Question 1

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) 
The portfolios identified below are being considered for investment. Assume that during the period under consideration, Rf = .04.
 f = .04.    -Refer to Exhibit 18.2. Using the Sharpe Measure, which portfolio performed best? A)  W B)  X C)  Y D)  Z E)  Two portfolios are tied." class="answers-bank-image d-inline" rel="preload" >
-Refer to Exhibit 18.2. Using the Sharpe Measure, which portfolio performed best?

Accepted Answer

A)   W
B)   X
C)   Y
D)   Z
E)   Two portfolios are tied.F) D) and E)
G) B) and D) C

Question 2

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) 
Given the following information, evaluate the performance of Tyler Incorporated (TI) .
 
-Refer to Exhibit 18.10. Calculate TI's selectivity.

Accepted Answer

A)   0.0113
B)   0.1200
C)   0.0687
D)   0.0530
E)   0.0696F) B) and E)
G) D) and E)

Question 3

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) 
The portfolios identified below are being considered for investment. Assume that during the period under consideration, Rf = .04.
 f = .04.    -Refer to Exhibit 18.2. According to the Treynor Measure, which portfolio performed best? A)  W B)  X C)  Y D)  Z E)  Two portfolios are tied." class="answers-bank-image d-inline" rel="preload" >
-Refer to Exhibit 18.2. According to the Treynor Measure, which portfolio performed best?

Accepted Answer

A)   W
B)   X
C)   Y
D)   Z
E)   Two portfolios are tied.F) B) and D)
G) A) and E)

Question 4

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) 
 
-Refer to Exhibit 18.11. Which of the following statements is TRUE?

Accepted Answer

A)   The portfolio manager earned an extra 0.3% because of a shift in allocation out of bonds and into stocks.
B)   The portfolio manager earned an extra 0.3% because of a shift in allocation out of stocks and into bonds.
C)   The portfolio manager earned an extra 6.5% because of a shift in allocation out of bonds and into stocks.
D)   The portfolio manager earned an extra 6.5% because of a shift in allocation out of stocks and into bonds.
E)   None of these are correct.F) D) and E)
G) All of the above

Question 5

A negative Treynor measure (negative T) for a portfolio always indicates that the portfolio would plot below the SML.

Accepted Answer

A) True 
 B)False

Question 6

Which measure of portfolio performance allows analysts to determine the statistical significance of abnormal returns?

Accepted Answer

A)   Sharpe measure
B)   Jensen measure
C)   Fama measure
D)   Alternative components model (MCV) 
E)   Treynor measureF) A) and E)
G) C) and D)

Question 7

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) 
Consider the data presented below on three mutual funds and the market.
 
-Refer to Exhibit 18.3. Compute the Jensen Measure for the BBB fund.

Accepted Answer

A)   4.49
B)   2.74
C)   4.25
D)   5.55
E)   8.99F) A) and C)
G) All of the above

Question 8

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) 
Given the following information evaluate the performance of Cloud Incorporated (CI) .
 
-Refer to Exhibit 18.9. Calculate CI's risk.

Accepted Answer

A)   0.1225
B)   0.1000
C)   0.0525
D)   0.0475
E)   0.0325F) All of the above
G) A) and E)

Question 9

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) 
The portfolios identified below are being considered for investment. During the period under consideration, Rf = .03.
 f = .03.    -Refer to Exhibit 18.1. According to the Treynor Measure, which portfolio performed best? A)  A B)  B C)  C D)  D E)  Two portfolios are tied" class="answers-bank-image d-inline" rel="preload" >
-Refer to Exhibit 18.1. According to the Treynor Measure, which portfolio performed best?

Accepted Answer

A)   A
B)   B
C)   C
D)   D
E)   Two portfolios are tiedF) A) and B)
G) C) and E)

Question 10

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) 
The last year's performance for four mutual funds is presented below. The market return was 10.70 percent, the standard deviation was 13.1 percent last year, and the risk-free rate of return was 5%.
 
-Refer to Exhibit 18.7. Based on the Sharpe Measure, which portfolio preformed best?

Accepted Answer

A)   A
B)   B
C)   C
D)   D
E)   marketF) B) and D)
G) A) and E)

Question 11

The Sharpe and Treynor measures always give different rankings.

Accepted Answer

A) True 
 B)False

Question 12

Duration is considered a good measure of risk for a bond portfolio because it indicates the relative volatility of the bond or portfolio due to interest rate changes and the rating of the bonds.

