A portfolio consists of the following two funds: $\begin{array}{lcr} &\text { Fund A }& \text { Fund B }\\ \text {\$ Invested } & \$ 12,000 & \$ 8,000 \\ \text { Weight } & 60\% & 40\% \\ \text { Exp Return } & 15\% & 12\% \\ \text { Std Dev } & 24\% & 14\% \\ \text { Beta } & 1.92 & 1.27 \\ \text { Corr(A, B) } & .43 &\\ \text { Riakfree rate }&3.60 \end{array}$ What is the Sharpe ratio of the portfolio?

A) .422 B) .581 C) .645 D) .721 E) .798 A) .422 B) .581 C) .645 D) .721 E) .798

Exam 13: Performance Evaluation and Risk Management

Your portfolio actually earned 4.39% for the year. You were expecting to earn 6.27% based on the CAPM formula. What is Jensen's alpha if the portfolio standard deviation is 12.1% and the beta is .99?

(Multiple Choice)

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Question 41

A portfolio consists of the following two funds: Fund A Fund B \ Invested \ 12,000 \ 8,000 Weight 60\% 40\% Exp Return 15\% 12\% Std Dev 24\% 14\% Beta 1.92 1.27 Corr(A, B) .43 Riakfree rate 3.60 What is the Sharpe ratio of the portfolio?

(Multiple Choice)

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Question 42

A portfolio has a Sharpe ratio of .74, a standard deviation of 18.0%, and an expected return of 15.9%. What is the risk-free rate?

(Multiple Choice)

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Question 43

You want to create the best portfolio that can be derived from two assets. Which one of the following will help you identify that portfolio?

(Multiple Choice)

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Question 44

Which one of the following is the best interpretation of this VaR statistic: Prob (R_p ≤ − .15)= 37%?

(Multiple Choice)

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Question 45

Trailer Co. stock has an expected return of 12.2% and a standard deviation of 11.8%. What is the smallest expected loss over the next month given a probability of 5%?

(Multiple Choice)

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Question 46

You have computed the expected return using VaR with a 2.5% probability for a 1-year period. How would this expected return be expressed on a normal distribution curve?

(Multiple Choice)

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Question 47

A portfolio consists of the following two funds: What is the Sharpe ratio of the portfolio?

(Multiple Choice)

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Question 48

A portfolio has a standard deviation of 12.1%, a beta of 1.24, and a Treynor ratio of .094. The risk-free rate is 3.2%. What is the portfolio's expected rate of return?

(Multiple Choice)

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Question 49

Rick's portfolio has a 3-year standard deviation of 12.2%. What is the 1-year standard deviation for Rick's portfolio?

(Multiple Choice)

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Question 50

A diversified portfolio has a beta of 1.33 and a raw return of 9.38%. The market return is 10.10% and the market risk premium is 6.58%. What is Jensen's alpha of the portfolio?

(Multiple Choice)

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Question 51

A Sharpe-optimal portfolio provides which one of the following for a given set of securities?

(Multiple Choice)

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Question 52

You are considering the purchase of a mutual fund. You have found three funds that meet your basic criteria. Each fund has a different alpha. Which alpha indicates the preferred investment?

(Multiple Choice)

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Question 53

A portfolio has a variance of .04050, a beta of 1.60, and an expected return of 18.9%. What is the Treynor ratio if the expected risk-free rate is 4.5%?

(Multiple Choice)

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Question 54

A portfolio has a Sharpe ratio of .75, a standard deviation of 17.0%, and an expected return of 15.9%. What is the risk-free rate?

(Multiple Choice)

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Question 55

You have a portfolio which has an average return of 10.3%. In any given year, you have a 2.5% probability of earning either a zero or a negative annual return. What is the approximate standard deviation of your portfolio? Probability "z" value of loss 1.0\% 2.326 2.5 1.960 5.0 1.645

(Multiple Choice)

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Question 56

Angie owns a portfolio which has an expected annual return of 9.76%. What is the 2-year expected return on her portfolio?

