The information in the following table is to be used to answer questions \(\begin{array}{|l|c|c|c|c|} \hline \text { Fund } & \text { Standard Deviation } & \text { Beta } & \begin{array}{c} \text { Jensen's } \\ \text { Alpha } \end{array} & \mathbf{R}^{\mathbf{2}} \\ \hline \text { Fund 1 } & 1.97 & 1.0 & 1.3 & 0.95 \\ \hline \text { Fund 2 } & 2.97 & 0.8 & 0.6^{*} & 0.80 \\ \hline \text { Fund 3 } & 3.82 & 1.2 & -3.5^{*} & 0.90 \\ \hline \text { Fund 4 } & 3.50 & 1.4 & 4.2 & 0.65 \\ \hline \end{array}\) -Which fund's returns are best explained by the market's returns?

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

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

A) 2% B) 4% C) 5% D) 24% A) 2% B) 4% C) 5% D) 24%

* 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 Sharpe 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.

Exam 22: Evaluation of Investment Performance

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 -Which fund's returns are best explained by the market's returns?

(Multiple Choice)

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Question 61

Jensen's alpha is a risk-adjusted performance measure.

(True/False)

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Question 62

* 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 -What is Fund A's tracking risk?

(Multiple Choice)

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Question 63

GIPS requires compliant history for at least 10 years, or since inception, if less than 10 years.

(True/False)

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Question 64

The coefficient of determination, also known as R-squared, is used to denote the degree of diversification.

(True/False)

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Question 65

The time-weighted rate of return is affected by any cash flows to the portfolio.

(True/False)

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Question 66

Identify the three approaches to calculating value at risk (VaR) and identify one advantage and one disadvantage of each approach.

(Essay)

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Question 67

Which of the following measures uses the standard deviation and evaluates portfolio performance on the basis of both return and diversification.

(Multiple Choice)

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Question 68

The money-weighted rate of return is equivalent to the internal rate of return.

(True/False)

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Question 69

Carl plans to add one of two alternative stocks to his portfolio. Stock A has a correlation of 0.70 with his portfolio and Stock B has a correlation of 0.10. Both stocks have the same standard deviation of returns. Based on this information, relative to Stock A, Stock B will result in:

(Multiple Choice)

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Question 70

* 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 Sharpe ratio for Fund A is closest to:

(Multiple Choice)

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Question 71

Which method of calculating VaR is the most complicated?

(Multiple Choice)

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Question 72

Which measure calculates performance relative to a benchmark portfolio?

(Multiple Choice)

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Question 73

Superior portfolio performance can result from:

(Multiple Choice)

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Question 74

The reward-to-variability ratio (Sharpe ratio) measures:

(Multiple Choice)

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Question 75

GIPS® was created to obtain global acceptance of a standard for fair presentation.

(True/False)

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Question 76

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 -Which fund's returns are best explained by the market's returns?

Jensen's alpha is a risk-adjusted performance measure.

* 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 -What is Fund A's tracking risk?

GIPS requires compliant history for at least 10 years, or since inception, if less than 10 years.

The coefficient of determination, also known as R-squared, is used to denote the degree of diversification.

The time-weighted rate of return is affected by any cash flows to the portfolio.

Identify the three approaches to calculating value at risk (VaR) and identify one advantage and one disadvantage of each approach.

Which of the following measures uses the standard deviation and evaluates portfolio performance on the basis of both return and diversification.

The money-weighted rate of return is equivalent to the internal rate of return.

Carl plans to add one of two alternative stocks to his portfolio. Stock A has a correlation of 0.70 with his portfolio and Stock B has a correlation of 0.10. Both stocks have the same standard deviation of returns. Based on this information, relative to Stock A, Stock B will result in:

* 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 Sharpe ratio for Fund A is closest to:

Which method of calculating VaR is the most complicated?

Which measure calculates performance relative to a benchmark portfolio?

Superior portfolio performance can result from:

The reward-to-variability ratio (Sharpe ratio) measures:

GIPS® was created to obtain global acceptance of a standard for fair presentation.

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