Accepted Answer

A) True 
 B)False

Question 13

In the Grinblatt-Titman (GT)  performance measure,

Accepted Answer

A)   portfolio performance is measured by assessing the quality of services provided by money managers by looking at adjustments made to the content of their portfolios.
B)   portfolio performance is measured by examining both unsystematic and systematic risk.
C)   portfolio performance is measured by comparing the returns of each stock in the portfolio to the return of a benchmark portfolio.
D)   portfolio performance is measured on the basis of return per unit of risk.
E)   portfolio performance is measured on the basis of historic average differential return per unit of historic variability of differential return.F) A) and B)
G) All of the above

Question 14

In evaluating bond performance, the Barclays Aggregate Bond Index is an appropriate risk measure.

Accepted Answer

A) True 
 B)False

Question 15

A portfolio performance measurement technique that decomposes the return of a manager's holdings to a predetermined benchmark's returns and separates the difference into an allocation and selection is called

Accepted Answer

A)   immunization analysis.
B)   performance attribution analysis.
C)   tactical rankings.
D)   convexity utilization.
E)   duration matching attrition.F) B) and C)
G) All of the above

Question 16

A manager's superior returns could have occurred due to

Accepted Answer

A)   an insightful asset allocation strategy that over weighted an asset class that earned high returns.
B)   investing in undervalued sectors.
C)   selecting individual securities that earned above average returns.
D)   timing broad market movements.
E)   All of these are correct.F) C) and E)
G) A) and D) E

Question 17

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) 
Consider the data presented below on three mutual funds and the market.
 
-Refer to Exhibit 18.3. Compute the Sharpe Measure for the AAA fund.

Accepted Answer

A)   4.49
B)   2.74
C)   1.57
D)   1.70
E)   1.27F) A) and B)
G) C) and D)

Question 18

Suppose the expected return for the market portfolio and risk-free rate are 13 percent and 3 percent respectively. Stocks A, B, and C have Treynor measures of 0.24, 0.16, and 0.11, respectively. Based on this information, an investor should

Accepted Answer

A)   buy stocks A, B, and C.
B)   buy stocks A and B and sell stock C.
C)   buy stock A and sell stocks B and C.
D)   sell stocks A, B, and C.
E)   hold stocks A, B, and C.F) A) and D)
G) A) and E)

Question 19

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) 
The data presented below has been collected at this point in time.
 
-Refer to Exhibit 18.5. Compute the Jensen Measure for the YYY fund.

Accepted Answer

A)   6.98
B)   2.35
C)   2.53
D)   3.86
E)   1.72F) None of the above
G) A) and C)

Question 20

Sharpe's performance measure divides the portfolio's risk premium by the

Accepted Answer

A)   standard deviation of the rate of return.
B)   variance of the rate of return.
C)   slope of the fund's characteristic line.
D)   beta.
E)   risk-free rate.F) A) and B)
G) A) and E) A

Exam 18: Evaluation of Portfolio Performance

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) The portfolios identified below are being considered for investment. Assume that during the period under consideration, R_f = .04. -Refer to Exhibit 18.2. Using the Sharpe Measure, which portfolio performed best?

Correct Answer
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C

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) Given the following information, evaluate the performance of Tyler Incorporated (TI) . -Refer to Exhibit 18.10. Calculate TI's selectivity.

Correct Answer
verified

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) The portfolios identified below are being considered for investment. Assume that during the period under consideration, R_f = .04. -Refer to Exhibit 18.2. According to the Treynor Measure, which portfolio performed best?

Correct Answer
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USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) -Refer to Exhibit 18.11. Which of the following statements is TRUE?

Correct Answer
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A negative Treynor measure (negative T) for a portfolio always indicates that the portfolio would plot below the SML.

Correct Answer
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Which measure of portfolio performance allows analysts to determine the statistical significance of abnormal returns?

Correct Answer
verified

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) Consider the data presented below on three mutual funds and the market. -Refer to Exhibit 18.3. Compute the Jensen Measure for the BBB fund.

Correct Answer
verified

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) Given the following information evaluate the performance of Cloud Incorporated (CI) . -Refer to Exhibit 18.9. Calculate CI's risk.

Correct Answer
verified

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) The portfolios identified below are being considered for investment. During the period under consideration, R_f = .03. -Refer to Exhibit 18.1. According to the Treynor Measure, which portfolio performed best?

Correct Answer
verified

Correct Answer
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The Sharpe and Treynor measures always give different rankings.

Correct Answer
verified

Duration is considered a good measure of risk for a bond portfolio because it indicates the relative volatility of the bond or portfolio due to interest rate changes and the rating of the bonds.

Correct Answer
verified

In the Grinblatt-Titman (GT) performance measure,

Correct Answer
verified

In evaluating bond performance, the Barclays Aggregate Bond Index is an appropriate risk measure.

