Exam 24: Portfolio Performance Evaluation

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

The following data are available relating to the performance of Wildcat Fund and the market portfolio: Market Wildcat Portfolio Average return 18\% 15\% Standard deviations of returns 25\% 20\% Beta 1.25 1.00 Residual standard deviation 2\% 0\% The risk-free return during the sample period was 7%. What is the information ratio measure of performance evaluation for Wildcat Fund?

The following data are available relating to the performance of Long Horn Stock Fund and the market portfolio: Market Long Horn 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 Long Horn Stock Fund.

The following data are available relating to the performance of Monarch Stock Fund and the market portfolio: Market Monarch 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?

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

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

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

Morningstar's RAR method I) 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.

In a particular year, Aggie Mutual Fund earned a return of 15% by making the following investments in the following asset classes: Weight Return Bonds 10\% 6\% Stocks 90\% 16\% The return on a bogey portfolio was 10%, calculated as follows: Weight Return Bonds (Lehman Brothers Index) 50\% 5\% Stocks (S\&P 500 Index) 50\% 15\% The contribution of asset allocation across markets to the total excess return was

The following data are available relating to the performance of Sooner Stock Fund and the market portfolio: Market Sooner 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?

In a particular year, Razorback Mutual Fund earned a return of 1% by making the following investments in asset classes: Weight Return Bonds 20\% 5\% Stocks 80\% 0\% The return on a bogey portfolio was 2%, calculated from the following information. Weight Return Bonds (Lehman Brothers Index) 50\% 5\% Stocks (S\&P 500 Index) 50\% -1\% The contribution of selection within markets to the Razorback Fund's total excess return was

Suppose you purchase 100 shares of GM stock at the beginning of year 1 and purchase another 100 shares at the end of year 1. You sell all 200 shares at the end of year 2. Assume that the price of GM stock is $50 at the beginning of year 1, $55 at the end of year 1, and $65 at the end of year 2. Assume no dividends were paid on GM stock. Your dollar-weighted return on the stock will be __________ your time-weighted return on the stock.

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

The following data are available relating to the performance of Long Horn Stock Fund and the market portfolio: Market Long Horn 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 Long Horn Stock Fund?

The following data are available relating to the performance of Sooner Stock Fund and the market portfolio: Market Sooner 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 Sharpe measure of performance evaluation for Sooner Stock Fund?

Hedge funds I) are appropriate as a sole investment vehicle for an investor. II. should only be added to an already well-diversified portfolio. III. pose performance-evaluation issues due to nonlinear factor exposures. IV. have down-market betas that are typically larger than up-market betas. V. have symmetrical betas.

A pension fund that begins with $500,000 earns 15% the first year and 10% the second year. At the beginning of the second year, the sponsor contributes another $300,000. The dollar-weighted and time-weighted rates of return, respectively, were

You want to evaluate three mutual funds using the information ratio measure for performance evaluation. The risk-free return during the sample period is 6%, and the average return on the market portfolio is 19%. The average returns, residual standard deviations, and betas for the three funds are given below. Fund A Fund B Fund C Average Return 20\% 21\% 23\% Residual Standand Deviation. 4.00\% 1.25\% 1.20\% Beta 0.8 1.0 1.2 The fund with the highest information ratio measure is

You want to evaluate three mutual funds using the Sharpe measure for performance evaluation. The risk-free return during the sample period is 6%. The average returns, standard deviations, and betas for the three funds are given below, as are the data for the S&P 500 Index. Fund A Fund B Fund C S\&P 500 Average Return 24\% 21\% 22\% 18\% Standand Deviation. 30\% 10\% 20\% 16\% Beta 1.5 0.5 1.0 1.0 The fund with the highest Sharpe measure is

In a particular year, Aggie Mutual Fund earned a return of 15% by making the following investments in the following asset classes: Weight Return Bonds 10\% 6\% Stocks 90\% 16\% The return on a bogey portfolio was 10%, calculated as follows: Weight Return Bonds (Lehman Brothers Index) 50\% 5\% Stocks (S\&P 500 Index) 50\% 15\% The total excess return on the Aggie managed portfolio was