In creating the T2 measure one mixes P* and T-bills to match the _____ of the market and in creating the M2 measure one mixes P* and T-bills to match the _____ of the market.

A) alpha; beta B) beta; alpha C) beta; standard deviation D) standard deviation; beta A) alpha; beta B) beta; alpha C) beta; standard deviation D) standard deviation; beta

The M2 measure of portfolio performance was developed by ______________.

A) Modigliani and Treynor B) Modigliani and Modigliani C) Merton and Miller D) Fama and French A) Modigliani and Treynor B) Modigliani and Modigliani C) Merton and Miller D) Fama and French

Exam 18: Portfolio Performance Evaluation

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

(Multiple Choice)

4.8/5

(42)

Question 41

A portfolio generates an annual return of 16%,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 Jensen's alpha of the portfolio if the risk free rate is 6%?

(Multiple Choice)

4.8/5

(46)

Question 42

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 Sharpe measure of the portfolio if the risk free rate is 5%?

(Multiple Choice)

4.8/5

(38)

Question 43

In a particular year, Lost Hope Mutual Fund made the following investments in asset classes: -The contribution of asset allocation across markets to the total extra return was __________.

(Multiple Choice)

4.9/5

(42)

Question 44

What phrase might be used as a substitute for the Treynor-Black model developed in 1973?

(Multiple Choice)

4.9/5

(38)

Question 45

In creating the T² measure one mixes P* and T-bills to match the _ of the market and in creating the M² measure one mixes P* and T-bills to match the _ of the market.

(Multiple Choice)

4.7/5

(41)

Question 46

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

(Multiple Choice)

4.8/5

(43)

Question 47

The risk free rate, average returns, standard deviations and betas for three funds and the S&P500 are given below. -If these portfolios are subcomponents which make up part of a well diversified portfolio then portfolio ______ is preferred.

(Multiple Choice)

4.8/5

(41)

Question 48

The __________ calculates the reward to risk trade-off by dividing the average portfolio excess return by the portfolio beta.

(Multiple Choice)

4.9/5

(41)

Question 49

The M² measure of portfolio performance was developed by ______________.

(Multiple Choice)

4.9/5

(42)

Question 50

In the Treynor-Black model,the weight of each analyzed security in the portfolio should be proportional to its __________.

(Multiple Choice)

4.7/5

(32)

Question 51

The risk free rate, average returns, standard deviations and betas for three funds and the S&P500 are given below. -Based on the example used in the book,a perfect market timer would have made _______ of dollars on a $1 investment between 1926 and 2008.

(Multiple Choice)

4.9/5

(37)

Question 52

Empirical tests to date show ______________.

(Multiple Choice)

4.7/5

(38)

Question 53

The appraisal ratio is equal to the stock's divided by its __.

(Multiple Choice)

4.9/5

(37)

Question 54

In the Treynor-Black model security analysts __________.

(Multiple Choice)

4.8/5

(37)

Question 55

The risk free rate, average returns, standard deviations and betas for three funds and the S&P500 are given below. -What is the T² measure for portfolio A?

(Multiple Choice)

4.8/5

(38)

Question 56

Which of the following investment strategies would have produced the highest returns in the time period since 1926?

(Multiple Choice)

4.7/5

(40)

Question 57

In the Treynor-Black model,the contribution of individual security to the active portfolio should be based primarily on the stock's _________.

(Multiple Choice)

4.9/5

(35)

Question 58

If an investor is a successful market timer,his distribution of monthly portfolio returns will __________.

(Multiple Choice)

4.8/5

(45)

Question 59

The Treynor-Black model is a model that shows how an investment manager can use security analysis and statistics to construct __________.

(Multiple Choice)

4.9/5

(44)

Question 60

Showing 41 - 60 of 87

A portfolio generates an annual return of 16%,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 Jensen's alpha of the portfolio if the risk free rate is 6%?

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 Sharpe measure of the portfolio if the risk free rate is 5%?

In a particular year, Lost Hope Mutual Fund made the following investments in asset classes: -The contribution of asset allocation across markets to the total extra return was __________.

What phrase might be used as a substitute for the Treynor-Black model developed in 1973?

In creating the T² measure one mixes P* and T-bills to match the _ of the market and in creating the M² measure one mixes P* and T-bills to match the _ of the market.

The risk free rate, average returns, standard deviations and betas for three funds and the S&P500 are given below. -If these portfolios are subcomponents which make up part of a well diversified portfolio then portfolio ______ is preferred.

The __________ calculates the reward to risk trade-off by dividing the average portfolio excess return by the portfolio beta.

