BUSI 420 Read & Interact Chapter 13 Assignment Performance Evaluation and Risk Management solutions complete answers
return states the total percentage return on an investment with no adjustment for risk or comparison to any benchmark.
True or false: The Sharpe ratio is a measure of excess return.
The Treynor ratio focuses on what type of risk?
A fund is considered to have good performance if its alpha is above _____.
True or false: One benefit of using a regression to estimate alpha is that the regression output includes a significance level for the alpha estimate.
What is the assessment of how well a money manager achieves a balance between high returns and acceptable risks?
A fund's information ratio is equal to the alpha divided by the _____, which is a measure of how volatile a portfolio is relative to its benchmark.
The Sharpe ratio focuses on what type of risk?
True or false: It is possible for a fund to have a negative Sharpe or Treynor ratio and still be considered to have strong performance.
Jensen's alpha is based on the underlying framework of the _______.
The intercept of a regression of the excess return of an investment on the excess return of the market is called a fund's .
The information ratio will always have the (same/opposite) sign as the alpha.
R-square values will range from ______.
Suppose you are evaluating funds to determine which one should be included in your existing portfolio. In this case, the ______ ratio would be most appropriate to use in making your decision.
Suppose we regress the excess returns of a fund against the excess returns of the market. The _______ of the estimated regression model would reflect the fund's alpha.
Which of the following provide investment firms with guidance for calculating and reporting their performance results to prospective and current clients?
Assuming two funds have the same alpha, an investor would prefer the fund that has the _______ R-squared.
Suppose you are going to choose one fund in which to invest the majority of your money. In this case, the ______ ratio would be most appropriate to use in making your decision.
True or false: Firms are required by law to comply with GIPS.
Which of the following is a method to achieve the most desirable balance of risk and return for an investment portfolio?
True or false: Value-at-risk is closely related to the normal distribution.
True or false: The Sharpe and Treynor ratios will provide the same rankings of mutual fund performance.
The portfolio that has the highest possible Sharpe ratio is referred to as the Sharpe- portfolio.
VaR stand for _________.
