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%

Accepted Answer

B

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%

Accepted Answer

D

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

Accepted Answer

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

Accepted Answer

The answer of The average returns, standard deviations and betas...

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

Accepted Answer

The answer of The average returns, standard deviations and betas...

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%

Accepted Answer

The answer of The table presents the actual return of...

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%

Accepted Answer

The answer of The table presents the actual return of...

Question 8

What is the contribution of security selection to relative performance?
A) -0.15%
B) 0.15%
C) -0.3%
D) 0.3%

Accepted Answer

Security selection contribution is calculated as the difference between the portfolio's return and the benchmark's return, adjusted for the allocation effect. A negative value indicates underperformance due to security selection.

Question 9

What is the contribution of asset allocation to relative performance?
A) -0.18%
B) 0.18%
C) -0.15%
D) 0.15%

Accepted Answer

Asset allocation contributes to relative performance by determining the distribution of resources across various asset classes, which can significantly impact investment returns. A positive figure like 0.18% indicates a positive contribution to performance due to asset allocation decisions.

Quiz 6: Portfolio Performance Evaluation

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?

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?

What is the contribution of security selection to relative performance?

What is the contribution of asset allocation to relative performance?

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?

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?