Compare and contrast the Sharpe ratio, the Treynor ratio
and the Information Ratio. Why don’t we pick the one ratio deemed
to be the best of the three and use it exclusively? What does each
ratio inform us?
Explains how different measures of risk - adjusted performance
measures (e.g. Sharpe and Treynor ratios) define the risk s faced
in the portfolio and how each measure adjust ed the portfolio’s
return perfo rmance for the level of that risk.
Which of the following can be greatly reduced by
diversification?
a. Unsystematic risk.
b. Market risk.
c. Systematic and unsystematic risk.
d. Systematic risk
Highlighting contractor`s unique factors is a good strategy
to:
Select one:
a. Control risk
b. Win a new contract
c. Get high technology
d. Develop a realistic plan
In a fixed-price contract, the contractor is primarily concerned
with which of the following
Select one:
a. Risk
b. Capacity
c. Price
d. Audits
Lesson learned from last projects are registered in the phase
of:
Select one:
a. Initiating
b. Closing
c. Planning
d. Feasibility
Mangers try to ensure necessary resources and...
What is the Sharpe Ratio of an equity fund with an expected risk
premium of 8% and a standard deviation of 18%? round your answer to
two decimal places Answer:
Based on the following information for mutual funds A and B,
find Jensen’s alpha, Sharpe ratio, Treynor ratio, and Information
ratio. Which fund is preferable based on each performance measure?
Can you make an overall recommendation between the two? (10
points)
A
B
Beta
1.3
1.6
Standard deviation
8%
14%
Standard deviation of nonsystematic
risk
5%
10%
Expected return
14%
17%
Market return
10%
10%
Risk-free rate
2%
2%
The Sharpe ratio and Jensen’s alpha of portfolio A are 0.10 and
0.004, respectively. The risk-free rate is 3%, the average return
on the market portfolio is 7%, the variance of the market portfolio
is 0.09, and the correlation coefficient between A and the market
portfolio is 0.7. What is the expected return and the variance of
A?
Sharpe ratio of portfolio A and B are 0.40 and 0.52
respectively. Therefore, CAL(A) is _________ than CAL(B).
Select one:
a. Larger
b. Steeper
c. Smaller
d. Flatter
a) Explain the difference between systematic risk and
unsystematic risk.
b) What are some examples of each?
c) Assume you are considering an investment in a new medical
company that has developed a tiny robot that enters the body and
(hopefully) destroys cancer tumors. If it works in clinical trials,
the company will have cured cancer (and be very valuable); if it
fails in clinical trials, the robot will be killing patients (and
the company will be worthless). Under the...