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    内容提示： 181.A mutual fund with a beta of 1.1 has outperformed the S&P500 over the last 20 years. We know that this mutual fund manager _______________________. A. must have had superior stock selection abilityB. must have had superior asset allocation abilityC. must have had superior timing abilityD. may or may not have outperformed the S&P500 on a risk adjusted basis 2.The comparison universe is __________. A. the bogey portfolioB. a set of mutual funds with similar risk characteristics to your mutual f...

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    181.A mutual fund with a beta of 1.1 has outperformed the S&P500 over the last 20 years. We know that this mutual fund manager _______________________. A. must have had superior stock selection abilityB. must have had superior asset allocation abilityC. must have had superior timing abilityD. may or may not have outperformed the S&P500 on a risk adjusted basis 2.The comparison universe is __________. A. the bogey portfolioB. a set of mutual funds with similar risk characteristics to your mutual fundC. the set of all mutual funds in the U.S.A.D. the set of all mutual funds in the world 3.Which one of the following performance measures is the Sharpe measure? A. Average excess return to beta ratioB. Average excess return to standard deviation ratioC. Alpha to standard deviation of residuals ratioD. Average return minus required returnThe M2 measure is a variant of ________________. A. the Sharpe measureB. the Treynor measureC. Jensen's alphaD. the appraisal ratio 4. 5.A managed portfolio has a standard deviation equal to 22% and a beta of 0.9 when the market portfolio's standard deviation is 26%. The adjusted portfolio P* needed to calculate the M2 measure will have ________ invested in the managed portfolio and the rest in T-bills. A. 84.6%B. 118%C. 18%D. 15.4% 6.Your return will generally be higher using the __________ if you time your transactions poorly and your return will generally be higher using the __________ if you time your transactions well. A. dollar-weighted return method; dollar-weighted return methodB. dollar-weighted return method; time-weighted return methodC. time-weighted return method; dollar-weighted return methodD. time-weighted return method; time-weighted return method

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