Exam 18: Portfolio Performance Evaluation

The average returns, standard deviations and betas for three funds are given below along with data for the S&P 500 index. The risk free return during the sample period is 6%. -You wish to evaluate the three mutual funds using the Sharpe measure for performance evaluation.The fund with the highest Sharpe measure of performance is __________.

Suppose that over the same time period two portfolios have the same average return and the same standard deviation of return,but portfolio A has a higher beta than portfolio B. According to the Sharpe measure, the performance of portfolio A __________.

A portfolio generates an annual return of 17%,a beta of 1.2 and a standard deviation of 19%.The market index return is 12% and has a standard deviation of 16%.What is the M² measure of the portfolio if the risk free rate is 4%?

A fund has excess performance of 1.5%.In looking at the fund's investment breakdown you see that the fund overweighed equities relative to the benchmark and the average return on the fund's equity portfolio was slightly lower than the equity benchmark return.The excess performance for this fund is probably due to _______________.

Morningstar's RAR produce results which are similar but not identical to ________.

In a particular year, Salmon Arm Mutual Fund earned a return of 16% by making the following investments in asset classes: The return on a bogey portfolio was 12% calculated as follows: -The total excess return on the managed portfolio was __________.

Consider the Sharpe and Treynor performance measures.When a pension fund is large and well diversified in total and it 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 that may not be fully diversified.

Which one of the following performance measures is the Sharpe measure?

The table presents the actual return of each sector of the manager's portfolio in column (1), the fraction of the portfolio allocated to each sector in column (2), the benchmark or neutral sector allocations in column (3), and the returns of sector indexes in column 4. -What was the manager's return in the month?

Henriksson found that,on average,betas of funds __________ during market advances.

The table presents the actual return of each sector of the manager's portfolio in column (1), the fraction of the portfolio allocated to each sector in column (2), the benchmark or neutral sector allocations in column (3), and the returns of sector indexes in column 4. -What is the contribution of security selection to relative performance?

If all ___ are ___ in the Treynor-Black model,there would be no reason to depart from the passive portfolio.

The Treynor-Black model combines an actively managed portfolio with an efficiently diversified portfolio in order to _______________________. I.improve the diversification of the overall portfolio II.improve the overall portfolio's Sharpe ratio III.reach a higher CAL than otherwise would be possible

A mutual fund invests in large-capitalization stocks.Its performance should be measured against which one of the following?

Recent analysis indicates that the style of investing is a critical component of fund performance.In fact on average about _____ of fund performance is attributable to the asset allocation decision.

The table presents the actual return of each sector of the manager's portfolio in column (1), the fraction of the portfolio allocated to each sector in column (2), the benchmark or neutral sector allocations in column (3), and the returns of sector indexes in column 4. -What was the bogey's return in the month?

The market timing form of active portfolio management relies on __________ forecasting and the security selection form of active portfolio management relies on __________ forecasting.

In a particular year, Salmon Arm Mutual Fund earned a return of 16% by making the following investments in asset classes: The return on a bogey portfolio was 12% calculated as follows: -The contribution of security selection within asset classes to the total excess return was __________.

In a particular year, Salmon Arm Mutual Fund earned a return of 16% by making the following investments in asset classes: The return on a bogey portfolio was 12% calculated as follows: -The contribution of asset allocation across markets to the total excess return was __________.

A portfolio generates an annual return of 13%,a beta of 0.7 and a standard deviation of 17%.The market index return is 14% and has a standard deviation of 21%.What is the Treynor measure of the portfolio if the risk free rate is 5%?