Exam 24: Portfolio Performance Evaluation

A pension fund that begins with $500,000 earns 15% the first year and 10% the second year.At the beginning of the second year,the sponsor contributes another $300,000.The dollar-weighted and time-weighted rates of return,respectively,were

To determine whether portfolio performance is statistically significant requires

Suppose two portfolios have the same average return,the same standard deviation of returns,but Buckeye Fund has a higher beta than Gator Fund.According to the Treynor measure,the performance of Buckeye Fund

Suppose you purchase one share of the stock of Cereal Correlation Company at the beginning of year 1 for $50.At the end of year 1,you receive a $1 dividend,and buy one more share for $72.At the end of year 2,you receive total dividends of $2 (i.e.,$1 for each share),and sell the shares for $67.20 each.The dollar-weighted return on your investment is __________.

You want to evaluate three mutual funds using the Sharpe measure for performance evaluation.The risk-free return during the sample period is 4%.The average returns,standard deviations and betas for the three funds are given below,as is the data for the S&P 500 index. Average Return Standard. Deviation Beta Fund A 18\% 38\% 1.6 Fund B 15\% 27\% 1.3 Fund C 11\% 24\% 1.0 S\&P 500 10\% 22\% 1.0 The fund with the highest Sharpe measure is __________.

You want to evaluate three mutual funds using the Treynor measure for performance evaluation.The risk-free return during the sample period is 6%.The average returns,standard deviations,and betas for the three funds are given below,in addition to information regarding the S&P 500 index. Average Return Standard. Deviation Beta Fund A 13\% 10\% 0.5 Fund B 19\% 20\% 1.0 Fund C 25\% 30\% 1.5 S\&P 500 18\% 16\% 1.0 The fund with the highest Treynor measure is __________.

The following data are available relating to the performance of Wildcat Fund and the market portfolio: Wildeat Market Portfolio Average Return 18\% 15\% Standard Deviation of Returns 25\% 20\% Beta 1.25 1.00 Residual Standard Deviation 2\% 0\% The risk-free return during the sample period was 7%. -Calculate Jensen's measure of performance for Wildcat Fund.

Suppose a particular investment earns an arithmetic return of 10% in year 1,20% in year 2 and 30% in year 3.The geometric average return for the year period will be __________.

Suppose the risk-free return is 4%.The beta of a managed portfolio is 1.2,the alpha is 1%,and the average return is 14%.Based on Jensen's measure of portfolio performance,you would calculate the return on the market portfolio as

The following data are available relating to the performance of Monarch Stock Fund and the market portfolio: Monarch Market Portfolio Average Return 16\% 12\% Standard Deviation of Returns 26\% 22\% Beta 1.15 1.00 Residual Standard Deviation 1\% 0\% The risk-free return during the sample period was 4%. -Calculate Treynor's measure of performance for Monarch Stock Fund.

The comparison universe is __________.

Most professionally managed equity funds generally __________.

Suppose you purchase one share of the stock of Volatile Engineering Corporation at the beginning of year 1 for $36.At the end of year 1,you receive a $2 dividend,and buy one more share for $30.At the end of year 2,you receive total dividends of $4 (i.e.,$2 for each share),and sell the shares for $36.45 each.The time-weighted return on your investment is ________.

What is the Treynor measure of performance evaluation for Sooner Stock Fund?

If an investor has a portfolio that has constant proportions in T-bills and the market portfolio,the portfolio's characteristic line will plot as a line with ___________; if the investor can time bull markets,the characteristic line will plot as a line with ___________.

Suppose you own two stocks,A and B.In year 1,stock A earns a 2% return and stock B earns a 9% return.In year 2,stock A earns an 18% return and stock B earns an 11% return.Which stock has the higher geometric average return?

The M-squared measure

Suppose two portfolios have the same average return,the same standard deviation of returns,but portfolio A has a higher beta than portfolio B.According to the Sharpe measure,the performance of portfolio A __________.

__________ developed a popular method for risk-adjusted performance evaluation of mutual funds.

Suppose you purchase 100 shares of GM stock at the beginning of year 1,and purchase another 100 shares at the end of year 1.You sell all 200 shares at the end of year 2.Assume that the price of GM stock is $50 at the beginning of year 1,$55 at the end of year 1,and $65 at the end of year 2.Assume no dividends were paid on GM stock.Your dollar-weighted return on the stock will be __________ your time-weighted return on the stock.