证券和组合课后习题tb26.docx

1、证券和组合课后习题tb26CHAPTER 26EVALUATION OF PORTFOLIO PERFORMANCETRUE/FALSE QUESTIONS(f) 1 Investors want their portfolio managers to completely diversify their portfolio, that is, eliminate all systematic risk.(t) 2 A peer group comparison collects the returns produced by a representative universe of inve

2、stors over a specific period of time snd displays them in a simple boxplot format.(f) 3 The typical proxy for the market portfolio is the S&P 500 Index because it is diversified and price weighted.(t) 4 Treynors performance measure implicitly assumes a completely diversified portfolio.(f) 5 A negati

3、ve Treynor measure (negative T) for a portfolio always indicates that the portfolio would plot below the SML.(t) 6 Sharpes performance assumes that all portfolios are completely diversified.(f) 7 The Sharpe measure examines the risk premium per unit of systematic risk. (t) 8 The Sharpe and Treynor m

4、easures complement each other and thus both should be used to measure portfolio performance.(f) 9 The Sharpe and Treynor measures always give different rankings.(t) 10 Overall performance is the total return above the risk free rate.(t) 11 The Jensen measure requires that each periods rates of retur

5、n and risk-free rate be measured, rather than using the long-term averages as in the Treynor and Sharpe measures.(t) 12 The ranking differences between the Sharpe, Treynor and Jensen performance measures occur because of the differences in diversification.(f) 13 Funds with low levels of diversificat

6、ion tend to beat the market.(f) 14 The portfolio performance measure that can be most affected by a benchmark error is the Sharpe measure.(t) 15 Attribution analysis separates a portfolio managers performance into an allocation effect and selection effect.MULTIPLE CHOICE QUESTIONS(d) 1 The major req

7、uirements of a portfolio manager include the following, except a) Follow the clients policy statement. b) Completely diversify the portfolio to eliminate all unsystematic risk. c) The ability to derive above-average risk adjusted returns. d) Completely diversify the portfolio to eliminate all system

8、atic risk.e)None of the above (that is, all are requirements of a portfolio manager) (b) 2 Portfolio managers who anticipate an increase in interest rates shoulda)Act to keep the duration constant.b)Decrease the portfolio duration.c)Increase the portfolio duration.d)Assume higher risk in the market.

9、e)Invest in junk bonds.(e) 3 Treynor showed that rational, risk averse investors always prefer portfolio possibility lines that havea)Zero slopes.b)Slightly negative slopes.c)Highly negative slopes.d)Slightly positive slopes.e)Highly positive slopes.(e) 4 The measure of performance which divides the

10、 portfolios risk premium by the portfolios beta is thea)Sharpe measure.b)Jensen measure.c)Fama measure.d)Alternative components model (MCV).e)Treynor measure.(a) 5 Sharpes performance measure divides the portfolios risk premium by thea)Standard deviation of the rate of return.b)Variance of the rate

11、of return.c)Slope of the funds characteristic line.d)Beta.e)Risk free rate.(b) 6 Which measure of portfolio performance allows analysts to determine the statistical significance of abnormal returns?a)Sharpe measureb)Jensen measurec)Fama measured)Alternative components model (MCV)e)Treynor measure(c)

12、 7 Selectivity measures how well a portfolio performed relative to aa)Market portfolio (S&P 400).b)Portfolio of the same securities in the previous period.c)Naively selected portfolio of equal risk.d)Naively selected portfolio of equal return.e)World market portfolio.(b) 8 A portfolio performance me

13、asurement technique that decomposes the return of a managers holdings to a predetermined benchmarks returns and separates the difference into an allocation and selection is calleda)Immunization analysis.b)Performance attribution analysis.c)Tactical rankings.d)Convexity utilization.e)Duration matchin

14、g attrition.(b) 9 Under the performance attribution analysis method, the _ measures the managers decision to over- or underweight a particular market segment in terms of that segments return performance relative to the overall return to the benchmark.a)Selection effectb)Allocation effectc)Distributi

15、on effectd)Diversification effecte)Attribution effect(a) 10 Under the performance attribution analysis method, the _ measures the managers 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 be

16、nchmark portfolio weighted by the managers actual market segment investment proportions. a)Selection effectb)Allocation effectc)Distribution effectd)Diversification effecte)Attribution effect(b) 11 If the return increases as more global investments with low correlation are added to the market portfo

17、lio, the efficient frontier movesa)Up and right.b)Up and left.c)Down and right.d)Down and left.e)Up only.(c) 12 Wagner and Tito suggested that a bond portfolio return differing from the return from the Lehman Brothers Index can be divided into four components. Which of the following is not included?

