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CHAPTER20EVALUATIONOFPORTFOLIOMANAGEMENTTRUEFALSEQUESTIONSCHAPTER20EVALUATIONOFPORTFOLIOMANAGEMENTTRUE/FALSEQUESTIONSF61INVESTORSWANTTHEIRPORTFOLIOMANAGERSTOCOMPLETELYDIVERSIFYTHEIRPORTFOLIO,THATIS,ELIMINATEALLSYSTEMATICRISK3T2ACOMPLETELYDIVERSIFIEDPORTFOLIOISPERFECTLYCORRELATEDWITHTHEFULLYDIVERSIFIEDMARKETPORTFOLIOF3THETYPICALPROXYFORTHEMARKETPORTFOLIOISTHESP500INDEXBECAUSEITISDIVERSIFIEDANDPRICEWEIGHTEDT4NORMALPORTFOLIOSARESPECIALIZEDORCUSTOMIZEDBENCHMARKST5COMPARINGANACTIVEMANAGERSPERFORMANCEWITHTHATOFAMEDIANMANAGERSPERFORMANCEISCONSIDEREDAFLAWEDBENCHMARKF6BECAUSETHESHARPEMEASUREOFPERFORMANCEEVALUATEDRISKPREMIUMRELATIVETOSYSTEMATICRISK,ITASSUMESCOMPLETEDIVERSIFICATIONT7THETREYNORPERFORMANCEMODELIMPLICITLYASSUMESACOMPLETELYDIVERSIFIEDPORTFOLIOT8IFAPORTFOLIOBEINGEVALUATEDHADATREYNORMEASURETOF055COMPAREDTOTHETMEASUREFORTHEMARKETPORTFOLIOOF065,ITWOULDINDICATETHATTHEPORTFOLIOWOULDPLOTBELOWTHESMLF9ANEGATIVETREYNORMEASURENEGATIVETFORAPORTFOLIOALWAYSINDICATESTHATTHEPORTFOLIOWOULDPLOTBELOWTHESMLT10THESHARPEANDTREYNORMEASURESCOMPLEMENTEACHOTHERANDTHUSBOTHSHOULDBEUSEDTOMEASUREPORTFOLIOPERFORMANCET11THEJENSENMEASUREISCONSIDEREDTOBESIMILARTOTHETREYNORMEASUREBECAUSEOFITSMEASUREOFRISKT12THERANKINGDIFFERENCESBETWEENTHESHARPE,TREYNORANDJENSENPERFORMANCEMEASURESOCCURBECAUSEOFTHEDIFFERENCESINDIVERSIFICATIONT13ALTHOUGHCORRELATIONSAREHIGHAMONGTHEVARIOUSPORTFOLIOPERFORMANCEMEASURES,ALLMEASURESSHOULDBEUSEDBECAUSEEACHPROVIDESDIFFERENTINSIGHTSREGARDINGTHEPERFORMANCEOFPORTFOLIOMANAGERST14ABENCHMARKERRORINPORTFOLIOPERFORMANCEEVALUATIONCANOCCURIFTHEMARKETSERIESUSEDASAPROXYFORTHEMARKETPORTFOLIOISNOTREPRESENTATIVET15ABENCHMARKERRORCANCAUSENOTONLYASMLLINEWITHTHEWRONGSLOPEBUTALSOINACCURATEMEASURESOFSYSTEMATICRISKFORINDIVIDUALPORTFOLIOSF16THEPORTFOLIOPERFORMANCEMEASURETHATCANBEMOSTAFFECTEDBYABENCHMARKERRORISTHESHARPEMEASURET17CHARACTERISTICANALYSISISBASEDONTHEBELIEFTHATTHEPORTFOLIOSCURRENTMAKEUPWILLBEAGOODPREDICTORFORTHENEXTPERIODSRETURNSF18ANAPPROPRIATECOMPOSITERISKMEASURETHATINDICATESTHERELATIVEPRICEVOLATILITYFORABONDCOMPAREDTOINTERESTRATECHANGESISTHEBONDSYIELDTOMATURITYF19INEVALUATINGBONDPERFORMANCE,THELEHMANBROTHERSINDEXISANAPPROPRIATERISKMEASURET20THEPOLICYEFFECTISADIFFERENCEINBONDPORTFOLIOPERFORMANCEFROMTHATOFABENCHMARKINDEXDUETOADIFFERENCEINDURATIONF21DURATIONISCONSIDEREDAGOODMEASUREOFRISKFORABONDPORTFOLIOBECAUSEITINDICATESTHERELATIVEVOLATILITYOFTHEBONDORPORTFOLIODUETOINTERESTRATECHANGESANDALSOTHERATINGOFTHEBONDSF22ATESTOFBONDPERFORMANCEOVERTIMEINDICATEDTHATBONDPORTFOLIOMANAGERSAREMORECONSISTENTOVERTIMETHANEQUITYMANAGERST23APORTFOLIOMANAGERSHOULDBEEVALUATEDMANYTIMESANDINAVARIETYOFMARKETENVIRONMENTSBEFOREAFINALJUDGMENTISREACHEDREGARDINGHIS/HERSTRENGTHSANDWEAKNESSESMULTIPLECHOICEQUESTIONSD1INFORMATIONRATIOPORTFOLIOPERFORMANCEMEASURESADJUSTPORTFOLIORISKTOMATCHBENCHMARKRISKCOMPAREPORTFOLIORETURNSTOEXPECTEDRETURNSUNDERCAPMEVALUATEPORTFOLIOPERFORMANCEONTHEBASISOFRETURNPERUNITOFRISKINDICATEHISTORICAVERAGEDIFFERENTIALRETURNPERUNITOFHISTORICVARIABILITYOFDIFFERENTIALRETURNNONEOFTHEABOVEA2SCALEDRETURNPORTFOLIOPERFORMANCEMEASURESADJUSTPORTFOLIORISKTOMATCHBENCHMARKRISKCOMPAREPORTFOLIORETURNSTOEXPECTEDRETURNSUNDERCAPMEVALUATEPORTFOLIOPERFORMANCEONTHEBASISOFRETURNPERUNITOFRISKINDICATEHISTORICAVERAGEDIFFERENTIALRETURNPERUNITOFHISTORICVARIABILITYOFDIFFERENTIALRETURNNONEOFTHEABOVEC3RELATIVERETURNPORTFOLIOPERFORMANCEMEASURESADJUSTPORTFOLIORISKTOMATCHBENCHMARKRISKCOMPAREPORTFOLIORETURNSTOEXPECTEDRETURNSUNDERCAPMEVALUATEPORTFOLIOPERFORMANCEONTHEBASISOFRETURNPERUNITOFRISKINDICATEHISTORICAVERAGEDIFFERENTIALRETURNPERUNITOFHISTORICVARIABILITYOFDIFFERENTIALRETURNNONEOFTHEABOVEB4EXCESSRETURNPORTFOLIOPERFORMANCEMEASURESADJUSTPORTFOLIORISKTOMATCHBENCHMARKRISKCOMPAREPORTFOLIORETURNSTOEXPECTEDRETURNSUNDERCAPMEVALUATEPORTFOLIOPERFORMANCEONTHEBASISOFRETURNPERUNITOFRISKINDICATEHISTORICAVERAGEDIFFERENTIALRETURNPERUNITOFHISTORICVARIABILITYOFDIFFERENTIALRETURNNONEOFTHEABOVED5THEMAJORREQUIREMENTSOFAPORTFOLIOMANAGERINCLUDETHEFOLLOWING,EXCEPTAFOLLOWTHECLIENTSPOLICYSTATEMENTBCOMPLETELYDIVERSIFYTHEPORTFOLIOTOELIMINATEALLUNSYSTEMATICRISKCTHEABILITYTODERIVEABOVEAVERAGERISKADJUSTEDRETURNSDCOMPLETELYDIVERSIFYTHEPORTFOLIOTOELIMINATEALLSYSTEMATICRISKENONEOFTHEABOVETHATIS,ALLAREREQUIREMENTSOFAPORTFOLIOMANAGERC6PORTFOLIOMANAGERSWHOANTICIPATESADECREASEININTERESTRATESSHOULDAACTTOKEEPTHEDURATIONCONSTANTBDECREASETHEPORTFOLIODURATIONCINCREASETHEPORTFOLIODURATIONDASSUMEHIGHERRISKINTHEMARKETEINVESTINJUNKBONDSD7WHICHOFTHEFOLLOWINGISNOTAUSEFULCHARACTERISTICOFABENCHMARKAUNAMBIGUOUSBINVESTABLECMEASURABLEDREFLECTIVEOFHISTORICALINVESTMENTOPINIONSESPECIFIEDINADVANCEA8SHARPESPERFORMANCEMEASUREDIVIDESTHEPORTFOLIOSRISKPREMIUMBYTHEASTANDARDDEVIATIONOFTHERATEOFRETURNBVARIANCEOFTHERATEOFRETURNCSLOPEOFTHEFUNDSCHARACTERISTICLINEDBETAEPORTFOLIOSUNSYSTEMATICRISKB9THEMEASUREOFPORTFOLIOPERFORMANCEWHICHDIVIDESTHEPORTFOLIOSRISKPREMIUMBYTHEPORTFOLIOSBETAISTHEMEASUREASHARPEBTREYNORCJENSENDFAMAECOMPOSITEPERFORMANCEE10TREYNORSHOWEDTHATRATIONAL,RISKAVERSEINVESTORSALWAYSPREFERPORTFOLIOPOSSIBILITYLINESWHICHHAVEAZEROSLOPESBSLIGHTLYNEGATIVESLOPESCHIGHLYNEGATIVESLOPESDSLIGHTLYPOSITIVESLOPESEHIGHLYPOSITIVESLOPESC11WHICHMEASUREOFPORTFOLIOPERFORMANCEALLOWSANALYSTSTODETERMINETHESTATISTICALSIGNIFICANCEOFABNORMALRETURNSASHARPEMEASUREBTREYNORMEASURECJENSENMEASUREDFAMAMEASUREECOMPOSITEPERFORMANCEMEASURED12WHICHOFTHEFOLLOWINGSTATEMENTSCONCERNINGPERFORMANCEMEASURESISFALSEATHESHARPEMEASUREEXAMINESBOTHUNSYSTEMATICANDSYSTEMATICRISKBTHETREYNORMEASUREEXAMINESSYSTEMATICRISKCTHEJENSENMEASUREEXAMINESSYSTEMATICRISKDALLTHREEMEASURESEXAMINEBOTHUNSYSTEMATICANDSYSTEMATICRISKENONEOFTHEABOVETHATIS,ALLSTATEMENTSARETRUEE13THECORRELATIONAMONGRANKINGSFROMALTERNATIVEPORTFOLIOPERFORMANCEMEASURES,RANGESBETWEENA05AND06B06AND07C07AND08D08AND09E09AND10B14IFTHERETURNINCREASESASMOREGLOBALINVESTMENTSWITHLOWCORRELATIONAREADDEDTOTHEMARKETPORTFOLIO,THEEFFICIENTFRONTIERMOVESAUPANDRIGHTBUPANDLEFTCDOWNANDRIGHTDDOWNANDLEFTEUPONLYD15WHICHOFTHEFOLLOWINGSTATEMENTSABOUTRETURNSBASEDANALYSISOREFFECTIVEMIXANALYSISISTRUEATHISANALYSISCOMPARESTHEHISTORICALRETURNPATTERNOFTHEPORTFOLIOINQUESTIONWITHTHEHISTORICALRETURNSOFVARIOUSWELLSPECIFIEDINDEXESBTHISANALYSISUSESSOPHISTICATEDQUADRATICPROGRAMMINGTECHNIQUESTOINDICATEWHATSTYLESORSTYLECOMBINATIONSWEREMOSTSIMILARTOTHEPORTFOLIOSACTUALHISTORICALRETURNSCTHISANALYSISISBASEDONTHEBELIEFTHATTHEPORTFOLIOSCURRENTMAKEUPWILLBEAGOODPREDICTORFORTHENEXTPERIODSRETURNSDCHOICESAANDBEALLOFTHEABOVESTATEMENTSDESCRIBERETURNSBASEDANALYSISOREFFECTIVEMIXANALYSISE16AMANAGERSSUPERIORRETURNSCOULDHAVEOCCURREDDUETOAANINSIGHTFULASSETALLOCATIONSTRATEGY,OVERWEIGHTINGANASSETCLASSTHATEARNEDHIGHRETURNSBINVESTINGINUNDERVALUEDSECTORSCSELECTINGINDIVIDUALSECURITIESTHATEARNEDABOVEAVERAGERETURNSDCHOICESAANDCEALLOFTHEABOVEC17WAGNERANDTITOSUGGESTEDTHATABONDPORTFOLIORETURNDIFFERINGFROMTHERETURNFROMTHELEHMANBROTHERSINDEXCANBEDIVIDEDINTOFOURCOMPONENTSWHICHOFTHEFOLLOWINGEFFECTISNOTINCLUDEDAPOLICYEFFECTBINTERESTRATEANTICIPATIONEFFECTCSECTOR/QUALITYEFFECTDANALYSISEFFECTETRADINGEFFECTA18WHICHOFTHEFOLLOWINGISNOTINCLUDEDINTHEMANAGEMENTEFFECTAPOLICYEFFECTBRATEANTICIPATIONEFFECTCANALYSISEFFECTDTRADINGEFFECTENONEOFTHEABOVETHATIS,ALLARECOMBINEDTODERIVEWHATISCALLEDMANAGEMENTEFFECTE19DIETZ,FOGLERANDHARDYSUGGESTEDBONDPORTFOLIORETURNSMAYBEDIVIDEDINTOFOURCOMPONENTSWHICHOFTHEFOLLOWINGISTHEKNOWNEFFECTARESIDUALBSECTOR/QUALITYEFFECTCINTERESTRATEEFFECTDPOLICYEFFECTEYIELDTOMATURITYMULTIPLECHOICEPROBLEMSUSETHEFOLLOWINGINFORMATIONFORTHENEXTTWOPROBLEMSCONSIDERTHEFOLLOWINGPORTFOLIOS,ASSUMINGRFIS08PORTFOLIORETURNBETABSTYLECOLORWHITEBACKGROUNDCOLOR00AA001A161005B221510C110602D181106D1USINGTHESHARPEMEASURE,WHICHPORTFOLIOPERFORMEDBESTAABBCCDDETWOPORTFOLIOSTIEDB2ACCORDINGTOTHETREYNORMEASURE,WHICHPORTFOLIOPERFORMEDBESTAABBCCDDETWOPORTFOLIOSTIEDB3ACCORDINGTOTHEJENSENMEASURE,WHICHPORTFOLIOPERFORMEDBESTASSUMERMIS14PERCENTAABBCCDDETWOPORTFOLIOSTIEDUSETHEFOLLOWINGINFORMATIONFORTHENEXTTWOPROBLEMSWEIGHTSPOLICYACTUAL50STOCKS60STOCKS50BONDS40BONDSRETURNSINDEXACTUAL8STOCKS9STOCKS5BONDS7BONDSA4WHICHOFTHEFOLLOWINGSTATEMENTSISTRUEATHEPORTFOLIOMANAGEREARNEDANEXTRA03BECAUSEOFASHIFTINALLOCATIONOUTOFBONDSANDINTOSTOCKSBTHEPORTFOLIOMANAGEREARNEDANEXTRA03BECAUSEOFASHIFTINALLOCATIONOUTOFSTOCKSANDINTOBONDSCTHEPORTFOLIOMANAGEREARNEDANEXTRA65BECAUSEOFASHIFTINALLOCATIONOUTOFBONDSANDINTOSTOCKSDTHEPORTFOLIOMANAGEREARNEDANEXTRA65BECAUSEOFASHIFTINALLOCATIONOUTOFSTOCKSANDINTOBONDSENONEOFTHEABOVEISATRUESTATEMENTB5WHICHOFTHEFOLLOWINGSTATEMENTSISTRUEASECTOR/SECURITYSELECTIONHURTTHEPORTFOLIOPERFORMANCERETURNSWERE14LESSTHANIFTHEMANAGERINVESTEDTHEFUNDSINSTOCKSANDBONDINDEXESBSECTOR/SECURITYSELECTIONIMPROVEDTHEPORTFOLIOPERFORMANCEBY14EACHSECTORRETURNWASHIGHERTHANFORINDEXVALUECSECTOR/SECURITYSELECTIONHURTTHEPORTFOLIOPERFORMANCERETURNSWERE68LESSTHANIFTHEMANAGERINVESTEDTHEFUNDSINSTOCKSANDBONDINDEXESDSECTOR/SECURITYSELECTIONIMPROVEDTHEPORTFOLIOPERFORMANCEBY68EACHSECTORRETURNWASHIGHERTHANFORINDEXRETURNENONEOFTHEABOVEISATRUESTATEMENTTHEFOLLOWINGINFORMATIONISFORTHENEXTFIVEPROBLEMSCONSIDERTHEFOLLOWINGINFORMATIONFORFOURPORTFOLIOS,THEMARKETANDTHERISKFREERATERFRPORTFOLIORETURNBETASDA10151250182A201090223A3012110138A4008080125MARKET011102RFR00300D6CALCULATETHESHARPEMEASUREFOREACHPORTFOLIOAA1040,A2031,A3065,A4066BA1031,A2066,A3065,A4040CA1066,A2065,A3031,A4040DA1066,A2031,A3065,A4040ENONEOFTHEABOVEC7CALCULATETHEJENSENALPHAMEASUREFOREACHPORTFOLIOAA10014,A20002,A30002,A4002BA10002,A2002,A30002,A40014CA1002,A20002,A30002,A40014DA1002,A20002,A3002,A4014ENONEOFTHEABOVEB8CALCULATETHETREYNORMEASUREFOREACHPORTFOLIOAA100625,A200778,A300818,A40096BA10096,A200778,A300818,A400625CA10096,A200818,A300778,A400625DA100778,A20096,A300818,A400625ENONEOFTHEABOVEA9CALCULATETHERAPMEASUREFOREACHPORTFOLIOAA10162,A20093,A30160,A4011BA10160,A20093,A30162,A4011CA1011,A20093,A30160,A40162DA10162,A20160,A30093,A4011ENONEOFTHEABOVEA10RANKEACHPORTFOLIOACCORDINGTOTHERAPMEASUREAA11,A24,A32,A43BA11,A22,A33,A44CA14,A22,A33,A41DA11,A23,A32,A44ENONEOFTHEABOVETHEFOLLOWINGINFORMATIONISFORTHENEXTTWOPROBLEMSCONSIDERTHEFOLLOWINGINFORMATIONFORAPORTFOLIOMANAGERPOLICYACTUALINDEXACTUALWEIGHTWEIGHTRETURNSRETURNSSTOCKS06507011012BONDS03025007008CASH0050050030025C11CALCULATETHEPERCENTAGERETURNTHATCANBEATTRIBUTEDTOTHEASSETALLOCATIONDECISIONA0105B0925C020096094B12CALCULATETHEPERCENTAGERETURNTHATCANBEATTRIBUTEDTOTHESECURITYSELECTIONDECISIONA0105B0925C020D096E094CHAPTER20ANSWERSTOMULTIPLECHOICEPROBLEMS1608081SA1600505220814SB1401010110803SC1500202180810SD16706061608082TA0800100100
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