Exam 24: Portfolio Performance Evaluation

Suppose a particular investment earns an arithmetic return of 10% in year 1, 20% in year 2, and 30% in year 3.The geometric average return for the period will be

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 time-weighted return on your investment is

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

Suppose you buy 100 shares of Abolishing Dividend Corporation at the beginning of year 1 for $80.Abolishing Dividend Corporation pays no dividends.The stock price at the end of year 1 is $100, $120 at the end of year 2, and $150 at the end of year 3.The stock price declines to $100 at the end of year 4, and you sell your 100 shares.For the four years, your geometric average return is

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 Treynor measure of performance evaluation 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 Treynor's measure of performance for Monarch Stock Fund.

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 Sharpe measure, the performance of Aggie Fund

If an investor has a portfolio that has constant proportions in T-bills and the market portfolio, the portfolio's characteristic line will plot as a line with ___________.If the investor can time bull markets, the characteristic line will plot as a line with ___________.