Exam 19: Performance Evaluation

If the average realized return of a portfolio is 27.5% per year, the standard deviation of returns is 50%, the portfolio beta is 1.25, the average return of Treasury bills over the same period is 2.5% per year, and the average return on the market is 12.5% per year, the Jensen measure is

If the average realized return of a portfolio is 20% per year, the standard deviation of returns is 30%, the portfolio beta is 1.5, the average return of Treasury bills over the same period is 5% per year, and the average return on the market is 15% per year, the Sharpe measure is

Which of the following performance measures has statistical problems?

The residual option spread makes use of the _____ performance measure.

The essence of performance evaluation is

A common finance assumption that is violated when options are included in a stock portfolio is

Suppose a portfolio has a beginning balance of $1 million and has a return of 10% the first period and 20% the second period. Then $500,000 is added to the account. The subsequent return is -9% in the third period and 25% return in the fourth period. Using the daily valuation method, what is the holding period return over the four periods?

The incremental risk-adjusted return from options makes use of the _____ performance measure.

If a portfolio earned -10%, -20%, +40%, and +10% over the last four years, the arithmetic mean return per year is

If the average realized return of a portfolio is 27.5% per year, the standard deviation of returns is 50%, the portfolio beta is 1.25, the average return of Treasury bills over the same period is 2.5% per year, and the average return on the market is 12.5% per year, the Sharpe measure is

Expected utility is a ____ function of return and a ______ function of risk.

If a portfolio earned -10%, -20%, +40%, and +10% over the last four years, the geometric mean return per year is

_____ are more important than _____.

If a portfolio experiences cash withdrawals and deposits, the best performance measure is the

Suppose a portfolio has a beginning balance of $200,000 and earns $25,000 in the first period and $15,000 in the second period. Then $60,000 in new funds are added to the account. After that, the portfolio earns $20,000 in the third period and $40,000 in the fourth period. Using the daily valuation method, what is the holding period return over the four periods?

If the average realized return of a portfolio is 20% per year, the standard deviation of returns is 30%, the portfolio beta is 1.5, the average return of Treasury bills over the same period is 5% per year, and the average return on the market is 15% per year, the Jensen measure is

The best performance comes from

If the average realized return of a portfolio is 27.5% per year, the standard deviation of returns is 50%, the portfolio beta is 1.25, the average return of Treasury bills over the same period is 2.5% per year, and the average return on the market is 12.5% per year, the Treynor measure is

Which measure calculates excess return per unit of systematic risk?

Which measure calculates excess return per unit of total risk?