The following data are available relating to the performance of ScoonerStock Fund and the market portfolio: $\begin{array}{lcc} & \text { Scooner } & \text { Market } \\ &&\text { Portfolio }\\ \text { Average return } & 19 \% & 12\% \\ \text { Standard deviations of returns } & 35\% & 15\% \\ \text { Beta } & 1.5 & 1.0 \\ \text { Residual standard deviation } & 3.0 \% & 0.0 \% \end{array}$ The risk-free return during the sample period was 6%. Calculate the information ratio for ScoonerStock Fund.

A) 1.33 B) 4.00 C) 8.67 D) 31.43 E) 37.14 A) 1.33 B) 4.00 C) 8.67 D) 31.43 E) 37.14

The following data are available relating to the performance of Scooner Stock Fund and the market portfolio: $\begin{array}{lcc} & \text { Scooner } & \text { Market } \\ &&\text { Portfolio }\\ \text { Average return } & 19 \% & 12\% \\ \text { Standard deviations of returns } & 35\% & 15\% \\ \text { Beta } & 1.5 & 1.0 \\ \text { Residual standard deviation } & 3.0 \% & 0.0 \% \end{array}$ The risk-free return during the sample period was 6%. Calculate the Jensen measure of performance evaluation for Scooner Stock Fund.

A) 1.33% B) 4.00% C) 8.67% D) 31.43% E) 37.14% A) 1.33% B) 4.00% C) 8.67% D) 31.43% E) 37.14%

The following data are available relating to the performance of Scooner Stock Fund and the market portfolio: $\begin{array}{lcc} & \text { Scooner } & \text { Market } \\ &&\text { Portfolio }\\ \text { Average return } & 19 \% & 12\% \\ \text { Standard deviations of returns } & 35\% & 15\% \\ \text { Beta } & 1.5 & 1.0 \\ \text { Residual standard deviation } & 3.0 \% & 0.0 \% \end{array}$ The risk-free return during the sample period was 6%. What is the Treynor measure of performance evaluation for Scooner Stock Fund?

A) 1.33% B) 4.00% C) 8.67% D) 31.43% E) 37.14% A) 1.33% B) 4.00% C) 8.67% D) 31.43% E) 37.14%

The following data are available relating to the performance of Monarch Stock Fund and the market portfolio: $\begin{array}{lcc} & \text { Monarch } & \text { Market } \\ &&\text { Portfolio }\\ \text { Average return } & 16 \% & 12\% \\ \text { Standard deviations of returns } & 26\% & 22\% \\ \text { Beta } & 1.15 & 1.00 \\ \text { Residual standard deviation } &1 \% & 0 \% \end{array}$ The risk-free return during the sample period was 4%. What is the information ratio measure of performance evaluation for Monarch Stock Fund?

A) 1.00% B) 280.00% C) 44.00% D) 50.00% E) None of the options are correct. A) 1.00% B) 280.00% C) 44.00% D) 50.00% E) None of the options are correct.

The following data are available relating to the performance of Sooner Stock Fund and the market portfolio: $\begin{array}{lcc} & \text { Sooner } & \text { Market } \\ &&\text { Portfolio }\\ \text { Average return } & 20 \% & 11\% \\ \text { Standard deviations of returns } & 44\% & 19\% \\ \text { Beta } & 1.8 & 1.0 \\ \text { Residual standard deviation } & 2.0 \% & 0.0 \% \end{array}$ The risk-free return during the sample period was 3%. What is the Treynor measure of performance evaluation for Sooner Stock Fund?

A) 1.33% B) 4.00% C) 8.67% D) 9.44% E) 37.14% A) 1.33% B) 4.00% C) 8.67% D) 9.44% E) 37.14%

The following data are available relating to the performance of Monarch Stock Fund and the market portfolio: $\begin{array}{lcc} & \text { Monarch } & \text { Market } \\ &&\text { Portfolio }\\ \text { Average return } & 16 \% & 12\% \\ \text { Standard deviations of returns } & 26\% & 22\% \\ \text { Beta } & 1.15 & 1.00 \\ \text { Residual standard deviation } &1 \% & 0 \% \end{array}$ The risk-free return during the sample period was 4%. Calculate Treynor's measure of performance for Monarch Stock Fund.

A) 10.40% B) 8.80% C) 44.00% D) 50.00% A) 10.40% B) 8.80% C) 44.00% D) 50.00%

Exam 24: Portfolio Performance Evaluation

The following data are available relating to the performance of ScoonerStock Fund and the market portfolio: Scooner Market Portfolio Average return 19\% 12\% Standard deviations of returns 35\% 15\% Beta 1.5 1.0 Residual standard deviation 3.0\% 0.0\% The risk-free return during the sample period was 6%. Calculate the information ratio for ScoonerStock Fund.

(Multiple Choice)

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(43)

Question 21

The following data are available relating to the performance of Scooner Stock Fund and the market portfolio: Scooner Market Portfolio Average return 19\% 12\% Standard deviations of returns 35\% 15\% Beta 1.5 1.0 Residual standard deviation 3.0\% 0.0\% The risk-free return during the sample period was 6%. Calculate the Jensen measure of performance evaluation for Scooner Stock Fund.

