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Exam 24: Portfolio Performance Evaluation

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Question 41

Multiple Choice

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In a particular year, Razorback Mutual Fund earned a return of 1% by making the following investments in asset classes: The return on a bogey portfolio was 2%, calculated from the following information. The contribution of asset allocation across markets to the Razorback Fund's total excess return was

A) -1.80%.
B) -1.00%.
C) 0.80%.
D) 1.00%.

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Question 42

Multiple Choice

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Suppose the risk-free return is 4%.The beta of a managed portfolio is 1.2, the alpha is 1%, and the average return is 14%.Based on Jensen's measure of portfolio performance, you would calculate the return on the market portfolio as

A) 11.5%.
B) 14%.
C) 15%.
D) 16%.

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Question 43

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You want to evaluate three mutual funds using the Sharpe measure for performance evaluation.The risk-free return during the sample period is 5%.The average returns, standard deviations, and betas for the three funds are given below, as are the data for the S&P 500 Index. The investment with the highest Sharpe measure is

You want to evaluate three mutual funds using the Treynor measure for performance evaluation.The risk-free return during the sample period is 6%.The average returns, standard deviations, and betas for the three funds are given below, in addition to information regarding the S&P 500 Index. The fund with the highest Treynor measure is

Suppose two portfolios have the same average return, the same standard deviation of returns, but Aggie Fund has a lower beta than Raider Fund.According to the Treynor measure, the performance of Aggie Fund

Suppose two portfolios have the same average return, the same standard deviation of returns, but Buckeye Fund has a higher beta than Gator Fund.According to the Sharpe measure, the performance of Buckeye Fund

The following data are available relating to the performance of Wildcat Fund and the market portfolio: The risk-free return during the sample period was 7%. Calculate Treynor's measure of performance for Wildcat Fund.

The following data are available relating to the performance of Sooner Stock Fund and the market portfolio: The risk-free return during the sample period was 3%. What is the Sharpe measure of performance evaluation for Sooner Stock Fund

Suppose two portfolios have the same average return, the same standard deviation of returns, but Aggie Fund has a higher beta than Raider Fund.According to the Sharpe measure, the performance of Aggie Fund

Morningstar's RAR method I) is one of the most widely used performance measures. II. indicates poor performance by placing up to 5 darts next to the fund's name. III. computes fund returns adjusted for loads. IV. computes fund returns adjusted for risk. V. produces ranking results that are the same as those produced with the Sharpe measure.

The following data are available relating to the performance of Seminole Fund and the market portfolio: The risk-free return during the sample period was 6%. If you wanted to evaluate the Seminole Fund using the M² measure, what percent of the adjusted portfolio would need to be invested in T-Bills

Suppose you own two stocks, A and B.In year 1, stock A earns a 2% return and stock B earns a 9% return.In year 2, stock A earns an 18% return and stock B earns an 11% return.Which stock has the higher geometric average return?

You invested $1,000 through your broker three years ago.Your account balance at the beginning of each period is shown in the table below.

In a particular year, Aggie Mutual Fund earned a return of 15% by making the following investments in the following asset classes: The return on a bogey portfolio was 10%, calculated as follows: The contribution of asset allocation across markets to the total excess return was

You want to evaluate three mutual funds using the information ratio measure for performance evaluation.The risk-free return during the sample period is 6%, and the average return on the market portfolio is 19%.The average returns, residual standard deviations, and betas for the three funds are given below. The fund with the highest information ratio measure is

Suppose you purchase 100 shares of GM stock at the beginning of year 1 and purchase another 100 shares at the end of year 1.You sell all 200 shares at the end of year 2.Assume that the price of GM stock is $50 at the beginning of year 1, $55 at the end of year 1, and $65 at the end of year 2.Assume no dividends were paid on GM stock.Your dollar-weighted return on the stock will be __________ your time-weighted return on the stock.

Mutual funds show ____________ evidence of serial correlation and hedge funds show ____________ evidence of serial correlation.

The comparison universe is

A pension fund that begins with $500,000 earns 15% the first year and 10% the second year.At the beginning of the second year, the sponsor contributes another $300,000.The dollar-weighted and time-weighted rates of return, respectively, were

The following data are available relating to the performance of Sooner Stock Fund and the market portfolio: The risk-free return during the sample period was 3%. What is the Treynor measure of performance evaluation for Sooner Stock Fund