Question 1

Suppose the risk-free return is 6%.The beta of a managed portfolio is 1.5, the alpha is 3%, and the average return is 18%.Based on Jensen's measure of portfolio performance, you would calculate the return on the market portfolio as

Accepted Answer

A)  12%.
B)  14%.
C)  15%.
D)  16%.E) All of the above
F) A) and D)

Question 2

The geometric average rate of return is based on

Accepted Answer

A)  the market's volatility.
B)  the concept of expected return.
C)  the standard deviation of returns.
D)  the CAPM.
E)  the principle of compounding.F) A) and E)
G) C) and D)

Question 3

In a particular year, Aggie Mutual Fund earned a return of 15% by making the following investments in the following asset classes:  The return on a bogey portfolio was 10%, calculated as follows:  The total excess return on the Aggie managed portfolio was

Accepted Answer

A)  1%.
B)  3%.
C)  4%.
D)  5%.E) None of the above
F) B) and C)

Question 4

Suppose two portfolios have the same average return, the same standard deviation of returns, but Aggie Fund has a higher beta than Raider Fund.According to the Treynor measure, the performance of Aggie Fund

Accepted Answer

A)  is better than the performance of Raider Fund.
B)  is the same as the performance of Raider Fund.
C)  is poorer than the performance of Raider Fund.
D)  cannot be measured as there are no data on the alpha of the portfolio.E) A) and B)
F) A) and C)

Question 5

Studies of style analysis have found that ________ of fund returns can be explained by asset allocation alone.

Accepted Answer

A)  between 50% and 70%
B)  less than 10%
C)  between 40 and 50%
D)  between 75% and 90%
E)  over 90%F) B) and E)
G) B) and D)

Question 6

The following data are available relating to the performance of Wildcat Fund and the market portfolio:  The risk-free return during the sample period was 7%. Calculate Jensen's measure of performance for Wildcat Fund.

Accepted Answer

A)  1.00%
B)  8.80%
C)  44.00%
D)  50.00%E) A) and B)
F) A) and C)

Question 7

To determine whether portfolio performance is statistically significant requires

Accepted Answer

A)  a very long observation period due to the high variance of stock returns.
B)  a short observation period due to the high variance of stock returns.
C)  a very long observation period due to the low variance of stock returns.
D)  a short observation period due to the low variance of stock returns.
E)  a low variance of returns over any observation period.F) D) and E)
G) A) and B)

Question 8

The M-squared measure considers

Accepted Answer

A)  only the return when evaluating mutual funds.
B)  the risk-adjusted return when evaluating mutual funds.
C)  only the total risk when evaluating mutual funds.
D)  only the market risk when evaluating mutual funds.
E)  None of the optionsF) C) and D)
G) None of the above

Question 9

The following data are available relating to the performance of Monarch Stock Fund and the market portfolio:  The risk-free return during the sample period was 4%. Calculate Treynor's measure of performance for Monarch Stock Fund.

Accepted Answer

A)  10.40%
B)  8.80%
C)  44.00%
D)  50.00%E) None of the above
F) B) and C)

Question 10

The following data are available relating to the performance of Sooner Stock Fund and the market portfolio:  The risk-free return during the sample period was 3%. Calculate the Jensen measure of performance evaluation for Sooner Stock Fund.

Accepted Answer

A)  2.6%
B)  4.00%
C)  8.67%
D)  31.43%
E)  37.14%F) All of the above
G) D) and E)

Question 11

The dollar-weighted return on a portfolio is equivalent to

Accepted Answer

A)  the time-weighted return.
B)  the geometric average return.
C)  the arithmetic average return.
D)  the portfolio's internal rate of return.
E)  None of the optionsF) A) and D)
G) A) and E)

Question 12

The Jensen portfolio evaluation measure

Accepted Answer

A)  is a measure of return per unit of risk, as measured by standard deviation.
B)  is an absolute measure of return over and above that predicted by the CAPM.
C)  is a measure of return per unit of risk, as measured by beta.
D)  is a measure of return per unit of risk, as measured by standard deviation and is an absolute measure of return over and above that predicted by the CAPM.
E)  is an absolute measure of return over and above that predicted by the CAPM and is a measure of return per unit of risk, as measured by beta.F) C) and D)
G) B) and D)

Question 13

Discuss, in general, the performance attribution procedures.

Accepted Answer

The portfolio management decision proces...

