BLOOMBERG MARKET CONCEPTS
PORTFOLIO MANAGEMENT
Actual Examination 2026
50 Questions | 100 Points | Calculator Permitted
Instructions: This examination consists of 50 questions across 5 sections. Select the best answer for each multiple-choice
question or provide a numerical answer for grid-in questions. All correct answers and detailed rationales are provided in
the Answer Key section following the examination.
Section Domain Questions Points
I Portfolio Theory & Risk- 1 – 10 20
Return
II Risk Management & 11 – 20 20
Metrics
III Asset Classes & Allocation 21 – 30 20
IV Portfolio Construction & 31 – 40 20
Performance
V Behavioral Finance & 41 – 50 20
Bloomberg Tools
TOTAL 50 100
Section I: Portfolio Theory & Risk-Return (Questions 1–10)
1. According to Modern Portfolio Theory (MPT) as developed by Harry Markowitz, what is the primary
benefit of diversification?
2. On the Efficient Frontier, which of the following statements is most accurate?
3. In the Capital Asset Pricing Model (CAPM), the formula E(Ri) = Rf + βi[E(Rm) – Rf] implies that an asset
with a beta of 1.0 should have an expected return equal to:
4. What does a positive Jensen's Alpha indicate about a portfolio manager's performance?
5. The Sharpe Ratio is calculated as (Rp – Rf) / σp. If Portfolio A has a Sharpe ratio of 1.2 and Portfolio B has
a Sharpe ratio of 0.8, which interpretation is correct?
1
,6. If a stock has a beta (β) of 1.5, the risk-free rate is 2%, and the expected market return is 10%, what is the
CAPM expected return for this stock?
A) 12% B) 14%
C) 17% D) 15%
7. The Capital Market Line (CML) differs from the Security Market Line (SML) in that the CML:
8. Which of the following best describes the concept of the Capital Allocation Line (CAL)?
9. An asset with a beta less than 1.0 is best characterized as:
10. [Grid-in] A portfolio has an expected return of 12%, a standard deviation of 15%, and the risk-free rate is
3%. What is the Sharpe Ratio of this portfolio? (Express your answer to two decimal places.)
2
, Section II: Risk Management & Metrics (Questions 11–20)
11. Value at Risk (VaR) at the 95% confidence level over a 1-day horizon indicates that:
12. Conditional Value at Risk (CVaR), also known as Expected Shortfall, is best described as:
13. Maximum Drawdown measures:
14. The Sortino Ratio differs from the Sharpe Ratio in that it:
15. Which risk measure evaluates portfolio performance relative to systematic risk by dividing excess return
by beta?
A) Sharpe Ratio B) Sortino Ratio
C) Treynor Ratio D) Information Ratio
16. Tracking Error, also known as active risk, is defined as:
17. The Information Ratio equals:
18. Monte Carlo Simulation for risk modeling involves:
19. Parametric VaR (Variance-Covariance Method) assumes that:
20. [Grid-in] A portfolio has an annual return of 15%, its benchmark returned 12%, and the tracking error is
4%. What is the Information Ratio? (Express your answer to two decimal places.)
3
PORTFOLIO MANAGEMENT
Actual Examination 2026
50 Questions | 100 Points | Calculator Permitted
Instructions: This examination consists of 50 questions across 5 sections. Select the best answer for each multiple-choice
question or provide a numerical answer for grid-in questions. All correct answers and detailed rationales are provided in
the Answer Key section following the examination.
Section Domain Questions Points
I Portfolio Theory & Risk- 1 – 10 20
Return
II Risk Management & 11 – 20 20
Metrics
III Asset Classes & Allocation 21 – 30 20
IV Portfolio Construction & 31 – 40 20
Performance
V Behavioral Finance & 41 – 50 20
Bloomberg Tools
TOTAL 50 100
Section I: Portfolio Theory & Risk-Return (Questions 1–10)
1. According to Modern Portfolio Theory (MPT) as developed by Harry Markowitz, what is the primary
benefit of diversification?
2. On the Efficient Frontier, which of the following statements is most accurate?
3. In the Capital Asset Pricing Model (CAPM), the formula E(Ri) = Rf + βi[E(Rm) – Rf] implies that an asset
with a beta of 1.0 should have an expected return equal to:
4. What does a positive Jensen's Alpha indicate about a portfolio manager's performance?
5. The Sharpe Ratio is calculated as (Rp – Rf) / σp. If Portfolio A has a Sharpe ratio of 1.2 and Portfolio B has
a Sharpe ratio of 0.8, which interpretation is correct?
1
,6. If a stock has a beta (β) of 1.5, the risk-free rate is 2%, and the expected market return is 10%, what is the
CAPM expected return for this stock?
A) 12% B) 14%
C) 17% D) 15%
7. The Capital Market Line (CML) differs from the Security Market Line (SML) in that the CML:
8. Which of the following best describes the concept of the Capital Allocation Line (CAL)?
9. An asset with a beta less than 1.0 is best characterized as:
10. [Grid-in] A portfolio has an expected return of 12%, a standard deviation of 15%, and the risk-free rate is
3%. What is the Sharpe Ratio of this portfolio? (Express your answer to two decimal places.)
2
, Section II: Risk Management & Metrics (Questions 11–20)
11. Value at Risk (VaR) at the 95% confidence level over a 1-day horizon indicates that:
12. Conditional Value at Risk (CVaR), also known as Expected Shortfall, is best described as:
13. Maximum Drawdown measures:
14. The Sortino Ratio differs from the Sharpe Ratio in that it:
15. Which risk measure evaluates portfolio performance relative to systematic risk by dividing excess return
by beta?
A) Sharpe Ratio B) Sortino Ratio
C) Treynor Ratio D) Information Ratio
16. Tracking Error, also known as active risk, is defined as:
17. The Information Ratio equals:
18. Monte Carlo Simulation for risk modeling involves:
19. Parametric VaR (Variance-Covariance Method) assumes that:
20. [Grid-in] A portfolio has an annual return of 15%, its benchmark returned 12%, and the tracking error is
4%. What is the Information Ratio? (Express your answer to two decimal places.)
3
