Exam 13: Performance Evaluation and Risk Management

In the normal distribution, the probability of an observation being within plus or minus one standard deviation of the mean is about ________ percent.

(Multiple Choice)

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Question 21

While portfolio Z has a return of 15% with a standard deviation of 40%, the market portfolio has a 10% return and 10% standard deviation. Given a 5% annual risk-free rate, what is the percentage of portfolio Z will be included in the M² hypothetical portfolio?

(Multiple Choice)

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Question 22

Which of the following performance measures is considered good when it is positive? I. Treynor ratio II. Sharpe ratio III. Jensen's alpha

(Multiple Choice)

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Question 23

You want to create a two-asset portfolio. To have the best portfolio possible, you should select for the _________ portfolio.

(Multiple Choice)

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Question 24

To compute a 2-year VaR, the average return is calculated as

(Multiple Choice)

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Question 25

A portfolio has an average return of 14 percent, a standard deviation of 27 percent, and a beta of 1.15. The risk-free rate is 4.5 percent, and the expected return of the market is 12 percent. What is Jensen's alpha for the portfolio?

(Multiple Choice)

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Question 26

Which of the following performance measures is the least useful measure of performance?

(Multiple Choice)

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Question 27

The performance metric that measures how much a portfolio "beat the market" is:

(Multiple Choice)

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Question 28

Which of the following performance measures analyzes the portfolio's risk premium? I. Treynor ratio II. Sharpe ratio III. Jensen's alpha

(Multiple Choice)

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Question 29

Assume that portfolio X has a 15% return and 40% standard deviation. Market portfolio has a 10% return and 10% standard deviation. A 3-month T-bill has the annual average return of 5%. What is the M² measure?

(Multiple Choice)

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Question 30

While portfolio A has a return of 15% with a standard deviation of 40%, the market portfolio has a 10% return and 10% standard deviation. Given a 5% annual risk-free rate, what is the resulting return for this M² hypothetical portfolio?

(Multiple Choice)

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Question 31

The probability of a 1% loss is based on __________ standard deviation below the mean.

(Multiple Choice)

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Question 32

What is the Jensen-Treynor alpha for Portfolio A? Refer: To: 13-72

(Multiple Choice)

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Question 33

Which of the following performance measures does not depend upon the accuracy of the beta?

(Multiple Choice)

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Question 34

A portfolio has an average return of 14 percent, a standard deviation of 27 percent, and a beta of 1.15. The risk-free rate is 4.5 percent, and the expected return of the market is 12 percent. What is the Sharpe ratio for the portfolio?

(Multiple Choice)

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Question 35

A portfolio has a Treynor ratio of .068, a standard deviation of 16.40 percent, a beta of 1.16, and an expected return of 14.3 percent. What is the risk-free rate? Refer: To: 13-72

(Multiple Choice)

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Question 36

What is the Treynor ratio for Portfolio A? Refer: To: 13-72

(Multiple Choice)

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Question 37

__________ deals with the money manager's control over investment risk, particularly with the potential short-term losses.

(Multiple Choice)

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Question 38

A strategy of passive management is one in which, once established, the portfolio is

(Multiple Choice)

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Question 39

Explain how to calculate Jensen's alpha and the Treynor ratio. What does each measure? If Jensen's alpha is positive for a portfolio, what do you know about the Treynor ratio for the portfolio?

(Essay)

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Question 40

Showing 21 - 40 of 114

In the normal distribution, the probability of an observation being within plus or minus one standard deviation of the mean is about ________ percent.

While portfolio Z has a return of 15% with a standard deviation of 40%, the market portfolio has a 10% return and 10% standard deviation. Given a 5% annual risk-free rate, what is the percentage of portfolio Z will be included in the M² hypothetical portfolio?

Which of the following performance measures is considered good when it is positive? I. Treynor ratio II. Sharpe ratio III. Jensen's alpha

You want to create a two-asset portfolio. To have the best portfolio possible, you should select for the _________ portfolio.

To compute a 2-year VaR, the average return is calculated as

A portfolio has an average return of 14 percent, a standard deviation of 27 percent, and a beta of 1.15. The risk-free rate is 4.5 percent, and the expected return of the market is 12 percent. What is Jensen's alpha for the portfolio?

Which of the following performance measures is the least useful measure of performance?

The performance metric that measures how much a portfolio "beat the market" is:

Which of the following performance measures analyzes the portfolio's risk premium? I. Treynor ratio II. Sharpe ratio III. Jensen's alpha

Assume that portfolio X has a 15% return and 40% standard deviation. Market portfolio has a 10% return and 10% standard deviation. A 3-month T-bill has the annual average return of 5%. What is the M² measure?

While portfolio A has a return of 15% with a standard deviation of 40%, the market portfolio has a 10% return and 10% standard deviation. Given a 5% annual risk-free rate, what is the resulting return for this M² hypothetical portfolio?

The probability of a 1% loss is based on __________ standard deviation below the mean.

What is the Jensen-Treynor alpha for Portfolio A? Refer: To: 13-72

Which of the following performance measures does not depend upon the accuracy of the beta?

