Commerce and Business
BusinessInvestmentsFundamentals of Investments Valuation and ManagementPractice Set 2494
BusinessInvestmentsFundamentals of Investments Valuation and ManagementPractice Set 2494Performance Evaluation And Risk Management
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Questions Bank
- A Brief History of Risk and ReturnThe Investment ProcessOverview of Security TypesMutual Funds and Other Investment CompaniesThe Stock MarketCommon Stock ValuationStock Price Behavior and Market EfficiencyBehavioral Finance and the Psychology of InvestingInterest RatesBond Prices and YieldsDiversification and Risky Asset AllocationReturn,Risk,and the Security Market LinePerformance Evaluation and Risk ManagementFutures ContractsStock OptionsOption ValuationProjecting Cash Flow and EarningsCorporate and Government BondsGlobal Economic Activity and Industry AnalysisMortgage-Backed Securities
Question 1
Free
Multiple Choice
Which one of the following assesses the ability of a money manager to balance high returns with an acceptable level of risk?
Choose correct answer/s
probability analysis
raw return ratio
risk assessment
performance evaluation
market analysis
Check answer
Question 2
Free
Multiple Choice
The unadjusted total percentage return on a security that has not been compared to any benchmark is referred to as which one of the following?
Choose correct answer/s
raw return
indexed return
real return
marginal return
absolute return
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Question 3
Free
Multiple Choice
The risk premium of a portfolio divided by the portfolio's standard deviation defines which one of the following performance measures?
Choose correct answer/s
raw return
Value at Risk
Jensen's alpha
Sharpe ratio
Treynor ratio
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Question 4
Free
Multiple Choice
Which one of the following is computed by dividing a portfolio's risk premium by the portfolio beta?
Choose correct answer/s
raw return
Value at Risk
Jensen's alpha
Sharpe ratio
Treynor ratio
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Question 5
Free
Multiple Choice
Which one of the following measures a portfolio's raw return against the expected return based on the Capital Asset Pricing Model?
Choose correct answer/s
Sharpe ratio
Treynor ratio
Jensen's alpha
beta
Value at Risk
Check answer
Question 6
Multiple Choice
Which one of the following concerns a money manager's control over investment risks,particularly potential short-run losses?
Choose correct answer/s
Alpha management
Normal distribution management
Investment risk management
Raw return distributions
Volatility performance measures
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Question 7
Multiple Choice
Which one of the following assesses risk by stating the probability of a loss a portfolio might incur within a stated time period given a specific probability?
Choose correct answer/s
Sharpe ratio
Jensen's alpha
Treynor ratio
raw return measurement
Value-at-Risk
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Question 8
Multiple Choice
Which one of the following is a statistical model,defined by its mean and standard deviation,that is used to assess probabilities?
Choose correct answer/s
variance
normal distribution
efficient frontier
Value at Risk
Jensen's alpha
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Question 9
Multiple Choice
Which one of the following measures a security's return in relation to the total risk associated with that security?
Choose correct answer/s
beta
Jensen's alpha
Sharpe ratio
Treynor ratio
Value at Risk
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Question 10
Multiple Choice
The Sharpe ratio measures a security's return relative to which one of the following?
Choose correct answer/s
total risk
diversifiable risk
market rate of return
risk-free rate
systematic risk
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Question 11
Multiple Choice
The Sharpe ratio is best used to evaluate which one of the following?
Choose correct answer/s
corporate bonds
government bonds
Treasury bills
individual stocks
diversified portfolios
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Question 12
Multiple Choice
Which one of the following measures returns in relation to total risk?
Choose correct answer/s
Treynor ratio
Sharpe ratio
Jensen's alpha
Value at Risk
beta
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Question 13
Multiple Choice
Which one of the following values would be the most preferable as a Sharpe ratio?
Choose correct answer/s
-1.11
-0.89
0.00
.10
1.02
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Question 14
Multiple Choice
Which one of the following measures risk premium in relation to systematic risk?
Choose correct answer/s
Value at Risk
Jensen's alpha
beta
Sharpe ratio
Treynor ratio
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Question 15
Multiple Choice
You are comparing three securities and discover they all have identical Treynor ratios.Given this information,which one of the following must be true regarding these three securities?
Choose correct answer/s
They have identical betas.
They have the same rates of return.
They earn identical rewards per unit of total risk.
They earn identical rewards per unit of systematic risk.
They have identical Sharpe ratios also.
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Question 16
Multiple Choice
You are comparing three assets which have differing Treynor ratios.Given this,which one of the following must be true?
Choose correct answer/s
The assets may all be correctly priced if they have differing betas.
The assets have differing rates of return.
The assets have differing levels of market risk but equal amounts of total risk.
The assets are all mispriced according to CAPM.
The preferred investment is the asset with the highest Treynor ratio.
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Question 17
Multiple Choice
You are considering the purchase of a mutual fund.You have found three funds that meet your basic criteria.Each fund has a different alpha.Which alpha indicates the preferred investment?
Choose correct answer/s
the most negative alpha
the least negative alpha
the zero alpha
the lowest positive alpha
the highest positive alpha
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Question 18
Multiple Choice
Which one of the following statements is correct in relation to a security that has a negative Jensen's alpha?
Choose correct answer/s
The security is overpriced and will plot below the security market line.
The security is overpriced and will plot above the security market line.
The security is underpriced and will plot below the security market line.
The security is underpriced and will plot above the security market line.
The security is incorrectly priced but you cannot tell if it is underpriced or overpriced based on the information provided.
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Question 19
Multiple Choice
Which one of the following is the best indication that a security is correctly priced according to the Capital Asset Pricing Model?
Choose correct answer/s
beta of zero
beta of 1.0
alpha of zero
alpha of 1.0
alpha of -1.0
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Question 20
Multiple Choice
Tony brags that his portfolio's rate of return is "beating the market".Which one of the following would best substantiate his claim?
Choose correct answer/s
positive Sharpe ratio
negative Treynor ratio
positive Jensen's alpha
zero Value at Risk
beta greater than 1.0
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