"Equity Investments":investment strategies

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Questions 1:

The following table shows information on three different investment strategies with equivalent systematic risk:

		Annualized Data
Strategy	Type of Strategy	Fees and Expenses	Net Return
1	Passive	0%	15%
2	Exploits price patterns	1%	14%
3	Uses fundamental analysis	2%

The return, gross of fees and expenses that causes Strategy 3 to be most consistent with the strong form of market efficiency is:

A. 16%.

B. 18%.

C. 17%.

Questions 2:

The voting rights of an unsponsored depository receipt (DR) belong to the:

A. direct owners of the foreign common shares.

B. foreign company whose shares are held by the depository.

C. depository bank.

View answer resolution

【Answer to question 1】（C）

【analysis】

For a violation of the strong form of market efficiency to occur, the strategy based on fundamental analysis must achieve a net return higher than the net return of the passive strategy, on a riskadjusted basis. This threshold corresponds to 15% because both strategies had the same systematic risk and the passive strategy has no fees or expenses. To find the gross return on the strategy that uses fundamental analysis, the fees and expenses must be added to the net return: Gross return = Net return + Fees and expenses = 15% + 2% = 17%. Anything in excess of 17% would violate the strong form of market efficiency for the fundamental analysis strategy.

【Answer to question 2】（C）

【analysis】

In the case of unsponsored DRs, the depository bank, not the investors in the DR, retains the voting rights.

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