A portfolio has an average return of 14 percent, a standard deviation of 27 percent, and a beta of 1.15. The risk-free rate is 4.5 percent, and the expected return of the market is 12 percent. What is the Sharpe ratio for the portfolio?

A portfolio has a Treynor ratio of .068, a standard deviation of 16.40 percent, a beta of 1.16, and an expected return of 14.3 percent. What is the risk-free rate? Refer: To: 13-72

What is the Treynor ratio for Portfolio A? Refer: To: 13-72

__________ deals with the money manager's control over investment risk, particularly with the potential short-term losses.

A strategy of passive management is one in which, once established, the portfolio is

Explain how to calculate Jensen's alpha and the Treynor ratio. What does each measure? If Jensen's alpha is positive for a portfolio, what do you know about the Treynor ratio for the portfolio?

A Brief History of Risk and Return

Diversification and Risky Asset Allocation

The Investment Process

Overview of Security Types

Mutual Funds

The Stock Market

Common Stock Valuation

Stock Price Behaviour and Market Efficiency

Behavioural Finance and the Psychology of Investing

Interest Rates

Bond Prices and Yields

Return, Risk and Security Management

Options

Option Valuation

Futures Contracts

Projecting Cash Flow and Earnings

Corporate Bonds

Government Bonds and Mortgaged-Backed Securities

International Portfolio Investment

Filters

Exam 13: Performance Evaluation and Risk Management

In the normal distribution, the probability of an observation being within plus or minus one standard deviation of the mean is about ________ percent.

While portfolio Z has a return of 15% with a standard deviation of 40%, the market portfolio has a 10% return and 10% standard deviation. Given a 5% annual risk-free rate, what is the percentage of portfolio Z will be included in the M2 hypothetical portfolio?

Which of the following performance measures is considered good when it is positive? I. Treynor ratio II. Sharpe ratio III. Jensen's alpha

You want to create a two-asset portfolio. To have the best portfolio possible, you should select for the _________ portfolio.

To compute a 2-year VaR, the average return is calculated as

A portfolio has an average return of 14 percent, a standard deviation of 27 percent, and a beta of 1.15. The risk-free rate is 4.5 percent, and the expected return of the market is 12 percent. What is Jensen's alpha for the portfolio?

Which of the following performance measures is the least useful measure of performance?

The performance metric that measures how much a portfolio "beat the market" is:

Which of the following performance measures analyzes the portfolio's risk premium? I. Treynor ratio II. Sharpe ratio III. Jensen's alpha

Assume that portfolio X has a 15% return and 40% standard deviation. Market portfolio has a 10% return and 10% standard deviation. A 3-month T-bill has the annual average return of 5%. What is the M2 measure?

While portfolio A has a return of 15% with a standard deviation of 40%, the market portfolio has a 10% return and 10% standard deviation. Given a 5% annual risk-free rate, what is the resulting return for this M2 hypothetical portfolio?

The probability of a 1% loss is based on __________ standard deviation below the mean.

What is the Jensen-Treynor alpha for Portfolio A? Refer: To: 13-72

Which of the following performance measures does not depend upon the accuracy of the beta?

A portfolio has an average return of 14 percent, a standard deviation of 27 percent, and a beta of 1.15. The risk-free rate is 4.5 percent, and the expected return of the market is 12 percent. What is the Sharpe ratio for the portfolio?

A portfolio has a Treynor ratio of .068, a standard deviation of 16.40 percent, a beta of 1.16, and an expected return of 14.3 percent. What is the risk-free rate? Refer: To: 13-72

What is the Treynor ratio for Portfolio A? Refer: To: 13-72

__________ deals with the money manager's control over investment risk, particularly with the potential short-term losses.

A strategy of passive management is one in which, once established, the portfolio is

Explain how to calculate Jensen's alpha and the Treynor ratio. What does each measure? If Jensen's alpha is positive for a portfolio, what do you know about the Treynor ratio for the portfolio?

A Brief History of Risk and Return

Diversification and Risky Asset Allocation

The Investment Process

Overview of Security Types

Mutual Funds

The Stock Market

Common Stock Valuation

Stock Price Behaviour and Market Efficiency

Behavioural Finance and the Psychology of Investing

Interest Rates

Bond Prices and Yields

Return, Risk and Security Management

Options

Option Valuation

Futures Contracts

Projecting Cash Flow and Earnings

Corporate Bonds

Government Bonds and Mortgaged-Backed Securities

International Portfolio Investment

Filters

While portfolio Z has a return of 15% with a standard deviation of 40%, the market portfolio has a 10% return and 10% standard deviation. Given a 5% annual risk-free rate, what is the percentage of portfolio Z will be included in the M² hypothetical portfolio?

Assume that portfolio X has a 15% return and 40% standard deviation. Market portfolio has a 10% return and 10% standard deviation. A 3-month T-bill has the annual average return of 5%. What is the M² measure?

While portfolio A has a return of 15% with a standard deviation of 40%, the market portfolio has a 10% return and 10% standard deviation. Given a 5% annual risk-free rate, what is the resulting return for this M² hypothetical portfolio?