Question 1

The risk-free rate, average returns, standard deviations and betas for three funds and the S&P500 are given below.
  What is the T2 measure for Portfolio A?

Accepted Answer

A)  12.4% 
B)  2.38% 
C)  0.91% 
D)  3.64% 
A)  12.4% 
B)  2.38% 
C)  0.91% 
D)  3.64% B

Question 2

The average returns, standard deviations and betas for three funds are given below along with data for the S&P 500 index. The risk-free return during the sample period is 6%.   You wish to evaluate the three mutual funds using the Jensen measure for performance evaluation. The fund with the highest Jensen measure of performance is ________.

Accepted Answer

A)  Fund A 
B)  Fund B 
C)  Fund C 
D)  S&P500 
A)  Fund A 
B)  Fund B 
C)  Fund C 
D)  S&P500 B

Question 3

The risk-free rate, average returns, standard deviations and betas for three funds and the S&P500 are given below.
  What is the M2 measure for Portfolio B?

Accepted Answer

A)  0.43% 
B)  1.25% 
C)  1.77% 
D)  1.43% 
A)  0.43% 
B)  1.25% 
C)  1.77% 
D)  1.43% D

Question 4

The average returns, standard deviations and betas for three funds are given below along with data for the S&P 500 index. The risk-free return during the sample period is 6%.   You wish to evaluate the three mutual funds using the Sharpe measure for performance evaluation. The fund with the highest Sharpe measure of performance is ________.

Accepted Answer

A)  Fund A 
B)  Fund B 
C)  Fund C 
D)  indeterminable 
A)  Fund A 
B)  Fund B 
C)  Fund C 
D)  indeterminable

Question 5

What is the contribution of security selection to relative performance?

Accepted Answer

A)  -0.15% 
B)  0.15% 
C)  -0.3% 
D)  0.3% 
A)  -0.15% 
B)  0.15% 
C)  -0.3% 
D)  0.3%

Question 6

The average returns, standard deviations and betas for three funds are given below along with data for the S&P 500 index. The risk-free return during the sample period is 6%.
  You wish to evaluate the three mutual funds using the Treynor measure for performance evaluation. The fund with the highest Treynor measure of performance is ________.

Accepted Answer

A)  Fund A 
B)  Fund B 
C)  Fund C 
D)  indeterminable 
A)  Fund A 
B)  Fund B 
C)  Fund C 
D)  indeterminable

Question 7

The table presents the actual return of each sector of the manager's portfolio in column (1), the fraction of the portfolio allocated to each sector in column (2), the benchmark or neutral sector allocations in column (3) and the returns of sector indexes in column (4).   What was the manager's return in the month?

Accepted Answer

A)  2.07% 
B)  2.21% 
C)  2.24% 
D)  4.80% 
A)  2.07% 
B)  2.21% 
C)  2.24% 
D)  4.80%

Question 8

What is the contribution of asset allocation to relative performance?

Accepted Answer

A)  -0.18% 
B)  0.18% 
C)  -0.15% 
D)  0.15% 
A)  -0.18% 
B)  0.18% 
C)  -0.15% 
D)  0.15%

Question 9

The table presents the actual return of each sector of the manager's portfolio in column (1), the fraction of the portfolio allocated to each sector in column (2), the benchmark or neutral sector allocations in column (3) and the returns of sector indexes in column (4).   What was the bogey's return in the month?

Accepted Answer

A)  2.07% 
B)  2.21% 
C)  2.24% 
D)  4.80% 
A)  2.07% 
B)  2.21% 
C)  2.24% 
D)  4.80%

The risk-free rate, average returns, standard deviations and betas for three funds and the S&P500 are given below. What is the T² measure for Portfolio A?

The risk-free rate, average returns, standard deviations and betas for three funds and the S&P500 are given below. What is the M² measure for Portfolio B?

What is the contribution of security selection to relative performance?

What is the contribution of asset allocation to relative performance?

Securities Markets, Efficient Diversification, Risk and Return: Past and Prologue

Capital Pricing, Arbitrage Pricing Theory, Bond Prices, Yields, Efficient Market Hypothesis and Behavioral Finance

Equity Valuation, Managing Bond Portfolios, Macroeconomic and Industry Analysis

Financial Statement Analysis, Options and Risk Management

Hedge Funds, Futures, Risk Management, Investors and the Investment Process

Filters

Exam 6: Portfolio Performance Evaluation

The risk-free rate, average returns, standard deviations and betas for three funds and the S&P500 are given below. What is the T2 measure for Portfolio A?

The risk-free rate, average returns, standard deviations and betas for three funds and the S&P500 are given below. What is the M2 measure for Portfolio B?

What is the contribution of security selection to relative performance?

What is the contribution of asset allocation to relative performance?

Securities Markets, Efficient Diversification, Risk and Return: Past and Prologue

Capital Pricing, Arbitrage Pricing Theory, Bond Prices, Yields, Efficient Market Hypothesis and Behavioral Finance

Equity Valuation, Managing Bond Portfolios, Macroeconomic and Industry Analysis

Financial Statement Analysis, Options and Risk Management

Hedge Funds, Futures, Risk Management, Investors and the Investment Process

Filters

The risk-free rate, average returns, standard deviations and betas for three funds and the S&P500 are given below. What is the T² measure for Portfolio A?

The risk-free rate, average returns, standard deviations and betas for three funds and the S&P500 are given below. What is the M² measure for Portfolio B?