Deck 6: Portfolio Performance Evaluation

Question 1

The risk-free rate, average returns, standard deviations and betas for three funds and the S&P500 are given below.
What is the T² measure for Portfolio A?

A) 12.4%
B) 2.38%
C) 0.91%
D) 3.64%

Answer 1

2.38%

Question 2

The risk-free rate, average returns, standard deviations and betas for three funds and the S&P500 are given below.
What is the M² measure for Portfolio B?

A) 0.43%
B) 1.25%
C) 1.77%
D) 1.43%

Answer 2

1.43%

Question 3

The average returns, standard deviations and betas for three funds are given below along with data for the S&P 500 index. The risk-free return during the sample period is 6%. You wish to evaluate the three mutual funds using the Sharpe measure for performance evaluation. The fund with the highest Sharpe measure of performance is ________.

A) Fund A
B) Fund B
C) Fund C
D) indeterminable

Answer 3

Fund B

Question 4

The average returns, standard deviations and betas for three funds are given below along with data for the S&P 500 index. The risk-free return during the sample period is 6%.
You wish to evaluate the three mutual funds using the Treynor measure for performance evaluation. The fund with the highest Treynor measure of performance is ________.

A) Fund A
B) Fund B
C) Fund C
D) indeterminable

Question 5

The average returns, standard deviations and betas for three funds are given below along with data for the S&P 500 index. The risk-free return during the sample period is 6%. You wish to evaluate the three mutual funds using the Jensen measure for performance evaluation. The fund with the highest Jensen measure of performance is ________.

A) Fund A
B) Fund B
C) Fund C
D) S&P500

Question 6

The table presents the actual return of each sector of the manager's portfolio in column (1), the fraction of the portfolio allocated to each sector in column (2), the benchmark or neutral sector allocations in column (3) and the returns of sector indexes in column (4). What was the manager's return in the month?

A) 2.07%
B) 2.21%
C) 2.24%
D) 4.80%

Question 7

The table presents the actual return of each sector of the manager's portfolio in column (1), the fraction of the portfolio allocated to each sector in column (2), the benchmark or neutral sector allocations in column (3) and the returns of sector indexes in column (4). What was the bogey's return in the month?

A) 2.07%
B) 2.21%
C) 2.24%
D) 4.80%

Question 8

What is the contribution of security selection to relative performance?

A) -0.15%
B) 0.15%
C) -0.3%
D) 0.3%

Question 9

What is the contribution of asset allocation to relative performance?

A) -0.18%
B) 0.18%
C) -0.15%
D) 0.15%