Exhibit 25.5 Use the Information Below for the Following Problem(S) The data presented below has been collected at this point in time. \[\begin{array} { l c c c c } \text { Fund } & \text { Beta } & \text { Devintion (\%) } & \text { Return (\%) } & \text { R } _ { ( } ( \% ) \\ \hline \text { XOX } & 1.07 & 5.13 & 19 & 6 \\ \text { YYY } & 1.02 & 4.28 & 17 & 6 \\ \text { ZZZ } & 0.86 & 3.52 & 12 & 6 \end{array}\] -Refer to Exhibit 25.5.Compute the Treynor Measure for the ZZZ fund.

A) 6.98 B) 2.35 C) 2.53 D) 3.86 E) 1.72 A) 6.98 B) 2.35 C) 2.53 D) 3.86 E) 1.72 A

A portfolio manager has the following sequence of cash flows over a two year period: \[\begin{array} { l c c c } \text { Time } & 0 & 1 & 2 \\ \hline \text { autflows } & - \$ 2,000 & - \$ 500 & \\ \text { inflows } & & \$ 50 & 3,090 \end{array}\] Calculate the portfolio manager's dollar weighted return.

A) 13.56% B) 11.48% C) 15.50% D) 8.75% E) 10.67% A) 13.56% B) 11.48% C) 15.50% D) 8.75% E) 10.67%

Exhibit 25.1 Use the Information Below for the Following Problem(S) The portfolios identified below are being considered for investment. During the period under consideration Rf = .03. \[\begin{array} { c c c c } \text { Partfolid } & \text { Return } & \text { Beta } & \text { σ } \\ \hline \text { A } & 0.16 & 1 . 0 & 0.15 \\ B & 0.22 & 1.5 & 0.10 \\ \text { C } & 0.11 & 0.6 & 0.08 \\ D & 0.18 & 1.1 & 0.12 \end{array}\] -Refer to Exhibit 25.1.According to the Treynor Measure,which portfolio performed best?

A) A B) B C) C D) D E) Two portfolios are tied A) A B) B C) C D) D E) Two portfolios are tied

Exhibit 25.11 Use the Information Below for the Following Problem(S) The last year's performance for four mutual funds is presented below. The market return was 10.70%, last year with a standard deviation of 13.1% and the risk-free rate of return was 5%. $\begin{array}{l} \quad\quad\quad\quad\quad\quad\quad\quad\text { Standard }\\ \begin{array}{cccc} \text { Fund } & \text { Beta } & \text { Deviation }(\%) & \text { Retwun }(\%) \\ \hline \mathrm{A} & 1.50 & 18.95 & 12.5 \\ \mathrm{~B} & 1.20 & 12.41 & 13.0 \\ \text { C } & 0.90 & 9.30 & 11.2 \\ \mathrm{D} & 050 & 810 & 95 \end{array} \end{array}$ -Refer to Exhibit 25.11.Based on the Treynor Measure which portfolio preformed best?

A) A B) B C) C D) D E) Market A) A B) B C) C D) D E) Market

Exhibit 25.11 Use the Information Below for the Following Problem(S) The last year's performance for four mutual funds is presented below. The market return was 10.70%, last year with a standard deviation of 13.1% and the risk-free rate of return was 5%. $\begin{array}{l} \quad\quad\quad\quad\quad\quad\quad\quad\text { Standard }\\ \begin{array}{cccc} \text { Fund } & \text { Beta } & \text { Deviation }(\%) & \text { Retwun }(\%) \\ \hline \mathrm{A} & 1.50 & 18.95 & 12.5 \\ \mathrm{~B} & 1.20 & 12.41 & 13.0 \\ \text { C } & 0.90 & 9.30 & 11.2 \\ \mathrm{D} & 050 & 810 & 95 \end{array} \end{array}$ -Refer to Exhibit 25.11.Compute the Treynor Measure for the C fund.

A) 0.012 B) 0.040 C) 0.069 D) 0.396 E) 1.142 A) 0.012 B) 0.040 C) 0.069 D) 0.396 E) 1.142

Exhibit 25.9 Use the Information Below for the Following Problem(S) Consider the following information for four portfolios, the market and the risk free rate (RFR): \[\begin{array} { l l l l } \text { Partidio } & \text { Return } & \text { Eet. } & \text { ED } \\ \hline \text { A1 } & 0.15 & 1.25 & 0.182 \\ \text { A2 } & 0.1 & 0.9 & 0.223 \\ \text { A3 } & 0.12 & 1.1 & 0.138 \\ \text { A4 } & 0.08 & 0.8 & 0.125 \\ \text { Market } & 0.11 & 1 & 0.2 \\ \text { RFR } & 0.03 & 0 & 0 \end{array}\] -Refer to Exhibit 25.9.Calculate the Jensen alpha Measure for each portfolio.

