THE AUSTRALIAN NATIONAL UNIVERSITY
RESEARCH SCHOOL OF FINANCE, ACTUARIAL STUDIES
AND APPLIED STATISTICS
INVESTMENTS
(FINM2003)
Final Examination
Semester 1, 2012
Writing period: 3 hours duration
Study period: 15 minutes duration
Permitted materials:
Calcu

FINM2003 Investments
Workshop 1
Prior exam example solution
Question 1
a)
i. Calculate your return over the next year, for each of the scenarios provided in the table, and
the resulting margin. Assume that the only possible source of returns is through st

FINM2003 Investments
Semester 2, 2015
Tutorial 4
Additional Questions (from 2014 mid-semester exam)
1.
You have been provided with the following information for three stocks:
Cyrus Ltd
Darius Ltd
Xerxes Ltd
2.
0.8
1.0
1.2
E(Ri)
10%
12%
14%
(ei)
25%
10%
20

FINM2003 Investments
Workshop 6
The following question in drawn from the Semester 1, 2015 final exam:
a) Discuss the three forms of market efficiency. Include in your discussion the information
sets involved in each form and the relationships across infor

Lecture 13:
For the remainder of the lecture, we will review the
concepts covered in FINM2003, followed by a brief
discussion on what to expect for the final examination.
2
We commenced the course by recognising that an
investment involves an entity:
Dir

TUTORIAL 9: ACTIVE INVESTMENT II MACRO AND INDUSTRY
REFERENCE: CHAPTER 12 (also Ch3, 4, 10)
Questions: 3.11, 4.15, 4.16, 12.8, 12.24
CS9: Briefly describe the 4 market crashes outlined in L9. Do you believe crashes be
explained or are they evidence of mar

TUTORIAL 12: PORTFOLIO MANAGEMENT
REFERENCE: CHAPTERS 19 and 20
Questions: 19.22, 19.25, 19.26, 20.11, 20.12, 20.13
AQ12 What has been the evidence on the performance of managed funds? Does this
evidence differ for active funds and is this performance inf

TUTORIAL 11: DERIVATIVE INSTRUMENTS
REFERENCE: CHAPTERS 15, 16 and 19
Questions: 15.17, 15.23, 16.22
CS11a: Compare the major types of managed fund products available to investors.
CS11b: Outline the active and passive approaches to asset allocation and s

TUTORIAL 12: PORTFOLIO MANAGEMENT
REFERENCE: CHAPTERS 19 and 20
Questions: 19.22, 19.25, 19.26, 20.11, 20.12, 20.13
AQ12 What has been the evidence on the performance of managed funds? Does this
evidence differ for active funds and is this performance inf

TUTORIAL 10: ACTIVE INVESTMENT III TECHNICAL AND
FUNDAMENTAL ANALYSIS
REFERENCE: CHAPTERS 13 and 14
Questions: 13.20, 13.21, 13.23, 13.24, 14.20, CS10
Q13.20
An indicator of the direction of the aggregate market is the upside-downside ratio which
is given

TUTORIAL 11: DERIVATIVE INSTRUMENTS
REFERENCE: CHAPTERS 15, 16 and 19
Questions: 15.17, 15.23, 16.22
AQ11a: Compare the major types of managed fund products available to investors.
AQ11b: Outline the active and passive approaches to asset allocation and s

TUTORIAL 8: ACTIVE INVESTMENT I VALUATION
REFERENCE: CHAPTER 11
Questions: 11.1, 11.9, 11.12, 11.16, 11.19, 11.22, 11.25
11.1 This question expands on the issue of valuation that we presented in L1. The price of
a security is the current price someone wou

FINM2003 Investments: Mid-Semester Examination, Semester 1, 2015
Question 1 (14 marks)
a) You have been researching Megalo Ltd for some time, and are feeling bullish about
its future returns. In fact, you believe that the stock price, which is currently $

Tutorial 2 Suggested Solutions
Chapter 5: 5, 8, 12, 14, CFA 2-5
5.
8.
a.
If businesses reduce their capital spending, then they are likely to decrease their
demand for funds. This will shift the demand curve in Figure 5.1 to the left and
reduce the equili

Tutorial 6
Chapter 10: 2, 4, 5
Chapter 13: 3, 4, 5, 6
Chapter 10
2.
The APT factors must correlate with major sources of uncertainty, i.e., sources of
uncertainty that are of concern to many investors. Researchers should investigate
factors that correlate

FINM2003 Investments
Workshop 7
Additional Examples (drawn from the text)
Chapter 14: 4, 9, 15
Chapter 15: 10, 13
Chapter 14
4.
A bonds coupon interest payments and principal repayment are not affected by changes in
market rates. Consequently, if market r

FINM2003 Mid-Semester Exam Suggested Solutions
Semester 2, 2014
Note: These are suggested solutions only. Alternate methods not necessarily detailed
here were allocated marks as appropriate
Question 1. (12 Marks)
a)
In class, we discussed FOUR different t

FINM2003 Mid-Semester Exam Suggested Solutions
Note: These are suggested solutions only. Alternate methods not necessarily detailed here were
allocated marks as appropriate
Question 1
a) Calculate your return over the next year, for each of the scenarios

FINM2003 Investments
Final Exam Information
The exam will be held on Thursday, 9 June 2016
(Specific time and location details are available on the timetabling website)
Value: Out of 60 marks, and worth 60% of assessment
Duration: 3 hours (15 mins study t

Workshop 8
Examples drawn from a prior final examination
a)
You are the manager of a fund that has an obligation to pay $10,000 in 3 years, $8,500 in
each of the following two years, and $17,000 in 6 years. You would like to ensure you
have the capacity t

Tutorial 4
Chapter 8: 1, 6, 7, 8, 9, 10
Chapter 8
6.
a.
The standard deviation of each individual stock is given by:
i [ i2 M2 2 (ei )]1 / 2
Since A = 0.8, B = 1.2, (eA ) = 30%, (eB ) = 40%, and M = 22%, we get:
A = (0.82 222 + 302 )1/2 = 34.78%
b.
B = (

FIND/12003 INVESTMENTS: Final Exam, Semester 1, 2015
Question 2 (14 marks)
a)
b)
Positive Momentum Capital (PMC), a funds management firm which has been
operating for 5 years, wishes to evaluate the performance of its team of highly
skilled managers. The

THE AUSTRALIAN NATIONAL UNIVERSITY
RESEACH SCHOOL OF FINANCE, ACTUARIAL STUDIES
AND APPLIED STATISTICS
First Semester Examination 2015
INVESTMENTS
(FINM2003)
Writing Period: 3 hours
Study Period: 15 minutes
Permitted Material: Non-Programmable Calculator

THE AUSTRALIAN NATIONAL UNIVERSITY
RESEACH SCHOOL OF FINANCE, ACTUARIAL STUDIES
AND APPLIED STATISTICS
First Semester 2015
Mid-Semester Examination
INVESTMENTS
(FINM2003)
Writing Period: 90 minutes
Study Period: 10 minutes
Permitted Material: Non-Programm

RESEARCH SCHOOL OF FINANCE, ACTUARIAL STUDIES AND
APPLIED STATISTICS
Second Semester 2014
Mid-Semester Examination
FINM2003 INVESTMENTS
Study period : 10 Minutes duration
Writing period : 90 Minutes duration
Permitted materials:
Non-programmable calculato

FINM2003 Investments
Workshop 5
1. List and discuss the assumptions of the CAPM
2. Discuss the advantages of the multifactor APT over the single factor APT and the CAPM.
What is one shortcoming of the multifactor APT?
3. Security A has a beta of 1.0 and a