Exhibit 25.3 Use the Information Below for the Following Problem(S) Consider the data presented below on three mutual funds and the market. \[\begin{array} { l l c c c } \text { Fund } & \text { Beta } & \text { Devintion (\%) } & \text { Return (\%) } & \text { R } _ { ( } ( \% ) \\ \hline \text { AAA } & 0.75 & 7.0 & 14 & 3 \\ \text { BBB } & 1.05 & 5.0 & 18 & 3 \\ \text { CCC } & 0.89 & 8.0 & 20 & 3 \\ \text { Market } & 1.00 & 8.0 & 12 & 3 \end{array}\] -Refer to Exhibit 25.3.Compute the Treynor Measure for the CCC fund.

A) 14.7 B) 15.3 C) 19.1 D) 17.0 E) 12.7 A) 14.7 B) 15.3 C) 19.1 D) 17.0 E) 12.7

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 Sharpe 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 25.5 Use the Information Below for the Following Problem(S) The data presented below has been collected at this point in time. \[\begin{array} { l c c c c } \text { Fund } & \text { Beta } & \text { Devintion (\%) } & \text { Return (\%) } & \text { R } _ { ( } ( \% ) \\ \hline \text { XOX } & 1.07 & 5.13 & 19 & 6 \\ \text { YYY } & 1.02 & 4.28 & 17 & 6 \\ \text { ZZZ } & 0.86 & 3.52 & 12 & 6 \end{array}\] -What is the Sharpe measure for the S&P 500 over the last ten years if the standard deviation was 8% and the return was 14%?

A) 1.55 B) 1.69 C) 1.75 D) 1.99 E) 2.09 A) 1.55 B) 1.69 C) 1.75 D) 1.99 E) 2.09

Exhibit 25.4 Use the Information Below for the Following Problem(S) The data presented below has been collected at this point in time. \[\begin{array} { l l c c c } \text { Fund } & \text { Beta } & \text { Deviation(4) } & \text { Return(4) } & \text { Re (46) } \\ \hline \text { AAA } & 1.05 & 4.98 & 16 & 6 \\ \mathrm { BBB } & 1.00 & 4.04 & 15 & 6 \\ \text { CCC } & 0.92 & 3.13 & 11 & 6 \\ \text { Market } & 1.00 & 375 & 13 & 6 \end{array}\] -Refer to Exhibit 25.4.Compute the Jensen Measure for the BBB fund.

A) 2.10 B) 2.74 C) 5.43 D) 2.00 E) 1.65 A) 2.10 B) 2.74 C) 5.43 D) 2.00 E) 1.65

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 Treynor Measure for each portfolio.

A) A1 = 0.0625, A2 = 0.0778, A3 = 0.0818, A4 = 0.096 B) A1 = 0.096, A2 = 0.0778, A3 = 0.0818, A4 = 0.0625 C) A1 = 0.096, A2 = 0.0818, A3 = 0.0778, A4 = 0.0625 D) A1 = 0.0778, A2 = 0.096, A3 = 0.0818, A4 = 0.0625 E) None of the above A) A1 = 0.0625, A2 = 0.0778, A3 = 0.0818, A4 = 0.096 B) A1 = 0.096, A2 = 0.0778, A3 = 0.0818, A4 = 0.0625 C) A1 = 0.096, A2 = 0.0818, A3 = 0.0778, A4 = 0.0625 D) A1 = 0.0778, A2 = 0.096, A3 = 0.0818, A4 = 0.0625 E) None of the above

Exam 25: Evaluation of Portfolio Performance

Wagner and Tito suggested that a bond portfolio return differing from the return from the Lehman Brothers Index can be divided into four components.Which of the following is not included?

(Multiple Choice)

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(77)

Question 61

When applying the Jensen's alpha measure the alpha level and significance can vary greatly depending on the specification of the return-generating model.

(True/False)

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Question 62

Which of the following performance measures is the most rigorous risk-adjustment process separating systematic and unsystematic risk?

(Multiple Choice)

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Question 63

Exhibit 25.7 Use the Information Below for the Following Problem(S) Given the following information evaluate the performance of Tyler Incorporated (TI). $R _ { \text {TI } } = 0.18 \quad B _ { T I } = 1.06 \quad R _ { Y } = 0.06 \quad R = 0.11$ -Refer to Exhibit 25.7.Calculate TI's selectivity.

