Question 1

The information ratio is claimed to be an _____________measure.The _____________ requires that a bench mark be specified.

Accepted Answer

A)  efficiency; information ratio 
B)  inefficient; index 
C)  inferior; data 
D)  asset pricing; model 
A)  efficiency; information ratio 
B)  inefficient; index 
C)  inferior; data 
D)  asset pricing; model A

Question 2

Which of the following assumes that the CAPM is the appropriate benchmark?

Accepted Answer

A)  Jensen's alpha 
B)  Sharpe index 
C)  Treynor index 
D)  none of these choices 
A)  Jensen's alpha 
B)  Sharpe index 
C)  Treynor index 
D)  none of these choices A

Question 3

The window of superior performance is:

Accepted Answer

A)  research that states, a single asset is always subject to periods of underperformance 
B)  high beta portfolios 
C)  usually short-up to three years 
D)  research that states, active management does appear to enhance value 
A)  research that states, a single asset is always subject to periods of underperformance 
B)  high beta portfolios 
C)  usually short-up to three years 
D)  research that states, active management does appear to enhance value C

Question 4

Which of the following relies upon the security market line?

Accepted Answer

A)  Jensen's alpha 
B)  Sharpe index 
C)  Treynor index 
D)  Carhart's Alpha 
A)  Jensen's alpha 
B)  Sharpe index 
C)  Treynor index 
D)  Carhart's Alpha

Question 5

A tracking error is one way that an index portfolio manager's performance can be evaluated.Two such measures that compare this are:

Accepted Answer

A)  average and absolute tracking performance 
B)  average and maximum tracking performance 
C)  relative and absolute tracking performance 
D)  maximum and relative tracking performance 
A)  average and absolute tracking performance 
B)  average and maximum tracking performance 
C)  relative and absolute tracking performance 
D)  maximum and relative tracking performance

Question 6

Given a portfolio return of 5%,10%,-2% and 4%,and a tracking portfolio of 6%,7%,2% and 5%,calculate the average absolute tracking performance of the portfolio.

Accepted Answer

A)  $ 0.0005 $ 
B)  $ 0.0066 $ 
C)  $ 0.0125 $ 
D)  $ 0.0258 $ 
A)  $ 0.0005 $ 
B)  $ 0.0066 $ 
C)  $ 0.0125 $ 
D)  $ 0.0258 $

Question 7

Portfolio A has a return of 41% and a standard deviation of 25%.Portfolio B has a return of 21% and a standard deviation of 6%.If the risk-free rate is 4% portfolio,then the Sharpe indices of A and B are:

Accepted Answer

A)  $ \mathrm{A}=1.5 ; \mathrm{B}=1.85 $ 
B)  $ A=3.08 ; B=1.85 $ 
C)  $ A=3.08 ; B=2.5 $ 
D)  $ \mathrm{A}=4.51 ; \mathrm{B}=3.12 $ 
A)  $ \mathrm{A}=1.5 ; \mathrm{B}=1.85 $ 
B)  $ A=3.08 ; B=1.85 $ 
C)  $ A=3.08 ; B=2.5 $ 
D)  $ \mathrm{A}=4.51 ; \mathrm{B}=3.12 $

Question 8

Faff,Gallagher and Wu (2005)in their research find that fund managers have been ________ to deliver superior returns through _________________,although there is evidence of value enhancement in the Australian equities asset class.

Accepted Answer

A)  able; property acquisitions 
B)  consistent; superannuation funds 
C)  continuing; hedge funds 
D)  unable; tactical asset allocation 
A)  able; property acquisitions 
B)  consistent; superannuation funds 
C)  continuing; hedge funds 
D)  unable; tactical asset allocation

Question 9

Blake,Lehmann and Timmerman (1999)find that the ____ is of prime importance.

Accepted Answer

A)  interest rate 
B)  asset allocation 
C)  information ratio 
D)  market timing measures 
A)  interest rate 
B)  asset allocation 
C)  information ratio 
D)  market timing measures

Question 10

Allen,Brailsford,Faff and Soucik (2005)compare performance measurement models across nine benchmark definitions using a large sample of Australian equity funds.

Accepted Answer

A) True 
 B)False

Question 11

Droms and Walker (1994)find no evidence of consistent __________ performance of international equity funds.

