Q&A Hero

Q: Hedge fund managers are compensated by ________. A) deducting management fees from fund assets and receiving incentive bonuses for beating index benchmarks B) deducting a percentage of any gains in asset value C) selling shares in the trust at a premium to the cost of acquiring the underlying assets D) charging portfolio turnover fees

Q: A restriction under which investors cannot withdraw their funds for as long as several months or years is called ________. A) transparency B) a lock-up period C) a back-end load D) convertible arbitrage

Q: As of 2017, hedge funds had approximately ________ under management. A) $.5 trillion B) $6.6 trillion C) $4 trillion D) $3.2 trillion

Q: Which of the following typically employ(s) significant amounts of leverage? I. Hedge funds II. Equity mutual funds III. Money market funds IV. Income mutual funds A) I only B) I and II only C) III and IV only D) I, II, and III only

Q: ______ are private partnerships of a small number of wealthy investors, are often subject to lock-up periods, and are allowed to pursue a wide range of investment activities. A) Hedge funds B) Closed-end funds C) REITs D) Mutual funds

Q: A(n) ________ hedge fund attempts to profit from situations such as mergers, acquisitions, restructuring, bankruptcy, or reorganization. A) multistrategy B) managed futures C) dedicated short bias D) event-driven

Q: Hedge funds are typically set up as ________. A) limited liability partnerships B) corporations C) REITs D) mutual funds

Q: Which of the following are characteristics of a hedge fund? I. Pooling of assets II. Strict regulatory oversight by the SEC III. Investing in equities, debt instruments, and derivative instruments IV. Professional management of assets A) I and II only B) II and III only C) III and IV only D) I, III, and IV only

Q: Suppose the 1-year risk-free rate of return in the U.S. is 3.5%. The current exchange rate is 1 pound = U.S. $1.70. The 1-year forward rate is 1 pound = $1.65. What is the minimum yield on a 1-year risk-free security in Britain that would induce a U.S. investor to invest in the British security? A) 2.64% B) 2.85% C) 3.34% D) 6.62% E) None of the options are correct

Q: The present exchange rate is 1 Nigerian Niara (NGN) = U.S. $0.002896. The 1-year future rate is NGN = U.S. $0.002774. The yield on a 1-year U.S. bill is 3.2%. A yield of ________ on a 1-year Nigerian bill will make an investor indifferent between investing in the U.S. bill and the Nigerian bill (NTB). A) 2.94% B) 1.73% C) 6.04% D) 7.74% E) None of the options are correct

Q: Assume there is a fixed exchange rate between the Yen and U.S. dollar. The expected return and standard deviation of return on the U.S. stock market are 21% and 15%, respectively. The expected return and standard deviation on the Japanese stock market are 13% and 12%, respectively. The covariance of returns between the U.S. and Japanese stock market is 2.5%. If you invested 60% of your money in the Japanese stock market and 40% in the U.S. stock market, the expected return on your portfolio would be A) 12.0%. B) 16.2%. C) 17.4%. D) 18.5%.

Q: Assume there is a fixed exchange rate between the Swiss Franc and U.S. dollar. The expected return and standard deviation of return on the U.S. stock market are 14% and 11%, respectively. The expected return and standard deviation on the Swiss Stock Exchange (SIX) are 9% and 14%, respectively. The covariance of returns between the U.S. and the SIX is 1.75%. If you invested 350% of your money in the Swiss (SIX) stock market and 65% in the U.S. stock market, the expected return on your portfolio would be A) 12.25%. B) 12.5%. C) 13.0%. D) 13.5%.

Q: Assume there is a fixed exchange rate between the Euro and U.S. dollar. The expected return and standard deviation of return on the U.S. stock market are 16% and 13%, respectively. The expected return and standard deviation on the DAX stock market are 11% and 18%, respectively. The covariance of returns between the U.S. and German stock market is 1.5%. If you invested 50% of your money in the German (DAX) stock market and 50% in the U.S. stock market, the expected return on your portfolio would be A) 12.0%. B) 12.5%. C) 13.0%. D) 13.5%.

