Review Test Submission: Online quiz 9

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FINS2624-Portfolio Mgmt - s1/2013

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Online quizzes

Online Quiz 9

Review Test Submission: Online quiz 9

Review Test Submission: Online quiz 9

User

David WANG

Submitted

01/06/13 21:14

Status

Completed

Score

90 out of 100 points

Instructions

Question 1

10 out of 10 points

The __________ measures the reward to volatility trade-off by dividing

the average portfolio excess return by the standard deviation of
returns.
Selected Answer:

Sharpe index

Question 2

10 out of 10 points

Aggie Mutual Fund earned a return of 15% by making the following investments:

Weight

Return

Bonds

10%

6%

Stocks

90%

16%

The return on a bogey portfolio was 10% and calculated as follows:

Weight

Return

Bond Index

50%

5%

Stock Index

50%

15%

What is the contribution of security selection?

Selected Answer:

1%

Question 3

10 out of 10 points

The following data relates to the performance of Sooner Stock Fund and the
market portfolio:
Sooner

Market Portfolio

Average Return

20%

11%

Standard Deviation of Returns

44%

19%

Beta

1.8

1.0

Residual Variance

0.02

The risk-free return during the sample period was 3%.

Calculate the appraisal ratio for Sooner Stock Fund?
Selected Answer:

Question 4

0.18

OK
10 out of 10 points

1/06/2013 9:15 PM

Review Test Submission: Online quiz 9

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Seminole

Market Portfolio

Average Return

18%

14%

Standard Deviation of Returns

30%

22%

Beta

1.4

1.0

Residual Standard Deviation

4.0%

0.0%

2
The risk free return is 6%. Calculate M for the Seminole Fund.

Selected Answer:

0.8%

Question 5

0 out of 10 points

Suppose the risk-free return is 4%. The beta of a managed portfolio is

1.2, the alpha is 1%, and the average return is 14%. Based on Jensen's
measure of portfolio performance, you would calculate the return on the
market portfolio as
Selected Answer:

none of the
above

Question 6

10 out of 10 points

Suppose you purchase 100 shares of GM stock at the beginning of year 1,

and purchase another 100 shares at the end of year 1. You sell all 200
shares at the end of year 2. Assume that the price of GM stock is $50 at
the beginning of year 1, $55 at the end of year 1, and $65 at the end of
year 2. Assume no dividends were paid on GM stock. Your dollar-weighted
return on the stock will be __________ your time-weighted return on the
stock.
Selected Answer:

higher than

Question 7

10 out of 10 points

The Jensen portfolio evaluation measure

Selected
Answer:

is an absolute measure of abnormal return above or below

that predicted by the CAPM.

Question 8

10 out of 10 points

The following data relates to the performance of Sooner Stock Fund and
the market portfolio:
Sooner

Market Portfolio

Average Return

20%

11%

Standard Deviation of Returns

44%

19%

Beta

1.8

1.0

Residual Variance

0.02

The risk-free return during the sample period was 3%.

What is the Sharpe measure of performance evaluation for Sooner Stock
Fund?

1/06/2013 9:15 PM

Review Test Submission: Online quiz 9

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Selected Answer:

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0.386

Question 9

10 out of 10 points

Suppose you buy 100 shares of Abolishing Dividend Corporation at the

beginning of year 1 for $80. Abolishing Dividend Corporation pays no
dividends. The stock price at the end of year 1 is $100, the price $120
at the end of year 2, and the price is $150 at the end of year 3. The
stock price declines to $100 at the end of year 4, and you sell your 100
shares. For the four years, your geometric average return per annum is
Selected Answer:

5.7%

Question 10

10 out of 10 points

Suppose two portfolios have the same average excess return, the same
standard deviation of returns, but Buckeye Fund has a higher beta than
Gator Fund. According to the Sharpe measure, the performance of Buckeye
Fund _________.
Selected Answer:

is the same as the performance of Gator Fund.

Saturday, 1 June 2013 21:14:45 o'clock EST

1/06/2013 9:15 PM