Contango futures markets are said to have an upward sloping price curve. What can
explain the shape of the price curve?
Detailed Answer
D
2
What is NOT a distinguishing characteristic of the Mount Lucas Management
Commodity Index (vis-Ã -vis the other commodity indices)?
Detailed Answer
B
3
How does adding a commodity index to a portfolio of stocks and bonds change the
efficient frontier?
Detailed Answer
C
4
What is the typical fee arrangement paid to Commodity Trading Advisors (CTAs)?
Detailed Answer
A
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?
Detailed Answer
D
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?
Detailed Answer
A
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?
Detailed Answer
B
8
Which of the following investment securities held by Zoogle Inc. may be classified as held-to-maturity securities in its balance sheet?
Detailed Answer
Correct answer: (A)
9
Both fair values and subsequent growth of the investee are not as relevant for investments in which of the following categories?
Detailed Answer
Correct answer: (C)
Held-to-maturity securities.
10
Which category completely excludes equity securities?