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LOS s: Distinguish among the components of total active return ("true" active return and "misfit" active return) and their associated risk measures and explain their relevance for evaluating a portfolio of managers.
Q1. Using the following information, what is the investor’s “true” information ratio?
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Manager Return |
11.0% |
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Investor's Benchmark |
12.0% |
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Normal Portfolio Return |
7.0% |
|
Total Active Risk |
4.8% |
|
Misfit Active Risk |
2.8% |
A) 1.43.
B) -0.21.
C) 1.03.
Q2. Which of the following is least likely to be an objective of optimization after decomposing total active return into true and misfit components?
A) Generate a positive “true” information ratio.
B) Maximize total active return.
C) Eliminate misfit risk.
Q3. n which of the following portfolios would misfit risk be largest? A portfolio:
A) generated using a core-satellite approach.
B) generated using a completeness fund approach.
C) that is indexed to a broad market.
Q4. Using the following information, what is the investor’s “true” information ratio?
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Manager Return |
14.0% |
|
Investor's Benchmark |
11.0% |
|
Normal Portfolio Return |
16.0% |
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Total Active Risk |
5.0% |
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Misfit Active Risk |
3.2% |
A) –0.63.
B) 0.60.
C) –0.52. | 
发表于 2009-3-9 09:39
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