Exam 13: Performance Evaluation and Risk Management

A portfolio has a 2.5 percent chance of losing 16 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 16 percent or more once in every how many years?

The U.S.Treasury bill has a return of 2.84 percent while the S&P 500 is returning 10.84 percent.Your portfolio has an actual return of 14.76 percent and a beta of 1.31.What is the portfolio's Jensen's alpha?

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?

A conservative investor has a well-diversified portfolio but is still concerned about two things.First,he is concerned about the downside risk and secondly,he is concerned whether he is earning a sufficient rate of return to compensate for the total risk he is assuming.How could you quantify these concerns for this investor?

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

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?

What is the Treynor ratio of a portfolio comprised of 25 percent portfolio A,35 percent portfolio B,and 40 percent portfolio C? The risk-free rate is 3.6 percent and the market risk premium is 8.2 percent.

The Sharpe-optimal portfolio will be the investment opportunity set which lies on a straight line that has which of the following characteristics?

You are comparing three assets which have differing Treynor ratios.Given this,which one of the following must be true?

What is Jensen's alpha of a portfolio comprised of 45 percent portfolio A and 55 percent of portfolio B? The risk-free rate is 3.1 percent and the market risk premium is 6.8 percent.

The U.S.Treasury bill is yielding 3.0 percent and the market has an expected return of 11.6 percent.What is the Treynor ratio of a correctly-valued portfolio that has a beta of 1.02,and a standard deviation of 12.2 percent?

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?

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?

The U.S.Treasury bill is yielding 1.85 percent and the market has an expected return of 7.48 percent.What is the Treynor ratio of a correctly-valued portfolio that has a beta of 1.33 and a variance of .0045?

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

Your portfolio has an expected annual return of 11.6 percent.What is the two-year expected return?

A portfolio has a standard deviation of 14.1 percent,a beta of 1.30 and a Treynor ratio of .094.The risk-free rate is 3.2 percent.What is the portfolio's expected rate of return?

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?

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

Which of the following measures are dependent upon the accuracy of a security's beta? I.Sharpe ratio II.Treynor ratio III.Jensen's alpha