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
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