Exam 13: Performance Evaluation and Risk Management

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?

A portfolio has a Sharpe ratio of .80, a standard deviation of 17.4 percent, and an expected return of 15.9 percent. What is the risk-free rate?

The risk premium of a portfolio divided by the portfolio's standard deviation defines which one of the following performance measures?

Which one of the following is computed by dividing a portfolio's risk premium by the portfolio beta?

The Sharpe-optimal portfolio will be the investment opportunity set which lies on a straight line that has which of the following characteristics?

You have computed the expected return using VaR with a 2.5 percent probability for a one-year period of time. How would this expected return be expressed on a normal distribution curve?

Which measure would you use to know whether alpha is truly significant or just the result of random chance?

A stock has an annual standard deviation of 14.1 percent and an expected annual return of 11.5 percent. What is the smallest expected loss for the next 6 months given a probability of 2.5 percent?

The U.S. Treasury bill has a return of 3.27 percent while the S&P 500 is returning 10.84 percent. Your portfolio has an actual return of 14.76 percent and a beta of 1.31. What is the portfolio's Jensen's alpha?

Which of the following are related to VaR analysis? I. beta II. standard deviation III. expected return IV. time

Which one of the following is probably the best measure of the performance of a well-diversified portfolio?

You are considering the purchase of a mutual fund. You have found three funds that meet your basic criteria. Each fund has a different alpha. Which alpha indicates the preferred investment?

A portfolio has a beta of 1.16, a standard deviation of 12.2 percent, and an expected return of 11.55 percent. The market return is 10.4 percent and the risk-free rate is 3.2 percent. What is the portfolio's Sharpe ratio?

A portfolio has a standard deviation of 14.1 percent, a beta of 1.45 and a Treynor ratio of .094. The risk-free rate is 3.2 percent. What is the portfolio's expected rate of return?

Which one of the following values would be the most preferable as a Sharpe ratio?

Which one of the following is the best interpretation of this VaR statistic: Prob (Rp $\le$ - .15) = 37%?

A portfolio has a beta of 1.26, a standard deviation of 15.9 percent, and an average return of 15.07 percent. The market rate is 12.7 percent and the risk-free rate is 3.6 percent. What is the Sharpe ratio?

A portfolio has a variance of .027556, a beta of 1.54, and an expected return of 11.2 percent. What is the Treynor ratio if the expected risk-free rate is 2.7 percent?

Which one of the following assesses risk by stating the probability of a loss a portfolio might incur within a stated time period given a specific probability?

Tony brags that his portfolio's rate of return is "beating the market". Which one of the following would best substantiate his claim?