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发表于 2008-9-17 17:13 | 只看该作者

Reading 43: Evaluating Portfolio Performance－LOS i

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CFA Institute Area 3-5, 7, 12, 14-18: Portfolio Management
Session 16: Performance Evaluation and Attribution
Reading 43: Evaluating Portfolio Performance
LOS i: Evaluate benchmark quality by applying tests of quality to a variety of possible benchmarks.
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tycoon

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2#
发表于 2008-9-17 17:13 | 只看该作者

There should be minimal systematic bias in the benchmark relative to the account. Which of the following statements about systematic bias is FALSE?

A)The manager can calculate the historical beta of the account to the benchmark.
B)
A beta significantly below one would be ideal as this would indicate that the managers account is significantly less risky than the benchmark.
C)A manager's active decisions should be uncorrelated with the managers investment style.
D)A beta near one would indicate that the benchmark and portfolio tend to move together.

Answer and Explanation

Ideally, the manager would be looking for a beta close to one. This would indicate that the portfolio and benchmark are sensitive to the same systematic factors, which would be a desirable characteristic. If the beta differs significantly from one, the benchmark may be responding to a different set of factors, which is not a desirable characteristic of a benchmark.

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tycoon

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3#
发表于 2008-9-17 17:14 | 只看该作者

Consider the following relationships:

A = P B
S = B M

where:
A = the managements active management decisions
P = the investment managers portfolio return
B = the benchmark return
S = the managers investment style
M = the market index

In the context of systematic bias which of the following outcomes is most desirable?

A)A managers active decisions should be negatively correlated with the managers investment style.
B)
A managers active decisions should be uncorrelated with the managers investment style.
C)A manager's active decisions should be positively correlated with the managers investment style.
D)A beta significantly different from 1.0 indicates that the benchmark and portfolio tend to move together.

Answer and Explanation

A managers active decisions should be uncorrelated with the managers investment style.

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tycoon

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4#
发表于 2008-9-17 17:14 | 只看该作者

Which of the following statements with regard to tests of benchmark quality is TRUE?

A)An accounts exposure to systematic risk should be similar to those of the benchmark at all times.
B)Benchmark coverage is defined as the proportion of a portfolios cost that is made up of securities that are also in the benchmark.
C)
An active position is the difference between the weight of a security in the managed portfolio versus the benchmark.
D)Tracking error is defined as the variance of the excess returns earned due to active management.

Answer and Explanation

Tracking error is defined by standard deviation not variance. Exposure to systematic risk does not need to be the same at all times rather it should average that of the benchmark. Benchmark coverage is defined in terms of market values not cost. The correct statement is the one in relation to active positions.

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