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Exam 24: Portfolio Performance Evaluation

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Question 31

Multiple Choice

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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 Jensen's measure of performance for Wildcat Fund.

A) 1.00%
B) 8.80%
C) 44.00%
D) 50.00%

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

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Question 32

Multiple Choice

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The geometric average rate of return is based on

A) the market's volatility.
B) the concept of expected return.
C) the standard deviation of returns.
D) the CAPM.
E) the principle of compounding.

F) D) and E)
G) A) and C)

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Question 33

Multiple Choice

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Suppose you purchase one share of the stock of Volatile Engineering Corporation at the beginning of year 1 for $36.At the end of year 1, you receive a $2 dividend and buy one more share for $30.At the end of year 2, you receive total dividends of $4 (i.e., $2 for each share) and sell the shares for $36.45 each.The dollar-weighted return on your investment is

Suppose the risk-free return is 3%.The beta of a managed portfolio is 1.75, the alpha is 0%, and the average return is 16%.Based on Jensen's measure of portfolio performance, you would calculate the return on the market portfolio as

The following data are available relating to the performance of Sooner Stock Fund and the market portfolio: The risk-free return during the sample period was 3%. What is the Sharpe measure of performance evaluation for Sooner 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 Sharpe's measure of performance for Monarch Stock Fund.

The following data are available relating to the performance of Sooner Stock Fund and the market portfolio: The risk-free return during the sample period was 3%. What is the Treynor measure of performance evaluation for Sooner Stock Fund?

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 asset allocation across markets to the total excess return was

Rodney holds a portfolio of risky assets that represents his entire risky investment.To evaluate the performance of Rodney's portfolio, in which order would you complete the steps listed? I) Compare the Sharpe measure of Rodney's portfolio to the Sharpe measure of the best portfolio. II) State your conclusions. III) Assume that past security performance is representative of expected performance. IV) Determine the benchmark portfolio that Rodney would have held if he had chosen a passive strategy.

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

Suppose the risk-free return is 4%.The beta of a managed portfolio is 1.2, the alpha is 1%, and the average return is 14%.Based on Jensen's measure of portfolio performance, you would calculate the return on the market portfolio as

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%. What is the Sharpe measure of performance evaluation for Long Horn Stock Fund?

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%. What is the information ratio measure of performance evaluation for Wildcat Fund?

Risk-adjusted mutual fund performance measures have decreased in popularity because

The dollar-weighted return on a portfolio is equivalent to

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 Treynor's measure of performance for Wildcat Fund.

The M-squared measure considers

Hedge funds I) are appropriate as a sole investment vehicle for an investor. II. should only be added to an already well-diversified portfolio. III. pose performance-evaluation issues due to nonlinear factor exposures. IV. have down-market betas that are typically larger than up-market betas. V. have symmetrical betas.

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 Sharpe measure, the performance of Buckeye Fund

The following data are available relating to the performance of Sooner Stock Fund and the market portfolio: The risk-free return during the sample period was 3%. Calculate the information ratio for Sooner Stock Fund.