it is overvalued.

79. Portfolio X has 2 stocks: stock A (beta = 0.8, weight of 40% of assets), stock B (beta =
1.5, weight of 60% of assets), then beta of portfolio X is:

a. 1.35 b. 1.22 c. 1.50 d. 1.45

81. Holding other factors constant, the interest-rate risk of a coupon bond is higher when the
bond's: Select one:

a. coupon rate is higher b. term to maturity is lower

c. current yield is higher d. yield to maturity is lower

83. Which of the following is not an active bond management strategy? Select one:

a. Rate anticipation swap b. Intermarket spread swap

c. Substitution swap d. Bond laddering

84. At a discount rate of 7%, the bond's market price is $107.87, Modified Duration =
2.5661. If the market interest rate increases to 7.1%, ask the new price will be:

a. 108 USD b. 107.00 USD c. 107.59 USD

d. 107.32 USD

85. Which of the following statements is false about passive investing strategy?
a. Passive investment strategy offers better rate of return than active investment
strategy

b. Passive investing is an investment strategy to maximize returns by minimizing

buying and selling.

c. Passive investors do not seek to profit from short-term price movements or market
timing

d. Passive investment strategy helps traders to minimize the fees and limit the risks
that can occur with frequent trading

86. A firm has a return on equity (ROE) of 20% and follows a policy of paying 30% of
earnings in the form of dividends (a dividend-payout ratio = 30%). The firm's anticipated
growth rate of dividend is:

a. 20% b. 14% c. 10% d.

6%

87. Which of the following statements is true? Select one:

a. Active investment funds have a chance to beat the market

b. Passive funds are limited to a specific index or predefined set of investments with
little or no change.

c. All of the options are correct

d. Passive funds will never beat the market, even in turbulent times because that
investment is so closely tied to the market.

88. Which of the following performance measures is most appropriate for an investor who is
not fully diversified?

a. Sharpe ratio b. Jensen’s Alpha

c. All of the above are correct d. M-squared

89. A portfolio is a basket of assets that can include:

a. All of the options are true b. Stocks, bonds

c. Real estate, art d. Commodities, currencies

90. Investors should use a portfolio approach to:

a. Reduce risk b. Remove risk c. Eliminate risk d.

Increase risk

92. Which of the following statements about the correlation coefficient is FALSE?

a. The values range between -1 to +1.

b. A value of zero means that the returns are independent.

c. A value of -1 implies that the returns move in a completely opposite direction.

d. A value of +1 implies that the returns for the two stocks move together in a
completely linear manner

93. Assume that you decide to invest in a portfolio of 80% equity index XXX and 20%
equity index YYY. The expected return and standard deviation of the equity index XXX are
8% and 16.21%, respectively. Those for the equity index YYY are 18% and 33.11%,
respectively. Given the covariance of returns between the two equity indices is 0.5%, what is
the expected standard deviation of the above portfolio?

a. 42.6% b. 26.7% c. 15.1% d. 14.6%

94. Following the CAPM, we should ...... any security with an estimated return that plots….
the SML because it is

a. buy, above, overpriced b. sell, below, underpriced

c. buy, above, underpriced d. sell, above, underpriced

95. Which of the following is the implication of the efficient market hypothesis?

a. Stock price moves for no reason b. Price reflects

all available information

c. Stock price does not volatile d. Can predict accurately the

future events
96. The benefits of passive investing do not include:

a. Transparency: It's always clear which assets are in an index fund

b. This investment strategy is often more difficult to implement than an active

strategy that requires constant research and adjustment

c. Low fee

d. Tax efficiency

97. In Vietnam, securities investment portfolio management is an operation of:

a. Financial companies b. Banks c. Fund management companies

d. Securities companies

98. Investors with shorter time horizons generally favor ...... liquid and...................risky
investments because losses are harder to overcome in a short time frame

a. more, less b. less, less c. less, more d.

more, more

99. A 20-year-old investor tends to:

a. Use high leverage b. Invest in derivatives contracts

c. Invest in treasury bond d. Invest in treasury bill

101. The risk-free rate is 8%. The expected market rate of return is 15%. According to the
Capital Asset Pricing Model (CAPM), if you expect stock X with a beta of 1.2, this stock
offers a rate of return of ………

a. 17.50% b. 15.20% c. 14.90% d. 16.40%

101. Theoretically, the correlation coefficient between a completely diversified

portfolio and the market portfolio should be:

a. -1.0 b. +1.0 c. 0.0 d. +0.5

102. the correlation coefficient between market return and a risk-free asset
would:
d. be zero

103. Holding other factors constant, which one of the following bonds has the
smallest price volatility?

C. 5 year, 14% coupon bond

106. In an efficient financial market, when positive news appears, which of the
following is considered an investor overreacting to new information?

