Question 1

Asset allocation represents an attempt by individuals or portfolio managers to determine what?

Accepted Answer

A) percentage of assets should be distributed to beneficiaries. 
B) mutual funds are appropriate for investment based on risk and return. 
C) percent of funds under management should be invested in stocks, bonds, and the like. 
D) brokerage houses best meet their needs. 
A) percentage of assets should be distributed to beneficiaries. 
B) mutual funds are appropriate for investment based on risk and return. 
C) percent of funds under management should be invested in stocks, bonds, and the like. 
D) brokerage houses best meet their needs.

Question 2

When the U.S. T-bill rate is 5.75%, the excess returns on a portfolio earning 14% would be 8.25%.

Accepted Answer

A) True 
 B)False

Question 3

Professional money managers may be evaluated based on:

Accepted Answer

A) their adherence to stated objectives. 
B) their ability to efficiently diversify the portfolio. 
C) their return, relative to degree of risk. 
D) All of the above 
A) their adherence to stated objectives. 
B) their ability to efficiently diversify the portfolio. 
C) their return, relative to degree of risk. 
D) All of the above

Question 4

Jensen uses alpha as a measure of performance.

Accepted Answer

A) True 
 B)False

Question 5

Asset managers typically lose their jobs because of poorly allocated portfolios under a given market condition.

Accepted Answer

A) True 
 B)False

Question 6

Under the _____ approach, excess returns on a portfolio are compared to the total risk of the portfolio.

Accepted Answer

A) Sharpe 
B) Treynor 
C) Jensen 
D) More than one of the above 
A) Sharpe 
B) Treynor 
C) Jensen 
D) More than one of the above

Question 7

Major studies have shown that fund managers in general are unable to efficiently diversify the portfolios primarily due to a small number of securities.

Accepted Answer

A) True 
 B)False

Question 8

A fund manager has almost total control over the beta of his portfolio.

Accepted Answer

A) True 
 B)False

Question 9

The relationship between excess returns and the portfolio beta is represented by the market line.

Accepted Answer

A) True 
 B)False

Question 10

Which of the following is the final measure used to evaluate a portfolio manager's performance using the Jensen approach?

Accepted Answer

A) Alpha ONLY 
B) Alpha and the standard deviation 
C) Standard deviation 
D) None of the above 
A) Alpha ONLY 
B) Alpha and the standard deviation 
C) Standard deviation 
D) None of the above

Question 11

Excess returns are equal to the:

Accepted Answer

A) total portfolio return minus the beta. 
B) total portfolio return minus the return on the S&P 500. 
C) total portfolio return minus the risk-free rate. 
D) total portfolio return minus the standard deviation. 
A) total portfolio return minus the beta. 
B) total portfolio return minus the return on the S&P 500. 
C) total portfolio return minus the risk-free rate. 
D) total portfolio return minus the standard deviation.

Question 12

Asset allocation is generally ________________ stock selection.

Accepted Answer

A) less important than 
B) more important than 
C) of equal importance to 
D) none of the above are true 
A) less important than 
B) more important than 
C) of equal importance to 
D) none of the above are true

Question 13

Alpha must always be a positive number.

Accepted Answer

A) True 
 B)False

Asset allocation represents an attempt by individuals or portfolio managers to determine what?

When the U.S. T-bill rate is 5.75%, the excess returns on a portfolio earning 14% would be 8.25%.

Professional money managers may be evaluated based on:

Jensen uses alpha as a measure of performance.

Asset managers typically lose their jobs because of poorly allocated portfolios under a given market condition.

Under the _____ approach, excess returns on a portfolio are compared to the total risk of the portfolio.

Major studies have shown that fund managers in general are unable to efficiently diversify the portfolios primarily due to a small number of securities.

A fund manager has almost total control over the beta of his portfolio.

The relationship between excess returns and the portfolio beta is represented by the market line.

Which of the following is the final measure used to evaluate a portfolio manager's performance using the Jensen approach?

Excess returns are equal to the:

Asset allocation is generally ________________ stock selection.

Alpha must always be a positive number.

The Investment Setting

Security Markets

Participating in the Market

Investment Companies: Mutual Funds, Exchange-Traded Funds, Closed-End Funds, and Unit Investment Trusts

Economic Activity

Industry Analysis

Valuation of the Individual Firm

Financial Statement Analysis

Efficient Markets and Anomalies

Behavioral Finance and Technical Analysis

Bond and Fixed-Income Fundamentals

Principles of Bond Valuation and Investment

Convertible Securities and Warrants

Put and Call Options

Commodities and Financial Futures

Stock Index Futures and Options

A Basic Look at Portfolio Management and Capital Market Theory

Duration and Bond Portfolio Management

International Securities Markets

Investments in Real Assets

Alternative Investments: Private Equity and Hedge Funds

A Comprehensive Analysis for Real Estate Investment Decisions

The Makeup of Institutional Investors

Filters

Exam 22: Measuring Risks and Returns of Portfolio Managers

Asset allocation represents an attempt by individuals or portfolio managers to determine what?

When the U.S. T-bill rate is 5.75%, the excess returns on a portfolio earning 14% would be 8.25%.

Professional money managers may be evaluated based on:

Jensen uses alpha as a measure of performance.

Asset managers typically lose their jobs because of poorly allocated portfolios under a given market condition.

Under the _____ approach, excess returns on a portfolio are compared to the total risk of the portfolio.

Major studies have shown that fund managers in general are unable to efficiently diversify the portfolios primarily due to a small number of securities.

A fund manager has almost total control over the beta of his portfolio.

The relationship between excess returns and the portfolio beta is represented by the market line.

Which of the following is the final measure used to evaluate a portfolio manager's performance using the Jensen approach?

Excess returns are equal to the:

Asset allocation is generally ________________ stock selection.

Alpha must always be a positive number.

The Investment Setting

Security Markets

Participating in the Market

Investment Companies: Mutual Funds, Exchange-Traded Funds, Closed-End Funds, and Unit Investment Trusts

Economic Activity

Industry Analysis

Valuation of the Individual Firm

Financial Statement Analysis

Efficient Markets and Anomalies

Behavioral Finance and Technical Analysis

Bond and Fixed-Income Fundamentals

Principles of Bond Valuation and Investment

Convertible Securities and Warrants

Put and Call Options

Commodities and Financial Futures

Stock Index Futures and Options

A Basic Look at Portfolio Management and Capital Market Theory

Duration and Bond Portfolio Management

International Securities Markets

Investments in Real Assets

Alternative Investments: Private Equity and Hedge Funds

A Comprehensive Analysis for Real Estate Investment Decisions

The Makeup of Institutional Investors

Filters