1、 Easy A mutual fund manager is evaluated against the performance of managers of funds of similar risk characteristics.3. did not develop a popular method for risk-adjusted performanceevaluation of mutual funds.A)Eugene FamaB)Michael JensenC)William SharpeD)Jack TreynorE)A and B A Difficulty: Michael
2、 Jensen, William Sharpe, and Jack Treynor developed popular models for mutual fund performance evaluation.4.Henriksson (1984) found that, on average, betas of funds during marketadvancesA)increased very significantlyB)increased slightlyC)decreased slightlyD)decreased very significantlyE)did not chan
3、ge C Difficulty: Portfolio betas should have a large value if the market is expected to perform well and a small value if the market is not expected to perform well; thus, these results reflect the poor timing ability of mutual fund managers.5.Most professionally managed equity funds generally .A)ou
4、tperform the S&P 500 index on both raw and risk-adjusted return measuresB)underperform the S&C)outperform the S&P 500 index on raw return measures and underperform the S&P 500 index on risk-adjusted return measuresD)underperform the S&P 500 index on raw return measures and outperform the S&E)match t
5、he performance of the S& B Difficulty: Most mutual funds do not consistently, over time, outperform the S&P 500 index on the basis of either raw or risk-adjusted return measures.6.Suppose two portfolios have the same average return, the same standard deviation of returns, but portfolio A has a highe
6、r beta than portfolio B. According to the Sharpe measure, the performance of portfolio A .A)is better than the performance of portfolio BB)is the same as the performance of portfolio BC)is poorer than the performance of portfolio BD)cannot be measured as there is no data on the alpha of the portfoli
7、oE)none of the above is true. The Sharpe index is a measure of average portfolio returns (in excess of the risk free return) per unit of total risk (as measured by standard deviation).B)Sharpe, TreynorC)Treynor, SharpeD)Treynor, TreynorE)Both measures are equally good in both cases. The Treynor meas
8、ure is the superior measure if the portfolio is a small portion of many portfolios combined into a large investment fund. The Sharpe measure is superior if the portfolio represents the investors total risky investment position.8. Suppose you purchase 100 shares of GM stock at the beginning of year 1
9、, and purchase another 100 shares at the end of year 1. You sell all 200 shares at the end of year 2. Assume that the price of GM stock is $50 at the beginning of year 1, $55 at the end of year 1, and $65 at the end of year 2. Assume no dividends were paid on GM stock. Your dollar-weighted return on
10、 the stock will be ; your time-weightedreturn on the stock.A)higher thanB)the same asC)less thanD)exactly proportional toE)more information is necessary to answer this question In the dollar-weighted return, the stocks performance in the second year, when 200 shares are held, has a greater influence
11、 on the overall dollar-weighted return. The time-weighted return ignores the number of shares held.C)15%D)16% Difficult 1% = 14% - 4% + 1.2(x - 4%); x = 11.5%.10.Suppose the risk-free return is 3%. The beta of a managed portfolio is 1.75, the alpha is0%, and the average return is 16%. Based on Jense
12、ns measure of portfolio performance, you would calculate the return on the market portfolio asA)12.3%B)10.4%C)15.1%D)16.7% 0% = 16% - 3% + 1.75(x - 3%); x = 10.4%.11.Suppose the risk-free return is 6%. The beta of a managed portfolio is 1.5, the alpha is 3%, and the average return is 18%. Based on J
13、ensenA)12%B)14% 3% = 18% - 6% + 1.5(x - 6%); x = 12%.12.Suppose a particular investment earns an arithmetic return of 10% in year 1, 20% in year 2 and 30% in year 3. The geometric average return for the year period will beA)greater than the arithmetic average returnB)equal to the arithmetic average
14、returnC)less than the arithmetic average returnD)equal to the market returnE)cannot tell from the information given The geometric mean will always be less than the arithmetic mean unless the returns in all periods are equal (in which case the two means will be equal).13.Suppose you buy 100 shares of
15、 Abolishing Dividend Corporation at the beginning of year 1 for $80. Abolishing Dividend Corporation pays no dividends. The stock price at the end of year 1 is $100, the price $120 at the end of year 2, and the price is $150 at the end of year 3. The stock price declines to $100 at the end of year 4
16、, and you sell your 100 shares. For the four years, your geometric average return isA)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.You want to evaluate three mutual funds using the information ratio measure for performa nee evaluati on. The risk-free retur n duri ng the
17、 sample period is 6%, and the average return on the market portfolio is 19%. The average returns, residual sta ndard deviati ons, and betas for the three funds are give n below.Average E eturnResidual Standard D eviationBetaFund A20%4.00%0.8Fund B21%1.23%1.0FvndC23%1.20%1.2The fund with the highest
18、in formatio n ratio measure is A)Fund AB)Fund BC)Fund CD)Funds A and B are tied for highestE)Funds A and C are tied for highestAn swer:Ratio nale: In formation ratio = p/(T pa A: p a20 - 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
19、.4; 1.4/1.20 = 1.16.Average RjeturnStandard. Deviation24%30%FundB12%10%0.5Fu.nd C22%S&P 50018%16%LQThe fund with the highest Sharpe measure is A: (24% - 6%)/30% = 0.60; (12% - 6%)/10% = 0.60; (22% - 6%)/20% =0.80; S&P 500: (18% - 6%)/16% = 0.75.Rati on ale: (18% - 4%)/38% = 0.368; (15% - 4%)/27% = 0
20、.407; (11% - 4%)/24% = 0.292; (10% - 4%)/22% = 0.273.17. You want to evaluate three mutual funds using the Sharpe measure for performanee evaluati on. The risk-free retur n duri ng the sample period is 5%. The average retur ns, sta ndard deviati ons and betas for the three funds are give n below, as
21、 is the data for the S&P 500 in dex.A*已rage Return13PutidB19%12FundC17%11IS%15%1,0The inv estme nt with the highest Sharpe measure is D)the index (23% - 5%)/30% = 0.60; (20% - 5%)/19% = 0.789; (19% - 5%)/17% =0.824; (18% - 5%)/15% = 0.867.Average ReturnStandard Deviation13%0 5Fund EFuudC25%1510The f
22、und with the highest Treynor measure is (13% - 6%)/0.5 = 14; (19% - 6%)/1.0 = 13; (25% - 6%)/1.5 = 12.7; (18% - 6%)/1.0 = 12.19.You want to evaluate three mutual funds using the Jensen measure for performanee evaluation. The risk-free return during the sample period is 6%, and the average return on
23、the market portfolio is 18%. The average returns, standard deviations, and betas for the three funds are give n below.Standard, DevtatiQii176%17.5H?utidC17.4%10Mo.sThe fund with the highest Jensen measure is 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.Chapter 24 Portfolio Performance Evaluation20.Sup
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