Exam 13: Performance Evaluation and Risk Management

Your portfolio has a standard deviation of 12.3 percent and an average return of 9.6 percent.You have a 5 percent probability of losing _____ percent or more in any given year.

Which of the following measures should be used to determine if a security should be included in a master portfolio? I.Sharpe ratio II.Treynor ratio III.Jensen's alpha

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

Which one of the following correctly states the VaR for a 3-year period with a 2.5 percent probability?

A portfolio has a beta of 1.52 and an actual return of 13.7 percent.The risk-free rate is 2.7 percent and the market risk premium is 7.8 percent.What is the value of Jensen's alpha?

Which one of the following is the best indication that a security is correctly priced according to the Capital Asset Pricing Model?

A portfolio has an average return of 9.7 percent,a standard deviation of 8.6 percent,and a beta of .72.The risk-free rate is 2.1 percent.What is the Treynor ratio?

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

A portfolio has a Jensen's alpha of 0.82 percent,a beta of 1.40,and a CAPM expected return of 13.7 percent.The risk-free rate is 2.5 percent.What is the actual return of the portfolio?

Explain a key advantage and a key disadvantage of Jensen's alpha.

Which one of the following is a statistical model,defined by its mean and standard deviation,that is used to assess probabilities?

A portfolio has an actual return of 15.17 percent,a beta of .85,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?

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

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

The Sharpe ratio is best used to evaluate 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?

Angie owns a portfolio which has an expected annual return of 11.70 percent.What is the two-year expected return on her portfolio?

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

A portfolio has a variance of .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?