证券和组合课后习题tb26.docx

证券和组合课后习题tb26.docx

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证券和组合课后习题tb26

CHAPTER26

EVALUATIONOFPORTFOLIOPERFORMANCE

TRUE/FALSEQUESTIONS

（f）1Investorswanttheirportfoliomanagerstocompletelydiversifytheirportfolio,thatis,eliminateallsystematicrisk.

（t）2Apeergroupcomparisoncollectsthereturnsproducedbyarepresentativeuniverseofinvestorsoveraspecificperiodoftimesnddisplaystheminasimpleboxplotformat.

（f）3ThetypicalproxyforthemarketportfolioistheS&P500Indexbecauseitisdiversifiedandpriceweighted.

（t）4Treynor’sperformancemeasureimplicitlyassumesacompletelydiversifiedportfolio.

（f）5AnegativeTreynormeasure（negativeT）foraportfolioalwaysindicatesthattheportfoliowouldplotbelowtheSML.

（t）6Sharpe’sperformanceassumesthatallportfoliosarecompletelydiversified.

（f）7TheSharpemeasureexaminestheriskpremiumperunitofsystematicrisk.

（t）8TheSharpeandTreynormeasurescomplementeachotherandthusbothshouldbeusedtomeasureportfolioperformance.

（f）9TheSharpeandTreynormeasuresalwaysgivedifferentrankings.

（t）10Overallperformanceisthetotalreturnabovetheriskfreerate.

（t）11TheJensenmeasurerequiresthateachperiod'sratesofreturnandrisk-freeratebemeasured,ratherthanusingthelong-termaveragesasintheTreynorandSharpemeasures.

（t）12TherankingdifferencesbetweentheSharpe,TreynorandJensenperformancemeasuresoccurbecauseofthedifferencesindiversification.

（f）13Fundswithlowlevelsofdiversificationtendto"beatthemarket."

（f）14TheportfolioperformancemeasurethatcanbemostaffectedbyabenchmarkerroristheSharpemeasure.

（t）15Attributionanalysisseparatesaportfoliomanager’sperformanceintoanallocationeffectandselectioneffect.

MULTIPLECHOICEQUESTIONS

（d）1Themajorrequirementsofaportfoliomanagerincludethefollowing,except

a）Followtheclient'spolicystatement.

b）Completelydiversifytheportfoliotoeliminateallunsystematicrisk..

c）Theabilitytoderiveabove-averageriskadjustedreturns.

d）Completelydiversifytheportfoliotoeliminateallsystematicrisk.

e）Noneoftheabove（thatis,allarerequirementsofaportfoliomanager）

（b）2Portfoliomanagerswhoanticipateanincreaseininterestratesshould

a）Acttokeepthedurationconstant.

b）Decreasetheportfolioduration.

c）Increasetheportfolioduration.

d）Assumehigherriskinthemarket.

e）Investinjunkbonds.

（e）3Treynorshowedthatrational,riskaverseinvestorsalwayspreferportfoliopossibilitylinesthathave

a）Zeroslopes.

b）Slightlynegativeslopes.

c）Highlynegativeslopes.

d）Slightlypositiveslopes.

e）Highlypositiveslopes.

（e）4Themeasureofperformancewhichdividestheportfolio'sriskpremiumbytheportfolio'sbetaisthe

a）Sharpemeasure.

b）Jensenmeasure.

c）Famameasure.

d）Alternativecomponentsmodel（MCV）.

e）Treynormeasure.

（a）5Sharpe'sperformancemeasuredividestheportfolio'sriskpremiumbythe

a）Standarddeviationoftherateofreturn.

b）Varianceoftherateofreturn.

c）Slopeofthefund'scharacteristicline.

d）Beta.

e）Riskfreerate.

