1. Last year, a portfolio manager earned a return of 10%. The portfolio’s
beta was 0.5. For the same period, the market return was 7% and the
average risk-free rate was 4%. Jensen’s alpha for this portfolio is
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2. An investment manager has the following information regarding his portfolio’s return and volatility as compared to the market:
3. George, a portfolio manager, aims to maximize risk-adjusted returns.
He is most likely to invest in securities with a Jensen’s alpha of:
4. Which of the following adjusts for total risk?
Jensen’s alpha and M-squared.
Jensen’s alpha and Sharpe ratio.
M-squared and Sharpe ratio.
5. Carlos wants to evaluate the performance of his portfolio manager. He
wants to use a measure based on systematic risk and one which does
not require a comparison to determine whether the performance is
good or not. Which of the following measures is he most likely to use?
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