Exam 13: Performance Evaluation and Risk Management

A diversified portfolio has a beta of 1.47 and a raw return of 14.28 percent.The market return is 11.74 percent and the market risk premium is 7.85 percent.What is Jensen's alpha of the portfolio?

You have computed the expected return using VaR with a 2.5 percent probability for a one-year period of time.How would this expected return be expressed on a normal distribution curve?

Which one of the following is the primary purpose of the Value-at-Risk computation?

A portfolio has an expected return of 13.8 percent,a beta of 1.14,and a standard deviation of 12.7 percent.The U.S.Treasury bill rate is 3.2 percent.What is the Treynor ratio?

You are considering the purchase of a mutual fund.You have found three funds that meet your basic criteria.Each fund has a different alpha.Which alpha indicates the preferred investment?

Which one of the following values would be the most preferable as a Sharpe ratio?

Which one of the following measures a portfolio's raw return against the expected return based on the Capital Asset Pricing Model?

A portfolio has an average return of 12.4 percent,a standard deviation of 15.8 percent,and a beta of 1.35.The risk-free rate is 2.6 percent.What is the Sharpe ratio?

Which one of the following assesses risk by stating the probability of a loss a portfolio might incur within a stated time period given a specific probability?

The Sharpe ratio measures a security's return relative to which one of the following?

A portfolio has a Sharpe ratio of 0.75,a standard deviation of 17.0 percent,and an expected return of 15.9 percent.What is the risk-free rate?

A portfolio has an average return of 14.2 percent and a standard deviation of 12.85 percent.Given this,you should expect to lose at least ________ percent on an annual basis once every century.

A portfolio has a standard deviation of 12.1 percent,a beta of 1.24 and a Treynor ratio of 0.094.The risk-free rate is 3.2 percent.What is the portfolio's expected rate of return?

A portfolio has a 3-year standard deviation of 18.1 percent.What is the one-year standard deviation?

Trailer Co.stock has an expected return of 12.2 percent and a standard deviation of 11.8 percent.What is the smallest expected loss over the next month given a probability of 5 percent?

Which measure would you use to know whether alpha is truly significant or just the result of random chance?

The Sharpe ratio is best used to evaluate which one of the following?

A portfolio has a variance of 0.031050,a beta of 1.40,and an expected return of 13.3 percent.What is the Treynor ratio if the expected risk-free rate is 4.5 percent?

A portfolio consists of the following two funds. What is the Sharpe ratio of the portfolio?

The one-year standard deviation of your portfolio is 14.8 percent.What is the two-year standard deviation?