(Multiple Choice)

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Question 22

The Jensen portfolio evaluation measure

(Multiple Choice)

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Question 23

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

(Multiple Choice)

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(37)

Question 24

The following data are available relating to the performance of Scooner Stock Fund and the market portfolio: Scooner Market Portfolio Average return 19\% 12\% Standard deviations of returns 35\% 15\% Beta 1.5 1.0 Residual standard deviation 3.0\% 0.0\% The risk-free return during the sample period was 6%. What is the Treynor measure of performance evaluation for Scooner Stock Fund?

(Multiple Choice)

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(34)

Question 25

Suppose you purchase one share of the stock of Mayfair Company at the beginning of year 1 for $50. At the end of year 1, you receive a $1 dividend and buy one more share for $72. At the end of year 2, you receive total dividends of $2 (i.e., $1 for each share) and sell the shares for $67.20 each. The dollar-weighted return on your investment is

(Multiple Choice)

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Question 26

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

(Multiple Choice)

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Question 27

Morningstar's RAR methodI) is one of the most widely-used performance measures.II) indicates poor performance by placing up to 5 darts next to the fund's name.III) computes fund returns adjusted for loads.IV) computes fund returns adjusted for risk.V) produces ranking results that are the same as those produced with the Sharpe measure.

(Multiple Choice)

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Question 28

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

(Multiple Choice)

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Question 29

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

(Multiple Choice)

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(24)

Question 30

The following data are available relating to the performance of Monarch Stock Fund and the market portfolio: Monarch Market Portfolio Average return 16\% 12\% Standard deviations of returns 26\% 22\% Beta 1.15 1.00 Residual standard deviation 1\% 0\% The risk-free return during the sample period was 4%. What is the information ratio measure of performance evaluation for Monarch Stock Fund?

(Multiple Choice)

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(42)

Question 31

The geometric average rate of return is based on

(Multiple Choice)

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Question 32

The following data are available relating to the performance of Sooner Stock Fund and the market portfolio: Sooner Market Portfolio Average return 20\% 11\% Standard deviations of returns 44\% 19\% Beta 1.8 1.0 Residual standard deviation 2.0\% 0.0\% The risk-free return during the sample period was 3%. What is the Treynor measure of performance evaluation for Sooner Stock Fund?

(Multiple Choice)

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(32)

Question 33

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

(Multiple Choice)

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(31)

Question 34

The following data are available relating to the performance of Monarch Stock Fund and the market portfolio: Monarch Market Portfolio Average return 16\% 12\% Standard deviations of returns 26\% 22\% Beta 1.15 1.00 Residual standard deviation 1\% 0\% The risk-free return during the sample period was 4%. Calculate Treynor's measure of performance for Monarch Stock Fund.

(Multiple Choice)

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Question 35

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

(Multiple Choice)

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Question 36

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 _.

(Multiple Choice)

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(35)

Question 37

Mutual funds show evidence of serial correlation, and hedge funds show evidence of serial correlation.

(Multiple Choice)

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Question 38

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

(Multiple Choice)

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Question 39

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

(Multiple Choice)

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(39)

Question 40

The Jensen portfolio evaluation measure

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

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

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

The geometric average rate of return is based on

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

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

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 _.

Mutual funds show evidence of serial correlation, and hedge funds show evidence of serial correlation.

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

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

The Investment Environment

Asset Classes and Financial Instruments

How Securities Are Traded

Mutual Funds and Other Investment Companies

Risk, Return, and the Historical Record

Capital Allocation to Risky Assets

Efficient Diversification

Index Models

The Capital Asset Pricing Model

Arbitrage Pricing Theory and Multifactor Models of Risk and Return

The Efficient Market Hypothesis

Behavioral Finance and Technical Analysis

Empirical Evidence on Security Returns

Bond Prices and Yields

The Term Structure of Interest Rates

Managing Bond Portfolios

Macroeconomic and Industry Analysis

Equity Valuation Models

Financial Statement Analysis

Options Markets: Introduction

Option Valuation

Futures Markets

Futures, Swaps, and Risk Management

International Diversification

Hedge Funds

The Theory of Active Portfolio Management

Investment Policy and the Framework of the Cfa Institute

Filters

Exam 24: Portfolio Performance Evaluation

The Jensen portfolio evaluation measure

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

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

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

The geometric average rate of return is based on

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

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

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 ___________.

Mutual funds show ____________ evidence of serial correlation, and hedge funds show ____________ evidence of serial correlation.

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

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

The Investment Environment

Asset Classes and Financial Instruments

How Securities Are Traded

Mutual Funds and Other Investment Companies

Risk, Return, and the Historical Record

Capital Allocation to Risky Assets

Efficient Diversification

Index Models

The Capital Asset Pricing Model

Arbitrage Pricing Theory and Multifactor Models of Risk and Return

The Efficient Market Hypothesis

Behavioral Finance and Technical Analysis

Empirical Evidence on Security Returns

Bond Prices and Yields

The Term Structure of Interest Rates

Managing Bond Portfolios

Macroeconomic and Industry Analysis

Equity Valuation Models

Financial Statement Analysis

Options Markets: Introduction

Option Valuation

Futures Markets

Futures, Swaps, and Risk Management

International Diversification

Hedge Funds

The Theory of Active Portfolio Management

Investment Policy and the Framework of the Cfa Institute

Filters

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 _.

Mutual funds show evidence of serial correlation, and hedge funds show evidence of serial correlation.