Select one:

a. The price rose sharply on the day of the news and then sideways the following days

b. The price increased sharply on the day the news appeared, then decreased the following
days

c. The price increased sharply on the day the news appeared, then continued to increase the
following days

d. The price dropped sharply on the day the news appeared, then fell on the following days

107. Company U has the required rate of return of 15%, the constant growth rate of 10%, the
payout ratio of 45%. What should be the expected P/E ratio for the stock of company U?

Select one:

a. 4.5 times

b. 10 times

c. 8.8 times

d. 9 times

108. Which of the following strategies seeks to increase the portfolio value by reinvesting
current income in addition to capital gains?
Select one:

a. return preservation

b. capital preservation

c. capital appreciation

d. total return

109. Which of the following is the best reason for an investor to be concerned with the
composition of a portfolio?

Select one:

a. Avoidance of financial crises b.

Risk reduction

c. Risk elimination

d. Hazard elimination

110. Comparing to the measure of risk for an individual asset, investors should understand
two more basic concepts in statistics to compute the standard deviation of returns for a
portfolio of assets – the measure of risk for a portfolio. The two concepts are ……… and
………

Select one:

a. Covariance and coefficient of variation

b. Coefficient of variation and Standard deviation

c. Correlation and beta

d. Covariance and correlation coefficient

111. You are given a two-asset portfolio with a fixed correlation coefficient. If the weights of
the two assets are varied, the expected portfolio return would be and the expected
portfolio standard deviation would be .
Select one:

a. linear, circular

b. nonlinear, circular

c. linear, elliptical

d. nonlinear, elliptical

112. In a two-stock portfolio, if the correlation coefficient between two stocks were to
decrease over time, everything else remaining constant, the portfolio's risk would:

Select one:

a. fluctuate positively and negatively.

b. decrease.

c. remain constant.

d. increase.

113. Assume an investor with the following utility function: U = E(r) - (3/2)σ^2. To
maximize her expected utility, she would choose the asset with an expected rate of return of
……… and a standard deviation of ………, respectively.

Select one:

a. 10%, 10%

b. 12%, 20%

c. 8%, 10%

d. 10%, 15%

114. Asset 1 has E(R1) = 0.12 and E(Standard Deviation) = 0.04. Asset 2 has E(R2)
= 0.16 and E(Standard Deviation) = 0.06. Calculate the expected return and expected
standard deviation of a two-stock portfolio when r1,2 = -0.60 and w1 = 0.75.
Select one:

a. 0.12 and 0.5585

b. 0.12 and 0.0585

c. 0.13 and 0.0455

d. 0.13 and 0.0024

115. The intercept of the best fit line formed by plotting the excess returns of a manager’s
portfolio on the excess returns of the market is best described as Jensen’s

Select one:

a. Alpha

b. Sigma

c. Beta

d. All of the above are wrong

116. The risk-free rate is 5%. The expected market rate of return is 15%. If you expect a
stock with a beta of 1.2 to offer a rate of return of 20%, you should:

Select one:

a. sell the stock because it is underpriced.

b. sell the stock because it is overpriced. c.

buy the stock because it is underpriced.

d. buy the stock because it is overpriced.

117. Proponents of the efficient market hypotheses (EMH) typically advocate:

Select one:

a. an active trading strategy

b. a passive investment strategy

c. investing in an index fund

d. investing in an index fund and a passive investment strategy

118. With respect to the efficient market hypothesis, if security prices reflect only past prices
then the market is:

Select one:

a. Semistrong-form efficient

b. Strong-form efficient

c. All of the above are wrong

d. Weak-form efficient

119. If you believe in the ……… form of the efficient market hypothesis, you believe that
stock prices reflect all relevant information, including historical stock prices and current
public information about the firm, but not information that is available only to insiders.

