Exam 13: Performance Evaluation and Risk Management

Your portfolio has an expected return of 15.6 percent, a beta of 1.31, and a standard deviation of 15.3 percent. The U.S. Treasury bill rate is 3.8 percent. What is the Sharpe ratio of your portfolio?

(Multiple Choice)

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Question 21

Which one of the following concerns a money manager's control over investment risks, particularly potential short-run losses?

(Multiple Choice)

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Question 22

Your portfolio has a standard deviation of 12.3 percent and an average return of 10.6 percent. You have a 5 percent probability of losing _____ percent or more in any given year.

(Multiple Choice)

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Question 23

A portfolio consists of the following two funds. What is the Sharpe ratio of the portfolio?

(Multiple Choice)

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Question 24

A diversified portfolio has a beta of 1.47 and a raw return of 14.28 percent. The market return is 11.74 percent and the market risk premium is 7.85 percent. What is Jensen's alpha of the portfolio?

(Multiple Choice)

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Question 25

Which one of the following correctly states the VaR for a 3-year period with a 2.5 percent probability?

(Multiple Choice)

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Question 26

A portfolio has a 2.5 percent chance of losing 16 percent or more according to the VaR when T = 1. This can be interpreted to mean that the portfolio is expected to have an annual loss of 16 percent or more once in every how many years?

(Multiple Choice)

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Question 27

The U.S. Treasury bill is yielding 3.0 percent and the market has an expected return of 10.7 percent. What is the Sharpe ratio of a portfolio that has a beta of 1.32 and a variance of .027556?

(Multiple Choice)

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(43)

Question 28

You have a portfolio which has an average return of 12.6 percent. In any given year, you have a 2.5 percent probability of earning either a zero or a negative annual return. What is the approximate standard deviation of your portfolio?

(Multiple Choice)

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Question 29

Your portfolio has an expected annual return of 11.6 percent. What is the two-year expected return?

(Multiple Choice)

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Question 30

A portfolio has a beta of 1.52 and an actual return of 13.7 percent. The risk-free rate is 2.7 percent and the market risk premium is 7.8 percent. What is the value of Jensen's alpha?

(Multiple Choice)

4.9/5

(32)

Question 31

A portfolio has an actual return of 15.17 percent, a beta of .93, and a standard deviation of 7.2 percent. The market return is 13.4 percent and the risk-free rate is 2.8 percent. What is the portfolio's Jensen's alpha?

(Multiple Choice)

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(42)

Question 32

A portfolio has an average return of 9.7 percent, a standard deviation of 8.6 percent, and a beta of .72. The risk-free rate is 2.1 percent. What is the Treynor ratio?

(Multiple Choice)

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(34)

Question 33

Mike's portfolio has a two-year expected return of 21.70 percent. What is the expected return for one year?

(Multiple Choice)

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(43)

Question 34

Which one of the following measures risk premium in relation to systematic risk?

(Multiple Choice)

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Question 35

A stock has a return of 16.18 percent and a beta of 1.47. The market return is 10.65 percent and the risk-free rate is 3.20 percent. What is the Jensen-Treynor alpha of this stock?

(Multiple Choice)

4.9/5

(39)

Question 36

Which one of the following is a statistical model, defined by its mean and standard deviation, that is used to assess probabilities?

(Multiple Choice)

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Question 37

Which of the following should generally only be used to evaluate relatively diversified portfolios rather than individual securities? I. Sharpe ratio II. Treynor ratio III. Jensen's alpha

(Multiple Choice)

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(43)

Question 38

A portfolio has a 3-year standard deviation of 20.20 percent. What is the one-year standard deviation?

(Multiple Choice)

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(35)

Question 39

The Jensen-Treynor alpha is equal to:

(Multiple Choice)

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(38)

Question 40

Showing 21 - 40 of 91

Your portfolio has an expected return of 15.6 percent, a beta of 1.31, and a standard deviation of 15.3 percent. The U.S. Treasury bill rate is 3.8 percent. What is the Sharpe ratio of your portfolio?

Which one of the following concerns a money manager's control over investment risks, particularly potential short-run losses?

Your portfolio has a standard deviation of 12.3 percent and an average return of 10.6 percent. You have a 5 percent probability of losing _____ percent or more in any given year.

A portfolio consists of the following two funds. What is the Sharpe ratio of the portfolio?

A diversified portfolio has a beta of 1.47 and a raw return of 14.28 percent. The market return is 11.74 percent and the market risk premium is 7.85 percent. What is Jensen's alpha of the portfolio?

Which one of the following correctly states the VaR for a 3-year period with a 2.5 percent probability?

A portfolio has a 2.5 percent chance of losing 16 percent or more according to the VaR when T = 1. This can be interpreted to mean that the portfolio is expected to have an annual loss of 16 percent or more once in every how many years?

The U.S. Treasury bill is yielding 3.0 percent and the market has an expected return of 10.7 percent. What is the Sharpe ratio of a portfolio that has a beta of 1.32 and a variance of .027556?

You have a portfolio which has an average return of 12.6 percent. In any given year, you have a 2.5 percent probability of earning either a zero or a negative annual return. What is the approximate standard deviation of your portfolio?

Your portfolio has an expected annual return of 11.6 percent. What is the two-year expected return?

A portfolio has a beta of 1.52 and an actual return of 13.7 percent. The risk-free rate is 2.7 percent and the market risk premium is 7.8 percent. What is the value of Jensen's alpha?

A portfolio has an actual return of 15.17 percent, a beta of .93, and a standard deviation of 7.2 percent. The market return is 13.4 percent and the risk-free rate is 2.8 percent. What is the portfolio's Jensen's alpha?

A portfolio has an average return of 9.7 percent, a standard deviation of 8.6 percent, and a beta of .72. The risk-free rate is 2.1 percent. What is the Treynor ratio?

Mike's portfolio has a two-year expected return of 21.70 percent. What is the expected return for one year?

Which one of the following measures risk premium in relation to systematic risk?

A stock has a return of 16.18 percent and a beta of 1.47. The market return is 10.65 percent and the risk-free rate is 3.20 percent. What is the Jensen-Treynor alpha of this stock?

Which one of the following is a statistical model, defined by its mean and standard deviation, that is used to assess probabilities?

Which of the following should generally only be used to evaluate relatively diversified portfolios rather than individual securities? I. Sharpe ratio II. Treynor ratio III. Jensen's alpha

A portfolio has a 3-year standard deviation of 20.20 percent. What is the one-year standard deviation?

The Jensen-Treynor alpha is equal to:

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Overview of Security Types

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Stock Price Behavior and Market Efficiency

Behavioral Finance and the Psychology of Investing

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