"Portfolio Management":Tax risk

来源: 正保会计网校编辑：小鞠橘桔 2020/11/02 09:09:59　字体：大小

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Questions 1:

A portfolio manager generated a rate of return of 15.5% on a portfolio with beta of 1.2. If the risk-free rate of return is 2.5% and the market return is 11.8%, Jensen’s alpha for the portfolio is closest to:

A、 1.84%.

B 、4.34%.

C 、3.70%.

Questions 2:

A portfolio engages in an investment strategy that relies on a particular element of the tax code to produce superior after-tax returns for high-net-worth individuals. Because of this strategy, the portfolio most likely faces a high level of:

A、 compliance risk.

B 、model risk.

C、 legal risk.

View answer resolution

【Answer to question 1】A

【analysis】

A is correct.

Portfolio Management:Tax risk

B is incorrect. Alpha is calculated as 0.155 – [1.2 × (0.118 – 0.025)] = 0.0434.

C is incorrect. Alpha is calculated as 0.155 – [0.025 + (0.118 – 0.025)] = 0.037

【Answer to question 2】A

【analysis】

A is correct. Tax risk, the risk that the tax code could change, along with regulatory and accounting risks together form compliance risk. Legal risk is the risk of being sued or the risk that a court will not uphold an agreement. Model risk is the risk of using the wrong model for analysis or the risk of using the right model incorrectly.

B is incorrect because model risk is the risk of using the wrong model for analysis or the risk of using the right model incorrectly.

C is incorrect because legal risk is the risk of being sued or the risk that a court will not uphold an agreement.

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