Accepted Answer

A)  superios 
B)  inferior 
C)  equal 
A)  superios 
B)  inferior 
C)  equal

Question 12

Carhart's Alpha is a measure of enhanced operation after controlling for the forces generated by:

Accepted Answer

A)  the market return and momentum premium 
B)  size premium and value premium 
C)  both $ \mathrm{A} $ and $ \mathrm{B} $ 
D)  none of these choices 
A)  the market return and momentum premium 
B)  size premium and value premium 
C)  both $ \mathrm{A} $ and $ \mathrm{B} $ 
D)  none of these choices

Question 13

There are several well-known performance measures that have been traditionally used to measure fund performance,such as:

Accepted Answer

A)  Jensen's alpha 
B)  Carhart's alpha 
C)  The Treynor index 
D)  All of these choices 
A)  Jensen's alpha 
B)  Carhart's alpha 
C)  The Treynor index 
D)  All of these choices

Question 14

The Treynor measure captures the risk-premium per unit of overall risk.

Accepted Answer

A) True 
 B)False

Question 15

The reward-to-variability ratio is another name for the Treynor index.

Accepted Answer

A) True 
 B)False

Question 16

Portfolio A has a return of 9% and a standard deviation of 25%.Portfolio B has a return of 21% and a standard deviation of 33%.If the risk-free rate is 6% portfolio,then the Sharpe indices of A and B are:

Accepted Answer

A)  $ A=0.1 ; B=0.5 $ 
B)  $ \mathrm{A}=0.12 ; \mathrm{B}=0.45 $ 
C)  $ A=0.12 ; B=0.5 $ 
D)  $ A=0.5 ; B=0.12 $ 
A)  $ A=0.1 ; B=0.5 $ 
B)  $ \mathrm{A}=0.12 ; \mathrm{B}=0.45 $ 
C)  $ A=0.12 ; B=0.5 $ 
D)  $ A=0.5 ; B=0.12 $

Question 17

The model proposed by Grinblatt and Titman (1989)is called:

Accepted Answer

A)  proposed performance withholding 
B)  zero performance weighting (ZPW) 
C)  positive period weighting (PPW) 
D)  none of the above 
A)  proposed performance withholding 
B)  zero performance weighting (ZPW) 
C)  positive period weighting (PPW) 
D)  none of the above

Question 18

Funds persistence states that when using past fund rankings it is never useful in predicting future ranking.

Accepted Answer

A) True 
 B)False

Question 19

Which of the following is based upon the capital market line?

Accepted Answer

A)  Jensen's alpha 
B)  Sharpe index 
C)  Treynor index 
D)  none of these choices 
A)  Jensen's alpha 
B)  Sharpe index 
C)  Treynor index 
D)  none of these choices

Question 20

Consider the Sharpe and Treynor performance measures.When a pension fund is large
And has many managers,the __________ measure is better for evaluating individual managers while the __________ measure is better for evaluating the manager of a small fund with only one manager responsible for all investments.

Accepted Answer

A) Sharpe,Sharpe 
B) Sharpe,Treynor 
C) Treynor,Sharpe 
D) Treynor,Treynor 
A) Sharpe,Sharpe 
B) Sharpe,Treynor 
C) Treynor,Sharpe 
D) Treynor,Treynor

The information ratio is claimed to be an _measure.The _ requires that a bench mark be specified.

Which of the following assumes that the CAPM is the appropriate benchmark?

The window of superior performance is:

Which of the following relies upon the security market line?

A tracking error is one way that an index portfolio manager's performance can be evaluated.Two such measures that compare this are:

Given a portfolio return of 5%,10%,-2% and 4%,and a tracking portfolio of 6%,7%,2% and 5%,calculate the average absolute tracking performance of the portfolio.

Portfolio A has a return of 41% and a standard deviation of 25%.Portfolio B has a return of 21% and a standard deviation of 6%.If the risk-free rate is 4% portfolio,then the Sharpe indices of A and B are:

Faff,Gallagher and Wu (2005)in their research find that fund managers have been to deliver superior returns through _________,although there is evidence of value enhancement in the Australian equities asset class.

Blake,Lehmann and Timmerman (1999)find that the ____ is of prime importance.

Allen,Brailsford,Faff and Soucik (2005)compare performance measurement models across nine benchmark definitions using a large sample of Australian equity funds.