(Multiple Choice)

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Question 64

Exhibit 25.3 Use the Information Below for the Following Problem(S) Consider the data presented below on three mutual funds and the market. Fund Beta Devintion (\%) Return (\%) (\%) AAA 0.75 7.0 14 3 BBB 1.05 5.0 18 3 CCC 0.89 8.0 20 3 Market 1.00 8.0 12 3 -Refer to Exhibit 25.3.Compute the Treynor Measure for the CCC fund.

(Multiple Choice)

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Question 65

Exhibit 25.7 Use the Information Below for the Following Problem(S) Given the following information evaluate the performance of Tyler Incorporated (TI). $R _ { \text {TI } } = 0.18 \quad B _ { T I } = 1.06 \quad R _ { Y } = 0.06 \quad R = 0.11$ -Refer to Exhibit 25.7.Calculate TI's risk.

(Multiple Choice)

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Question 66

Sharpe's performance measure divides the portfolio's risk premium by the

(Multiple Choice)

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(75)

Question 67

The policy effect is a difference in bond portfolio performance from that of a benchmark index due to a difference in duration.

(True/False)

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(74)

Question 68

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 Sharpe Measure which portfolio preformed best?

(Multiple Choice)

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Question 69

Exhibit 25.7 Use the Information Below for the Following Problem(S) Given the following information evaluate the performance of Tyler Incorporated (TI). $R _ { \text {TI } } = 0.18 \quad B _ { T I } = 1.06 \quad R _ { Y } = 0.06 \quad R = 0.11$ -Refer to Exhibit 25.7.Calculate TI's overall performance.

(Multiple Choice)

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(70)

Question 70

In the evaluation of bond portfolio performance,the analysis effect refers to

(Multiple Choice)

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(84)

Question 71

A portfolio's gross selectivity is made up of

(Multiple Choice)

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Question 72

A negative Treynor measure (negative T)for a portfolio always indicates that the portfolio would plot below the SML.

(True/False)

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(76)

Question 73

The Sharpe measure of portfolio performance divides the portfolio's risk premium by the portfolio's beta.

(True/False)

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Question 74

In the Characteristic Selectivity (CS)performance measure,

(Multiple Choice)

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Question 75

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 -What is the Sharpe measure for the S&P 500 over the last ten years if the standard deviation was 8% and the return was 14%?

(Multiple Choice)

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(80)

Question 76

Exhibit 25.4 Use the Information Below for the Following Problem(S) The data presented below has been collected at this point in time. Fund Beta Deviation(4) Return(4) Re (46) AAA 1.05 4.98 16 6 1.00 4.04 15 6 CCC 0.92 3.13 11 6 Market 1.00 375 13 6 -Refer to Exhibit 25.4.Compute the Jensen Measure for the BBB fund.

(Multiple Choice)

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(90)

Question 77

Which of the following statements about returns-based analysis or effective mix analysis is true?

(Multiple Choice)

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(70)

Question 78

Which measure of portfolio performance allows analysts to determine the statistical significance of abnormal returns?

(Multiple Choice)

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(65)

Question 79

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 Treynor Measure for each portfolio.

(Multiple Choice)

4.9/5

(82)

Question 80

Exam 25: Evaluation of Portfolio Performance

Wagner and Tito suggested that a bond portfolio return differing from the return from the Lehman Brothers Index can be divided into four components.Which of the following is not included?

When applying the Jensen's alpha measure the alpha level and significance can vary greatly depending on the specification of the return-generating model.

Which of the following performance measures is the most rigorous risk-adjustment process separating systematic and unsystematic risk?

Sharpe's performance measure divides the portfolio's risk premium by the

The policy effect is a difference in bond portfolio performance from that of a benchmark index due to a difference in duration.

In the evaluation of bond portfolio performance,the analysis effect refers to

A portfolio's gross selectivity is made up of

A negative Treynor measure (negative T)for a portfolio always indicates that the portfolio would plot below the SML.

The Sharpe measure of portfolio performance divides the portfolio's risk premium by the portfolio's beta.

In the Characteristic Selectivity (CS)performance measure,

Which of the following statements about returns-based analysis or effective mix analysis is true?

Which measure of portfolio performance allows analysts to determine the statistical significance of abnormal returns?

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

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