Exam 18: Evaluation of Portfolio Performance

Under the performance attribution analysis method, the ______ measures the manager's decision to over- or underweight a particular market segment in terms of that segment's return performance relative to the overall return to the benchmark.

A peer group comparison collects the returns produced by a representative universe of investors over a specific period of time and displays them in a simple boxplot format.

Exhibit 18-7 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) Given the following information evaluate the performance of Tyler Incorporated (TI). $R_{TI} 0.18$ $\quad$ $\quad$ $B_{TI}=1.06$ $\quad$ $\quad$ $\mathrm{R}_{\mathrm{f}}=0.06$ $\quad$ $\quad$ $\mathrm{R}_{\mathrm{m}}=0.11$ -Refer to Exhibit 18-7. Calculate TI's overall performance.

The measure of performance which divides the portfolio's risk premium by the portfolio's beta is the

In evaluating bond performance, the Russell 3000 Index is an appropriate risk measure.

Exhibit 18-11 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) The last year's performance for four mutual funds is presented below. The market return was 10.70%, last year with a standard deviation of 13.1% and the risk-free rate of return was 5%. Fund Beta Standard Deviation (\%) Return (\%) A 1.50 18.95 12.5 B 1.20 12.41 13.0 C 0.90 9.30 11.2 D 0.50 8.10 9.5 -Refer to Exhibit 18-11. Based on the Treynor Measure, which portfolio preformed best?

If the return increases as more global investments with low correlation are added to the market portfolio, the efficient frontier moves

The most common manner of evaluating portfolio managers is a peer group comparison.