Topic 11 Applying the CAPM to Performance Measurement.pdf

# Sharpe measure 244 treynor measure 040 alpha 029

• 11

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Sharpe measure = 2.44; Treynor measure = 0.40; Alpha = 0.29. Sharpe measure = 1.04; Treynor measure = 0.14; Alpha = 0.04. Sharpe measure = 1.06; Treynor measure = 0.12; Alpha = 0.02. Sharpe measure = 1.05; Treynor measure = 0.17; Alpha = 0.04. Based on the results from determining the Sharpe measure, Treynor measure, and Jensen's alpha for the actively managed portfolio, does the portfolio manager outperform or underperform the S&P 500 index? Sharpe measure → underperform; Treynor measure → outperform; Alpha → outperform Sharpe measure → underperform; Treynor measure → underperform; Alpha → underperform. Sharpe measure → outperform; Treynor measure → underperform; Alpha → underperform. Sharpe measure → outperform; Treynor measure → outperform; Alpha → outperform.

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Question #17 of 32 Question ID: 438640 A) B) C) D) Question #18 of 32 Question ID: 438649 A) B) C) D) Question #19 of 32 Question ID: 438647 A) B) C) D) Question #20 of 32 Question ID: 438668 Which of the following statements regarding the Sharpe ratio is most accurate? The Sharpe ratio measures: total return per unit of risk. peakedness of a return distrubtion. excess return per unit of risk. dispersion relative to the mean. A portfolio has a return of 14.2% and a Sharpe's measure of 3.52. If the risk-free rate is 4.7%, what is the standard deviation of returns? 2.7%. 3.1%. 2.6%. 3.9%. Sharpe Measure Treynor Measure Jensen Measure Portfolio A 0.25 0.12 0.04 Portfolio B 0.65 0.09 0.03 Portfolio C 0.45 0.11 0.02 Portfolio D 0.75 0.10 -0.02 The table represents risk-adjusted returns across all fund categories. Which of the following represents the best risk- adjusted return? Portfolio A. Portfolio D. Portfolio B. Portfolio C. The Sortino ratio is a measure of a portfolio's return above:
A) B) C) D) Question #21 of 32 Question ID: 438667 A) B) C) D) Question #22 of 32 Question ID: 438653 A) B) C) D) Question #23 of 32 Question ID: 438641 A) B) C) D) Question #24 of 32 Question ID: 438659 zero divided by the standard deviation. a minimal acceptable return divided by downside deviation. the market return divided by beta. the market return divided by the standard deviation. The Sortino ratio is most similar to the: relative tracking error ratio. Treynor ratio. information ratio. Sharpe ratio. Portfolio A earned an annual return of 15% with a standard deviation of 28%. If the mean return on Treasury bills (T- bills) is 4%, the Sharpe ratio for the portfolio is: 1.87. 0.39. 2.54. 0.54. The efficient market portfolio had a return of 14%. The risk-free rate was 5%. A portfolio has a beta of 0.8. If the portfolio return was 11%, then Jensen's alpha for the portfolio equals: +8.000%.

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• Fall '18
• Portfolio Manager, Modern portfolio theory, sharpe ratio, Sharpe, Treynor ratio

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