Droms and Walker (1994)find no evidence of consistent __________ performance of international equity funds.

Carhart's Alpha is a measure of enhanced operation after controlling for the forces generated by:

There are several well-known performance measures that have been traditionally used to measure fund performance,such as:

The Treynor measure captures the risk-premium per unit of overall risk.

The reward-to-variability ratio is another name for the Treynor index.

Portfolio A has a return of 9% and a standard deviation of 25%.Portfolio B has a return of 21% and a standard deviation of 33%.If the risk-free rate is 6% portfolio,then the Sharpe indices of A and B are:

The model proposed by Grinblatt and Titman (1989)is called:

Funds persistence states that when using past fund rankings it is never useful in predicting future ranking.

Which of the following is based upon the capital market line?

Consider the Sharpe and Treynor performance measures.When a pension fund is large And has many managers,the measure is better for evaluating individual managers while the measure is better for evaluating the manager of a small fund with only one manager responsible for all investments.

The Investment Decision

Australian Financial Markets

The International Investment Environment

Financial Management: Derivative Instruments and Information Sources

Money Market Securities

Bonds

Investor Preferences and Portfolio Concepts

Risky Asset Pricing Models and the Capm

Alternative Risky Asset Pricing Models

Concepts and Applications of Market Efficiency

Equity Valuation Models

Macro- and Industry Analysis of Share Markets

Qualitative Stock Selection

Quantitative Company Analysis

Futures and Forward Contracts

Option Contracts

Advanced Issues in Options

Alternative Investments

Portfolio Management

Filters

Exam 20: Performance Evaluation of Managed Funds

The information ratio is claimed to be an _____________measure.The _____________ requires that a bench mark be specified.

Which of the following assumes that the CAPM is the appropriate benchmark?

The window of superior performance is:

Which of the following relies upon the security market line?

A tracking error is one way that an index portfolio manager's performance can be evaluated.Two such measures that compare this are:

Given a portfolio return of 5%,10%,-2% and 4%,and a tracking portfolio of 6%,7%,2% and 5%,calculate the average absolute tracking performance of the portfolio.

Portfolio A has a return of 41% and a standard deviation of 25%.Portfolio B has a return of 21% and a standard deviation of 6%.If the risk-free rate is 4% portfolio,then the Sharpe indices of A and B are:

Faff,Gallagher and Wu (2005)in their research find that fund managers have been ________ to deliver superior returns through _________________,although there is evidence of value enhancement in the Australian equities asset class.

Blake,Lehmann and Timmerman (1999)find that the ____ is of prime importance.

Allen,Brailsford,Faff and Soucik (2005)compare performance measurement models across nine benchmark definitions using a large sample of Australian equity funds.

Droms and Walker (1994)find no evidence of consistent __________ performance of international equity funds.

Carhart's Alpha is a measure of enhanced operation after controlling for the forces generated by:

There are several well-known performance measures that have been traditionally used to measure fund performance,such as:

The Treynor measure captures the risk-premium per unit of overall risk.

The reward-to-variability ratio is another name for the Treynor index.

Portfolio A has a return of 9% and a standard deviation of 25%.Portfolio B has a return of 21% and a standard deviation of 33%.If the risk-free rate is 6% portfolio,then the Sharpe indices of A and B are:

The model proposed by Grinblatt and Titman (1989)is called:

Funds persistence states that when using past fund rankings it is never useful in predicting future ranking.

Which of the following is based upon the capital market line?

The Investment Decision

Australian Financial Markets

The International Investment Environment

Financial Management: Derivative Instruments and Information Sources

Money Market Securities

Bonds

Investor Preferences and Portfolio Concepts

Risky Asset Pricing Models and the Capm

Alternative Risky Asset Pricing Models

Concepts and Applications of Market Efficiency

Equity Valuation Models

Macro- and Industry Analysis of Share Markets

Qualitative Stock Selection

Quantitative Company Analysis

Futures and Forward Contracts

Option Contracts

Advanced Issues in Options

Alternative Investments

Portfolio Management

Filters

The information ratio is claimed to be an _measure.The _ requires that a bench mark be specified.

Faff,Gallagher and Wu (2005)in their research find that fund managers have been to deliver superior returns through _________,although there is evidence of value enhancement in the Australian equities asset class.