Question 14

The following data are available relating to the performance of Long Horn Stock Fund and the market portfolio:  The risk-free return during the sample period was 6%. What is the Sharpe measure of performance evaluation for Long Horn Stock Fund

Accepted Answer

A)  1.33%
B)  4.00%
C)  8.67%
D)  31.43%
E)  37.14%F) D) and E)
G) A) and C)

Question 15

The M2 measure was developed by

Accepted Answer

A)  Merton and Miller.
B)  Miller and Miller.
C)  Modigliani and Miller.
D)  Modigliani and Modigliani.
E)  the M&M Mars Company.F) A) and E)
G) A) and C)

Question 16

Define and discuss the Sharpe, Treynor, and Jensen measures of portfolio performance evaluation and the situations in which each measure is the most appropriate measure.

Accepted Answer

Sharpe's measure, (r_P - r_f)/s_P, is a relati...

Question 17

You want to evaluate three mutual funds using the Sharpe measure for performance evaluation.The risk-free return during the sample period is 6%.The average returns, standard deviations, and betas for the three funds are given below, as are the data for the S&P 500 Index.  The fund with the highest Sharpe measure is

Accepted Answer

A)  Fund A.
B)  Fund B.
C)  Fund C.
D)  Funds A and B (tied for highest) .
E)  Funds A and C (tied for highest) .F) D) and E)
G) A) and E)

Question 18

The following data are available relating to the performance of Monarch Stock Fund and the market portfolio:  The risk-free return during the sample period was 4%. Calculate Jensen's measure of performance for Monarch Stock Fund.

Accepted Answer

A)  1.00%
B)  2.80%
C)  44.00%
D)  50.00%E) A) and D)
F) A) and C)

Question 19

Risk-adjusted mutual fund performance measures have decreased in popularity because

Accepted Answer

A)  in nearly efficient markets it is extremely difficult for portfolio managers to outperform the market.
B)  the measures usually result in negative performance results for the portfolio managers.
C)  the high rates of return earned by the mutual funds have made the measures useless.
D)  in nearly efficient markets it is extremely difficult for portfolio managers to outperform the market and the measures usually result in negative performance results for the portfolio managers.
E)  None of the optionsF) A) and D)
G) A) and C)

Question 20

__________ developed a popular method for risk-adjusted performance evaluation of mutual funds.

Accepted Answer

A)  Eugene Fama
B)  Michael Jensen
C)  William Sharpe
D)  Jack Treynor
E)  Michael Jensen, William Sharpe, and Jack TreynorF) A) and D)
G) B) and E)

Exam 24: Portfolio Performance Evaluation

The Jensen portfolio evaluation measure

Correct Answer
verified

The following data are available relating to the performance of Monarch Stock Fund and the market portfolio: The risk-free return during the sample period was 4%. Calculate Treynor's measure of performance for Monarch Stock Fund.

Correct Answer
verified

In a particular year, Aggie Mutual Fund earned a return of 15% by making the following investments in the following asset classes: The return on a bogey portfolio was 10%, calculated as follows: The total excess return on the Aggie managed portfolio was

Correct Answer
verified

The M² measure was developed by

Correct Answer
verified

Studies of style analysis have found that ________ of fund returns can be explained by asset allocation alone.

Correct Answer
verified

The following data are available relating to the performance of Sooner Stock Fund and the market portfolio: The risk-free return during the sample period was 3%. Calculate the Jensen measure of performance evaluation for Sooner Stock Fund.

Correct Answer
verified

The geometric average rate of return is based on

Correct Answer
verified

The following data are available relating to the performance of Wildcat Fund and the market portfolio: The risk-free return during the sample period was 7%. Calculate Jensen's measure of performance for Wildcat Fund.

Correct Answer
verified

The following data are available relating to the performance of Monarch Stock Fund and the market portfolio: The risk-free return during the sample period was 4%. Calculate Jensen's measure of performance for Monarch Stock Fund.

Correct Answer
verified

Correct Answer
verified

Suppose two portfolios have the same average return, the same standard deviation of returns, but Aggie Fund has a higher beta than Raider Fund.According to the Treynor measure, the performance of Aggie Fund

Correct Answer
verified

Define and discuss the Sharpe, Treynor, and Jensen measures of portfolio performance evaluation and the situations in which each measure is the most appropriate measure.

