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-adjustedperformance
evaluationofmutualfunds.
A)EugeneFama
B)MichaelJensen
C)WilliamSharpe
D)JackTreynor
E)AandB
Answer:
ADifficulty:
Easy
Rationale:
MichaelJensen,WilliamSharpe,andJackTreynordevelopedpopularmodelsformutualfundperformanceevaluation.
4.Henriksson(1984)foundthat,onaverage,betasoffundsduringmarket
advances
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).
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-weighted
returnonthestock.
A)higherthan
B)thesameas
C)lessthan
D)exactlyproportionalto
E)moreinformationisnecessarytoanswerthisquestion
Answer:
ADifficulty:
Moderate
Rationale:
Inthedollar-weightedreturn,thestock'sperformanceinthesecondyear,when200sharesareheld,hasagreaterinfluenceontheoveralldollar-weightedreturn.Thetime-weightedreturnignoresthenumberofsharesheld.
C)15%
D)16%
E)noneoftheabove
Answer:
ADifficulty:
Difficult
Rationale:
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%
E)noneoftheabove
Answer:
BDifficulty:
Difficult
Rationale:
0%=16%-[3%+1.75(x-3%)];x=10.4%.
11.Supposetherisk-freereturnis6%.Thebetaofamanagedportfoliois1.5,thealphais3%,andtheaveragereturnis18%.BasedonJensen'smeasureofportfolioperformance,youwouldcalculatethereturnonthemarketportfolioas
A)12%
B)14%
C)15%
D)16%
E)noneoftheabove
Answer:
ADifficulty:
Difficult
Rationale:
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
Answer:
CDifficulty:
Moderate
Rationale:
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%
Answer:
CDifficulty:
Difficult
Rationale:
[(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:
BDifficulty:
Difficult
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
Beta
FundA
24%
30%
FundB
12%
10%
0.5
Fu.ndC
22%
20%
1.0
S&P500
18%
16%
LQ
ThefundwiththehighestSharpemeasureis
A)FundA
B)FundB
C)FundC
D)FundsAandBaretiedforhighest
E)FundsAandCaretiedforhighest
Answer:
CDifficulty:
Moderate
Rationale:
A:
(24%-6%)/30%=0.60;B:
(12%-6%)/10%=0.60;C:
(22%-6%)/20%=0.80;S&P500:
(18%-6%)/16%=0.75.
ThefundwiththehighestSharpemeasureis
A)FundA
B)FundB
C)FundC
D)FundsAandBaretiedforhighest
E)FundsAandCaretiedforhighest
Answer:
BDifficulty:
Moderate
Rationale:
A:
(18%-4%)/38%=0.368;B:
(15%-4%)/27%=0.407;C:
(11%-4%)/24%=0.292;S&P500:
(10%-4%)/22%=0.273.
17.YouwanttoevaluatethreemutualfundsusingtheSharpemeasureforperformaneeevaluation.Therisk-freereturnduringthesampleperiodis5%.Theaveragereturns,standarddeviationsandbetasforthethreefundsaregivenbelow,asisthedatafortheS&P500index.
A*已rageReturn
Standard.Deviation
Beta
FundA
23%
13
PutidB
20%
19%
12
FundC
19%
17%
11
IS%
15%
1,0
TheinvestmentwiththehighestSharpemeasureis
A)FundA
B)FundB
C)FundC
D)theindex
E)FundsAandCaretiedforhighest
Answer:
DDifficulty:
Moderate
Rationale:
A:
(23%-5%)/30%=0.60;B:
(20%-5%)/19%=0.789;C:
(19%-5%)/17%=0.824;S&P500:
(18%-5%)/15%=0.867.
AverageReturn
StandardDeviation
Beta
FundA
13%
10%
05
FundE
19%
20%
1.0
FuudC
25%
30%
15
S&P500
18%
16%
10
ThefundwiththehighestTreynormeasureis
A)FundA
B)FundB
C)FundC
D)FundsAandBaretiedforhighest
E)FundsAandCaretiedforhighest
Answer:
ADifficulty:
Difficult
Rationale:
A:
(13%-6%)/0.5=14;B:
(19%-6%)/1.0=13;C:
(25%-6%)/1.5=12.7;S&P500:
(18%-6%)/1.0=12.
19.YouwanttoevaluatethreemutualfundsusingtheJensenmeasureforperformaneeevaluation.Therisk-freereturnduringthesampleperiodis6%,andtheaveragereturnonthemarketportfoliois18%.Theaveragereturns,standarddeviations,andbetasforthethreefundsaregivenbelow.
AverageReturn
Standard,DevtatiQii
Beta
FundA
176%
10%
12
FundB
17.5H
20%
1.0
?
utidC
17.4%
10M
o.s
ThefundwiththehighestJensenmeasureis
A)FundA
B)FundB
C)FundC
D)FundsAandBaretiedforhighest
E)FundsAandCaretiedforhighest
Answer:
CDifficulty:
Difficult
Rationale:
A:
17.6%-[6%+1.2(18%-6%)]=-2.8%;B:
17.5%-[6%+1.0(18%-6%)]=-0.5;C:
17.4%-[6%+0.8(18%-6%)]=+1.8.
Chapter24PortfolioPerformanceEvaluation
20.Sup