投资学第7版TestBank答案24Word文件下载.docx
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E)noneoftheabove.
Answer:
DDifficulty:
Moderate
Rationale:
Mutualfundsmustdiscloseportfoliocompositionquarterly,andtradingactivitythatimmediatelyprecedesthereportingdateisreferredtoas"
windowdressing"
.Thespeculationisthatwindowdressinginvolveschangesinportfoliocomposition,whichgivestheappearanceofsuccessfulstockselection.
2.Thecomparisonuniverseis__________.
A)aconceptfoundonlyinastronomy
B)thesetofallmutualfundsintheworld
C)thesetofallmutualfundsintheU.S.
D)asetofmutualfundswithsimilarriskcharacteristicstoyourmutualfund
E)noneoftheabove
Easy
Amutualfundmanagerisevaluatedagainsttheperformanceofmanagersoffundsofsimilarriskcharacteristics.
3.__________didnotdevelopapopularmethodforrisk-adjustedperformanceevaluationofmutualfunds.
A)EugeneFama
B)MichaelJensen
C)WilliamSharpe
D)JackTreynor
E)AandB
ADifficulty:
MichaelJensen,WilliamSharpe,andJackTreynordevelopedpopularmodelsformutualfundperformanceevaluation.
4.Henriksson(1984)foundthat,onaverage,betasoffunds__________duringmarketadvances
A)increasedverysignificantly
B)increasedslightly
C)decreasedslightly
D)decreasedverysignificantly
E)didnotchange
CDifficulty:
Portfoliobetasshouldhavealargevalueifthemarketisexpectedtoperformwellandasmallvalueifthemarketisnotexpectedtoperformwell;
thus,theseresultsreflectthepoortimingabilityofmutualfundmanagers.
5.Mostprofessionallymanagedequityfundsgenerally__________.
A)outperformtheS&
P500indexonbothrawandrisk-adjustedreturnmeasures
B)underperformtheS&
C)outperformtheS&
P500indexonrawreturnmeasuresandunderperformtheS&
P500indexonrisk-adjustedreturnmeasures
D)underperformtheS&
P500indexonrawreturnmeasuresandoutperformtheS&
E)matchtheperformanceoftheS&
BDifficulty:
Mostmutualfundsdonotconsistently,overtime,outperformtheS&
P500indexonthebasisofeitherraworrisk-adjustedreturnmeasures.
6.Supposetwoportfolioshavethesameaveragereturn,thesamestandarddeviationofreturns,butportfolioAhasahigherbetathanportfolioB.AccordingtotheSharpemeasure,theperformanceofportfolioA__________.
A)isbetterthantheperformanceofportfolioB
B)isthesameastheperformanceofportfolioB
C)ispoorerthantheperformanceofportfolioB
D)cannotbemeasuredasthereisnodataonthealphaoftheportfolio
E)noneoftheaboveistrue.
TheSharpeindexisameasureofaverageportfolioreturns(inexcessoftheriskfreereturn)perunitoftotalrisk(asmeasuredbystandarddeviation).
7.ConsidertheSharpeandTreynorperformancemeasures.Whenapensionfundislargeandhasmanymanagers,the__________measureisbetterforevaluatingindividualmanagerswhilethe__________measureisbetterforevaluatingthemanagerofasmallfundwithonlyonemanagerresponsibleforallinvestments.
A)Sharpe,Sharpe
B)Sharpe,Treynor
C)Treynor,Sharpe
D)Treynor,Treynor
E)Bothmeasuresareequallygoodinbothcases.
TheTreynormeasureisthesuperiormeasureiftheportfolioisasmallportionofmanyportfolioscombinedintoalargeinvestmentfund.TheSharpemeasureissuperioriftheportfoliorepresentstheinvestor'
stotalriskyinvestmentposition.
8.Supposeyoupurchase100sharesofGMstockatthebeginningofyear1,andpurchaseanother100sharesattheendofyear1.Yousellall200sharesattheendofyear2.AssumethatthepriceofGMstockis$50atthebeginningofyear1,$55attheendofyear1,and$65attheendofyear2.AssumenodividendswerepaidonGMstock.Yourdollar-weightedreturnonthestockwillbe__________;
yourtime-weightedreturnonthestock.
A)higherthan
B)thesameas
C)lessthan
D)exactlyproportionalto
E)moreinformationisnecessarytoanswerthisquestion
Inthedollar-weightedreturn,thestock'
sperformanceinthesecondyear,when200sharesareheld,hasagreaterinfluenceontheoveralldollar-weightedreturn.Thetime-weightedreturnignoresthenumberofsharesheld.
9.