* Use the following information to answer the next three questions * \[\begin{array} { | l | c | c | c | } \hline \text { Asset } & \begin{array} { c } \text { Mean Annual } \\ \text { Return } \end{array} & \text { Beta } & \begin{array} { c } \text { Standard } \\ \text { Devintinn } \end{array} \\ \hline \text { Fund A } & 16 \% & 1.20 & 24 \% \\ \hline \text { Benchrnark } & 14 \% & 1.10 & 19 \% \\ \hline \text { Fund A minus Benchrnark } & 2 \% & \text { NA } & 4 \% \\ \hline \text { Treasury Security } & 3 \% & \text { NA } & \text { NA } \\ \hline \end{array}\] -The information ratio for Fund A is closest to:

A) 0.1. B) 0.4. C) 0.5. D) 0.7. A) 0.1. B) 0.4. C) 0.5. D) 0.7.

The information in the following table is to be used to answer questions $\begin{array}{|l|c|c|c|c|} \hline \text { Fund } & \text { Standard Deviation } & \text { Beta } & \begin{array}{c} \text { Jensen's } \\ \text { Alpha } \end{array} & \mathbf{R}^{\mathbf{2}} \\ \hline \text { Fund 1 } & 1.97 & 1.0 & 1.3 & 0.95 \\ \hline \text { Fund 2 } & 2.97 & 0.8 & 0.6^{*} & 0.80 \\ \hline \text { Fund 3 } & 3.82 & 1.2 & -3.5^{*} & 0.90 \\ \hline \text { Fund 4 } & 3.50 & 1.4 & 4.2 & 0.65 \\ \hline \end{array}$ -Based on Jensen's performance measure, which fund significantly outperformed?

A) Fund 1 B) Fund 2 C) Fund 3 D) Fund 4 A) Fund 1 B) Fund 2 C) Fund 3 D) Fund 4

Exam 22: Evaluation of Investment Performance

A portfolio with a beta of 0.8 earned a return of 13 percent when the risk-free rate was 6 percent and the market returned 9 percent. The portfolio's Treynor measure is closest to:

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(Multiple Choice)

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Question 1

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Discuss how constraints on portfolio managers affect the portfolio results.

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Question 2

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Portfolios, such as mutual funds or pension funds, have specific goals established for them. The goals themselves imply constraints in regard to risk, investment media, etc. Specific constraints are often delineated in the charter, management agreements, etc. Specific constraints might include, for example, not investing in futures or not investing in taxable bonds. All such factors mold the portfolio results.

Which of the following statements about return calculation is most accurate?

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Question 3

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Sharpe's ratio measures the slope of the line between RF and the portfolio being evaluated. If the line is plotted between RF and a market index, where would superior portfolios lie? Inferior portfolios?

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Question 4

Relative to the Sharpe ratio, the Sortino ratio will make a portfolio's performance look more favorable if the portfolio has experienced:

(Multiple Choice)

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Question 5

The Jays Fund had a value of $88,750 on January 1, 20XX. On April 1, 20XX (first quarter) the fund had a value of $91,650 and received an inflow of $18,500. On July 1, the fund had a value of $118,150 and paid a semi-annual dividend of $6,000. Assume the dividend was not reinvested. At year-end (December 31, 20XX), the fund's value was $126,850. Calculate the money- and time-weighted returns for the fund.

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Question 6

According to Jensen's differential return measure, what is alpha?

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Question 7

Which index is most appropriate as a benchmark for a large-cap mutual fund?

(Multiple Choice)

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Question 8

When evaluating the performance of a mutual fund holding several S&P 500 stocks, one should always use the S&P 500 as the benchmark.

(True/False)

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Question 9

The Global Investment Performance Standards (GIPS) were created by:

(Multiple Choice)

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Question 10

* Use the following information to answer the next three questions * Asset Mean Annual Return Beta Standard Devintinn Fund A 16\% 1.20 24\% Benchrnark 14\% 1.10 19\% Fund A minus Benchrnark 2\% NA 4\% Treasury Security 3\% NA NA -The information ratio for Fund A is closest to:

(Multiple Choice)

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Question 11

Based on Jensen's measure, superior portfolio performance is exhibited by a:

(Multiple Choice)

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Question 12

The information in the following table is to be used to answer questions Fund Standard Deviation Beta Jensen's Alpha Fund 1 1.97 1.0 1.3 0.95 Fund 2 2.97 0.8 0. 0.80 Fund 3 3.82 1.2 -3. 0.90 Fund 4 3.50 1.4 4.2 0.65 -Based on Jensen's performance measure, which fund significantly outperformed?

(Multiple Choice)

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Question 13

In conducting risk management of his firm, Jack derives a 5% weekly VaR value. Which of the following combination of changes would produce the largest increase in the VaR value?

(Multiple Choice)

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Question 14

Jensen's measure of performance is based on the CAPM.

(True/False)

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Question 15

Value at risk (VaR) indicates the largest possible loss a manager should expect if an extreme negative event occurs.

(True/False)

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Question 16

Modigliani-squared is a return adjusted for volatility that allows returns between portfolios to be compared.

(True/False)

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Question 17

Performance attribution seeks to determine the detailed investment style adopted by a money manager.

(True/False)

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Question 18

In risk management, drawdown is measured as the:

(Multiple Choice)

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Question 19

One approach to style analysis which uses the features of the stocks in the portfolio is known as:

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Question 20

Showing 1 - 20 of 76

Exam 22: Evaluation of Investment Performance

A portfolio with a beta of 0.8 earned a return of 13 percent when the risk-free rate was 6 percent and the market returned 9 percent. The portfolio's Treynor measure is closest to:

Discuss how constraints on portfolio managers affect the portfolio results.

Which of the following statements about return calculation is most accurate?

Sharpe's ratio measures the slope of the line between RF and the portfolio being evaluated. If the line is plotted between RF and a market index, where would superior portfolios lie? Inferior portfolios?

Relative to the Sharpe ratio, the Sortino ratio will make a portfolio's performance look more favorable if the portfolio has experienced:

According to Jensen's differential return measure, what is alpha?

Which index is most appropriate as a benchmark for a large-cap mutual fund?

When evaluating the performance of a mutual fund holding several S&P 500 stocks, one should always use the S&P 500 as the benchmark.

The Global Investment Performance Standards (GIPS) were created by:

* Use the following information to answer the next three questions * Asset Mean Annual Return Beta Standard Devintinn Fund A 16\% 1.20 24\% Benchrnark 14\% 1.10 19\% Fund A minus Benchrnark 2\% NA 4\% Treasury Security 3\% NA NA -The information ratio for Fund A is closest to:

Based on Jensen's measure, superior portfolio performance is exhibited by a:

The information in the following table is to be used to answer questions Fund Standard Deviation Beta Jensen's Alpha Fund 1 1.97 1.0 1.3 0.95 Fund 2 2.97 0.8 0. 0.80 Fund 3 3.82 1.2 -3. 0.90 Fund 4 3.50 1.4 4.2 0.65 -Based on Jensen's performance measure, which fund significantly outperformed?

In conducting risk management of his firm, Jack derives a 5% weekly VaR value. Which of the following combination of changes would produce the largest increase in the VaR value?

Jensen's measure of performance is based on the CAPM.

Value at risk (VaR) indicates the largest possible loss a manager should expect if an extreme negative event occurs.

Modigliani-squared is a return adjusted for volatility that allows returns between portfolios to be compared.

Performance attribution seeks to determine the detailed investment style adopted by a money manager.

In risk management, drawdown is measured as the:

One approach to style analysis which uses the features of the stocks in the portfolio is known as:

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