[2008] Topic 73: Performance Analysis 相关习题 between, statements, regarding, following

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AIM 2: Distinguish between basic and advanced return-based performance assessment models.

1、How many of the following statements, regarding the cross-sectional analysis of fund managers’ performance, are CORRECT? Cross-sectional analysis:

I.           focuses only on surviving firms.

II.         does not make adjustment for the size of a portfolio.

III.        does not make adjustment for the riskiness of a portfolio.

IV.      offers only a snapshot of performance.

A) None of these.

B) Three of these.

C) All of these. 

D) Two of these.

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The correct answer is C

All of these statements are correct.

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2、All of the following statements regarding performance analysis are correct EXCEPT:

A) return-based performance analysis is a method of assessing risk and returns of an investment.

B) hedge funds use only return-based performance analysis to evaluate managers’ performance and skill.

C) return-based advanced performance analysis adds statistical and theoretical refinement to the basic model.

D) the term performance analysis refers to return-based performance analysis and portfolio-based performance analysis.

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The correct answer is B

Hedge funds use both return-based and portfolio-based performance analysis to evaluate managerial performance and skill.

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AIM 3: Describe how basic performance assessment models account for performance and risk.

1、Based on monthly returns for an actively managed portfolio during the last five years, a benchmark timing regression equation produces an estimate of MTCP (market timing coefficient) equal to 2.3 and a standard error of the estimate equal to 1.8. Based on the estimated t-statistics of _______, we _____________ the null hypothesis that true MTCP = 0 (absence of market timing skills) at 99% confidence level.

A) 2.67; fail to reject.

B) 1.27; fail to reject.

C) 1.27; reject.

D) 3.67; reject.

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The correct answer is B

In order to reject the null hypothesis of H0: true MTCP = 0 versus H1 = true MTCP ≠ 0, at 99% confidence level, we need an estimated t-statistics of 2.67 or larger. Since the t-statistic equals 1.27, we fail to reject the null hypothesis and conclude that there is no evidence of market timing skills.

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2、Nazik, a portfolio manager, claims to have consistently produced excessive returns (over and above the benchmark returns) 95% of the time due to her skill and not luck. To support her claim, she presents regression results based on 72 monthly observations as follows:

alpha = 0.58%.

standard error of alpha = 0.232%

Would you reject the null hypothesis of true α = 0 and accept her claim of superior performance 95% of the time due to her skill?

A) t = 2.50; reject the null hypothesis; reject her claim.

B) t = 2.39; fail to reject the null hypothesis; accept her claim.

C) t = 2.50; reject the null hypothesis; accept her claim.

D) t = 2.39; reject the null hypothesis; accept her claim.

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The correct answer is C

t = alpha / standard error of alpha

t = 0.0058 / 0.00232 = 2.5

Since t is greater than 2, we reject the null hypothesis at 95% confidence level and accept her claim of producing skill-based superior performance.

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3、Benchmark Timing regression (below) is used to evaluate market timing skills of a portfolio manager. A successful market timer will correctly foresee the future directions of the market and will load the portfolio with high beta stocks (low beta stocks) for pending up market (down market).

RP(t) = αP + BP × RB(t) + MTCP(Dt × RB(t)) + εP(t)

RP(t) = realized returns on a portfolio p during time t

αP = intercept of the regression equation

BP = portfolio beta

MTCP = market timing estimated coefficient

εP(t) = regression error terms during time period t

Dt = a dummy variable that is assigned a value of zero for down market and a value of 1 for up market

Regression on twelve years of portfolio returns produces an estimate of MTCP = 4.3 with a standard error of 1.4. These results offer an evidence of a market timing strategy:

I.           which is successful.

II.         which produces a t-statistic of 3.07.

III.        which prohibits us from rejecting the null hypothesis of H0: true, MTCP = 0.

IV.      which enables us to give due credit to the portfolio manager for implementing a successful market timing strategy.

Which of the above statements are CORRECT?

A) I, II, and IV.

B) I, II, and III.

C) II, III, and IV.

D) I, II, III, and IV.

likaiba

 

The correct answer is A

t = 4.3 / 1.4 = 3.07. We rejected the H0: true, MTCP = 0 in favor of H1: true, MTCP ≠ 0, at least at 95% confidence level (α = .05). So statement III is incorrect.