What is the information ratio measure of performance

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50. What is the information ratio measure of performance evaluation for Wildcat Fund? A. 1.00% B. 8.80% C. 44.00% D. 50.00% E. none of the above a P = 18% - [7% +1.25(15% - 7%)] = 1%; a P /s(e P ) = 1%/2% = 0.50, or 50.00%. Difficulty: Moderate 24-27
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Chapter 24 - Portfolio Performance Evaluation 51. Calculate Sharpe's measure of performance for Wildcat Fund. (18 - 7)/ 25 = .44 Difficulty: Moderate 52. Calculate Treynor's measure of performance for Wildcat Fund. (18 - 7)/1.25 = 8.8 Difficulty: Moderate 53. Calculate Jensen's measure of performance for Wildcat Fund. 18 - [7 + 1.25 (15 - 7)] = 1.00% Difficulty: Moderate 24-28
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Chapter 24 - Portfolio Performance Evaluation The following data are available relating to the performance of Long Horn Stock Fund and the market portfolio: The risk-free return during the sample period was 6%. 54. What is the Sharpe measure of performance evaluation for Long Horn Stock Fund? A. 1.33% B. 4.00% C. 8.67% D. 31.43% E. 37.14% (19% - 6%)/35% = 0.3714, or 37.14%. Difficulty: Moderate 55. What is the Treynor measure of performance evaluation for Long Horn Stock Fund? (19% - 6%)/1.5 = 8.67%. Difficulty: Moderate 24-29
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Chapter 24 - Portfolio Performance Evaluation 56. Calculate the Jensen measure of performance evaluation for Long Horn Stock Fund. a P = 19% - [6% + 1.5(12% - 6%)] = 4.00%. Difficulty: Moderate 57. Calculate the information ratio for Long Horn Stock Fund. a P = 19% - [6% + 1.5(12% - 6%)] = 4.00%, 4.00% / 3.00% = 1.33. Difficulty: Moderate In a particular year, Razorback Mutual Fund earned a return of 1% by making the following investments in asset classes: The return on a bogey portfolio was 2%, calculated from the following information. 24-30
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Chapter 24 - Portfolio Performance Evaluation 58. The total excess return on the Razorback Fund's managed portfolio was __________. A. -1.80% B. -1.00% C. 0.80% D. 1.00% E. none of the above 1% - 2% = -1%. Difficulty: Moderate 59. The contribution of asset allocation across markets to the Razorback Fund's total excess return was __________. See table below. Difficulty: Difficult 24-31
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Chapter 24 - Portfolio Performance Evaluation 60. The contribution of selection within markets to the Razorback Fund's total excess return was __________. See table below. Difficulty: Difficult In a particular year, Aggie Mutual Fund earned a return of 15% by making the following investments in the following asset classes The return on a bogey portfolio was 10%, calculated as follows: 24-32
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Chapter 24 - Portfolio Performance Evaluation
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