Question 1

Relative return portfolio performance measures

Accepted Answer

A)  adjust portfolio risk to match benchmark risk. 
B)  compare portfolio returns to expected returns under CAPM. 
C)  evaluate portfolio performance on the basis of return per unit of risk. 
D)  indicate historic average differential return per unit of historic variability of differential return. 
E)  the average market beta per unit of risk. 
A)  adjust portfolio risk to match benchmark risk. 
B)  compare portfolio returns to expected returns under CAPM. 
C)  evaluate portfolio performance on the basis of return per unit of risk. 
D)  indicate historic average differential return per unit of historic variability of differential return. 
E)  the average market beta per unit of risk.

Question 2

The Sortino ratio takes into account the downside risk exposure in the portfolio.

Accepted Answer

A) True 
 B)False

Question 3

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
  
-Refer to Exhibit 18.11. Which of the following statements is TRUE?

Accepted Answer

A)  Sector/security selection hurt the portfolio performance; returns were 1.4% less than if the manager invested the funds in stocks and bond indexes. 
B)  Sector/security selection improved the port-folio performance by 1.4%; each sector return was higher than for index value. 
C)  Sector/security selection hurt the portfolio performance; returns were 6.8% less than if the manager invested the funds in stocks and bond indexes. 
D)  Sector/security selection improved the port-folio performance by 6.8%; each sector return was higher than for index return. 
E)  None of these are correct. 
A)  Sector/security selection hurt the portfolio performance; returns were 1.4% less than if the manager invested the funds in stocks and bond indexes. 
B)  Sector/security selection improved the port-folio performance by 1.4%; each sector return was higher than for index value. 
C)  Sector/security selection hurt the portfolio performance; returns were 6.8% less than if the manager invested the funds in stocks and bond indexes. 
D)  Sector/security selection improved the port-folio performance by 6.8%; each sector return was higher than for index return. 
E)  None of these are correct.

Question 4

Which of the following performance measures is the most rigorous risk-adjustment process separating systematic and unsystematic risk?

Accepted Answer

A)  Treynor ratio 
B)  Sharpe ratio 
C)  Jensen's Alpha 
D)  Information ratio 
E)  Sortino ratio 
A)  Treynor ratio 
B)  Sharpe ratio 
C)  Jensen's Alpha 
D)  Information ratio 
E)  Sortino ratio

Question 5

Which portfolio measurement uses the mean excess return in the numerator divided by the amount of residual risk that the investor incurred in pursuit of those excess returns?

Accepted Answer

A)  Jensen measure 
B)  Fama measure 
C)  Sharpe measure 
D)  Treynor ratio 
E)  Information ratio 
A)  Jensen measure 
B)  Fama measure 
C)  Sharpe measure 
D)  Treynor ratio 
E)  Information ratio

Question 6

One example of a flawed benchmark is using the median manager from a broad universe in a peer group comparison.

Accepted Answer

A) True 
 B)False

Question 7

The Sharpe and Treynor measures complement each other and thus both should be used to measure portfolio performance.

Accepted Answer

A) True 
 B)False

Question 8

The two main questions when assessing the performance of an investment manager are: how did the portfolio manager actually perform, and, why did the portfolio manager perform as he or she did?

Accepted Answer

A) True 
 B)False

Question 9

An appropriate composite risk measure that indicates the relative price volatility for a bond compared to interest rate changes is the bond's yield to maturity.

Accepted Answer

A) True 
 B)False

Question 10

The market rewards investors for bearing total risk.

Accepted Answer

A) True 
 B)False

Question 11

An advantage of the GT statistic is that it can be computed without reference to any specific benchmark.

Accepted Answer

A) True 
 B)False

Relative return portfolio performance measures

The Sortino ratio takes into account the downside risk exposure in the portfolio.

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) -Refer to Exhibit 18.11. Which of the following statements is TRUE?

Which of the following performance measures is the most rigorous risk-adjustment process separating systematic and unsystematic risk?

Which portfolio measurement uses the mean excess return in the numerator divided by the amount of residual risk that the investor incurred in pursuit of those excess returns?

One example of a flawed benchmark is using the median manager from a broad universe in a peer group comparison.

The Sharpe and Treynor measures complement each other and thus both should be used to measure portfolio performance.

The two main questions when assessing the performance of an investment manager are: how did the portfolio manager actually perform, and, why did the portfolio manager perform as he or she did?

An appropriate composite risk measure that indicates the relative price volatility for a bond compared to interest rate changes is the bond's yield to maturity.

The market rewards investors for bearing total risk.

An advantage of the GT statistic is that it can be computed without reference to any specific benchmark.

The Investment Setting

The Investment Setting: Part A

Asset Allocation and Security Selection

Asset Allocation and Security Selection: Part A

Organization and Functioning of Securities Markets

Security Market Indexes and Index Funds

Efficient Capital Markets, Behavioral Finance, and Technical Analysis

An Introduction to Portfolio Management

An Introduction to Portfolio Management: Part A

An Introduction to Portfolio Management: Part B

Asset Pricing Models

Equity Valuation

The Top-Down Approach to Market, Industry, and Company Analysis

The Practice of Fundamental Investing

Equity Portfolio Management Strategies

Bond Fundamentals and Valuation

Bond Analysis and Portfolio Management Strategies

An Introduction to Derivative Markets and Securities

Forward, Futures, and Swap Contracts

Option Contracts

Professional Money Management, Alternative Assets, and Industry Ethics

Filters

Exam 18: Evaluation of Portfolio Performance

Relative return portfolio performance measures

The Sortino ratio takes into account the downside risk exposure in the portfolio.

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) -Refer to Exhibit 18.11. Which of the following statements is TRUE?

Which of the following performance measures is the most rigorous risk-adjustment process separating systematic and unsystematic risk?

Which portfolio measurement uses the mean excess return in the numerator divided by the amount of residual risk that the investor incurred in pursuit of those excess returns?

One example of a flawed benchmark is using the median manager from a broad universe in a peer group comparison.

The Sharpe and Treynor measures complement each other and thus both should be used to measure portfolio performance.

The two main questions when assessing the performance of an investment manager are: how did the portfolio manager actually perform, and, why did the portfolio manager perform as he or she did?

An appropriate composite risk measure that indicates the relative price volatility for a bond compared to interest rate changes is the bond's yield to maturity.

The market rewards investors for bearing total risk.

An advantage of the GT statistic is that it can be computed without reference to any specific benchmark.

The Investment Setting

The Investment Setting: Part A

Asset Allocation and Security Selection

Asset Allocation and Security Selection: Part A

Organization and Functioning of Securities Markets

Security Market Indexes and Index Funds

Efficient Capital Markets, Behavioral Finance, and Technical Analysis

An Introduction to Portfolio Management

An Introduction to Portfolio Management: Part A

An Introduction to Portfolio Management: Part B

Asset Pricing Models

Equity Valuation

The Top-Down Approach to Market, Industry, and Company Analysis

The Practice of Fundamental Investing

Equity Portfolio Management Strategies

Bond Fundamentals and Valuation

Bond Analysis and Portfolio Management Strategies

An Introduction to Derivative Markets and Securities

Forward, Futures, and Swap Contracts

Option Contracts

Professional Money Management, Alternative Assets, and Industry Ethics

Filters