QUESTION 13

1. The risk-free rate, average returns, standard deviations, and betas for three funds and the S&P 500 are given below.

Fund	Avg	Std Dev	Beta
A	18%	30%	1.05
B	25%	35%	1.3
C	20%	25%	1.2
S&P 500	15%	20%	1.0
Rf	5%

4. What is the Treynor measure for portfolio A?

	A.	0.91%
	B.	3.64%
	C.	12.38%
	D.	2.38%

1.82 points

QUESTION 14

A person with a long position in a commodity futures contract wants the price of the commodity to ________.

	A.	decrease substantially
	B.	increase or decrease substantially
	C.	increase substantially
	D.	remain unchanged

1.82 points

QUESTION 15

1. A portfolio generates an annual return of 15%, a beta of 1.1, and a standard deviation of 10%. The market index return is 5% and has a standard deviation of 12%. What is the Sharpe ratio of the portfolio if the risk-free rate is 4%?

	A.	2.00
	B.	0.500
	C.	1.00
	D.	1.10

1.82 points

QUESTION 16

1. The difference between a forward contract with a future contract is that ____.

	A.	Forward contracts are mark to markets.
	B.	Future contracts are more liquid.
	C.	Forward contract are daily settlement.
	D.	Forward contracts are more liquid that futures.

1.82 points

QUESTION 17

1. The collection of funds to which performance is compared is called-----.

	A.	the passive market.
	B.	the comparison universe.
	C.	the efficient market.
	D.	the illiquidity trap.