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"Equity Investments":Securities market index
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Questions 1:
Security market indexes can be used to calculate alphas, which are best described as:
A 、the systematic risk of a security, using the index as a proxy for the entire market.
B、 a measure of market sentiment.
C、 the difference between the return of the actively managed portfolio and the return of the passive portfolio.
Questions 2:
A market index has the following information:
By the end of Quarter 3, which of the following statements is most accurate?
A 、The value of the price return index is 998.1.
B 、The value of the total return index is below 1,000.
C、 The price return is 1.26%.
View answer resolution
【Answer to question 1】C
【analysis】
C is correct. Security market indexes serve as market proxies when measuring risk-adjusted performance. Alpha, the difference between the return of the actively managed portfolio and the return of the passive portfolio, is a measure of risk-adjusted return.
A is incorrect. Beta, not alpha, measures the amount of systematic risk.
B is incorrect. The collective opinion of market participants indicates sentiment whereas alpha is a measure of risk-adjusted return
【Answer to question 2】A
【analysis】
A is correct. The value of the price return index is 998.1. The value calculations for the price return index and the total return index are based on the geometrical link of the respective series of index returns as follows:
B is incorrect because the value of the total return index at the end of Q3 is 1,012.61 which is above 1,000 (as per calculation above).
C is incorrect because by the end of Q3, the total return is 1.26% whereas the price return is (0.2%) (as per calculation above).
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