The M² measure of portfolio performance was developed by ______________.

In the Treynor-Black model,the weight of each analyzed security in the portfolio should be proportional to its __________.

The risk free rate, average returns, standard deviations and betas for three funds and the S&P500 are given below. -Based on the example used in the book,a perfect market timer would have made _______ of dollars on a $1 investment between 1926 and 2008.

Empirical tests to date show ______________.

The appraisal ratio is equal to the stock's divided by its __.

In the Treynor-Black model security analysts __________.

The risk free rate, average returns, standard deviations and betas for three funds and the S&P500 are given below. -What is the T² measure for portfolio A?

Which of the following investment strategies would have produced the highest returns in the time period since 1926?

In the Treynor-Black model,the contribution of individual security to the active portfolio should be based primarily on the stock's _________.

If an investor is a successful market timer,his distribution of monthly portfolio returns will __________.

The Treynor-Black model is a model that shows how an investment manager can use security analysis and statistics to construct __________.

Investments: Background and Issues

Asset Classes and Financial Instruments

Securities Markets

Mutual Funds and Other Investment Companies

Risk and Return: Past and Prologue

Efficient Diversification

Capital Asset Pricing and Arbitrage Pricing Theory

The Efficient Market Hypothesis

Behavioral Finance and Technical Analysis

Bond Prices and Yields

Managing Bond Portfolios

Macroeconomic and Industry Analysis

Equity Valuation

Financial Statement Analysis

Options Markets

Option Valuation

Futures Markets and Risk Management

Globalization and International Investing

Hedge Funds

Taxes,inflation,and Investment Strategy

Investors and the Investment Process

Filters

Exam 18: Portfolio Performance Evaluation

A portfolio generates an annual return of 16%,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 Jensen's alpha of the portfolio if the risk free rate is 6%?

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 Sharpe measure of the portfolio if the risk free rate is 5%?

In a particular year, Lost Hope Mutual Fund made the following investments in asset classes: -The contribution of asset allocation across markets to the total extra return was __________.

What phrase might be used as a substitute for the Treynor-Black model developed in 1973?

In creating the T2 measure one mixes P* and T-bills to match the _____ of the market and in creating the M2 measure one mixes P* and T-bills to match the _____ of the market.

The risk free rate, average returns, standard deviations and betas for three funds and the S&P500 are given below. -If these portfolios are subcomponents which make up part of a well diversified portfolio then portfolio ______ is preferred.

The __________ calculates the reward to risk trade-off by dividing the average portfolio excess return by the portfolio beta.

The M2 measure of portfolio performance was developed by ______________.

In the Treynor-Black model,the weight of each analyzed security in the portfolio should be proportional to its __________.

The risk free rate, average returns, standard deviations and betas for three funds and the S&P500 are given below. -Based on the example used in the book,a perfect market timer would have made _______ of dollars on a $1 investment between 1926 and 2008.

Empirical tests to date show ______________.

The appraisal ratio is equal to the stock's ____ divided by its ______.

In the Treynor-Black model security analysts __________.

The risk free rate, average returns, standard deviations and betas for three funds and the S&P500 are given below. -What is the T2 measure for portfolio A?

Which of the following investment strategies would have produced the highest returns in the time period since 1926?

In the Treynor-Black model,the contribution of individual security to the active portfolio should be based primarily on the stock's _________.

If an investor is a successful market timer,his distribution of monthly portfolio returns will __________.

The Treynor-Black model is a model that shows how an investment manager can use security analysis and statistics to construct __________.

Investments: Background and Issues

Asset Classes and Financial Instruments

Securities Markets

Mutual Funds and Other Investment Companies

Risk and Return: Past and Prologue

Efficient Diversification

Capital Asset Pricing and Arbitrage Pricing Theory

The Efficient Market Hypothesis

Behavioral Finance and Technical Analysis

Bond Prices and Yields

Managing Bond Portfolios

Macroeconomic and Industry Analysis

Equity Valuation

Financial Statement Analysis

Options Markets

Option Valuation

Futures Markets and Risk Management

Globalization and International Investing

Hedge Funds

Taxes,inflation,and Investment Strategy

Investors and the Investment Process

Filters

In creating the T² measure one mixes P* and T-bills to match the _ of the market and in creating the M² measure one mixes P* and T-bills to match the _ of the market.

The M² measure of portfolio performance was developed by ______________.

The appraisal ratio is equal to the stock's divided by its __.

The risk free rate, average returns, standard deviations and betas for three funds and the S&P500 are given below. -What is the T² measure for portfolio A?