Q: You are a U.S. investor who purchased British securities for 2,340 pounds one year ago when the British pound cost $1.52. No dividends were paid on the British securities in the past year. Your total return based on U.S. dollars was ________ if the value of the securities is now 2,440 pounds and the pound is worth $1.61. A) 16.7% B) 20.0% C) 12.5% D) 10.4% E) None of the options are correct

Q: Suppose the 1-year risk-free rate of return in the U.S. is 2% and the 1-year risk-free rate of return in Mexico is 8%. The current exchange rate is 1 peso = U.S. $.051. A 1-year future exchange rate of ________ for the peso would make a U.S. investor indifferent between investing in the U.S. security and investing in the Mexican security. A) 1.6037 B) 0.02001 C) 1.7500 D) 0.02300 E) 0.01250

Q: The yield on a 1-year bill in the Euro is 6%, and the present exchange rate is 1 Euro = U.S. $1.19. If you expect the exchange rate to be 1 Euro = U.S. $1.14 a year from now, the return a U.S. investor can expect to earn by investing in Euro bills is A) 1.55%. B) 0%. C) 8%. D) −0.42%. E) None of the options are correct.

Q: The yield on a 1-year bill in the U.K. is 6%, and the present exchange rate is 1 pound = U.S. $1.65. If you expect the exchange rate to be 1 pound = U.S. $1.55 a year from now, the return a U.S. investor can expect to earn by investing in U.K. bills is A) −6.7%. B) 0%. C) 8%. D) −0.42%. E) None of the options are correct.

Q: The interplay between interest rate differentials and exchange rates, such that each adjusts until the foreign exchange market and the money market reach equilibrium, is called the A) Purchasing Power Parity Theory. B) Balance of Payments. C) Interest Rate Parity Theory. D) None of the options are correct.

Q: When Country A's currency strengthens against Country B's, citizens of Country A will A) pay less to buy Country B's products. B) pay more to buy Country B's products. C) pay more to buy domestically-produced products. D) not be affected by the change in their currency's value.

Q: As exchange rates change, they A) change the relative purchasing power between countries. B) can affect imports and exports between those two countries. C) will affect the flow of funds between the countries. D) All of the options are true.

Q: The possibility of experiencing a drop in revenue or an increase in cost in an international transaction due to a change in foreign exchange rates is called A) foreign exchange risk. B) political risk. C) translation exposure. D) hedging risk.

Q: Home bias refers to A) the tendency to vacation in your home country instead of traveling abroad. B) the tendency to believe that your home country is better than other countries. C) the tendency to give preferential treatment to people from your home country. D) the tendency to overweight investments in your home country. E) None of the options are correct.

Q: The EAFE is A) the East Asia Foreign Equity index. B) the Economic Advisor's Foreign Estimator index. C) the European and Asian Foreign Equity index. D) the European, Asian, French Equity index. E) the European, Australian, Far East index.

Q: WEBS portfolios A) are passively managed. B) are shares that can be sold by investors. C) are free from brokerage commissions. D) are passively managed and are shares that can be sold by investors. E) All of the options are correct.

Q: "ADRs" stands for ________, and "WEBS" stands for ________. A) additional dollar returns; weekly equity and bond survey B) additional daily returns; world equity and bond survey C) American dollar returns; world equity and bond statistics D) American depository receipts; world equity benchmark shares E) adjusted dollar returns; weighted equity benchmark shares

Q: Using local currency returns, the S&P 500 has the lowest correlation with: A) Euronext B) FTSE C) Nikkei D) Toronto E) Shanghai

Q: When an investor adds international stocks to his or her U.S. stock portfolio, A) it will raise his or her risk relative to the risk he or she would face just holding U.S. stocks. B) he or she can reduce the risk of his or her portfolio. C) he or she will increase his or her expected return but must also take on more risk. D) it will have no impact on either the risk or the return of his or her portfolio. E) he or she needs to seek professional management because he or she doesn't have access to international investments on his or her own.

Q: The average country equity market share is A) less than 2%. B) between 3% and 4%. C) between 5% and 7%. D) between 7% and 8%. E) greater than 8%.