Correct Answer
verified

A portfolio performance measurement technique that decomposes the return of a manager's holdings to a predetermined benchmark's returns and separates the difference into an allocation and selection is called

Correct Answer
verified

A manager's superior returns could have occurred due to

Correct Answer
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E

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) Consider the data presented below on three mutual funds and the market. -Refer to Exhibit 18.3. Compute the Sharpe Measure for the AAA fund.

Correct Answer
verified

Suppose the expected return for the market portfolio and risk-free rate are 13 percent and 3 percent respectively. Stocks A, B, and C have Treynor measures of 0.24, 0.16, and 0.11, respectively. Based on this information, an investor should

Correct Answer
verified

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) The data presented below has been collected at this point in time. -Refer to Exhibit 18.5. Compute the Jensen Measure for the YYY fund.

Correct Answer
verified

Sharpe's performance measure divides the portfolio's risk premium by the

Correct Answer
verified
A

Exam 18: Evaluation of Portfolio Performance

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) The portfolios identified below are being considered for investment. Assume that during the period under consideration, Rf = .04. -Refer to Exhibit 18.2. Using the Sharpe Measure, which portfolio performed best?

Correct AnswerverifiedC

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) Given the following information, evaluate the performance of Tyler Incorporated (TI) . -Refer to Exhibit 18.10. Calculate TI's selectivity.

Correct AnswerverifiedShow Answer

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) The portfolios identified below are being considered for investment. Assume that during the period under consideration, Rf = .04. -Refer to Exhibit 18.2. According to the Treynor Measure, which portfolio performed best?

Correct AnswerverifiedShow Answer

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) -Refer to Exhibit 18.11. Which of the following statements is TRUE?

Correct AnswerverifiedShow Answer

A negative Treynor measure (negative T) for a portfolio always indicates that the portfolio would plot below the SML.

Correct AnswerverifiedShow Answer

Which measure of portfolio performance allows analysts to determine the statistical significance of abnormal returns?

Correct AnswerverifiedShow Answer

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) Consider the data presented below on three mutual funds and the market. -Refer to Exhibit 18.3. Compute the Jensen Measure for the BBB fund.

Correct AnswerverifiedShow Answer

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) Given the following information evaluate the performance of Cloud Incorporated (CI) . -Refer to Exhibit 18.9. Calculate CI's risk.

Correct AnswerverifiedShow Answer

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) The portfolios identified below are being considered for investment. During the period under consideration, Rf = .03. -Refer to Exhibit 18.1. According to the Treynor Measure, which portfolio performed best?

Correct AnswerverifiedShow Answer

Correct AnswerverifiedShow Answer

The Sharpe and Treynor measures always give different rankings.

Correct AnswerverifiedShow Answer

Duration is considered a good measure of risk for a bond portfolio because it indicates the relative volatility of the bond or portfolio due to interest rate changes and the rating of the bonds.

Correct AnswerverifiedShow Answer

In the Grinblatt-Titman (GT) performance measure,

Correct AnswerverifiedShow Answer

In evaluating bond performance, the Barclays Aggregate Bond Index is an appropriate risk measure.

Correct AnswerverifiedShow Answer

A portfolio performance measurement technique that decomposes the return of a manager's holdings to a predetermined benchmark's returns and separates the difference into an allocation and selection is called

Correct AnswerverifiedShow Answer

A manager's superior returns could have occurred due to

Correct AnswerverifiedE

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) Consider the data presented below on three mutual funds and the market. -Refer to Exhibit 18.3. Compute the Sharpe Measure for the AAA fund.

Correct AnswerverifiedShow Answer

Suppose the expected return for the market portfolio and risk-free rate are 13 percent and 3 percent respectively. Stocks A, B, and C have Treynor measures of 0.24, 0.16, and 0.11, respectively. Based on this information, an investor should

Correct AnswerverifiedShow Answer

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) The data presented below has been collected at this point in time. -Refer to Exhibit 18.5. Compute the Jensen Measure for the YYY fund.

Correct AnswerverifiedShow Answer

Sharpe's performance measure divides the portfolio's risk premium by the

Correct AnswerverifiedA

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) The portfolios identified below are being considered for investment. Assume that during the period under consideration, R_f = .04. -Refer to Exhibit 18.2. Using the Sharpe Measure, which portfolio performed best?

Correct Answer
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C

Correct Answer
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USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) The portfolios identified below are being considered for investment. Assume that during the period under consideration, R_f = .04. -Refer to Exhibit 18.2. According to the Treynor Measure, which portfolio performed best?

Correct Answer
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Correct Answer
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USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) The portfolios identified below are being considered for investment. During the period under consideration, R_f = .03. -Refer to Exhibit 18.1. According to the Treynor Measure, which portfolio performed best?

Correct Answer
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Correct Answer
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E

Correct Answer
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Correct Answer
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A