投资学第7版Test
Bank答案24
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Multiple Choice Questions
1. Trading activity by mutual funds just prior to quarterly reporting dates is known as A) insider trading. B) program trading. C) passive security selection. D) window dressing. E) none of the above.
Answer: D Difficulty: Moderate Rationale: Mutual funds must disclose portfolio composition quarterly, and trading
activity that immediately precedes the reporting date is referred to as \dressing\composition, which gives the appearance of successful stock selection.
2. The comparison universe is __________. A) a concept found only in astronomy B) the set of all mutual funds in the world C) the set of all mutual funds in the U. S. D) a set of mutual funds with similar risk characteristics to your mutual fund E) none of the above
Answer: D Difficulty: Easy Rationale: A mutual fund manager is evaluated against the performance of managers
of funds of similar risk characteristics.
3. __________ did not develop a popular method for risk-adjusted performance
evaluation of mutual funds. A) Eugene Fama B) Michael Jensen C) William Sharpe D) Jack Treynor E) A and B
Answer: A Difficulty: Easy Rationale: Michael Jensen, William Sharpe, and Jack Treynor developed popular
models for mutual fund performance evaluation.
4. Henriksson (1984) found that, on average, betas of funds __________ during market advances
A) increased very significantly B) increased slightly C) decreased slightly
D) decreased very significantly E) did not change Answer: C Difficulty: Moderate
Rationale: Portfolio betas should have a large value if the market is expected to perform well and a small value if the market is not expected to perform well; thus, these results reflect the poor timing ability of mutual fund managers.
5. Most professionally managed equity funds generally __________.
A) outperform the S&P 500 index on both raw and risk-adjusted return measures B) underperform the S&P 500 index on both raw and risk-adjusted return measures C) outperform the S&P 500 index on raw return measures and underperform the
S&P 500 index on risk-adjusted return measures
D) underperform the S&P 500 index on raw return measures and outperform the
S&P 500 index on risk-adjusted return measures
E) match the performance of the S&P 500 index on both raw and risk-adjusted
return measures Answer: B Difficulty: Moderate
Rationale: Most mutual funds do not consistently, over time, outperform the S&P 500 index on the basis of either raw or risk-adjusted return measures.
6. Suppose two portfolios have the same average return, the same standard deviation of returns, but portfolio A has a higher beta than portfolio B. According to the Sharpe measure, the performance of portfolio A __________. A) is better than the performance of portfolio B B) is the same as the performance of portfolio B C) is poorer than the performance of portfolio B
D) cannot be measured as there is no data on the alpha of the portfolio E) none of the above is true. Answer: B Difficulty: Moderate
Rationale: The Sharpe index is a measure of average portfolio returns (in excess of the risk free return) per unit of total risk (as measured by standard deviation).
投资学第7版testbank答案24
