Question 1

Regime-switching models for strategic asset allocation:

Options :

A : Fail to capture fat tails and skewness

B : Are based on historical data rather than forward-looking data

C : Have the potential to capture dramatic shifts in the investment environment

Answer: C

Question 2

Which of the following has the long-term goal to keep the increase in global average temperature to well below 2°C (3.6°F) above pre-industnal levels?

Options :

A : The Kyoto Protocol

B : The Paris Agreement

C : The UN Framework Convention on Climate Change

Answer: B

Question 3

The Task Force on Climate-related Financial Disclosures (TCFD) recommends measuring carbon exposure on a:

Options :

A : per asset basis.

B : per company basis.

C : portfolio-weighted basis.

Answer: C

Question 4

Will including additional ESG constraints in a portfolio optimization model most likely affect tracking error?

Options :

A : No

B : Yes, it will reduce tracking error

C : Yes, it will increase tracking error

Answer: C

Question 5

ESG factors impacting balance sheet strength rather than growth opportunities are most material to:

Options :

A : Equity investors

B : Sovereign debt investors

C : Corporate bond investors

Answer: C