投资学第7版TestBank答案24Word文档格式.docx
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Easy
Amutualfundmanagerisevaluatedagainsttheperformanceofmanagersoffundsofsimilarriskcharacteristics.
3.didnotdevelopapopularmethodforrisk-adjustedperformance
evaluationofmutualfunds.
A)EugeneFama
B)MichaelJensen
C)WilliamSharpe
D)JackTreynor
E)AandB
ADifficulty:
MichaelJensen,WilliamSharpe,andJackTreynordevelopedpopularmodelsformutualfundperformanceevaluation.
4.Henriksson(1984)foundthat,onaverage,betasoffundsduringmarket
advances
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).
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-weighted
returnonthestock.
A)higherthan
B)thesameas
C)lessthan
D)exactlyproportionalto
E)moreinformationisnecessarytoanswerthisquestion
Inthedollar-weightedreturn,thestock'
sperformanceinthesecondyear,when200sharesareheld,hasagreaterinfluenceontheoveralldollar-weightedreturn.Thetime-weightedreturnignoresthenumberofsharesheld.
C)15%
D)16%
Difficult
1%=14%-[4%+1.2(x-4%)];
x=11.5%.
10.Supposetherisk-freereturnis3%.Thebetaofamanagedportfoliois1.75,thealphais
0%,andtheaveragereturnis16%.BasedonJensen'
smeasureofportfolioperformance,youwouldcalculatethereturnonthemarketportfolioas
A)12.3%
B)10.4%
C)15.1%
D)16.7%
0%=16%-[3%+1.75(x-3%)];
x=10.4%.
11.Supposetherisk-freereturnis6%.Thebetaofamanagedportfoliois1.5,thealphais3%,andtheaveragereturnis18%.BasedonJensen'
A)12%
B)14%
3%=18%-[6%+1.5(x-6%)];
x=12%.
12.Supposeaparticularinvestmentearnsanarithmeticreturnof10%inyear1,20%inyear2and30%inyear3.Thegeometricaveragereturnfortheyearperiodwillbe
A)greaterthanthearithmeticaveragereturn
B)equaltothearithmeticaveragereturn
C)lessthanthearithmeticaveragereturn
D)equaltothemarketreturn
E)cannottellfromtheinformationgiven
Thegeometricmeanwillalwaysbelessthanthearithmeticmeanunlessthereturnsinallperiodsareequal(inwhichcasethetwomeanswillbeequal).
13.Supposeyoubuy100sharesofAbolishingDividendCorporationatthebeginningofyear1for$80.AbolishingDividendCorporationpaysnodividends.Thestockpriceattheendofyear1is$100,theprice$120attheendofyear2,andthepriceis$150attheendofyear3.Thestockpricedeclinesto$100attheendofyear4,andyousellyour100shares.Forthefouryears,yourgeometricaveragereturnis
A)0.0%
B)1.0%
C)5.7%
D)9.2%
E)34.5%
[(1.25)(1.20)(1.25)(0.6667)]1/4-1.0=5.7%
14.Youwanttoevaluatethreemutualfundsusingtheinformationratiomeasureforperformaneeevaluation.Therisk-freereturnduringthesampleperiodis6%,andtheaveragereturnonthemarketportfoliois19%.Theaveragereturns,residualstandarddeviations,andbetasforthethreefundsaregivenbelow.
AverageEeturn
ResidualStandardDeviation
Beta
FundA
20%
4.00%
0.8
FundB
21%
1.23%
1.0
FvndC
23%
1.20%
1.2
Thefundwiththehighestinformationratiomeasureis
A)FundA
B)FundB
C)FundC
D)FundsAandBaretiedforhighest
E)FundsAandCaretiedforhighest
Answer:
Rationale:
Informationratio=p/(TpaA:
pa20-6-.8(19-6)=3.6;
3.6/4=0.9;
B:
a=21-6-1(19-6)=2.0;
2/1.25=1.6;
C:
p=23-6%-1.2(19-6)=1.4;
1.4/1.20=1.16.
AverageRjeturn
Standard.Deviation
24%
30%
FundB
12%
10%
0.5
Fu.ndC
22%
S&
P500
18%
16%
LQ
ThefundwiththehighestSharpemeasureis
A:
(24%-6%)/30%=0.60;
(12%-6%)/10%=0.60;
(22%-6%)/20%=0.80;
S&
P500:
(18%-6%)/16%=0.75.
Rationale:
(18%-4%)/38%=0.368;
(15%-4%)/27%=0.407;
(11%-4%)/24%=0.292;
(10%-4%)/22%=0.273.
17.YouwanttoevaluatethreemutualfundsusingtheSharpemeasureforperformaneeevaluation.Therisk-freereturnduringthesampleperiodis5%.Theaveragereturns,standarddeviationsandbetasforthethreefundsaregivenbelow,asisthedatafortheS&
P500index.
A*已rageReturn
13
PutidB
19%
12
FundC
17%
11
IS%
15%
1,0
TheinvestmentwiththehighestSharpemeasureis
D)theindex
(23%-5%)/30%=0.60;
(20%-5%)/19%=0.789;
(19%-5%)/17%=0.824;
(18%-5%)/15%=0.867.
AverageReturn
StandardDeviation
13%
05
FundE
FuudC
25%
15
10
ThefundwiththehighestTreynormeasureis
(13%-6%)/0.5=14;
(19%-6%)/1.0=13;
(25%-6%)/1.5=12.7;
(18%-6%)/1.0=12.
19.YouwanttoevaluatethreemutualfundsusingtheJensenmeasureforperformaneeevaluation.Therisk-freereturnduringthesampleperiodis6%,andtheaveragereturnonthemarketportfoliois18%.Theaveragereturns,standarddeviations,andbetasforthethreefundsaregivenbelow.
Standard,DevtatiQii
176%
17.5H
?
utidC
17.4%
10M
o.s
ThefundwiththehighestJensenmeasureis
17.6%-[6%+1.2(18%-6%)]=-2.8%;
17.5%-[6%+1.0(18%-6%)]=-0.5;
17.4%-[6%+0.8(18%-6%)]=+1.8.
Chapter24PortfolioPerformanceEvaluation
20.Sup