## Mirror for Humanity Study Set 1

Anthropology

## Quiz 25 :

Evaluation of Portfolio Performance

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Q38 Q38 Q38

Under the performance attribution analysis method, the ____ measures the manager's ability to form specific market segment portfolios that generate superior returns relative to the way in which the comparable market segment is defined in the benchmark portfolio weighted by the manager's actual market segment investment proportions.

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Q60 Q60 Q60

Exhibit 25.1
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
The portfolios identified below are being considered for investment. During the period under consideration R

_{f}= .03. -Refer to Exhibit 25.1. Using the Sharpe Measure, which portfolio performed best?Free

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Q61 Q61 Q61

Exhibit 25.1
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
The portfolios identified below are being considered for investment. During the period under consideration R

_{f}= .03. -Refer to Exhibit 25.1. According to the Treynor Measure, which portfolio performed best?Free

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Q62 Q62 Q62

Exhibit 25.2
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
The portfolios identified below are being considered for investment. Assume that during the period under consideration R

_{f}= .04. -Refer to Exhibit 25.2. Using the Sharpe Measure, which portfolio performed best?Free

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Q63 Q63 Q63

Exhibit 25.2
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
The portfolios identified below are being considered for investment. Assume that during the period under consideration R

_{f}= .04. -Refer to Exhibit 25.2. According to the Treynor Measure, which portfolio performed best?Free

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Multiple Choice

Q73 Q73 Q73

Exhibit 25.5
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
The data presented below has been collected at this point in time.
-What is the Sharpe measure for the S&P 500 over the last ten years if the standard deviation was 8% and the return was 14%?

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Multiple Choice

Q87 Q87 Q87

Exhibit 25.10
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
Consider the following information for a portfolio manager:
-A portfolio manager has the following sequence of cash flows over a two year period: Calculate the portfolio manager's dollar weighted return.

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Q88 Q88 Q88

Exhibit 25.10
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
Consider the following information for a portfolio manager:
-A portfolio manager has the following sequence of cash flows over a two year period: Calculate the portfolio manager's time weighted return.

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Multiple Choice

Q89 Q89 Q89

Exhibit 25.11
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
The last year's performance for four mutual funds is presented below. The market return was 10.70%, last year with a standard deviation of 13.1% and the risk-free rate of return was 5%.
-Refer to Exhibit 25.11. Compute the Sharpe Measure for the A fund.

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Q90 Q90 Q90

Exhibit 25.11
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
The last year's performance for four mutual funds is presented below. The market return was 10.70%, last year with a standard deviation of 13.1% and the risk-free rate of return was 5%.
-Refer to Exhibit 25.11. Compute the Jensen Measure for the B fund.

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Q91 Q91 Q91

Exhibit 25.11
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
The last year's performance for four mutual funds is presented below. The market return was 10.70%, last year with a standard deviation of 13.1% and the risk-free rate of return was 5%.
-Refer to Exhibit 25.11. Compute the Treynor Measure for the C fund.

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Q92 Q92 Q92

Exhibit 25.11
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
The last year's performance for four mutual funds is presented below. The market return was 10.70%, last year with a standard deviation of 13.1% and the risk-free rate of return was 5%.
-Refer to Exhibit 25.11. Based on the Sharpe Measure which portfolio preformed best?

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Q93 Q93 Q93

Exhibit 25.11
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
The last year's performance for four mutual funds is presented below. The market return was 10.70%, last year with a standard deviation of 13.1% and the risk-free rate of return was 5%.
-Refer to Exhibit 25.11. Based on the Treynor Measure which portfolio preformed best?

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Multiple Choice

Q94 Q94 Q94

Exhibit 25.12
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
An analyst is considering investing in funds A, B, C, and D. The market portfolio, M, is expected to be 11% next period and the risk-free rate of return is 3%. The market portfolio had a standard deviation over the past ten years of 0.20. The analyst gathered the following information on the four funds.
-Refer to Exhibit 25.12. Rank the four funds and market portfolio in order from highest to lowest based on their Treynor performance measures.

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Q95 Q95 Q95

Exhibit 25.12
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
An analyst is considering investing in funds A, B, C, and D. The market portfolio, M, is expected to be 11% next period and the risk-free rate of return is 3%. The market portfolio had a standard deviation over the past ten years of 0.20. The analyst gathered the following information on the four funds.
-Refer to Exhibit 25.12. Rank the four funds and market portfolio in order from highest to lowest based on their Sharpe measures.

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Multiple Choice

Q96 Q96 Q96

Exhibit 25.12
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
An analyst is considering investing in funds A, B, C, and D. The market portfolio, M, is expected to be 11% next period and the risk-free rate of return is 3%. The market portfolio had a standard deviation over the past ten years of 0.20. The analyst gathered the following information on the four funds.
-Refer to Exhibit 25.12. Compute the Jensen Measure for the C fund.

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Multiple Choice