Exam 22: Measuring Risks and Returns of Portfolio Managers

One primary reason for the long-term average performance of mutual funds in general is

Due to either superior market timing or excellence in security analysis and selection,a few portfolio managers may outperform the market over the long-term.

The degree of association between the independent and dependant variables is measured by:

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

Fund managers normally compare their performance to:

Alpha must always be a positive number.

If the portfolio return is 10 percent and the U.S.T-bill rate is 5.75 percent what is the Treynor measure of excess returns?

Most law suits against fund managers are for poor performance in terms of return.

The Sharpe measure on a portfolio which earns 12 percent,with a standard deviation of 30 percent and beta of 1.27 is

The effectiveness of portfolio diversification can be measured by the coefficient of determination,that is the correlation between excess returns on the market and those on the fund.

Assume a second firm that evaluates portfolios uses the Treynor approach to measuring performance.This firm is also evaluating the three portfolios.The portfolio betas are as shown below:

The Jensen study indicates that mutual fund managers tend to have very superior performances.

The Brinson,Hood and Beebower (BHB)study indicted that asset managers are more likely to lose their jobs because of poor _____________ rather than poor __________.

Jensen uses alpha as a measure of performance.

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

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

Firms in industries that are subject to the business cycle do not have highly variable earnings.

A firm with an alpha of .5

The measure of performance defined as the difference between a fund's excess return and a point on the market line corresponding to the fund's beta is called

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