A) A1 = 0.014, A2 = -0.002, A3 = 0.002, A4 = -0.02 B) A1 = 0.002, A2 = -0.02, A3 = 0.002, A4 = -0.014 C) A1 = 0.02, A2 = -0.002, A3 = 0.002, A4 = -0.014 D) A1 = 0.02, A2 = -0.002, A3 = 0.02, A4 = -0.14 E) None of the above A) A1 = 0.014, A2 = -0.002, A3 = 0.002, A4 = -0.02 B) A1 = 0.002, A2 = -0.02, A3 = 0.002, A4 = -0.014 C) A1 = 0.02, A2 = -0.002, A3 = 0.002, A4 = -0.014 D) A1 = 0.02, A2 = -0.002, A3 = 0.02, A4 = -0.14 E) None of the above

Exam 25: Evaluation of Portfolio Performance

Exhibit 25.5 Use the Information Below for the Following Problem(S) The data presented below has been collected at this point in time. Fund Beta Devintion (\%) Return (\%) (\%) XOX 1.07 5.13 19 6 YYY 1.02 4.28 17 6 ZZZ 0.86 3.52 12 6 -Refer to Exhibit 25.5.Compute the Treynor Measure for the ZZZ fund.

Free

(Multiple Choice)

4.9/5

(68)

Question 1

Correct Answer:

Verified

A

The information ratio permits only relative assessments of performance for different portfolios in a style class.

Free

(True/False)

4.8/5

(89)

Question 2

Correct Answer:

Verified

True

The portfolio performance measure that can be most affected by a benchmark error is the Sharpe measure.

Free

(True/False)

4.8/5

(85)

Question 3

Correct Answer:

Verified

False

The most common manner of evaluating portfolio managers is a peer group comparison.

(True/False)

4.9/5

(79)

Question 4

Which portfolio measurement uses the mean excess return in the numerator divided by the amount of residual risk that the investor incurred in pursuit of those excess returns?

(Multiple Choice)

4.9/5

(71)

Question 5

The Jensen measure requires that each period's rates of return and risk-free rate be measured,rather than using the long-term averages as in the Treynor and Sharpe measures.

(True/False)

4.9/5

(76)

Question 6

Relative return portfolio performance measures

(Multiple Choice)

5.0/5

(80)

Question 7

If the return increases as more global investments with low correlation are added to the market portfolio,the efficient frontier moves

(Multiple Choice)

4.7/5

(69)

Question 8

A portfolio manager has the following sequence of cash flows over a two year period: Time 0 1 2 autflows -\ 2,000 -\ 500 inflows \ 50 3,090 Calculate the portfolio manager's dollar weighted return.

(Multiple Choice)

4.8/5

(93)

Question 9

The typical proxy for the market portfolio is the S&P 500 Index because it is diversified and price weighted.

(True/False)

4.7/5

(74)

Question 10

Portfolio managers are often evaluated using a boxplot of returns for a universe of investors over a specific period of time which is known as a(n)

(Multiple Choice)

4.8/5

(85)

Question 11

Duration is considered a good measure of risk for a bond portfolio because it indicates the relative volatility of the bond or portfolio due to interest rate changes and also the rating of the bonds.

(True/False)

4.8/5

(100)

Question 12

Funds with low levels of diversification tend to "beat the market."

(True/False)

4.7/5

(81)

Question 13

Exhibit 25.1 Use the Information Below for the Following Problem(S) The portfolios identified below are being considered for investment. During the period under consideration Rf = .03. Partfolid Return Beta σ A 0.16 1.0 0.15 B 0.22 1.5 0.10 C 0.11 0.6 0.08 D 0.18 1.1 0.12 -Refer to Exhibit 25.1.According to the Treynor Measure,which portfolio performed best?

(Multiple Choice)

4.8/5

(86)

Question 14

Exhibit 25.11 Use the Information Below for the Following Problem(S) The last year's performance for four mutual funds is presented below. The market return was 10.70%, last year with a standard deviation of 13.1% and the risk-free rate of return was 5%. Standard Fund Beta Deviation (\%) Retwun (\%) 1.50 18.95 12.5 1.20 12.41 13.0 C 0.90 9.30 11.2 050 810 95 -Refer to Exhibit 25.11.Based on the Treynor Measure which portfolio preformed best?