Q: Using the S&P 500 portfolio as a proxy of the market portfolio A) is appropriate because U.S. securities represent more than 60% of world equities. B) is appropriate because most U.S. investors are primarily interested in U.S. securities. C) is appropriate because most U.S. and non-U.S. investors are primarily interested in U.S. securities. D) is inappropriate because U.S. securities make up less than 41% of world equities. E) is inappropriate because the average U.S. investor has less than 20% of his or her portfolio in non-U.S. equities.

Q: The manager of Quantitative International Fund uses EAFE as a benchmark. Last year's performance for the fund and the benchmark were as follows: EAFE Weight Return on Equity Index Currency Aplication E1/E0-1 Quantitative's Weight Manager's Return Eur 0.30 10 % 10 % 0.25 9 % Aus 0.10 5 % -10 % 0.25 8 % FE 0.60 15 % 30 % 0.50 16 % Calculate Quantitative's stock selection return contribution. A) 1.0% B) −1.0% C) 3.0% D) 0.25%

Q: The manager of Quantitative International Fund uses EAFE as a benchmark. Last year's performance for the fund and the benchmark were as follows: EAFE Weight Return on Equity Index Currency Aplication E1/E0-1 Quantitative's Weight Manager's Return Eur 0.30 10 % 10 % 0.25 9 % Aus 0.10 5 % -10 % 0.25 8 % FE 0.60 15 % 30 % 0.50 16 % Calculate Quantitative's country selection return contribution. A) 12.5% B) −12.5% C) 11.25% D) −1.25% E) 1.25%

Q: The manager of Quantitative International Fund uses EAFE as a benchmark. Last year's performance for the fund and the benchmark were as follows: EAFE Weight Return on Equity Index Currency Aplication E1/E0-1 Quantitative's Weight Manager's Return Eur 0.30 10 % 10 % 0.25 9 % Aus 0.10 5 % -10 % 0.25 8 % FE 0.60 15 % 30 % 0.50 16 % Calculate Quantitative's currency selection return contribution. A) +20% B) −5% C) +15% D) +5% E) −10%

Q: Investors looking for effective international diversification should A) invest about 60% of their money in foreign stocks. B) invest the same percentage of their money in foreign stocks that foreign equities represent in the world equity market. C) frequently hedge currency exposure. D) invest about 60% of their money in foreign stocks and invest the same percentage of their money in foreign stocks that foreign equities represent in the world equity market. E) None of the options.

Q: International investing A) cannot be measured against a passive benchmark, such as the S&P 500. B) can be measured against a widely-used index of non-U.S. stocks, the EAFE Index (Europe, Australia, Far East). C) can be measured against international indexes. D) can be measured against a widely-used index of non-U.S. stocks, the EAFE Index (Europe, Australia, Far East), and against international indexes. E) None of the options are correct.

Q: Exchange-rate risk A) results from changes in the exchange rates between the currency of the investor and the country in which the investment is made. B) can be hedged by using a forward or futures contract in foreign exchange. C) cannot be eliminated. D) results from changes in the exchange rates between the currency of the investor and the country in which the investment is made and cannot be eliminated. E) results from changes in the exchange rates between the currency of the investor and the country in which the investment is made and can be hedged by using a forward or futures contract in foreign exchange.

Q: U.S. investors A) can trade derivative securities based on prices in foreign security markets. B) cannot trade foreign derivative securities. C) can trade options and futures on the Nikkei stock index of 225 stocks traded on the Tokyo stock exchange and on FTSE (Financial Times Share Exchange) indexes of U.K. and European stocks. D) can trade derivative securities based on prices in foreign security markets and can trade options and futures on the Nikkei stock index of 225 stocks traded on the Tokyo stock exchange and on FTSE (Financial Times Share Exchange) indexes of U.K. and European stocks. E) None of the options are correct.

Q: You are a U.S. investor who purchased British securities for 2,000 pounds, one year ago when the British pound cost $1.50. No dividends were paid on the British securities in the past year. Your total return based on U.S. dollars was ________ if the value of the securities is now 2,400 pounds and the pound is worth $1.60. A) 16.7% B) 20.0% C) 28.0% D) 40.0% E) None of the options are correct.

