Topic 11 Applying the CAPM to Performance Measurement.pdf

1200 0375 3000 a b c d question 25 of 32 question id

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-1.200%. -0.375%. +3.000%.
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A) B) C) D) Question #25 of 32 Question ID: 438645 A) B) C) D) Question #26 of 32 Question ID: 438660 An analyst has generated the following information about risk/return performance using the Sharpe ratio and the Treynor measure: Equity Fund S&P 500 Sharpe ratio 0.47 0.42 Treynor measure 0.31 0.34 Which of the following statements about the relative risk/return performance of the funds is TRUE? The: Treynor measure shows the fund outperformed the S&P 500 on a systematic risk-adjusted basis. Sharpe ratio shows the equity fund underperformed the S&P 500 on a systematic risk- adjusted basis. Treynor measure shows the fund underperformed the S&P 500 on a total risk-adjusted basis. Sharpe ratio shows the equity fund outperformed the S&P 500 on a total risk- adjusted basis. The Treynor and Sharpe ratios will: give identical rankings when the assets have identical correlations with the market. give identical rankings when the same minimum acceptable return is chosen for the calculations. always provide identical rankings. give identical rankings when the assets have identical standard deviations. An analyst has gathered the following information about the performance of an equity fund and the S&P 500 index over the same time period. Equity Fund S&P 500 Return -12% -16% Standard Deviation 15% 19% Beta 1.18 1.00 Risk-free rate is 6.00%
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A) B) C) D) Question #27 of 32 Question ID: 438650 A) B) C) D) Question #28 of 32 Question ID: 438657 A) B) C) D) Question #29 of 32 Question ID: 438658 The difference between the Treynor measure for the equity fund and the Treynor measure for the S&P 500 is: 0.15. 0.07. 0.17. 0.21. The Treynor measure is correctly defined as a measure of a fund's: return earned compared to its unsystematic risk. excess return earned compared to its total risk. excess earned compared to its systematic risk. return earned compared to its systematic risk. Jensen's alpha for a portfolio measures the: fund's return in excess of the required rate of return given the unsystematic risk of the portfolio. fund's return in excess of the required rate of return given the systematic risk of the portfolio. difference between the fund's Sharpe ratio and Treynor measure. difference between a fund's return and the market return. An analyst has gathered the following information about the performance of an equity fund and the S&P 500 index over the same time period. Equity Fund S&P 500 Return 13% 10.5% Standard Deviation 22% 20% Beta 1.21 1.00
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A) B) C) D) Question #30 of 32 Question ID: 438637 A) B) C) D) Question #31 of 32 Question ID: 438639 A) B) C) D) Question #32 of 32 Question ID: 438651 A) B) C) Risk-free rate is 5.25% The Treynor measure for the equity fund is: 0.048.
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  • Fall '18
  • Portfolio Manager, Modern portfolio theory, sharpe ratio, Sharpe, Treynor ratio

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