Developed a popular method for risk adjusted

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6. __________ developed a popular method for risk-adjusted performance evaluation of mutual funds. A. Eugene Fama B. Michael Jensen C. William Sharpe D. Jack Treynor E. B, C, and D Michael Jensen, William Sharpe, and Jack Treynor developed popular models for mutual fund performance evaluation. Difficulty: Easy 7. Henriksson (1984) found that, on average, betas of funds __________ during market advances Portfolio betas should have a large value if the market is expected to perform well and a small value if the market is not expected to perform well; thus, these results reflect the poor timing ability of mutual fund managers. Difficulty: Moderate 24-4
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Chapter 24 - Portfolio Performance Evaluation 8. Most professionally managed equity funds generally __________. Most mutual funds do not consistently, over time, outperform the S&P 500 index on the basis of either raw or risk-adjusted return measures. Difficulty: Moderate 9. Suppose two portfolios have the same average return, the same standard deviation of returns, but portfolio A has a higher beta than portfolio B. According to the Sharpe measure, the performance of portfolio A __________. The Sharpe index is a measure of average portfolio returns (in excess of the risk free return) per unit of total risk (as measured by standard deviation). Difficulty: Moderate 24-5
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Chapter 24 - Portfolio Performance Evaluation 10. Suppose two portfolios have the same average return, the same standard deviation of returns, but portfolio A has a higher beta than portfolio B. According to the Treynor 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 D. cannot be measured as there is no data on the alpha of the portfolio E. none of the above is true. The Treynor index is a measure of average portfolio returns (in excess of the risk free return) per unit of systematic risk (as measured by beta). Difficulty: Moderate
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