18、a)Policy effectb)Rate anticipation effectc)Sector/Quality effectd)Analysis effecte)Trading effect(e) 13 Dietz, Fogler and Hardy suggested bond portfolio returns may be divided into four components. Which of the following is not included?a)Residualb)Sector/Quality effectc)Interest rate effectd)Policy

19、 effecte)Yield to maturity(d) 14 Information ratio portfolio performance measuresa)Adjust portfolio risk to match benchmark risk.b)Compare portfolio returns to expected returns under CAPM.c)Evaluate portfolio performance on the basis of return per unit of risk.d)Indicate historic average differentia

20、l return per unit of historic variability of differential return.e)None of the above. (c) 15 Relative return portfolio performance measuresa)Adjust portfolio risk to match benchmark risk.b)Compare portfolio returns to expected returns under CAPM.c)Evaluate portfolio performance on the basis of retur

21、n per unit of risk.d)Indicate historic average differential return per unit of historic variability of differential return.e)None of the above.(b) 16 Excess return portfolio performance measuresa)Adjust portfolio risk to match benchmark risk.b)Compare portfolio returns to expected returns under CAPM

22、.c)Evaluate portfolio performance on the basis of return per unit of risk.d)Indicate historic average differential return per unit of historic variability of differential return.e)None of the above. (b) 17 For a poorly diversified portfolio the appropriate measure of portfolio performance would bea)

23、The Treynor measure because it evaluates portfolio performance on the basis of return and diversification.b)The Sharpe measure because it evaluates portfolio performance on the basis of return and diversification.c)The Treynor measure because it uses standard deviation as the risk measure.d)The Shar

24、pe measure because it uses beta as the risk measure.e)None of the above.(d) 18 Components of overall portfolio performance includea)Selectivity.b)Managers risk.c)Security risk.d)a) and b).e)a), b) and c).(e) 19 A portfolios gross selectivity is made up ofa)Managers risk.b)Net selectivity.c)Diversifi

25、cation.d)a) and b).e)b) and c).(d) 20 Bailey, Richards, and Tierney maintain that any useful benchmark should have the following characteristics.a)Measurable.b)Investable.c)Value-weighted.d)a) and b.e)a), b) and c).MULTIPLE CHOICE PROBLEMSUSE THE FOLLOWING INFORMATION FOR THE NEXT TWO PROBLEMSThe po

26、rtfolios identified below are being considered for investment. During the period under consideration Rf = .08.Portfolio Return Beta A 0.16 1.0 0.05B 0.22 1.5 0.10C 0.11 0.6 0.02D 0.18 1.1 0.06(d) 1 Using the Sharpe Measure, which portfolio performed best? a) A b) B c) C d) D e) Two portfolios are ti

27、ed(b) 2 According to the Treynor Measure, which portfolio performed best? a) A b) B c) C d) D e) Two portfolios are tiedUSE THE FOLLOWING INFORMATION FOR THE NEXT TWO PROBLEMSThe portfolios identified below are being considered for investment. Assume that during the period under consideration Rf = .

28、07.Portfolio Return Beta W 0.18 1.0 0.06X 0.21 1.3 0.10Y 0.13 0.7 0.03Z 0.16 1.2 0.07(c) 3 Using the Sharpe Measure, which portfolio performed best? a) W b) X c) Y d) Z e) Two portfolios are tied(a) 4 According to the Treynor Measure, which portfolio performed best? a) W b) X c) Y d) Z e) Two portfo

29、lios are tiedUSE THE FOLLOWING INFORMATION FOR THE NEXT THREE PROBLEMSThe data presented below has been collected at this point in time. Standard Fund Beta Deviation (%) Return (%) Rf (%) AAA 1.00 5.02 17 6BBB 1.05 4.04 14 6CCC 0.89 3.02 10 6Market 1.00 3.50 12 6(c) 5 Compute the Sharpe Measure for

30、the AAA fund. a) 4.49 b) 2.74 c) 2.19 d) 1.70 e) 1.27(d) 6 Compute the Jensen Measure for the BBB fund. a) 4.49 b) 2.74 c) 2.19 d) 1.70 e) 1.27(a) 7 Compute the Treynor Measure for the CCC fund. a) 4.49 b) 2.74 c) 2.19 d) 1.70 e) 1.27USE THE FOLLOWING INFORMATION FOR THE NEXT THREE PROBLEMSThe data

31、presented below has been collected at this point in time. Standard Fund Beta Deviation (%) Return (%) Rf (%)AAA 1.05 4.98 16 6BBB 1.00 4.04 15 6CCC 0.92 3.13 11 6Market 1.00 3.75 13 6(a) 8 Compute the Sharpe Measure for the AAA fund. a) 2.01 b) 2.74 c) 2.91 d) 5.43 e) 1.72(d) 9 Compute the Jensen Measure for the BBB fund. a) 2.10 b) 2.74 c) 5.43 d) 2.00 e) 1.65(a) 10 Compute the Treynor Mea