Practice Question Set: Bodie, Chapter 24: Portfolio Performance Evaluation

This practice question set consists of 18 pages reviewing the concepts of:

* Differentiate between time-weighted and dollar-weighted returns of a portfolio and describe their appropriate uses.
* Describe and distinguish between risk-adjusted performance measures, such as Sharpe’s measure, Treynor’s measure, Jensen’s measure (Jensen’s alpha), and information ratio.
* Describe the uses for the Modigliani-squared and Treynor’s measure in comparing two portfolios, and the graphical representation of these measures.
* Determine the statistical significance of a performance measure using standard error and the t-statistic.
* Explain the difficulties in measuring the performance of hedge funds.
* Describe style analysis.
* Explain how changes in portfolio risk levels can affect the use of the Sharpe ratio to measure performance.
* Describe techniques to measure the market timing ability of fund managers with a regression and with a call option model, and compute return due to market timing.
* Describe and apply performance attribution procedures, including the asset allocation decision, sector and security selection decision, and the aggregate contribution.

We have also provided individual links for each question to their respective forum discussion.

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