（b）6Whichmeasureofportfolioperformanceallowsanalyststodeterminethestatisticalsignificanceofabnormalreturns?

a）Sharpemeasure

b）Jensenmeasure

c）Famameasure

d）Alternativecomponentsmodel（MCV）

e）Treynormeasure

（c）7Selectivitymeasureshowwellaportfolioperformedrelativetoa

a）Marketportfolio（S&P400）.

b）Portfolioofthesamesecuritiesinthepreviousperiod.

c）Naivelyselectedportfolioofequalrisk.

d）Naivelyselectedportfolioofequalreturn.

e）Worldmarketportfolio.

（b）8Aportfolioperformancemeasurementtechniquethatdecomposesthereturnofamanager’sholdingstoapredeterminedbenchmark’sreturnsandseparatesthedifferenceintoanallocationandselectioniscalled

a）Immunizationanalysis.

b）Performanceattributionanalysis.

c）Tacticalrankings.

d）Convexityutilization.

e）Durationmatchingattrition.

（b）9Undertheperformanceattributionanalysismethod,the___________measuresthemanager’sdecisiontoover-orunderweightaparticularmarketsegmentintermsofthatsegment’sreturnperformancerelativetotheoverallreturntothebenchmark.

a）Selectioneffect

b）Allocationeffect

c）Distributioneffect

d）Diversificationeffect

e）Attributioneffect

（a）10Undertheperformanceattributionanalysismethod,the____________measuresthemanager’sabilitytoformspecificmarketsegmentportfoliosthatgeneratesuperiorreturnsrelativetothewayinwhichthecomparablemarketsegmentisdefinedinthebenchmarkportfolioweightedbythemanager’sactualmarketsegmentinvestmentproportions.

a）Selectioneffect

b）Allocationeffect

c）Distributioneffect

d）Diversificationeffect

e）Attributioneffect

（b）11Ifthereturnincreasesasmoreglobalinvestmentswithlowcorrelationareaddedtothemarketportfolio,theefficientfrontiermoves

a）Upandright.

b）Upandleft.

c）Downandright.

d）Downandleft.

e）Uponly.

（c）12WagnerandTitosuggestedthatabondportfolioreturndifferingfromthereturnfromtheLehmanBrothersIndexcanbedividedintofourcomponents.Whichofthefollowingisnotincluded?

a）Policyeffect

b）Rateanticipationeffect

c）Sector/Qualityeffect

d）Analysiseffect

e）Tradingeffect

（e）13Dietz,FoglerandHardysuggestedbondportfolioreturnsmaybedividedintofourcomponents.Whichofthefollowingisnotincluded?

a）Residual

b）Sector/Qualityeffect

c）Interestrateeffect

d）Policyeffect

e）Yieldtomaturity

（d）14Informationratioportfolioperformancemeasures

a）Adjustportfoliorisktomatchbenchmarkrisk.

b）CompareportfolioreturnstoexpectedreturnsunderCAPM.

c）Evaluateportfolioperformanceonthebasisofreturnperunitofrisk.

d）Indicatehistoricaveragedifferentialreturnperunitofhistoricvariabilityofdifferentialreturn.

e）Noneoftheabove.

（c）15Relativereturnportfolioperformancemeasures

a）Adjustportfoliorisktomatchbenchmarkrisk.

b）CompareportfolioreturnstoexpectedreturnsunderCAPM.

c）Evaluateportfolioperformanceonthebasisofreturnperunitofrisk.

d）Indicatehistoricaveragedifferentialreturnperunitofhistoricvariabilityofdifferentialreturn.

e）Noneoftheabove.

（b）16Excessreturnportfolioperformancemeasures

a）Adjustportfoliorisktomatchbenchmarkrisk.

b）CompareportfolioreturnstoexpectedreturnsunderCAPM.

c）Evaluateportfolioperformanceonthebasisofreturnperunitofrisk.

d）Indicatehistoricaveragedifferentialreturnperunitofhistoricvariabilityofdifferentialreturn.

e）Noneoftheabove.

