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LOS q, (Part 1): Compare and contrast the information ratio, Treynor measure, and Sharpe ratio.
Q1. Jim Kyle has been the manager of the Superior Asset Portfolio for the past ten years. During this time, Superior’s average return was 14.50%. For the purpose of performance evaluation, the Superior Asset Portfolio is compared to the S& 500. During the same time period, the S& 500 had an average annual return of 18%. The standard deviation of surplus return is 23%. What is Superior’s information ratio?
A) 0.16.
B) -0.56.
C) –0.15.
Q2. Jack Gallon is a portfolio manager whose fund sponsor would like to evaluate his performance. It is very important to the fund sponsor to minimize tracking risk. Which of the following would be most appropriate for evaluating his performance?
A) The Treynor ratio.
B) The information ratio.
C) Jensen’s alpha.
Q3. The Information ratio is also referred to as the benefit-cost ratio. What is cost defined as?
A) The standard deviation of benchmark returns.
B) The standard deviation of surplus returns.
C) The standard deviation of portfolio returns.
Q4. Which of the following measures would be the most appropriate one to use when comparing the results of two portfolios in which each portfolio contains many stocks from a broad selection of different industries?
A) Sharpe ratio.
B) Information ratio.
C) Treynor measure.
Q5. Which of the following measures would be the most appropriate one to use when comparing the results of two portfolios in which each portfolio contains only a few number of stocks representing a limited number of industries?
A) Sharpe ratio.
B) Treynor measure.
C) Information ratio. | 
发表于 2009-4-10 14:54
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