Ch18 - Performance Evaluation and Active Portfolio...

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Performance Evaluation and Active Portfolio Management 1. For the period 1926 to 2001, __________ had the highest standard deviation of returns of the alternatives available. a. common stocks of large firms b. common stocks of small firms c. long-term treasury bonds d. U.S. treasury bills 2. The comparison universe is __________. a. a concept only found in astronomy b. a set of mutual funds with similar risk characteristics to your mutual fund c. the set of all mutual funds in the U.S.A.
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d. the set of all mutual funds in the world 3. For the period 1926 to 2001, __________ had the lowest arithmetic average returns of the alternatives available. a. common stocks of large firms b. common stocks of small firms c. long-term treasury bonds d. U.S. treasury bills 4. __________ did not develop a popular method for risk-adjusted performance evaluation of mutual funds. a. Michael Jensen b. Myron Scholes
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c. William Sharpe d. Jack Treynor 5. For the period 1926 to 2001, __________ had the highest geometric average returns of the alternatives available. a. common stocks of large firms b. common stocks of small firms c. long-term treasury bonds d. U.S. treasury bills 6. Your return will generally be higher using the __________ if you time your transactions poorly and your return will generally be higher using the __________ if you time your transactions well. a. dollar-weighted return method, dollar-weighted return method
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b. dollar-weighted return method, time-weighted return method c. time-weighted return method, dollar-weighted return method d. time-weighted return method, time-weighted return method 7. Consider the Sharpe and Treynor performance measures. When a pension fund is large and has many managers, the __________ measure is better for evaluating individual managers while the __________ measure is better for evaluating the manager of a small fund with only one manager responsible for all investments. a. Sharpe, Sharpe b. Sharpe, Treynor c. Treynor, Sharpe d. Treynor, Treynor
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8. Henriksson found that, on average, betas of funds __________ during market advances. a. decreased slightly b. decreased very significantly c. increased slightly d. increased very significantly 9. Suppose two portfolios have the same average return, the same standard deviation of return, but portfolio A has a higher beta than portfolio B. According to the Sharpe measure, the performance of portfolio A __________. a. is better than the performance of portfolio B b. is the same as the performance of portfolio B c. is poorer than the performance of portfolio B
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d. cannot be measured since there is no data on the alpha of the portfolio 10. Most professionally managed equity funds __________. a.
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Ch18 - Performance Evaluation and Active Portfolio...

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