（b）17Forapoorlydiversifiedportfoliotheappropriatemeasureofportfolioperformancewouldbe

a）TheTreynormeasurebecauseitevaluatesportfolioperformanceonthebasisofreturnanddiversification.

b）TheSharpemeasurebecauseitevaluatesportfolioperformanceonthebasisofreturnanddiversification.

c）TheTreynormeasurebecauseitusesstandarddeviationastheriskmeasure.

d）TheSharpemeasurebecauseitusesbetaastheriskmeasure.

e）Noneoftheabove.

（d）18Componentsofoverallportfolioperformanceinclude

a）Selectivity.

b）Manager’srisk.

c）Securityrisk.

d）a）andb）.

e）a）,b）andc）.

（e）19Aportfolio’sgrossselectivityismadeupof

a）Manager’srisk.

b）Netselectivity.

c）Diversification.

d）a）andb）.

e）b）andc）.

（d）20Bailey,Richards,andTierneymaintainthatanyusefulbenchmarkshouldhavethefollowingcharacteristics.

a）Measurable.

b）Investable.

c）Value-weighted.

d）a）andb.

e）a）,b）andc）.

MULTIPLECHOICEPROBLEMS

USETHEFOLLOWINGINFORMATIONFORTHENEXTTWOPROBLEMS

Theportfoliosidentifiedbelowarebeingconsideredforinvestment.DuringtheperiodunderconsiderationRf=.08.

PortfolioReturnBeta

A0.161.00.05

B0.221.50.10

C0.110.60.02

D0.181.10.06

（d）1UsingtheSharpeMeasure,whichportfolioperformedbest?

a）A

b）B

c）C

d）D

e）Twoportfoliosaretied

（b）2AccordingtotheTreynorMeasure,whichportfolioperformedbest?

a）A

b）B

c）C

d）D

e）Twoportfoliosaretied

USETHEFOLLOWINGINFORMATIONFORTHENEXTTWOPROBLEMS

Theportfoliosidentifiedbelowarebeingconsideredforinvestment.AssumethatduringtheperiodunderconsiderationRf=.07.

PortfolioReturnBeta

W0.181.00.06

X0.211.30.10

Y0.130.70.03

Z0.161.20.07

（c）3UsingtheSharpeMeasure,whichportfolioperformedbest?

a）W

b）X

c）Y

d）Z

e）Twoportfoliosaretied

（a）4AccordingtotheTreynorMeasure,whichportfolioperformedbest?

a）W

b）X

c）Y

d）Z

e）Twoportfoliosaretied

USETHEFOLLOWINGINFORMATIONFORTHENEXTTHREEPROBLEMS

Thedatapresentedbelowhasbeencollectedatthispointintime.

Standard

FundBetaDeviation（%）Return（%）Rf（%）

AAA1.005.02176

BBB1.054.04146

CCC0.893.02106

Market1.003.50126

（c）5ComputetheSharpeMeasurefortheAAAfund.

a）4.49

b）2.74

c）2.19

d）1.70

e）1.27

（d）6ComputetheJensenMeasurefortheBBBfund.

a）4.49

b）2.74

c）2.19

d）1.70

e）1.27

（a）7ComputetheTreynorMeasurefortheCCCfund.

a）4.49

b）2.74

c）2.19

d）1.70

e）1.27

USETHEFOLLOWINGINFORMATIONFORTHENEXTTHREEPROBLEMS

Thedatapresentedbelowhasbeencollectedatthispointintime.

Standard

FundBetaDeviation（%）Return（%）Rf（%）

AAA1.054.98166

BBB1.004.04156

CCC0.923.13116

Market1.003.75136

（a）8ComputetheSharpeMeasurefortheAAAfund.

a）2.01

b）2.74

c）2.91

d）5.43

e）1.72

（d）9ComputetheJensenMeasurefortheBBBfund.

a）2.10

b）2.74

c）5.43

d）2.00

e）1.65

（a）10ComputetheTreynorMea