Select one:

a. strong

b. weak

c. semistrong

d. very weak

121. Important reasons for constructing an IPS:

Select one:

a. All of the above are correct

b. Protects the client against a portfolio manager’s inappropriate investments or unethical
behavior

c. It helps the investor decide on realistic investment goals after learning about the financial
markets and the risks of investing

d. It creates a standard by which to judge the performance of the portfolio manager

122. Comparing to the measure of risk for an individual asset, investors should understand
two more basic concepts in statistics to compute the standard deviation of returns for a
portfolio of assets – the measure of risk for a portfolio. The two concepts are ……… and
………

Select one:

a. Correlation and beta

b. Covariance and coefficient of variation

c. Coefficient of variation and Standard deviation d.

Covariance and correlation coefficient

123. Over the past year you earned a nominal rate of interest of 10% on your money. The
inflation rate was 5% over the same period. The real interest rate (based on the
approximation rule) was:

Select one:

a. 5.0%.

b. 2.8%.

c. 15.5%.

d. 10.0%.

124. There are three scenarios of the economy (Boom, Normal and Recession). The
probability of Boom is 30% and the HPR of KMP stock in this scenario is 18%. The
probability of Normal is 50% and the HPR in this scenario is 12%. The probability of
Recession is 20% and the HPR in this scenario is -5%. What is the expected holding-
period return for KMP stock?

Select one:

a. 11.54%

b. 9.32%

c. 10.40%

d. 11.63%

125. Firm CTD has a beta = 0.75, which of the following statements is true?

Select one:

a. CTD stock has higher volatility than VNIndex

b. If the market portfolio is up 1%, the stock is down 0.75%. c.

If the market portfolio is up 1%, the stock is up 0.75%.

d. If the market portfolio is down 1%, the stock is up 0.75%.

126. Which of the following statements is false about the Fama-French 3 factor
model?

Select one:

a. Fama-French 3 factor model adds 2 more factors, namely company size and book value to
market value into the CAPM model.

b. The Fama-French 3 factor model assumes that the return of an investment portfolio
depends on the market factor, firm size factor, and book-to-market factor.

c. The Fama-French 3 factor model still holds that a high rate of return is a reward for
high risk taking

d. Fama-French 3 factor model adds 2 more factors, namely liquidity ratio and book value
to market value into the CAPM model.
127. Your personal opinion is that a stock has an expected rate of return of 0.11. It has a
beta of 1.5. The risk-free rate is 0.05 and the market expected rate of return is
0.09. According to the Capital Asset Pricing Model, this security is:

Select one:

a. underpriced

b. Cannot be determined from data provided

c. overpriced

d. fairly priced

128. A substitution swap is an exchange of bonds undertaken to

Select one:

a. reduce the duration of a portfolio.

b. profit from apparent mispricing between two bonds.

c. extend the duration of a portfolio.

d. change the credit risk of a portfolio.

129. Which of the following is considered a passive management strategy?

Select one:

a. use of factor models

b. quantitative screens

c. sampling

d. sector rotation

130. Which of the following portfolio performance measures does not require
comparisons with other values?

Select one:
a. Alpha Jensen

b. Treynor

c. All of the above are false

d. Sharpe ratio

131. is an appropriate objective for investors who want their portfolio to grow in
real terms, i.e., exceed the rate of inflation.

Select one:

a. Portfolio growth

b. Capital appreciation

c. Value additivity

d. Capital preservation

132. An asset is liquid if it can be ...... converted to cash at a price close to ......
market value.

Select one:

a. slowly, lower

b. quickly, lower

c. slowly, fair

d. quickly, fair

133. Which of the following statement about the ascending level of risk of return
objectives are true?

Select one:

a. Capital appreciation > Current income > Capital preservation

b. Capital appreciation > Capital preservation > Current income

c. Current income > Capital preservation > Capital appreciation

d. Capital preservation > Current income > Capital appreciation

134. There are four following investments: A has E(r) = 10%, standard deviation (σ)
= 5%; B has E(r) = 21%, σ = 11%; C has E(r) = 18%, σ = 23%; D has E(r) = 24%, σ =
16%. According to the mean-variance criterion, which of the statements below is correct?

