12. Based on the data provided in Exhibit 3, which portfolio is likely to be the most diversified?
A. Portfolio 2.
B. Portfolio 3.
C. Portfolio 1.
The following information relates to question 13.
Bilal Ahmed, a senior portfolio manager at SLIC Investments is an active manager who
constructs the portfolio by overweighting sectors he believes will outperform the market. Ahmed
uses a macroeconomic factor model to evaluate sector sensitivity to macro factors. SLIC is
confident about its macro forecasting and assumes no error in the forecast.
During a meeting with the chief investment officer of the Aero Corporation’s employees’
pension fund, Ahmed shows SLIC's macro and micro forecasts (in Exhibit 1) for the technology
sector, which he prepared to help explain the firm's investment process.
Exhibit 1
SLIC’s Macro Forecasts
Sensitivity to
GDP Surprise
Inflation Surprise
Sector Security
0.10
Technology ATEL Networks
0.30
0.20
Zstr Semiconductor
0.00
Risk-free rate 4.0%
SLIC’s Micro Forecasts
Beta Expected Return
ATEL Networks 1.20 15%
Zstr Semiconductor 1.30 18%
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