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24 - 1CORRECT A outperformtheS& B underperformtheS&...

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1 CORRECT Most professionally managed equity funds generally A) outperform the S&P 500 index on both raw and risk- adjusted return measures. B) underperform the S&P 500 index on raw return measures  and outperform the S&P 500 index on risk-adjusted return  measures. C) outperform the S&P 500 index on raw return measures and  underperform the S&P 500 index on risk-adjusted return  measures. D) underperform the S&P 500 index on both raw and risk- adjusted return measures. E) match the performance of the S&P 500 index on both raw  and risk-adjusted return measures. Feedback:  Most professionally managed equity funds generally underperform the S&P 500 index on both raw and risk-adjusted return measures. 2 INCORRECT A pension fund that begins with $500,000 earns 15% the first year and 10% the second  year. At the beginning of the second year, the sponsor contributes another $300,000.  The dollar-weighted and time-weighted rates of return, respectively, were A) 11.7% and 12.5% B) 12.1% and 12.5% C) 12.5% and 11.7% D) 12.5% and 12.1% E) none of the above Feedback:  $500,000 + $300,000/(1 + r) = $75,000/(1 + r) + $880,000/(1 + r) 2 ; r = 12.059%; (15 + 10)/2 = 12.5% 3 INCORRECT The Sharpe, Treynor, and Jensen portfolio performance measures are derived from the  CAPM, A) therefore, it does not matter which measure is used to  evaluate a portfolio manager.
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