Which of the Following Statements About Pension Plan Portfolio Performance

question 5

Multiple Choice

Which of the following statements about pension plan portfolio performance is incorrect?

• A) Alpha analysis, which relies on the Capital Asset Pricing Model, considers the risk of the portfolio when measuring performance.
• B) Peer comparison examines the relative performance of portfolio managers with similar investment objectives.
• C) A portfolio annual return of 12 percent from one investment advisor is not necessarily better than a return of 10 percent from another advisor.
• D) In managing the retiree portfolio, fund managers often use immunization techniques such as alpha analysis to eliminate, or at least significantly reduce, the risk associated with changing interest rates.
• E) Pension fund sponsors must evaluate the performance of their portfolio managers periodically as a basis for future asset allocations.

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