Question 1

Which one of the following averaging methods is the preferred method of constructing returns series for use in evaluating portfolio performance?

Accepted Answer

A)  Geometric average 
B)  Arithmetic average 
C)  Dollar-weighted 
D)  Internal 
A)  Geometric average 
B)  Arithmetic average 
C)  Dollar-weighted 
D)  Internal

Question 2

Active portfolio management consists of __________.
I.market timing
II.security selection
III.sector selection within given markets
IV.indexing

Accepted Answer

A)  I and II only 
B)  II and III only 
C)  I, II and III only 
D)  I, II, III and IV 
A)  I and II only 
B)  II and III only 
C)  I, II and III only 
D)  I, II, III and IV

Question 3

A market timing strategy is one where asset allocation in the stock market __________ when one forecasts the stock market will outperform treasury bills.

Accepted Answer

A)  decreases 
B)  increases 
C)  remains the same 
D)  may increase or decrease 
A)  decreases 
B)  increases 
C)  remains the same 
D)  may increase or decrease

Question 4

For a market timer the _____________ will be higher when RM is higher.

Accepted Answer

A)  portfolio's alpha and beta 
B)  portfolio's unsystematic risk 
C)  portfolio's beta and slope of the characteristic line 
D)  security selection component of the portfolio 
A)  portfolio's alpha and beta 
B)  portfolio's unsystematic risk 
C)  portfolio's beta and slope of the characteristic line 
D)  security selection component of the portfolio

Question 5

It is very hard to statistically verify abnormal fund performance because of all except which one of the following?

Accepted Answer

A)  Inevitably some fund managers experience streaks of good performance that may just be due to luck 
B)  The noise in realized rates of return is so large as to make it hard to identify abnormal performance in competitive markets 
C)  Portfolio composition is rarely stable long enough to identify abnormal performance 
D)  Even if successful, there is really not much value to be added by active strategies such as market timing 
A)  Inevitably some fund managers experience streaks of good performance that may just be due to luck 
B)  The noise in realized rates of return is so large as to make it hard to identify abnormal performance in competitive markets 
C)  Portfolio composition is rarely stable long enough to identify abnormal performance 
D)  Even if successful, there is really not much value to be added by active strategies such as market timing

Question 6

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

Accepted Answer

A)  -1% 
B)  0% 
C)  1% 
D)  2% 
A)  -1% 
B)  0% 
C)  1% 
D)  2%

Question 7

Your return will generally be higher using the __________ if you time your transactions poorly and your return will generally be higher using the __________ if you time your transactions well.

Accepted Answer

A)  dollar-weighted return method; dollar-weighted return method 
B)  dollar-weighted return method; time-weighted return method 
C)  time-weighted return method; dollar-weighted return method 
D)  time-weighted return method; time-weighted return method 
A)  dollar-weighted return method; dollar-weighted return method 
B)  dollar-weighted return method; time-weighted return method 
C)  time-weighted return method; dollar-weighted return method 
D)  time-weighted return method; time-weighted return method

Which one of the following averaging methods is the preferred method of constructing returns series for use in evaluating portfolio performance?

Active portfolio management consists of __________. I.market timing II.security selection III.sector selection within given markets IV.indexing

A market timing strategy is one where asset allocation in the stock market __________ when one forecasts the stock market will outperform treasury bills.

For a market timer the _____________ will be higher when R_M is higher.

It is very hard to statistically verify abnormal fund performance because of all except which one of the following?

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

Your return will generally be higher using the if you time your transactions poorly and your return will generally be higher using the if you time your transactions well.

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

Which one of the following averaging methods is the preferred method of constructing returns series for use in evaluating portfolio performance?

Active portfolio management consists of __________. I.market timing II.security selection III.sector selection within given markets IV.indexing

A market timing strategy is one where asset allocation in the stock market __________ when one forecasts the stock market will outperform treasury bills.

For a market timer the _____________ will be higher when RM is higher.

It is very hard to statistically verify abnormal fund performance because of all except which one of the following?

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

Your return will generally be higher using the __________ if you time your transactions poorly and your return will generally be higher using the __________ if you time your transactions well.

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

For a market timer the _____________ will be higher when R_M is higher.

Your return will generally be higher using the if you time your transactions poorly and your return will generally be higher using the if you time your transactions well.