Topic 11 Applying the CAPM to Performance Measurement.pdf

Sharpe measure 244 treynor measure 040 alpha 029

Info icon This preview shows pages 5–8. Sign up to view the full content.

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.
Image of page 5

Info icon This preview has intentionally blurred sections. Sign up to view the full version.

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:
Image of page 6
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%.
Image of page 7

Info icon This preview has intentionally blurred sections. Sign up to view the full version.

Image of page 8
This is the end of the preview. Sign up to access the rest of the document.
  • Fall '18
  • Portfolio Manager, Modern portfolio theory, sharpe ratio, Sharpe, Treynor ratio

{[ snackBarMessage ]}

What students are saying

  • Left Quote Icon

    As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

    Student Picture

    Kiran Temple University Fox School of Business ‘17, Course Hero Intern

  • Left Quote Icon

    I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

    Student Picture

    Dana University of Pennsylvania ‘17, Course Hero Intern

  • Left Quote Icon

    The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

    Student Picture

    Jill Tulane University ‘16, Course Hero Intern