Question 1

What is the contribution of security selection to relative performance?

Accepted Answer

The answer of What is the contribution of security selection...

Question 2

Morningstar's RAR produce results which are similar but not identical to ________.

Accepted Answer

The Morningstar's RAR produces results that are similar but not identical to the Sharpe ratio. The other options, Jensen's alpha, M2, and the Treynor ratio, are not similar to the Morningstar's RAR.

Question 3

Empirical tests to date show ________.

Accepted Answer

Multiple empirical studies have shown little to no evidence of market timing ability. While some investors may have experienced success in timing the market in the short term, it is difficult to consistently do so over the long term.

Question 4

A portfolio generates an annual return of 13%, a beta of 0.7 and a standard deviation of 17%. The market index return is 14% and has a standard deviation of 21%. What is Jensen's alpha of the portfolio if the risk-free rate is 5%?

Accepted Answer

The answer of A portfolio generates an annual return of...

Question 5

A portfolio generates an annual return of 17%, a beta of 1.2 and a standard deviation of 19%. The market index return is 12% and has a standard deviation of 16%. What is the M² measure of the portfolio if the risk-free rate is 4%?

Accepted Answer

The answer of A portfolio generates an annual return of...

Question 6

Consider the theory of active portfolio management. Shares A and B have the same beta and the same positive alpha. Share A has higher non-systematic risk than share B. You should want ________ in your active portfolio.

Accepted Answer

Active portfolio management seeks to maximize returns while minimizing risks. Shares A and B have the same beta and the same positive alpha, suggesting that they have the same expected return. However, share A has higher non-systematic risk than share B, indicating that it is more volatile and unpredictable. Therefore, to minimize risks, it is advisable to hold more of share B than share A in the active portfolio.

Question 7

A portfolio generates an annual return of 13%, a beta of 0.7 and a standard deviation of 17%. The market index return is 14% and has a standard deviation of 21%. What is the Sharpe measure of the portfolio if the risk-free rate is 5%?

Accepted Answer

The answer of A portfolio generates an annual return of...

Question 8

A portfolio generates an annual return of 13%, a beta of 0.7 and a standard deviation of 17%. The market index return is 14% and has a standard deviation of 21%. What is the Treynor measure of the portfolio if the risk-free rate is 5%?

Accepted Answer

The answer of A portfolio generates an annual return of...

Question 9

A portfolio generates an annual return of 13%, a beta of 0.7 and a standard deviation of 17%. The market index return is 14% and has a standard deviation of 21%. What is the M² measure of the portfolio if the risk-free rate is 5%?

Accepted Answer

The answer of A portfolio generates an annual return of...

Question 10

An attribution analysis will NOT likely contain which of the following components?

Accepted Answer

The answer of An attribution analysis will NOT likely contain...

Question 11

The portfolio that contains the benchmark asset allocation against which a manager will be measured is often called ________.

Accepted Answer

The term "bogey" is often used in finance to refer to the benchmark against which investment performance is measured. Therefore, the portfolio that contains the benchmark asset allocation is often referred to as the "bogey portfolio."

Question 12

What is the contribution of asset allocation to relative performance?

Accepted Answer

The answer of What is the contribution of asset allocation...

Question 13

What was the manager's over- or under-performance for the month?

Accepted Answer

The answer of What was the manager's over- or under-performance...

Question 14

A fund has excess performance of 1.5%. In looking at the fund's investment breakdown you see that the fund overweighed equities relative to the benchmark and the average return on the fund's equity portfolio was slightly lower than the equity benchmark return. The excess performance for this fund is probably due to ________.

Accepted Answer

The excess performance is likely due to the asset allocation decision, as the fund overweighed equities relative to the benchmark. While the average return of the equity portfolio was slightly lower, the overall allocation to equities likely contributed to the excess performance. The other choices (security selection ability, sector weightings, and finding securities with positive alphas) do not align with the information provided in the question.

Quiz 18: Portfolio Performance Evaluation

What is the contribution of security selection to relative performance?

Morningstar's RAR produce results which are similar but not identical to ________.

Empirical tests to date show ________.

A portfolio generates an annual return of 13%, a beta of 0.7 and a standard deviation of 17%. The market index return is 14% and has a standard deviation of 21%. What is Jensen's alpha of the portfolio if the risk-free rate is 5%?

A portfolio generates an annual return of 17%, a beta of 1.2 and a standard deviation of 19%. The market index return is 12% and has a standard deviation of 16%. What is the M2 measure of the portfolio if the risk-free rate is 4%?

Consider the theory of active portfolio management. Shares A and B have the same beta and the same positive alpha. Share A has higher non-systematic risk than share B. You should want ________ in your active portfolio.

A portfolio generates an annual return of 13%, a beta of 0.7 and a standard deviation of 17%. The market index return is 14% and has a standard deviation of 21%. What is the Sharpe measure of the portfolio if the risk-free rate is 5%?

A portfolio generates an annual return of 13%, a beta of 0.7 and a standard deviation of 17%. The market index return is 14% and has a standard deviation of 21%. What is the Treynor measure of the portfolio if the risk-free rate is 5%?

A portfolio generates an annual return of 13%, a beta of 0.7 and a standard deviation of 17%. The market index return is 14% and has a standard deviation of 21%. What is the M2 measure of the portfolio if the risk-free rate is 5%?

An attribution analysis will NOT likely contain which of the following components?

The portfolio that contains the benchmark asset allocation against which a manager will be measured is often called ________.

What is the contribution of asset allocation to relative performance?

What was the manager's over- or under-performance for the month?

A portfolio generates an annual return of 17%, a beta of 1.2 and a standard deviation of 19%. The market index return is 12% and has a standard deviation of 16%. What is the M² measure of the portfolio if the risk-free rate is 4%?

A portfolio generates an annual return of 13%, a beta of 0.7 and a standard deviation of 17%. The market index return is 14% and has a standard deviation of 21%. What is the M² measure of the portfolio if the risk-free rate is 5%?