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Q11. What are the time-weighted and money-weighted returns for the Franklin account during August (assuming compounding every half-month)?
A) The time-weighted return is –17.8% and money-weighted return is –15.5%.
B) The time-weighted return is –15.6% and money-weighted return is –19.8%.
C) The time-weighted return is 4.3% and money-weighted return is 4.3%.
Q12. Concerning the valuation of the Franklin account, Johnson and Meinrod were:
Johnson Meinrod
A) Correct. Correct.
B) Incorrect. Incorrect.
C) Correct. Incorrect.
Q13. The statements Johnson and Meinrod made concerning the use of a valid benchmark for the Cutter fund were:
Johnson Meinrod
A) Correct. Correct.
B) Correct. Incorrect.
C) Incorrect. Incorrect.
Q14. What is the portion of Cutter’s return due to active management?
A) –0.30%.
B) 1.10%.
C) 0.80%.
Q15. What is the portion of Cutter’s return due to style?
A) 0.80%.
B) –0.30%.
C) 1.10%.
Q16. Mega Marketing (Mega), an advertising agency that specializes in creating marketing materials for the financial services industry, has just hired Kinara Yamisaka. Yamisaka was a finance major in college and is a candidate for the CFA program. She was hired because her supervisor, Jack Goode, realized that the firm needed more depth in the area of investment performance analysis if it wanted to retain and/or expand its business with money managers.
Mega Marketing is preparing advertising information for Vega Funds Limited. Vega has provided the following five-year annual return data:
|
Vega Funds Limited*
*Year 5 is most recent period |
|
Year |
Return |
|
1 |
-10% |
|
2 |
25% |
|
3 |
-5% |
|
4 |
30% |
|
5 |
5% |
To assess her understanding of returns, Goode has asked Yamisaka to calculate a number of different returns including arithmetic, geometric, annualized and money-weighted returns. He also asks to determine the impact of the following cash flow scenarios on Vega's returns:
|
Cash Flows |
Scenario 1 |
Scenario 2 |
Scenario 3 |
|
Beginning Market Value |
$100 |
$100 |
$100 |
|
End of Year 2 Deposit (Withdrawal) |
None |
20 |
(10) |
|
End of Year 5 Market Value |
??? |
??? |
??? |
Before leaving Yamisaka's office, Goode comments, "It's great to have someone like you on board. Please be sure to thoroughly understand the three steps in performance evaluation, particularly performance attribution which involves the subjective judgment of a manager's skill by using risk-adjusted measures or benchmark comparisons."
Yamisaka replies, "I thought performance attribution was the process of breaking down a manager's performance into components of return, but I'll be sure to brush up on all three steps."
"Great," says Goode. "While you're at it, how about finishing the following exhibit for me?"
Exhibit 1 - Return Calculations
|
Return |
Definition |
|
1. Holding Period |
Return over a specified holding period. Only accurately measures the performance when no cash infusion/withdrawals have been made. |
|
2. |
Equates the future value of net inflows (made in the past) with the present value of the portfolio such that net present value = zero. The internal rate of return. |
|
3. |
Geometric mean of the single holding period returns earned over the measurement period, where holding periods are bounded by external cash flows. |
|
4. |
The "expected" mean return. |
What are Vega's arithmetic and geometric average returns per year (over the 5-year period)?
Arithmetic Geometric
A) 15.14% 9.00%
B) 9.00% 7.85%
C) 4.00% 15.14%
Q17. What are Vega’s money weighted average returns per year (over the 5 year period) for Scenarios 2 and 3?
Scenario 2 Scenario 3
A) 7.78% 7.96%
B) 9.00% 7.85%
C) 7.96% 7.78%
Q18. Yamisaka has determined that the average monthly return of another Mega client was 1.63% during the past year. What is the annualized rate of return?
A) 12.14%.
B) 21.41%.
C) 5.13%.
Q19. Concerning the comments of Goode and Yamisaka about performance attribution:
A) Goode is correct; Yamisaka is incorrect.
B) Goode is correct; Yamisaka is correct.
C) Goode is incorrect; Yamisaka is correct.
Q20. The three types of return calculation methods (# 2, 3, 4) missing from Exhibit 1 are:
A) 2. dollar weighted; 3. arithmetic; 4. money weighted.
B) 2. money weighted; 3. time weighted; 4. dollar weighted.
C) 2. money weighted; 3. time weighted; 4. arithmetic.
Q21. The return calculation method most appropriate for evaluating the performance of a portfolio manager is:
A) holding period.
B) geometric.
C) money weighted.
Q22. Tom Stovall is a portfolio manager who tracks the Wilshire 5000 Index. He received a large cash inflow from a client prior to a bull market. Which of the following most accurately characterizes the relationship for the time-weighted return and the money-weighted return for Tom? The time-weighted return will be:
A) inflated by the timing of the cash inflow and the time-weighted return will be larger than the money-weighted return.
B) unaffected by the timing of the cash inflow and the time-weighted return will be larger than the money-weighted return.
C) unaffected by the timing of the cash inflow and the time-weighted return will be smaller than the money-weighted return. | 
发表于 2009-4-10 13:25
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