Exam 13: Performance Evaluation and Risk Management

A portfolio has a beta of 1.23 and a standard deviation of 11.6 percent.What is the Sharpe ratio if the market return is 12.4 percent and the market risk premium is 7.9 percent?

Tony brags that his portfolio's rate of return is "beating the market".Which one of the following would best substantiate his claim?

Which one of the following assesses the ability of a money manager to balance high returns with an acceptable level of risk?

A stock has a return of 16.18 percent and a beta of 1.47.The market return is 10.65 percent and the risk-free rate is 3.20 percent.What is the Jensen-Treynor alpha of this stock?

Your portfolio has an expected return of 14.2 percent,a beta of 1.31,and a standard deviation of 15.3 percent.The U.S.Treasury bill rate is 3.48 percent.What is the Sharpe ratio of your portfolio?

Which one of the following Value-at-Risk measures would be most appropriate for a portfolio designed for a very risk-adverse investor?

The Miller Fund's correlation with the market is 0.648.What percentage of the fund's movement can be explained by movements in the overall market?

High Mountain Homes has an expected annual return of 16.1 percent and a standard deviation of 20.3 percent.What is the smallest expected loss over the next month given a probability of 2.5 percent?

A portfolio has an expected annual return of 15.7 percent and a standard deviation of 19.6 percent.What is the smallest expected loss over the next calendar quarter given a probability of 1 percent?

A portfolio has a standard deviation of 15.8 percent and an average return of 14.2 percent.What loss is associated with a 2.5 percent probability?

The unadjusted total percentage return on a security that has not been compared to any benchmark is referred to as which one of the following?

A portfolio has a 4.0 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?

A stock has an annual standard deviation of 14.1 percent and an expected annual return of 11.5 percent.What is the smallest expected loss for the next 6 months given a probability of 2.5 percent?

Which one of the following is measured by the Jensen-Treynor alpha?

Which metric measures how volatile a fund's returns are relative to its benchmark?

Which one of the following is probably the best measure of the performance of a well-diversified portfolio?