A pension fund administrator wants to evaluate the performance of four portfolio managers.Each manager invests only in US common stocks.During the most recent five-year period, the average annual total return on the S&P 500 was 14% and the average annual rate on Treasury bills was 8%.The table below shows risk and return measures for each portfolio.

Portfolio

Average Return

Standard Deviation

Beta

P

17%

20%

1.1

Q

24%

18%

2.1

R

11%

10%

0.5

S

16%

14%

1.5

S&P 500

14%

12%

1.0

1.The Treynor portfolio performance measure for Portfolio P is

_____

A)8.18

B)7.62

C)6.00

D)5.33

2.Which portfolio has the highest Jensen alpha?

_____

A)P

B)Q

C)R

D)S

3.Assuming uncorrelated returns, the Sharpe ratio for a master portfolio with equal allocations to Portfolio S and Portfolio Q is

_____

A)0.71

B)1.40

C)0.95

D)1.05

4.Stock PVQ has an annual mean return of 16% and a standard deviation of 42%.What is the smallest possible loss in the next week with a probability of 2.5%?

____

A)-23.96%

B)-13.66%

C)-11.11%

D)-16.42%

5.The probability that a standard normal random variable is either less than -1.96 or greater than +1.96 is approximately

____

A)2.5%

B)5.0%

C)10%

D)31.74%

6.An investor has 1,000 HKG stocks.The opening value is $31 per share.This individual makes net contributions of $1,000 during the period.The ending portfolio value is $34,000.What is the total return on these shares?

____

A)6.35%

B)6.45%

C)9.52%

D)9.67%

7.A knowledgeable financial advisor recommends that you stop buying common stocks and invest in short-term interest-bearing paper.What is the most likely point in the equity cycle at that point in time?

____

A)Equity cycle peak

B)Expansion phase

C)Stock market trough

D)Contraction phase

8.Which of the following are types of event-driven funds?

I. Merger or risk arbitrage

II. Distressed securities funds

III. High-yield funds

IV. Global macro funds

V. Emerging market funds

VI. Managed futures funds

_____

A)I, II, III

B)I, II, III and IV

C)II, IV, V and VI

D)III, IV, V and VI

9.Which of the following is a style related to fixed-income portfolio managers?

____

A)Credit quality

B)Spread traders

C)Both (A) and (B)

D)Neither (A) nor (B)

10.A "value" manager would invest in stocks with relatively ____ P/E ratios and ____ dividend yields.

____

A)High; high

B)High; low

C)Low; low

D)Low; high