Suppose Two Portfolios Have the Same Average Return and the Same

question 39

Multiple Choice

Suppose two portfolios have the same average return and the same standard deviation of returns, but Buckeye Fund has a higher beta than Husker Fund. According to the Sharpe measure, the performance of Buckeye Fund

• A) is better than the performance of Husker Fund.
• B) is the same as the performance of Husker Fund.
• C) is poorer than the performance of Husker Fund.
• D) cannot be measured as there are no data on the alpha of the portfolio.

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Definitions:

SSR

Sum of Squares due to Regression, a measure indicating how well a regression model fits the data.

SSE

The Sum of Squared Errors represents the difference between observed data points and the values predicted by a model.

SST

In statistics, refers to the Total Sum of Squares, which is a measure of the total variability within a dataset.

Coefficient Of Determination

A statistical measure expressed as a percentage that describes the proportion of variation in the dependent variable explained by the independent variable(s).