The dollar weighted return on a portfolio is

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72. The dollar-weighted return on a portfolio is equivalent to A. the time-weighted return. B. the geometric average return. C. the arithmetic average return. D. the portfolio's internal rate of return. E. none of the above. The dollar-weighted return on a portfolio is equivalent to finding the internal rate of return on the cash flows to the portfolio. Difficulty: Easy 73. A portfolio manager's ranking within a comparison universe may not provide a good measure of performance because Returns are typically time-weighted for all portfolios and broad risk classes or styles are grouped together, but particular subgroups and differences in duration are typically not considered. Difficulty: Moderate 24-39
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Chapter 24 - Portfolio Performance Evaluation 74. The geometric average rate of return is based on The geometric average is the rate that would give the same result if applied over an n-year period as the individual years' returns. The present value can be compounded by r 1 , r 2 , ¼ ,r n or compounded by r G for n periods to yield the same future value. Difficulty: Easy 24-40
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Chapter 24 - Portfolio Performance Evaluation 75. The M 2 measure was developed by The model was developed by Leah Modigliani of Morgan Stanley Dean Witter and Franco Modigliani, her grandfather who is a Nobel laureate. Difficulty: Easy 76. Rodney holds a portfolio of risky assets that represents his entire risky investment. To evaluate the performance of Rodney's portfolio, which in which order would you complete the steps listed? I) Compare the Sharpe measure of Rodney's portfolio to the Sharpe measure of the best portfolio. II) State your conclusions. III) Assume that past security performance is representative of expected performance. IV) Determine the benchmark portfolio that Rodney would have held if he had chosen a passive strategy. A. I, III, IV, II B. III, IV, I, II C. IV, III, I, II D. III, II, I, IV E. III, I, IV, II This sequence is appropriate if his entire risky investment is in this portfolio. If other risky assets are involved other factors need to be considered. Difficulty: Moderate 24-41
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Chapter 24 - Portfolio Performance Evaluation
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