(Multiple Choice)

4.9/5

(86)

Question 15

Sharpe's performance assumes that all portfolios are completely diversified.

(True/False)

4.9/5

(74)

Question 16

The major requirements of a portfolio manager include the following,except

(Multiple Choice)

5.0/5

(79)

Question 17

Two desirable attributes of a portfolio manager's performance are the ability to derive above-average returns for a given risk class and the ability to time the market.

(True/False)

4.9/5

(75)

Question 18

Exhibit 25.11 Use the Information Below for the Following Problem(S) The last year's performance for four mutual funds is presented below. The market return was 10.70%, last year with a standard deviation of 13.1% and the risk-free rate of return was 5%. Standard Fund Beta Deviation (\%) Retwun (\%) 1.50 18.95 12.5 1.20 12.41 13.0 C 0.90 9.30 11.2 050 810 95 -Refer to Exhibit 25.11.Compute the Treynor Measure for the C fund.

(Multiple Choice)

4.8/5

(68)

Question 19

Exhibit 25.9 Use the Information Below for the Following Problem(S) Consider the following information for four portfolios, the market and the risk free rate (RFR): Partidio Return Eet. ED A1 0.15 1.25 0.182 A2 0.1 0.9 0.223 A3 0.12 1.1 0.138 A4 0.08 0.8 0.125 Market 0.11 1 0.2 RFR 0.03 0 0 -Refer to Exhibit 25.9.Calculate the Jensen alpha Measure for each portfolio.

(Multiple Choice)

4.9/5

(80)

Question 20

Exam 25: Evaluation of Portfolio Performance

The information ratio permits only relative assessments of performance for different portfolios in a style class.

The portfolio performance measure that can be most affected by a benchmark error is the Sharpe measure.

The most common manner of evaluating portfolio managers is a peer group comparison.

Which portfolio measurement uses the mean excess return in the numerator divided by the amount of residual risk that the investor incurred in pursuit of those excess returns?

The Jensen measure requires that each period's rates of return and risk-free rate be measured,rather than using the long-term averages as in the Treynor and Sharpe measures.

Relative return portfolio performance measures

If the return increases as more global investments with low correlation are added to the market portfolio,the efficient frontier moves

A portfolio manager has the following sequence of cash flows over a two year period: Time 0 1 2 autflows -\ 2,000 -\ 500 inflows \ 50 3,090 Calculate the portfolio manager's dollar weighted return.

The typical proxy for the market portfolio is the S&P 500 Index because it is diversified and price weighted.

Portfolio managers are often evaluated using a boxplot of returns for a universe of investors over a specific period of time which is known as a(n)

Duration is considered a good measure of risk for a bond portfolio because it indicates the relative volatility of the bond or portfolio due to interest rate changes and also the rating of the bonds.

Funds with low levels of diversification tend to "beat the market."

Sharpe's performance assumes that all portfolios are completely diversified.

The major requirements of a portfolio manager include the following,except

Two desirable attributes of a portfolio manager's performance are the ability to derive above-average returns for a given risk class and the ability to time the market.

An Overview of the Investment Process

The Asset Allocation Decision

The Global Market Investment Decision

Securities Markets: Organization and Operation

Security-Market Indexes

Efficient Capital Markets

An Introduction to Portfolio Management

An Introduction to Asset Pricing Models

Multifactor Models of Risk and Return

Analysis of Financial Statements

Security Valuation Principles

Macroanalysis and Microvaluation of the Stock Market

Industry Analysis

Company Analysis and Stock Valuation

Equity Portfolio Management Stragtegies

Technical Analysis

Bond Fundamentals

The Analysis and Valuation of Bonds

Bond Portfolio Management Strategies

An Introduction to Derivative Markets and Securities

Forward and Futures Contracts

Option Contracts

Swap Contracts,convertible Securities,and Other Embedded Derivatives

Professional Money Management, alternative Assets, and Industry Ethics

Investment Return and Risk Analysis Questions

Investment and Retirement Plans

Calculating Covariance and Correlation Coefficient of Assets

Portfolio Variance and Stock Weight Calculations

Portfolio Optimization with Negative Correlation: Finding Minimum Variance and Weight Allocation

Filters