The information in the following table is to be used to answer questions . $\begin{array}{|l|c|c|c|c|} \hline \text { Fund } & \begin{array}{c} \text { Standard } \\ \text { Deviation } \end{array} & \text { Beta } & \begin{array}{c} \text { Jensen's } \\ \text { Alpha } \end{array} & \mathrm{R}^{2} \\ \hline \text { Fund 1 } & 1.97 & 1.0 & 1.3 & 0.95 \\ \hline \text { Fund 2 } & 2.97 & 0.8 & 0.6^{*} & 0.80 \\ \hline \text { Fund 3 } & 3.82 & 1.2 & -3.5^{*} & 0.90 \\ \hline \text { Fund 4 } & 3.50 & 1.4 & 4.2 & 0.65 \\ \hline \end{array}$ * Significant at the 5 percent level -Which of the funds has the most market risk?

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

The information in the following table is to be used to answer questions . $\begin{array}{|l|c|c|c|c|} \hline \text { Fund } & \begin{array}{c} \text { Standard } \\ \text { Deviation } \end{array} & \text { Beta } & \begin{array}{c} \text { Jensen's } \\ \text { Alpha } \end{array} & \mathrm{R}^{2} \\ \hline \text { Fund 1 } & 1.97 & 1.0 & 1.3 & 0.95 \\ \hline \text { Fund 2 } & 2.97 & 0.8 & 0.6^{*} & 0.80 \\ \hline \text { Fund 3 } & 3.82 & 1.2 & -3.5^{*} & 0.90 \\ \hline \text { Fund 4 } & 3.50 & 1.4 & 4.2 & 0.65 \\ \hline \end{array}$ * Significant at the 5 percent level -Which fund has the most total risk?

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

Assume Portfolio A and Portfolio B are well-diversified;however,Portfolio A has a higher standard deviation than Portfolio B.Based on this information,the Sharpe ratio will give Portfolio A:

(Multiple Choice)

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Question 41

A retired couple's assets consist of a $100,000 house,a $400,000 securities portfolio,a $15,000 car,and personal effects.Would they be more concerned with the Sharpe measure or the Treynor measure for the portfolio?

(Essay)

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Question 42

Carl invested $100,000 in a fund,which earned 8% over the next year.At the end of the year,he invested an additional $50,000 and the fund earned 18% over the next year.Carl withdrew no money from the fund.Which of the following statements about time-weighted return (TWR)and money-weighted return (MWR)is most accurate?

(Multiple Choice)

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Question 43

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

(Multiple Choice)

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Question 44

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

(Multiple Choice)

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Question 45

The higher the Sharpe ratio,the better the risk-adjusted portfolio performance.

(True/False)

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Question 46

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 47

How is regression analysis used to measure portfolio diversification?

(Essay)

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Question 48

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

(True/False)

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Question 49

What are some of the problems associated with using risk-adjusted portfolio performance measures?

(Essay)

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Question 50

What is the major question when evaluating the performance of an individual's portfolio?

(Multiple Choice)

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Question 51

To claim GIPS compliance in reporting portfolio performance,the standards require:

(Multiple Choice)

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Question 52

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

(True/False)

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Question 53

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 * Significant at the 5 percent level -Which of the funds has the most market risk?

(Multiple Choice)

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Question 54

What is the major difference between the Sharpe and Treynor measures?

(Essay)

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Question 55

Sharpe's measure is a ratio of excess return to total risk.

(True/False)

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Question 56

Which of the following indices is most appropriate as a benchmark portfolio for a large-cap mutual fund?

(Multiple Choice)

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Question 57

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 * Significant at the 5 percent level -Which fund has the most total risk?

(Multiple Choice)

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Question 58

What are the appropriate uses of the Sharpe and the Treynor performance measures?

(Essay)

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Question 59

Which of the following statements about portfolio return calculation is most accurate? Time-weighted returns are best for measuring the returns of a:

(Multiple Choice)

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Question 60

Exam 22: Evaluation of Investment Performance

Assume Portfolio A and Portfolio B are well-diversified;however,Portfolio A has a higher standard deviation than Portfolio B.Based on this information,the Sharpe ratio will give Portfolio A:

A retired couple's assets consist of a $100,000 house,a $400,000 securities portfolio,a $15,000 car,and personal effects.Would they be more concerned with the Sharpe measure or the Treynor measure for the portfolio?

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

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

The higher the Sharpe ratio,the better the risk-adjusted portfolio performance.

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.

How is regression analysis used to measure portfolio diversification?

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

What are some of the problems associated with using risk-adjusted portfolio performance measures?

What is the major question when evaluating the performance of an individual's portfolio?

To claim GIPS compliance in reporting portfolio performance,the standards require:

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

What is the major difference between the Sharpe and Treynor measures?

Sharpe's measure is a ratio of excess return to total risk.

Which of the following indices is most appropriate as a benchmark portfolio for a large-cap mutual fund?

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 * Significant at the 5 percent level -Which fund has the most total risk?

What are the appropriate uses of the Sharpe and the Treynor performance measures?

Which of the following statements about portfolio return calculation is most accurate? Time-weighted returns are best for measuring the returns of a:

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