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Investment and Capital Market

Asistensi 12 - Tim Asisten Dosen IPM

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Ch.18 Portfolio Performance Evaluation

Chapter 18
1. Active management refers to
A) Holding a well-diversified portfolio without attempting to search out security mispricing
B) Shorthand for virtually risk-free money market securities
C) Attempts to achieve returns higher than commensurate with risk by forecasting broad
markets
D) Capital allocation between almost risk-free vehicles and the chosen risky portfolio constructed
from one or more index funds or ETFs
2. The CAPM hypothesis is that the market portfolio is
A) Standard deviation efficient
B) Weighted-average efficient
C) Mean-variance efficient
D) Beta-variance efficient
3. The CAPM hypothesis is that the alpha of all securities and competing portfolio is
A) Unknown
B) Zero
C) Exactly the same
D) Indefinite
4. Which of the following procedures regarding preparation of performance evaluation is false?
A) Obtain the time series
B) Compute the arithmetic average of the series
C) Compute the beta of portfolio
D) Compute the standard deviations of returns for the portfolio
5. Which of the following is not a measure of portfolio performance evaluation?
A) Alpha measure
B) Sharpe ratio
C) Treynor measure
D) All of them
6. Ratio of alpha to the standard deviation of diversifiable risk is called as
A) Alpha transfer
B) Alpha transport
C) Alpha ratio
D) Information ratio

7. Ratio of portfolio excess return to beta is called as


A) Alpha transfer
B) Sharpe ratio
C) Treynor masure
D) Information ratio

8. A strategy that moves funds between the risky portfolio and cash, based on forecasts of relative
performance is called as
A) Bogey

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Investment and Capital Market
Asistensi 12 - Tim Asisten Dosen IPM
B) Market timing
C) Imperfect forecasting
D) Asset allocation strategy

9. Common attribution procedure partition performance improvements to, except


A) Asset allocation
B) Sector selection
C) Security selection
D) Portfolio selection

10. Perfect-timing ability is


A) Equivalent to having a call option on the market portfolio
B) Excess of having a call option on the market portfolio
C) The value of imperfect market timing
D) The shifting mean and variance of actively managed

Essay
The following data are available for 5 portfolios and the market for a recent 1-year period.

Annual Standard Beta 𝑹𝟐


Return (%) deviation (%)

Portfolio Reksa Dana 1 14 21 1.15 0.70

Portfolio Reksa Dana 2 16 21 1.10 0.98

Portfolio Reksa Dana 3 26 30 1.30 0.96

Portfolio Reksa Dana 4 17 25 0.90 0.92

Portfolio Reksa Dana 5 10 18 0.45 0.60

IHSG 12 20

Rf rate 6

1. Rank these portfolios using the Sharpe measure.


2. Rank these portfolios using the Treynor measure.
3. Compare the rankings of portfolio Reksa Dana 1 dan 2.
4. Which of these portfolios outperformed the market.