Exam 13: Performance Evaluation and Risk Management

A portfolio has a beta of 1.16,a standard deviation of 12.2 percent,and an expected return of 11.55 percent.The market return is 10.4 percent and the risk-free rate is 3.2 percent.What is the portfolio's Sharpe ratio?

What is the Treynor ratio of a portfolio comprised of 45 percent portfolio A and 55 percent portfolio B? P1P1_5.08AP1P1_EP1P1_12.70BP1P1_E WeightP1P1_5.0845%P1P1_EP1P1_12.7055%P1P1_E Avg ReturnP1P1_5.0813.60%P1P1_EP1P1_12.708.40%P1P1_E Std DevP1P1_5.0817.20%P1P1_EP1P1_12.706.40%P1P1_E BetaP1P1_5.081.38P1P1_EP1P1_12.700.87P1P1_E The risk-free rate is 3.12 percent and the market risk premium is 8.5 percent.

A portfolio has a beta of 1.30 and an actual return of 15.5 percent.The risk-free rate is 3.5 percent and the market risk premium is 8.2 percent.What is the value of Jensen's alpha?

Which one of the following is computed by dividing a portfolio's risk premium by the portfolio beta?

The Value-at-Risk measure assumes which one of the following?

Which one of the following statements is correct in relation to a security that has a negative Jensen's alpha?

Lester has a portfolio with an average return of 13.5 percent and a standard deviation of 14.5 percent.He has a one percent probability of losing ________ percent or more in any given year.

Which one of the following measures a security's return in relation to the total risk associated with that security?

Which one of the following is the best interpretation of this VaR statistic: Prob (R_p ≤ - 0.15)= 37%?

The Jensen-Treynor alpha is equal to:

You are comparing three securities and discover they all have identical Treynor ratios.Given this information,which one of the following must be true regarding these three securities?

Angie owns a portfolio which has an expected annual return of 9.76 percent.What is the two-year expected return on her portfolio?

Which metric describes the percentage of a fund's movement which can be explained by movements in the market?

A portfolio has an actual return of 15.17 percent,a beta of 0.90,and a standard deviation of 7.2 percent.The market return is 13.4 percent and the risk-free rate is 2.8 percent.What is the portfolio's Jensen's alpha?

A portfolio has a 2.0 percent chance of losing 15 percent or more according to the VaR when T = 1.This can be interpreted to mean that the portfolio is expected to have an annual loss of 15 percent or more once in every how many years?

Which of the following should generally only be used to evaluate relatively diversified portfolios rather than individual securities? I.Sharpe ratio II.Treynor ratio III.Jensen's alpha

A portfolio has a Treynor ratio of 0.070,a standard deviation of 16.40 percent,a beta of 1.16,and an expected return of 14.3 percent.What is the risk-free rate?

Which of the following are related to VaR analysis? I.beta II.standard deviation III.expected return IV.time

A portfolio has a variance of 0.0165,a beta of 1.05,and an expected return of 12.65 percent.What is the Sharpe ratio if the expected risk-free rate is 3.4 percent?

A stock has a return of 16.9 percent,a standard deviation of 11.7 percent,and a beta of 1.50.The risk-free rate is 2.89 percent and the market risk premium is 8.45 percent.What is the Jensen-Treynor alpha of this stock?