Select one:

a. Investment B dominates investment A.

b. Investment B dominates investment C.

c. Investment D dominates only investment B.

d. Investment D dominates all of the other investments.

135. Assume that you decide to invest in a portfolio of equity index XXX and equity index
YYY. The expected return and standard deviation of the equity index XXX are 8% and
16.21%, respectively. Those for the equity index YYY are 18% and 33.11%, respectively.
Given the covariance of returns between the two equity indices is 0.5%, what should be the
weight of the equity index XXX to get 12% of the expected return of the portfolio?

Select one:

a. 60%

b. 50%

c. 40%

d. 30%

136. Following the CAPM, we should ...... any security with an estimated return that
plots ...... the SML because it is ......

Select one:
a. buy, above, overpriced

b. sell, above, underpriced

c. sell, below, underpriced d.

buy, above, underpriced

137. Assume that you have 20 different stocks and want to draw the efficient frontier, how
many covariances do you need to calculate?

Select one:

a. 20

b. 200

c. 90

d. 190

1. A good portfolio is a collection of individually good assets

a. True
b. False --> Ko nên chỉ tập trung vào cổ phiếu tốt. danh mục tốt là danh mục có sigma nhỏ nhất
2. A basic assumption of the Markowitz model is that investors base decisions sloely on expected
return and risk
a. True
b. False
3. One of the assumptions of capital market theory is that investors can borror or lend at the risk
free rate
a. True
b. False
4. The correlation coefficient between the market return and a risk free asset would
a. Be + vô cùng
b. Be – vô cùng
c. Be +1
d. Be zero
5. Theoretically, the correlation coefficient between a completely diversified portfolio and the
market portfolio should be
a. -1.0
b. +1.0 Vì completely diversified portfolio chính là market portfolio. Danh mục của chính nó
thì bằng 1. Tương quan dương hoàn hảo
c. 0.0
d. +0.5
6. The CML uses … as a risk measurement, whereas the CAPM uses …
 Standard deviation ; systematic risk
7. Calculate the expected return for B services which has a beta of 0.83 when the risk free rate is
0.05 and you expected the market return to be 0.12
 10.82%
8. A way to distinguish between these strategies is to decompose the total actual return that the
portfolio manager attempts to produce
a. True. Vì công thức total actual return = passive + alpha
 b. False
9. Active portfolio managers just try to capture the expected return consistent with the risk level of
their portfolios
a. True
b. False --> Active cố gắng thu hoạch LN kỳ vọng phù hợp với rủi ro. Rủi ro bao nhiêu tương
ứng với LN bao nhiêu là của passive. LN lớn hơn rủi ro chịu đựng --> thua lỗ của bạn lớn
hơn thua lỗ của thị trường --> active --> LN khác rủi ro
10. Passive portfolio managers attempt to “beat the market” by forming portfolios capable of
producing actual returns that exceed risk-adjusted expected returns
a. True
b. False --> Vì đây là định nghĩa của active
11. The goal of a passive portfolio is to track the index as closely as possible
a. True
b. False
12. Which of the following is considered a passive management strategy?
a. Sector rotation
b. Use of factor models
c. Quantitative screens
d. Sampling (type of passive) còn lại của active
13. Value stock would have the following characteristics
a. Low price/book, high price/earnings
b. Low price/book, low price/earnings (cp giá trị)
c. High EPS growth, high profitability
d. Low EPS growth, high profitability
14. High P/E ratio tend to indicate that a company will …, ceteris paribus
a. Growth quickly
15. Since 1955, Treasury bond yields and earnings yields on stocks were _______.
A. identical
B. negatively correlated
C. positively correlated
D. uncorrelated
16. Historically, P/E ratios have tended to be ________.
A. higher when inflation has been high
B. lower when inflation has been high
C. uncorrelated with inflation rates but correlated with other macroeconomic variables
D. uncorrelated with any macroeconomic variables including inflation rates
E. None of these is correct
P/E ratios have tended to be lower when inflation has been high, reflecting the market's assessment that
earnings in these periods are of "lower quality", i.e., artificially distorted by inflation, and warranting
lower P/E ratios.
16.