Q: The major concern that has been raised with respect to the weighting of countries within the EAFE index is A) currency volatilities are not considered in the weighting. B) cross-correlations are not considered in the weighting. C) inflation is not represented in the weighting. D) the weights are not proportional to the asset bases of the respective countries. E) None of the options are correct.

Q: Assume there is a fixed exchange rate between the Canadian and U.S. dollar. The expected return and standard deviation of return on the U.S. stock market are 18% and 15%, respectively. The expected return and standard deviation on the Canadian stock market are 13% and 20%, respectively. The covariance of returns between the U.S. and Canadian stock markets is 1.5%. If you invested 50% of your money in the Canadian stock market and 50% in the U.S. stock market, the standard deviation of return of your portfolio would be A) 12.53%. B) 15.21%. C) 17.50%. D) 18.75%.

Q: Assume there is a fixed exchange rate between the Canadian and U.S. dollar. The expected return and standard deviation of return on the U.S. stock market are 18% and 15%, respectively. The expected return and standard deviation on the Canadian stock market are 13% and 20%, respectively. The covariance of returns between the U.S. and Canadian stock markets is 1.5%. If you invested 50% of your money in the Canadian stock market and 50% in the U.S. stock market, the expected return on your portfolio would be A) 12.0%. B) 12.5%. C) 13.0%. D) 15.5%.

Q: The present exchange rate is C$ = U.S. $0.78. The 1-year future rate is C$ = U.S. $0.76. The yield on a 1-year U.S. bill is 4%. A yield of ________ on a 1-year Canadian bill will make an investor indifferent between investing in the U.S. bill and the Canadian bill. A) 2.4% B) 1.3% C) 6.4% D) 6.7% E) None of the options are correct.

Q: Suppose the 1-year risk-free rate of return in the U.S. is 4%, and the 1-year risk-free rate of return in Britain is 7%. The current exchange rate is 1 pound = U.S. $1.65. A 1-year future exchange rate of ________ for the pound would make a U.S. investor indifferent between investing in the U.S. security and investing in the British security. A) 1.6037 B) 2.0411 C) 1.7500 D) 2.3369

Q: The interest rate on a 1-year Canadian security is 8%. The current exchange rate is C$ = US $0.78. The 1-year forward rate is C$ = US $0.76. The return (denominated in U.S. $) that a U.S. investor can earn by investing in the Canadian security is A) 3.59%. B) 4.00%. C) 5.23%. D) 8.46%. E) None of the options are correct.

Q: Suppose the 1-year risk-free rate of return in the U.S. is 5%. The current exchange rate is 1 pound = U.S. $1.60. The 1-year forward rate is 1 pound = $1.57. What is the minimum yield on a 1-year risk-free security in Britain that would induce a U.S. investor to invest in the British security? A) 2.44% B) 2.50% C) 7.00% D) 7.62% E) None of the options are correct.

Q: The yield on a 1-year bill in the U.K. is 8%, and the present exchange rate is 1 pound = U.S. $1.60. If you expect the exchange rate to be 1 pound = U.S. $1.50 a year from now, the return a U.S. investor can expect to earn by investing in U.K. bills is A) −6.7%. B) 0%. C) 8%. D) 1.25%. E) None of the options are correct.

Q: The straightforward generalization of the simple CAPM to international stocks is problematic because A) inflation-risk perceptions by different investors in different countries will differ as consumption baskets differ. B) investors in different countries view exchange-rate risk from the perspective of different domestic currencies. C) taxes, transaction costs, and capital barriers across countries make it difficult for investors to hold a world-index portfolio. D) All of the options are correct. E) None of the options are correct.

Q: In 2015, the U.S. equity market represented ________ of the world equity market. A) 19% B) 60% C) 43% D) 41% E) 79%

Q: Using local currency returns, the S&P 500 has the highest correlation with A) Euronext. B) FTSE. C) Nikkei. D) Toronto. E) Hang Seng

Q: Which country has the largest stock market compared to GDP? A) Japan B) Germany C) Hong Kong D) U.S.

Q: Which country is the leader in GDP per capita? A) Switzerland B) Canada C) Germany D) U.S. E) China

Q: According to PRS, in 2015, which country had the highest composite risk rating on a scale of 0 (most risky) to 100 (least risky)? A) Switzerland B) Canada C) Germany D) U.S.

Q: The ________ index is a widely used index of non-U.S. stocks. A) CBOE B) Dow Jones C) EAFE D) All of the options are correct. E) None of the options are correct.

Q: Over the period 2011-2016, most correlations between the U.S. stock index and stock-index portfolios of other countries were A) negative. B) positive but less than .9. C) approximately zero. D) .9 or above. E) None of the options are correct.

Q: The performance of an internationally-diversified portfolio may be affected by A) country selection. B) currency selection. C) stock selection. D) All of the options are correct. E) None of the options are correct.

Q: ________ are mutual funds that invest in one country only. A) ADRs B) ECUs C) Single-country funds D) All of the options are correct. E) None of the options are correct.

Q: ________ refers to the possibility of expropriation of assets, changes in tax policy, and the possibility of restrictions on foreign exchange transactions. A) Default risk B) Foreign exchange risk C) Market risk D) Political risk E) None of the options are correct.

Q: Shares of several foreign firms are traded in the U.S. markets in the form of A) ADRs. B) ECUs. C) single-country funds. D) All of the options are correct. E) None of the options are correct.

Q: 78) To determine whether portfolio performance is statistically significant requires A) a very long observation period due to the high variance of stock returns. B) a short observation period due to the high variance of stock returns. C) a very long observation period due to the low variance of stock returns. D) a short observation period due to the low variance of stock returns. E) a low variance of returns over any observation period.

Q: 63) In a particular year, Aggie Mutual Fund earned a return of 15% by making the following investments in the following asset classes: Weight Return Bonds 10 % 6 % Stocks 90 % 16 % The return on a bogey portfolio was 10%, calculated as follows: Weight Return Bonds (Lehman Brothers Index) 50 % 5 % Stocks (S&P 500 Index) 50 % 15 % The contribution of selection within markets to total excess return was A) 1%. B) 3%. C) 4%. D) 5%. E) 6%

Q: 61) In a particular year, Aggie Mutual Fund earned a return of 15% by making the following investments in the following asset classes: Weight Return Bonds 10 % 6 % Stocks 90 % 16 % The return on a bogey portfolio was 10%, calculated as follows: Weight Return Bonds (Lehman Brothers Index) 50 % 5 % Stocks (S&P 500 Index) 50 % 15 % The total excess return on the Aggie managed portfolio was A) 1%. B) 3%. C) 4%. D) 5%. E) 6%

Q: Mkt. Act. Wt. Bench. Wt. Xs Wt. Mkt. Ret. -Bogey Contrib. Equity 8 0.5 0.3 -3 % -0.9 % Bond 0.2 0.5 -0.3 3 % -0.9 % -1.80 % 60) In a particular year, Razorback Mutual Fund earned a return of 1% by making the following investments in asset classes: Weight Return Bonds 20 % 5 % Stocks 80 % 0 % The return on a bogey portfolio was 2%, calculated from the following information. Weight Return Bonds (Lehman Brothers Index) 50 % 5 % Stocks (S&P 500 Index) 50 % -1 % The contribution of selection within markets to the Razorback Fund's total excess return was A) -1.80%. B) -1.00%. C) 0.80%. D) 1.00%. E) 1.80%.

Q: Long Horn Market Portfolio Average return 19 % 12 % Standard deviations of returns 35 % 15 % Beta 5 1.0 Residual standard deviation 3.0 % 0.0 % 57) The following data are available relating to the performance of Long Horn Stock Fund and the market portfolio: The risk-free return during the sample period was 6%. Calculate the information ratio for Long Horn Stock Fund. A) 1.33 B) 4.00 C) 8.67 D) 31.43 E) 37.14

