Essentials_Of_Investments_8th_Ed_Bodie_投资学精要(第八版)课后习题答案 Chapter 18.pdf

Chapter 18 - Portfolio Performance Evaluation 18-1 CHAPTER 18 PORTFOLIO PERFORMANCE EVALUATION 1. a. Possibly. Alpha alone does not determine which portfolio has a larger Sharpe ratio. Sharpe measure is the primary factor, since it tells us the real return per unit of risk. We only invest if the Sharpe measure is higher. The standard deviation of an investment and its correlation with the benchmark are also important. Thus positive alpha is not a sufficient condition for a managed portfolio to offer a higher Sharpe measure than the passive benchmark. b. Yes. It is possible for a positive alpha to exist, but the Sharpe measure decline. Thus, we would experience inferior performance. 2. Maybe. Provided the addition of funds creates an efficient frontier with the existing investments, and assuming the Sharpe measure increases, the answer is yes. Otherwise, no. 3. The M-squared is an equivalent representation of the Sharpe measure, with the added difference of providing a risk-adjusted measure of performance that can be easily interpreted as a differential return relative to a benchmark. Thus, it provides the same information as the Sharpe measure. But in a different format. 4. Definitely, the FF model. Research shows that passive investments (e.g., a market index portfolio) will appear to have a zero alpha when evaluated using the multi-index model but not using the single-index one. The nonzero alpha appears even in the absence of superior performance. Thus, the single-index alpha can be misleading. 5. a. E(r) ? ? Portfolio A 11% 10% 0.8 Portfolio B 14% 31% 1.5 Market index 12% 20% 1.0 Risk-free asset 6% 0% 0.0 The alphas for the two portfolios are: ?A = 11% – [6% + 0.8(12% – 6%)] = 0.2% ?B = 14% – [6% + 1.5(12% – 6%)] = –1.0% Ideally, you would want to take a long position in Portfolio A and a short position in Portfolio B. Chapter 18 - Portfolio Performance Evaluation 18-2 b. If you hold only on