Correct Answer
verified
Sharpe's measure, (r_P - r_f)/s_P, is a relati...
View Answer

The M-squared measure considers

Correct Answer
verified

The dollar-weighted return on a portfolio is equivalent to

Correct Answer
verified

Discuss, in general, the performance attribution procedures.

Correct Answer
verified
The portfolio management decision proces...
View Answer

Suppose the risk-free return is 6%.The beta of a managed portfolio is 1.5, the alpha is 3%, and the average return is 18%.Based on Jensen's measure of portfolio performance, you would calculate the return on the market portfolio as

Correct Answer
verified

Risk-adjusted mutual fund performance measures have decreased in popularity because

Correct Answer
verified

The following data are available relating to the performance of Long Horn Stock Fund and the market portfolio: The risk-free return during the sample period was 6%. What is the Sharpe measure of performance evaluation for Long Horn Stock Fund

Correct Answer
verified

To determine whether portfolio performance is statistically significant requires

Correct Answer
verified

__________ developed a popular method for risk-adjusted performance evaluation of mutual funds.

Correct Answer
verified

Exam 24: Portfolio Performance Evaluation

The Jensen portfolio evaluation measure

Correct AnswerverifiedShow Answer

The following data are available relating to the performance of Monarch Stock Fund and the market portfolio: The risk-free return during the sample period was 4%. Calculate Treynor's measure of performance for Monarch Stock Fund.

Correct AnswerverifiedShow Answer

In a particular year, Aggie Mutual Fund earned a return of 15% by making the following investments in the following asset classes: The return on a bogey portfolio was 10%, calculated as follows: The total excess return on the Aggie managed portfolio was

Correct AnswerverifiedShow Answer

The M2 measure was developed by

Correct AnswerverifiedShow Answer

Studies of style analysis have found that ________ of fund returns can be explained by asset allocation alone.

Correct AnswerverifiedShow Answer

The following data are available relating to the performance of Sooner Stock Fund and the market portfolio: The risk-free return during the sample period was 3%. Calculate the Jensen measure of performance evaluation for Sooner Stock Fund.

Correct AnswerverifiedShow Answer

The geometric average rate of return is based on

Correct AnswerverifiedShow Answer

The following data are available relating to the performance of Wildcat Fund and the market portfolio: The risk-free return during the sample period was 7%. Calculate Jensen's measure of performance for Wildcat Fund.

Correct AnswerverifiedShow Answer

The following data are available relating to the performance of Monarch Stock Fund and the market portfolio: The risk-free return during the sample period was 4%. Calculate Jensen's measure of performance for Monarch Stock Fund.

Correct AnswerverifiedShow Answer

Correct AnswerverifiedShow Answer

Suppose two portfolios have the same average return, the same standard deviation of returns, but Aggie Fund has a higher beta than Raider Fund.According to the Treynor measure, the performance of Aggie Fund

Correct AnswerverifiedShow Answer

Define and discuss the Sharpe, Treynor, and Jensen measures of portfolio performance evaluation and the situations in which each measure is the most appropriate measure.

Correct AnswerverifiedSharpe's measure, (rP - rf)/sP, is a relati...View AnswerShow Answer

The M-squared measure considers

Correct AnswerverifiedShow Answer

The dollar-weighted return on a portfolio is equivalent to

Correct AnswerverifiedShow Answer

Discuss, in general, the performance attribution procedures.

Correct AnswerverifiedThe portfolio management decision proces...View AnswerShow Answer

Suppose the risk-free return is 6%.The beta of a managed portfolio is 1.5, the alpha is 3%, and the average return is 18%.Based on Jensen's measure of portfolio performance, you would calculate the return on the market portfolio as

Correct AnswerverifiedShow Answer

Risk-adjusted mutual fund performance measures have decreased in popularity because

Correct AnswerverifiedShow Answer

The following data are available relating to the performance of Long Horn Stock Fund and the market portfolio: The risk-free return during the sample period was 6%. What is the Sharpe measure of performance evaluation for Long Horn Stock Fund

Correct AnswerverifiedShow Answer

To determine whether portfolio performance is statistically significant requires

Correct AnswerverifiedShow Answer

__________ developed a popular method for risk-adjusted performance evaluation of mutual funds.

Correct AnswerverifiedShow Answer

Correct Answer
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The M² measure was developed by

Correct Answer
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Sharpe's measure, (r_P - r_f)/s_P, is a relati...
View Answer

Correct Answer
verified

Correct Answer
verified

Correct Answer
verified
The portfolio management decision proces...
View Answer

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