|
Q33. What is the M2 measure for fund D?
A) 11.26%.
B) 7.66%.
C) 6.76%.
Q34. If the returns of each fund were plotted over a quality control chart using the market as a benchmark, the final point of the value-added line would be above zero, i.e., above the horizontal axis for:
A) all of the funds except C only.
B) all of the funds.
C) none of the funds.
Q35. With respect to the reasons for Carter and Walters being skeptical of using the market as a benchmark:
A) both Carter and Walters are wrong.
B) Carter is wrong and Walters is correct.
C) both Carter and Walters are correct.
36. With respect to the considerations that Carter and Walters put into preparing a custom benchmark, including a weighting for cash and not making modifications:
A) Carter is wrong and Walters is correct.
B) Carter is correct and Walters is wrong.
C) Carter and Walters are both correct.
Q37. The firm that Carter and Walters work for have set up a null hypothesis for each manager. In such a case, the firm would make a type II error if it:
A) keeps an unskilled manager.
B) fires a skilled manager.
C) hires a second manager to help a doubtful manager.
Q38. The following performance data for an actively managed portfolio and the S& 500 Index is reported:
|
|
Actively Managed Portfolio |
S& 500 |
|
Return |
50% |
20% |
|
Standard deviation |
18% |
15% |
|
Beta |
1.1 |
1.0 |
Risk-free rate = 6%.
Determine the Sharpe measure, Treynor measure, and Jensen's alpha for the actively managed portfolio.
A) Sharpe measure = 1.04; Treynor measure = 0.14; Alpha = 0.04.
B) Sharpe measure = 1.05; Treynor measure = 0.17; Alpha = 0.04.
C) Sharpe measure = 2.44; Treynor measure = 0.40; Alpha = 0.29.
Q39. Based on the results from determining the Sharpe measure, Treynor measure, and Jensen's alpha for the actively managed portfolio, does the portfolio manager outperform or underperform the S& 500 index?
A) Sharpe measure → underperform; Treynor measure → outperform; Alpha → outperform
B) Sharpe measure → outperform; Treynor measure → underperform; Alpha → underperform.
C) Sharpe measure → outperform; Treynor measure → outperform; Alpha → outperform.
Q40. The Sharpe Ratio is correctly defined as a measure of a fund’s:
A) excess return earned compared to its systematic risk.
B) excess return earned compared to its total risk.
C) return earned compared to its total risk.
Q41. Which of the following statements about risk/return investment manager performance measures is FALSE?
A) The Treynor measure includes company-specific risk as part of its performance measurement.
B) The Sharpe measure includes company-specific risk as part of its performance measurement.
C) When measuring the performance of an equity fund, if the Sharpe ratio is 0.55, and the Treynor measure is 0.47, the difference is attributable to unsystematic (company-specific) risk.
Q42. An analyst has gathered the following information about the performance of an equity fund and the S& 500 index over the same time period. Using Jensen’s Alpha to measure the risk/return performance of the Equity fund and the S& 500, which of the following conclusions is TRUE? The:
Equity Fund S& 500
Return 23% 27%
Standard Deviation 15% 19%
Beta 1.09 1.00
Risk-free rate is 3.50%
A) Equity fund underperformed the S& 500 by 6.12%.
B) S& 500 underperformed the equity fund by 2.67%.
C) S& 500 outperformed the equity fund by 3.24%.
Q43. An analyst has generated the following information about risk/return performance using the Sharpe ratio and the Treynor measure:
Equity Fund S& 500
Sharpe ratio 0.47 0.42
Treynor measure 0.31 0.34
Which of the following statements about the relative risk/return performance of the funds is TRUE? The:
A) Treynor measure shows the fund outperformed the S&P 500 on a systematic risk-adjusted basis.
B) Sharpe ratio shows the equity fund outperformed the S&P 500 on a total risk- adjusted basis.
C) Treynor measure shows the fund underperformed the S&P 500 on a total risk-adjusted basis.
Q44. The Treynor measure is correctly defined as a measure of a fund’s:
A) return earned compared to its systematic risk.
B) return earned compared to its unsystematic risk.
C) excess earned compared to its systematic risk.
Q45. Jensen’s alpha for a portfolio measures the:
A) fund’s return in excess of the required rate of return given the unsystematic risk of the portfolio.
B) fund’s return in excess of the required rate of return given the systematic risk of the portfolio.
C) difference between a fund’s return and the market return.
Q46. An analyst has gathered the following information about the performance of an equity fund and the S&P 500 index over the same time period.
Equity Fund S&P 500
Return -12% -16%
Standard Deviation 15% 19%
Beta 1.18 1.00
Risk-free rate is 6.00%
The difference between the Treynor measure for the equity fund and the Treynor measure for the S&P 500 is:
A) 0.07.
B) 0.15.
C) 0.17.
Q47. An analyst has gathered the following information about the performance of an equity fund and the S&P 500 index over the same time period.
Equity Fund S&P 500
Return 32% 26%
Standard Deviation 41% 29%
Beta 0.98 1.00
Risk-free rate is 6.00%
The difference between the Sharpe ratio for the equity fund and the Sharpe ratio for the S&P 500 is the:
A) equity fund is 0.06 lower.
B) S&P 500 is 0.04 lower.
C) S&P 500 is 0.09 higher.
Q48. An analyst has gathered the following information about the performance of an equity fund and the S&P 500 index over the same time period.
Equity Fund S&P 500
Return 27% 29%
Standard Deviation 33% 20%
Beta 0.95 1.00
Risk-free rate is 4.00%
The Treynor measure and the Sharpe ratio, in that order, for the S&P 500 are:
A) 0.33 and 0.97.
B) 0.25 and 1.25.
C) 0.18 and 1.11. | 
发表于 2009-4-10 14:51
| 
