Exam 22: Evaluation of Investment Performance: a Global Concept

Which one of the following statements is true? Notation: RVAR: Sharpe's reward-to-variability measure RVOL: Treynor's reward-to-volatility measure

Discuss how constraints on portfolio managers affect the portfolio results.

Performance attribution seeks to determine the detailed investment style adopted by a money manager.

The Global Investment Performance Standards () were created by:

What is performance attribution?

Which is the better measure to estimate the performance of a well-diversified portfolio in relation to the market index?

The following information is to be used to answer questions 13-17. \begin{array}{llcc}\underline{ \text { SD }} &\underline{ \text {Beta }}&\underline{ \text {alpha }}&\underline{ \text { \mathrm{R}^{2}}} \\ \text { Fund 11.97 } &1.0&1.3&0.95\\ \text { Fund 22.94 } &0.8&0.6^*&0.80\\ \text { Fund 33.82} &1.2&-3.5&0.90\\ \text { Fund 44.70 } &1.4&4.2&065\\ &\\\end{array} $\text { *Significant at the } 5 \text { percent level }$ -Which of these funds was least well diversified?

Total risk of a portfolio is measured by the beta coefficient.

How is regression analysis used to measure portfolio diversification?

The higher the RVAR, the better the risk-adjusted portfolio performance.

The --------------------- has issued minimum standards for investment performance.

What is the major difference between the Sharpe and Treynor models?

Treynor's measure is a ratio of excess return to systematic risk.

Select the CORRECT statement about the reward-to-variability ratio (RVAR).