Long Term Securities Paper 5

1

Contango futures markets are said to have an upward sloping price curve. What can explain the shape of the price curve?






2

What is NOT a distinguishing characteristic of the Mount Lucas Management Commodity Index (vis-à-vis the other commodity indices)?






3

How does adding a commodity index to a portfolio of stocks and bonds change the efficient frontier?






4

What is the typical fee arrangement paid to Commodity Trading Advisors (CTAs)?





5

What does the evidence from an empirical analysis of indices show with respect to adding managed futures to a portfolio of stocks and bonds?






6

The domestic one year risk free interest rate is 10%, the current spot exchange rate with a particular foreign currency is 1.00, and a one year futures contract on the foreign currency has a price of 1.05 domestic units per unit of foreign currency. Assuming continuous compounding, which of the following rates is closest to the one year risk free interest rate in the foreign currency?






7

What has empirical analysis of efficiency frontiers (including US stocks and bonds) with an allocation of 10% to commodity futures and of correlations between assets indicated in hostile markets?






8

Which of the following investment securities held by Zoogle Inc. may be classified as held-to-maturity securities in its balance sheet?






9

Both fair values and subsequent growth of the investee are not as relevant for investments in which of the following categories?






10

Which category completely excludes equity securities?






Result

Total Questions:
Correct Answers:
Wrong Answers:
Percentage: