 Question 1

10 out of 10 points
The following data relates to the performance of Sooner Stock
Fund and the market portfolio:
Sooner Market Portfolio
Average Return 20% 11%
Standard Deviation of Returns 44% 19%
Beta 1.8 1.0
Residual Variance 0.02 0

The risk-free return during the sample period was 3%.

What is the Treynor measure of performance evaluation for
Sooner Stock Fund?
Answer
Selected Answer:
0.0944

 Question 2

10 out of 10 points
Suppose two portfolios have the same average excess return, the
same standard deviation of returns, but Buckeye Fund has a
higher beta than Gator Fund. According to the Sharpe measure,
the performance of Buckeye Fund _________.
Answer
Selected Answer:
is the same as the performance of Gator Fund.

 Question 3

10 out of 10 points
The following data relates to the performance of Sooner Stock
Fund and the market portfolio:
Sooner Market Portfolio
Average Return 20% 11%
Standard Deviation of Returns 44% 19%
Beta 1.8 1.0
Residual Variance 0.02 0

The risk-free return during the sample period was 3%.

What is the Sharpe measure of performance evaluation for Sooner
Stock Fund?
Answer
Selected Answer:
0.386

 Question 4

10 out of 10 points
 Seminole Market Portfolio
Average Return 18% 14%
Standard Deviation of Returns 30% 22%
Beta 1.4 1.0
Residual Standard Deviation 4.0% 0.0%

The risk free return is 6%. Calculate M2 for the Seminole Fund.
Answer
Selected Answer:
0.8%

 Question 5

10 out of 10 points
Suppose two portfolios have the same average excess return, the
same standard deviation of returns, but portfolio A has a
higher beta than portfolio B. According to the Treynor measure,
the performance of portfolio A __________.
Answer
Selected Answer:
is poorer than the performance of portfolio B

 Question 6

10 out of 10 points
Suppose you buy 100 shares of Abolishing Dividend Corporation
at the beginning of year 1 for $80. Abolishing Dividend
Corporation pays no dividends. The stock price at the end of
year 1 is $100, the price $120 at the end of year 2, and the
price is $150 at the end of year 3. The stock price declines to
$100 at the end of year 4, and you sell your 100 shares. For
the four years, your geometric average return per annum is
Answer
Selected Answer:
5.7%

 Question 7

10 out of 10 points
Suppose you own two stocks, A and B. In year 1, stock A earns a
2% return and stock B earns a 9% return. In year 2, stock A
earns an 18% return and stock B earns an 11% return. Which
stock has the higher geometric average return?
Answer
Selected Answer:
stock B

 Question 8

10 out of 10 points
Suppose you purchase 100 shares of GM stock at the beginning of
year 1, and purchase another 100 shares at the end of year 1.
You sell all 200 shares at the end of year 2. Assume that the
price of GM stock is $50 at the beginning of year 1, $55 at the
end of year 1, and $65 at the end of year 2. Assume no
dividends were paid on GM stock. Your dollar-weighted return on
the stock will be __________ your time-weighted return on the
stock.
Answer
Selected Answer:
higher than

 Question 9

10 out of 10 points
You want to evaluate three mutual funds using the Treynor
measure for performance evaluation. The risk-free return during
the sample period is 6%. The average returns, standard
deviations, and betas for the three funds are given below, in
addition to information regarding the S&P 500 index.
Average Standard Beta
Return Deviation
Fund A 13% 10% 0.5
Fund B 19% 20% 1.0
Fund C 25% 30% 1.5
S&P500 18% 16% 1.0

The fund with the highest Treynor measure is __________.

Answer
Selected Answer:
Fund A

 Question 10

10 out of 10 points
The following data relates to the performance of Sooner Stock
Fund and the market portfolio:
Sooner Market Portfolio
Average Return 20% 11%
Standard Deviation of Returns 44% 19%
Beta 1.8 1.0
Residual Variance 0.02 0

The risk-free return during the sample period was 3%.

Calculate the appraisal ratio for Sooner Stock Fund?
Answer
Selected Answer:
0.18