Quant 1.11 Test

Q. Which of the following characteristics of an investment study most likely indicates time-period bias?

• A. The study is based on a short time-series.
• B. Information not available on the test date is used.
• C. A structural change occurred prior to the start of the study’s time series.

None

• A. $30,432 .
• B. $30,447 .
• C. $31,677 .

None

• A. 34.51.
• B. 100.49.
• C. 102.98.

The minimum rate of return an investor must receive in order to accept an investment is best described as the:

• A. internal rate of return.
• B. required rate of return.
• C. expected return.

Which statement is most accurate when considering a multivariate normal distribution for the returns on 10 stocks from different sectors? There are:

• A. 45 distinct correlations not equal to one.
• B. 90 distinct correlations not equal to one.
• C. 100 distinct correlations.

None

• A. The probability that the value of X will be equal to 4 is 0.90
• B. The probability that the value of X will be less than or equal to 5 but greater than 2 is 0.75.
• C. The random variable X is continuous.

Survivorship bias is most likely an example of which bias?

• A. Sample selection
• B. Data mining
• C. Look-ahead

None

• A. 37.50%.
• B. 56.25%.
• C. 18.75%.

Q. A stock is priced at $100.00 and follows a one-period binomial process with an up move that equals 1.05 and a down move that equals 0.97. If 1 million Bernoulli trials are conducted and the average terminal stock price is $102.00, the probability of an up move (p) is closest to:

• A. 0.375.
• B. 0.500.
• C. 0.625.

Q. Data values that are categorical and not amenable to being organized in a logical order are most likely to be characterized as:

• A. ordinal data.
• B. discrete data.
• C. nominal data.