(Multiple Choice)

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Question 57

A portfolio has a variance of .03105, a beta of 1.40, and an expected return of 13.3%. What is the Treynor ratio if the expected risk-free rate is 4.5%?

(Multiple Choice)

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Question 58

Which metric measures how volatile a fund's returns are relative to its benchmark?

(Multiple Choice)

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Question 59

A portfolio has an actual return of 15.17%, a beta of .90, and a standard deviation of 7.2%. The market return is 13.4% and the risk-free rate is 2.8%. What is the portfolio's Jensen's alpha?

(Multiple Choice)

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Question 60

Showing 41 - 60 of 102

Exam 13: Performance Evaluation and Risk Management

Your portfolio actually earned 4.39% for the year. You were expecting to earn 6.27% based on the CAPM formula. What is Jensen's alpha if the portfolio standard deviation is 12.1% and the beta is .99?

A portfolio consists of the following two funds: Fund A Fund B \ Invested \ 12,000 \ 8,000 Weight 60\% 40\% Exp Return 15\% 12\% Std Dev 24\% 14\% Beta 1.92 1.27 Corr(A, B) .43 Riakfree rate 3.60 What is the Sharpe ratio of the portfolio?

A portfolio has a Sharpe ratio of .74, a standard deviation of 18.0%, and an expected return of 15.9%. What is the risk-free rate?

You want to create the best portfolio that can be derived from two assets. Which one of the following will help you identify that portfolio?

Which one of the following is the best interpretation of this VaR statistic: Prob (Rp ≤ − .15)= 37%?

Trailer Co. stock has an expected return of 12.2% and a standard deviation of 11.8%. What is the smallest expected loss over the next month given a probability of 5%?

You have computed the expected return using VaR with a 2.5% probability for a 1-year period. How would this expected return be expressed on a normal distribution curve?

A portfolio consists of the following two funds: What is the Sharpe ratio of the portfolio?

A portfolio has a standard deviation of 12.1%, a beta of 1.24, and a Treynor ratio of .094. The risk-free rate is 3.2%. What is the portfolio's expected rate of return?

Rick's portfolio has a 3-year standard deviation of 12.2%. What is the 1-year standard deviation for Rick's portfolio?

A diversified portfolio has a beta of 1.33 and a raw return of 9.38%. The market return is 10.10% and the market risk premium is 6.58%. What is Jensen's alpha of the portfolio?

A Sharpe-optimal portfolio provides which one of the following for a given set of securities?

You are considering the purchase of a mutual fund. You have found three funds that meet your basic criteria. Each fund has a different alpha. Which alpha indicates the preferred investment?

A portfolio has a variance of .04050, a beta of 1.60, and an expected return of 18.9%. What is the Treynor ratio if the expected risk-free rate is 4.5%?

A portfolio has a Sharpe ratio of .75, a standard deviation of 17.0%, and an expected return of 15.9%. What is the risk-free rate?

You have a portfolio which has an average return of 10.3%. In any given year, you have a 2.5% probability of earning either a zero or a negative annual return. What is the approximate standard deviation of your portfolio? Probability "z" value of loss 1.0\% 2.326 2.5 1.960 5.0 1.645

Angie owns a portfolio which has an expected annual return of 9.76%. What is the 2-year expected return on her portfolio?

A portfolio has a variance of .03105, a beta of 1.40, and an expected return of 13.3%. What is the Treynor ratio if the expected risk-free rate is 4.5%?

Which metric measures how volatile a fund's returns are relative to its benchmark?

A portfolio has an actual return of 15.17%, a beta of .90, and a standard deviation of 7.2%. The market return is 13.4% and the risk-free rate is 2.8%. What is the portfolio's Jensen's alpha?

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Which one of the following is the best interpretation of this VaR statistic: Prob (R_p ≤ − .15)= 37%?