GIVEN O’REILLY’S FORECASTS FOR THE EUROPEAN MARKET, THE EXPECTED L...

30. Given O’Reilly’s forecasts for the European market, the expected long-term equity return using the Grinold-Kroner model is closest to: A. 6.35%. B. 7.35%. C. 8.35%. By accessing this mock exam, you agree to the following terms of use: This mock exam is provided to currently-registered CFA candidates. Candidates may view and print the exam for personal exam preparation only. The following activities are strictly prohibited and may result in disciplinary and/or legal action: accessing or permitting access by anyone other than currently-registered CFA candidates; copying, posting to any website, emailing, distributing and/or reprinting the mock exam for any purpose. Aina Monts Case Scenario Aina Monts, CFA, is a fixed income portfolio manager at Girona Advisors. She has been awarded the management of a €150 million portfolio for Fondo de Pensiones Lerida, a pension fund based in Barcelona, Spain. The previous manager was fired for underperforming the benchmark by more than 100 basis points in each of the last three years. Lerida’s primary objective is to immunize its liabilities, which have a duration of 4.40 years, while achieving a total rate of return in excess of the Barclays Capital U.S. Aggregate Bond Index. The benchmark’s duration is currently 4.42 years. At Girona’s portfolio review meeting, Monts makes the following statement: Statement 1: “We will invest the €150 million in a multi-sector portfolio with a yield-to-maturity of