Q: Long Horn Market Portfolio Average return 19 % 12 % Standard deviations of returns 35 % 15 % Beta 5 1.0 Residual standard deviation 3.0 % 0.0 % 56) The following data are available relating to the performance of Long Horn Stock Fund and the market portfolio: The risk-free return during the sample period was 6%. Calculate the Jensen measure of performance evaluation for Long Horn Stock Fund. A) 1.33% B) 4.00% C) 8.67% D) 31.43% E) 37.14%

Q: Long Horn Market Portfolio Average return 19 % 12 % Standard deviations of returns 35 % 15 % Beta 5 1.0 Residual standard deviation 3.0 % 0.0 % 55) The following data are available relating to the performance of Long Horn Stock Fund and the market portfolio: The risk-free return during the sample period was 6%. What is the Treynor measure of performance evaluation for Long Horn Stock Fund? A) 0.0133 B) 0.04 C) 0.0867 D) 0.3143 E) 0.3714

Q: Long Horn Market Portfolio Average return 19 % 12 % Standard deviations of returns 35 % 15 % Beta 5 1.0 Residual standard deviation 3.0 % 0.0 % 54) The following data are available relating to the performance of Long Horn Stock Fund and the market portfolio: The risk-free return during the sample period was 6%. What is the Sharpe measure of performance evaluation for Long Horn Stock Fund? A) 0.0133 B) 0.04 C) 0.0867 D) 0.3143 E) 0.3714

Q: Wildcat Market Portfolio Average return 18 % 15 % Standard deviations of returns 25 % 20 % Beta 25 1.00 Residual standard deviation 2 % 0 % 53) The following data are available relating to the performance of Wildcat Fund and the market portfolio: The risk-free return during the sample period was 7%. Calculate Jensen's measure of performance for Wildcat Fund. A) 1.00% B) 8.80% C) 44.00% D) 50.00% E) 55.00%

Q: Wildcat Market Portfolio Average return 18 % 15 % Standard deviations of returns 25 % 20 % Beta 25 1.00 Residual standard deviation 2 % 0 % 52) The following data are available relating to the performance of Wildcat Fund and the market portfolio: The risk-free return during the sample period was 7%. Calculate Treynor's measure of performance for Wildcat Fund. A) 0.01 B) 0.088 C) 0.44 D) 0.50 E) 0.61

Q: Wildcat Market Portfolio Average return 18 % 15 % Standard deviations of returns 25 % 20 % Beta 25 1.00 Residual standard deviation 2 % 0 % 51) The following data are available relating to the performance of Wildcat Fund and the market portfolio: The risk-free return during the sample period was 7%. Calculate Sharpe's measure of performance for Wildcat Fund. A) 0.01 B) 0.08 C) 0.44 D) 0.50 E) 0.72

Q: Wildcat Market Portfolio Average return 18 % 15 % Standard deviations of returns 25 % 20 % Beta 25 1.00 Residual standard deviation 2 % 0 % 50) The following data are available relating to the performance of Wildcat Fund and the market portfolio: The risk-free return during the sample period was 7%. What is the information ratio measure of performance evaluation for Wildcat Fund? A) 1.00% B) 8.80% C) 44.00% D) 50.00% E) 67.00%

Q: Seminole Market Portfolio Average return 18 % 14 % Standard deviations of returns 30 % 22 % Beta 4 1.0 Residual standard deviation 4.0 % 0.0 % 47) The following data are available relating to the performance of Seminole Fund and the market portfolio: The risk-free return during the sample period was 6%. Calculate the M2 measure for the Seminole Fund. A) 4.0% B) 20.0% C) 2.86% D) 0.8% E) 40.0%

Q: Seminole Market Portfolio Average return 18 % 14 % Standard deviations of returns 30 % 22 % Beta 4 1.0 Residual standard deviation 4.0 % 0.0 % 46) The following data are available relating to the performance of Seminole Fund and the market portfolio: The risk-free return during the sample period was 6%. If you wanted to evaluate the Seminole Fund using the M2 measure, what percent of the adjusted portfolio would need to be invested in T-Bills? A) -36% (borrow) B) 50% C) 8% D) 36% E) 27%

