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Q17. Which of the following measures used to evaluate the performance of a portfolio manager is/are NOT subject to the assumptions of the capital asset pricing model (CAPM)?
A) Jensen's alpha.
B) Sharpe measure.
C) Jensen's alpha and the Treynor measure.
Q18. An analyst has gathered the following information about the performance of an equity fund and the S& 500 index over the same time period.
Equity Fund S& 500
Return 13% 10.5%
Standard Deviation 22% 20%
Beta 1.21 1.00
Risk-free rate is 5.25%
The Treynor measure for the equity fund is:
A) 0.064.
B) 0.570.
C) 0.048.
Q19. An analyst has gathered the following information about the performance of an equity fund and the S& 500 index over the same time period.
Equity Fund S& 500
Return 21% 24%
Standard Deviation 19% 17%
Beta 1.05 1.00
Risk-free rate is 4.50%
The Sharpe ratio for the equity fund is:
A) 0.87.
B) 0.76.
C) 0.84.
Q20. The following four funds are being considered for investment. If Treasury bills (T-bills) yielded 5% during the period, which fund had the highest average annual return?
|
Fund |
Treynor Measure |
Beta |
Std. Dev. |
|
A |
0.12 |
1.10 |
0.14 |
|
B |
0.17 |
1.25 |
0.21 |
|
C |
0.21 |
0.80 |
0.10 |
A) Fund B.
B) Fund A.
C) Fund C.
Q21. The Sharpe ratio, Treynor measure, the M2 measure and Jensen’s Alpha techniques all measure the risk/return performance of portfolios. Which of the following statements about these measurement techniques is least accurate?
A) Using the capital market line the M2 compares the account's return to the market return and is a comparative measure.
B) The Sharpe ratio measures the slope of the capital allocation line (CAL), with the lowest slope having the most desirable risk/return combination.
C) While the Treynor measure computes excess return per unit of risk, Jensen's Alpha measures differential return for a given level of risk.
Q22. The ratio of return to systematic risk for an investment portfolio is 0.70, while the market is 0.50. This information suggests that the portfolio:
A) exhibits inferior performance because it has more risk than the market.
B) exhibits superior performance because the return per unit of risk is above that of the market.
C) is not diversified enough, and more securities should be purchased to bring the portfolio in line with the market.
Q23. Of the Sharpe, Treynor, and Jensen’s Alpha measures, when dealing with a sector fund which will be added to the investor’s overall larger portfolio, which is the most relevant measurement technique to assess relative risk/return performance?
A) Treynor measure.
B) Both measures are equally appropriate.
C) Sharpe ratio.
Q24. Of the Sharpe, Treynor, and Jensen’s Alpha measures, when measuring the risk/return performance of actively managed portfolios, which is the most appropriate to use?
A) Sharpe ratio.
B) Jensen's Alpha.
C) Both measures are equally appropriate.
Q25. Which of the following statements about the evaluation of portfolio performance is FALSE?
A) The security market line (SML) represents an active investment strategy when Jensen's Alpha is used as the measure for portfolio performance.
B) In the decomposition of portfolio performance, a naive portfolio is constructed with its standard deviation set equal to the total risk of the manager's portfolio that is being evaluated.
C) When using the Sharpe ratio, the portfolio with the highest capital allocation line (CAL) slope is the best portfolio.
Q26. Which of the following statements regarding diversification and risk adjusted performance measures is least accurate?
A) Treynor's performance measure should be used to evaluate portfolios that will be an addition to an overall larger portfolio.
B) Treynor's performance measure assumes a well diversified portfolio.
C) Investors want their portfolio managers to completely diversify their portfolios. | 
发表于 2009-4-10 14:43
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