Exam 22: Performance Measurement and Presentation

A portfolio manager's annual return of 20% on her portfolio, while the S&P 500 increased 12%, was a very good return for the year.

An investment performance measure would best measure:

An excess return will always be greater than the risk free rate.

A return relative equals one minus the return.

Sharp performance measures above the capital market line indicate:

CFA Institute standards recommend, in general, that investment results be presented before the deduction of management fees.

The Capital Market Line measures the risk/return tradeoff.

The Sharpe performance measure will tend to rank an undiversified portfolio lower than the Treynor performance measure.

CFA Institute performance presentation standards require

The Sharpe performance measure is:

The geometric average rate of return on three one-year returns of 9%, 4%, and 7% is:

CFA Institute standards require the calculation of a time-weighted rate of return.

A security with a beta of zero should have an excess return of

The geometric mean is always less than or equal to the arithmetic mean.

The Treynor performance measure should be used to measure _____ , while the Sharpe measure should be used _____ .

The expected utility of an investment is a _____ function of the expected return and a _____ function of the variance of those returns.

Which of the following rate of return performance measures make(s) adjustments for principal additions and withdrawals for determining rate of return in a period?

The CFA Institute total return includes unrealized capital gains.

Most performance return measures are on an after-tax basis.

The modified BAI return calculation method