Q: Monarch Market Portfolio Average return 16 % 12 % Standard deviations of returns 26 % 22 % Beta 15 1.00 Residual standard deviation 1 % 0 % 45) The following data are available relating to the performance of Monarch Stock Fund and the market portfolio: The risk-free return during the sample period was 4%. Calculate Jensen's measure of performance for Monarch Stock Fund. A) 1.00% B) 2.80% C) 44.00% D) 50.00%

Q: Monarch Market Portfolio Average return 16 % 12 % Standard deviations of returns 26 % 22 % Beta 15 1.00 Residual standard deviation 1 % 0 % 44) The following data are available relating to the performance of Monarch Stock Fund and the market portfolio: The risk-free return during the sample period was 4%. Calculate Treynor's measure of performance for Monarch Stock Fund. A) 0.0143 B) 0.088 C) 0.44 D) 0.50

Q: Monarch Market Portfolio Average return 16 % 12 % Standard deviations of returns 26 % 22 % Beta 15 1.00 Residual standard deviation 1 % 0 % 43) The following data are available relating to the performance of Monarch Stock Fund and the market portfolio: The risk-free return during the sample period was 4%. Calculate Sharpe's measure of performance for Monarch Stock Fund. A) 0.01 B) 0.46 C) 0.44 D) 0.55 E) None of the options are correct.

Q: Monarch Market Portfolio Average return 16 % 12 % Standard deviations of returns 26 % 22 % Beta 15 1.00 Residual standard deviation 1 % 0 % 42) The following data are available relating to the performance of Monarch Stock Fund and the market portfolio: The risk-free return during the sample period was 4%. What is the information ratio measure of performance evaluation for Monarch Stock Fund? A) 1.00% B) 280.00% C) 44.00% D) 50.00% E) None of the options are correct.

Q: Sooner Market Portfolio Average return 20 % 11 % Standard deviations of returns 44 % 19 % Beta 8 1.0 Residual standard deviation 2.0 % 0.0 % 41) The following data are available relating to the performance of Sooner Stock Fund and the market portfolio: The risk-free return during the sample period was 3%. Calculate the information ratio for Sooner Stock Fund. A) 1.53 B) 1.30 C) 8.67 D) 31.43 E) 37.14

Q: Sooner Market Portfolio Average return 20 % 11 % Standard reviations of returns 44 % 19 % Beta 8 1.0 Residual standard deviation 2.0 % 0.0 % 40) The following data are available relating to the performance of Sooner Stock Fund and the market portfolio: The risk-free return during the sample period was 3%. Calculate the Jensen measure of performance evaluation for Sooner Stock Fund. A) 2.6% B) 4.00% C) 8.67% D) 31.43% E) 37.14%

Q: Sooner Market Portfolio Average return 20 % 11 % Standard deviations of returns 44 % 19 % Beta 8 1.0 Residual standard deviation 2.0 % 0.0 % 39) The following data are available relating to the performance of Sooner Stock Fund and the market portfolio: The risk-free return during the sample period was 3%. What is the Treynor measure of performance evaluation for Sooner Stock Fund? A) 0.0133 B) 0.04 C) 0.0867 D) 0.0944 E) 0.3714

Q: Sooner Market Portfolio Average return 20 % 11 % Standard deviations of returns 44 % 19 % Beta 8 1.0 Residual standard deviation 2.0 % 0.0 % 38) The following data are available relating to the performance of Sooner Stock Fund and the market portfolio: The risk-free return during the sample period was 3%. What is the Sharpe measure of performance evaluation for Sooner Stock Fund? A) 0.0133 B) 0.04 C) 0.0867 D) 0.386 E) 0.3714

Q: Average Return Residual Standard Deviation Beta Fund A 6 % 10 % 1.2 Fund B 17.5 % 20 % 1.0 Fund C 17.4 % 30 % 0.8 31) You want to evaluate three mutual funds using the Jensen measure for performance evaluation. The risk-free return during the sample period is 6%, and the average return on the market portfolio is 18%. The average returns, standard deviations, and betas for the three funds are given below. The fund with the highest Jensen measure is A) Fund A. B) Fund B. C) Fund C. D) Funds A and B (tied for highest). E) Funds A and C (tied for highest).