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Exam 24: Portfolio Performance Evaluation

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Question 21

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The following data are available relating to the performance of Long Horn Stock Fund and the market portfolio: The risk-free return during the sample period was 6%. Calculate the Jensen measure of performance evaluation for Long Horn Stock Fund.

A) 1.33%
B) 4.00%
C) 8.67%
D) 31.43%

E) A) and C)
F) A) and B)

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Question 22

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In measuring the comparative performance of different fund managers, the preferred method of calculating rate of return is

A) internal rate of return.
B) arithmetic average.
C) dollar weighted.
D) time weighted.

E) B) and C)
F) A) and D)

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Question 23

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To determine whether portfolio performance is statistically significant requires

The M² measure was developed by

Suppose you own two stocks, A and B) In year 1, stock A earns a 2% return and stock B earns a 9% return.In year 2, stock A earns an 18% return and stock B earns an 11% return.__________ has the higher arithmetic average return.

Suppose the risk-free return is 6%.The beta of a managed portfolio is 1.5, the alpha is 3%, and the average return is 18%.Based on Jensen's measure of portfolio performance, you would calculate the return on the market portfolio as

The Value Line Index is an equally-weighted geometric average of the returns of about 1,700 firms.The value of an index based on the geometric average returns of three stocks where the returns on the three stocks during a given period were 32%, 5%, and-10%, respectively, is

Suppose two portfolios have the same average return and the same standard deviation of returns, but Buckeye Fund has a lower beta than Gator Fund.According to the Treynor measure, the performance of Buckeye Fund

In a particular year, Razorback Mutual Fund earned a return of 1% by making the following investments in asset classes: The return on a bogey portfolio was 2%, calculated from the following information. The contribution of asset allocation across markets to the Razorback Fund's total excess return was

The __________ measures the reward to volatility trade-off by dividing the average portfolio excess return by the standard deviation of returns.

The Sharpe, Treynor, and Jensen portfolio performance measures are derived from the CAPM,

In a particular year, Razorback Mutual Fund earned a return of 1% by making the following investments in asset classes: The return on a bogey portfolio was 2%, calculated from the following information. The contribution of selection within markets to the Razorback Fund's total excess return was

Henriksson (1984) found that, on average, betas of funds __________ during market advances.

In a particular year, Aggie Mutual Fund earned a return of 15% by making the following investments in the following asset classes: The return on a bogey portfolio was 10%, calculated as follows: The contribution of selection within markets to total excess return was

Suppose two portfolios have the same average return and the same standard deviation of returns, but Aggie Fund has a higher beta than Raider Fund.According to the Treynor measure, the performance of Aggie Fund

The following data are available relating to the performance of Long Horn Stock Fund and the market portfolio: The risk-free return during the sample period was 6%. Calculate the information ratio for Long Horn Stock Fund.

The following data are available relating to the performance of Monarch Stock Fund and the market portfolio: The risk-free return during the sample period was 4%. Calculate Jensen's measure of performance for Monarch Stock Fund.

The Modigliani M² measure and the Treynor T² measure

A pension fund that begins with $500,000 earns 15% the first year and 10% the second year.At the beginning of the second year, the sponsor contributes another $300,000.The dollar-weighted and time-weighted rates of return, respectively, were

The following data are available relating to the performance of Wildcat Fund and the market portfolio: The risk-free return during the sample period was 7%. Calculate Sharpe's measure of performance for Wildcat Fund.