投资学第7版TestBank答案24.docx

投资学第7版TestBank答案24.docx

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投资学第7版TestBank答案24

MultipleChoiceQuestions

1.Tradingactivitybymutualfundsjustpriortoquarterlyreportingdatesisknownas

A）insidertrading.

B）programtrading.

C）passivesecurityselection.

D）windowdressing.

E）noneoftheabove.

Answer:

DDifficulty:

Moderate

Rationale:

Mutualfundsmustdiscloseportfoliocompositionquarterly,andtradingactivitythatimmediatelyprecedesthereportingdateisreferredtoas"windowdressing".Thespeculationisthatwindowdressinginvolveschangesinportfoliocomposition,whichgivestheappearanceofsuccessfulstockselection.

2.Thecomparisonuniverseis__________.

A）aconceptfoundonlyinastronomy

B）thesetofallmutualfundsintheworld

C）thesetofallmutualfundsintheU.S.

D）asetofmutualfundswithsimilarriskcharacteristicstoyourmutualfund

E）noneoftheabove

Answer:

DDifficulty:

Easy

Rationale:

Amutualfundmanagerisevaluatedagainsttheperformanceofmanagersoffundsofsimilarriskcharacteristics.

3.__________didnotdevelopapopularmethodforrisk-adjustedperformanceevaluationofmutualfunds.

A）EugeneFama

B）MichaelJensen

C）WilliamSharpe

D）JackTreynor

E）AandB

Answer:

ADifficulty:

Easy

Rationale:

MichaelJensen,WilliamSharpe,andJackTreynordevelopedpopularmodelsformutualfundperformanceevaluation.

4.Henriksson（1984）foundthat,onaverage,betasoffunds__________duringmarketadvances

A）increasedverysignificantly

B）increasedslightly

C）decreasedslightly

D）decreasedverysignificantly

E）didnotchange

Answer:

CDifficulty:

Moderate

Rationale:

Portfoliobetasshouldhavealargevalueifthemarketisexpectedtoperformwellandasmallvalueifthemarketisnotexpectedtoperformwell;thus,theseresultsreflectthepoortimingabilityofmutualfundmanagers.

5.Mostprofessionallymanagedequityfundsgenerally__________.

A）outperformtheS&P500indexonbothrawandrisk-adjustedreturnmeasures

B）underperformtheS&P500indexonbothrawandrisk-adjustedreturnmeasures

C）outperformtheS&P500indexonrawreturnmeasuresandunderperformtheS&P500indexonrisk-adjustedreturnmeasures

D）underperformtheS&P500indexonrawreturnmeasuresandoutperformtheS&P500indexonrisk-adjustedreturnmeasures

E）matchtheperformanceoftheS&P500indexonbothrawandrisk-adjustedreturnmeasures

Answer:

BDifficulty:

Moderate

Rationale:

Mostmutualfundsdonotconsistently,overtime,outperformtheS&P500indexonthebasisofeitherraworrisk-adjustedreturnmeasures.

6.Supposetwoportfolioshavethesameaveragereturn,thesamestandarddeviationofreturns,butportfolioAhasahigherbetathanportfolioB.AccordingtotheSharpemeasure,theperformanceofportfolioA__________.

A）isbetterthantheperformanceofportfolioB

B）isthesameastheperformanceofportfolioB

C）ispoorerthantheperformanceofportfolioB

D）cannotbemeasuredasthereisnodataonthealphaoftheportfolio

E）noneoftheaboveistrue.

Answer:

BDifficulty:

Moderate

Rationale:

TheSharpeindexisameasureofaverageportfolioreturns（inexcessoftheriskfreereturn）perunitoftotalrisk（asmeasuredbystandarddeviation）.

7.ConsidertheSharpeandTreynorperformancemeasures.Whenapensionfundislargeandhasmanymanagers,the__________measureisbetterforevaluatingindividualmanagerswhilethe__________measureisbetterforevaluatingthemanagerofasmallfundwithonlyonemanagerresponsibleforallinvestments.

A）Sharpe,Sharpe

B）Sharpe,Treynor

C）Treynor,Sharpe

D）Treynor,Treynor

E）Bothmeasuresareequallygoodinbothcases.

Answer:

CDifficulty:

Moderate

Rationale:

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

Answer:

ADifficulty:

Moderate

Rationale:

Inthedollar-weightedreturn,thestock'sperformanceinthesecondyear,when200sharesareheld,hasagreaterinfluenceontheoveralldollar-weightedreturn.Thetime-weightedreturnignoresthenumberofsharesheld.

9.