FIN 443 Winter 2018 Midterm 1 PDF

FIN 443 | Winter 2018 | Midterm 1 Name:_____________________ Student ID#:________________ You will have the next 60 minutes to complete this exam. You will be entitled to a basic calculator (no graphing), notecard and scratch paper. Please have the scantron filled in as expected. At the end of the...

FIN 443 | Winter 2018 | Midterm 1 Name:_____________________ Student ID#:________________ You will have the next 60 minutes to complete this exam. You will be entitled to a basic calculator (no graphing), notecard and scratch paper. Please have the scantron filled in as expected. At the end of the exam, please return this exam, scratch paper and your scantron to your proctor. This portion of the exam is worth 100 pts or 2/3 of the total points available for the midterm. You will then have the next 24 hours to take the online portion of the exam on Canvas. Using the follow data, please answer questions 1-5. Dow Jones S&P500 Nasdaq Nikkei 225 Average Monthly Return 0.90% 1.20% 2.15% 1.07% Average Monthly Standard Deviation 1.50% 2.30% 2.80% 3.10% Confidence Interval 99% 95% 90% 85% Normsinv() 2.33 1.64 1.28 1.04 1 YR JGB 0.50% 1 YR HIBOR 0.75% 1 Mon Treasury 0.20% 1 Yr Treasury 1.25% 1) What is the Annualized Return of the Nasdaq a) 15.39% b) 29.08% c) 26.32% d) 9.70% 2) What is the Annualized Standard Deviation of the Dow Jones a) 5.20% b) 7.97% c) 19.56% d) 26.32% FIN 443 | Winter 2018 | Midterm 1 3) Calculate the Sharpe Ratio of the Nikkei 225 a).1839 b).5698 c) 1.2221 d) 2.3041 4) What is the annualized VaR of the S&P500 at the 90% confidence interval? a) 18.54% b) 13.11% c) 10.21% d) 8.26% 5) Based on efficiency, what index would you rather invest in, Nikkei or S&P? a) Nikkei 225 b) S&P 500 c) Both equally d) Dow Jones? 6) A stock is an analog of which of the following? a) Annuity b) Perpetuity c) Congruity d) Derivative 7) Which of these are a step in the IPO process? a) A private company acquires a public company in order to list on a public exchange via induction b) Allocation of company shares are via a lottery process to participating investors c) Exchanges bid and waive fees for the right to win a company’s listing d) Investment bank props shares by overallocation and purchasing them back in the market FIN 443 | Winter 2018 | Midterm 1 8) Which is not part of the process in shorting a stock? a) Brokerage and investment bank borrow securities from depositors as their right for acting as custodian b) Brokerage/investment banks lend the securities to clients c) Clients pay borrow fee to obtain the securities and sell them in to the market d) Borrower repurchases securities at market rate and returns the number of shares back to the brokerage/investment bank 9) Which of these is not a typical revenue stream for an investment bank a) Advising corporate actions b) Proprietary Trading c) Regulatory licensing d) Fund Services 10) What is the graphical interpretation of alpha? a) It is the independent variable (x) b) It is the dependent variable (y) c) It is the slope (m) d) It is the intercept (b) 11) If your portfolio had a beta of -2.4 and the market moved -3.2%, how much would you predict your portfolio to move? a) 3.2% b) -7.68% c) 7.68% d) 2.4% 12) Which of the following is the correct command to calculate the variance of an array of data in excel? a) STDEV() b) STDEV.P() c) VAR() d) VAR.P() FIN 443 | Winter 2018 | Midterm 1 13) Use the following trade date to calculate VWAP: Trades Time Price Shares 1 11:05 AM 14.01 1000 2 1:13 PM 16.74 2200 3 2:33 PM 17.11 400 4 3:57 PM 13.52 1900 a) 16.74 b) 15.375 c) 15.345 d) 15.158 14) What is the definition of maximum drawdown? a) The longest streak of continuous negative performance days b) The distance from the highest peak to the subsequent lowest trough c) The negative performance from the lowest trough to the previous lowest trough d) The distance from the lowest trough to subsequent highest peak 15) Which one of these statements about VaR is true? a) Is calculated assuming a normal probability distribution b) Is a measure of maximal risk in a portfolio c) A method to predict portfolio returns d) Assigns probability to achieving maximum drawdown 16) Which of the following is not a derivative? a) Options b) Bitcoin c) Bitcoin Futures d) Swaps FIN 443 | Winter 2018 | Midterm 1 17) What does ADR stand for? a) Alternative Domestic Record b) American Depository Receipt c) Asset Diversification Retainer d) Accumulated Depreciation Record 18) Which stage of the investment cycle for private companies is a Venture Capital Fund least likely to participate: a) Seed Stage b) Growth Stage c) Mezzanine Stage d) Exit Stage 19) Which of the following is not an advantage of an IPO as opposed to alternative capital raising methods: a) Allows for a liquid exit for existing investors b) Commands higher valuations than alternative methods c) Can handle larger capacity capital raises d) Allows for less regulatory oversight 20) What type of investment strategy does Vista Capital Partners employ? a) Passive b) Semi-Active c) Active d) Hedge Fund