Assume a fund has $100 million and a target gross exposure of 180% and a target net exposure of 50%. What is the funds target long market value, short market value and net exposure in dollars?
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- An investor is evaluating the historical performance of an investment fund. The following annual returns are provided to the investor: Fund Value Year 0 $120 Year 1 132 Year 2 146 Year 3 133 Year 4 128 Year 5 123 Required: a. Calculate the investment returns for each year. b. Compute the arithmetic mean return. c. Calculate the geometric mean return.The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Benchmark Return 19% 20% 22% 23% 22% 22% 18% 16% 13% 12% Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 Required A Fund Return Required: a. What is the Sharpe ratio for the fund and the benchmark? b. What is the Treynor ratio for the fund and the benchmark? c. What is the fund tracking error? d. What is the beta for the fund? e. What is Jensen's alpha for the fund? 22% 23% 25% 28% 28% 29% 20% 18% 15% 13% Complete this question by entering your answers in the tabs below. Fund Benchmark Required B Risk-free rate 2% 2% 2% 2% 2% 2% 2% 2% 2% 2% Required C Sharpe Ratio What is the Sharpe ratio for the fund and the benchmark? (Do not round intermediate calculations. Round your final answer to 2 decimal places.) Required D Required ESuppose a mutal fund has total assets of $25500000 and liabilities of 2100000. Currently there are 10200000 shares outstanding. Determine the net asset value of the fund? Round to the nearest cent
- You need to know the profitability of an investment fund where the amount to invest is $ 17,000, the amount of initial participation value is 3.1235 and at the end of the period is 4.456, what is the profitability of the fund?The average return, standard deviation, and beta for Fund A is given below along with data for the S&P 500 Index. Fund Average Return Standard Deviation Beta A 12.5% 25.4% 1.27 S&P 500 14% 6% 1 Risk-free 1.2% Calculate the Sharpe measure of performance for Fund A.The following information is provided regarding the performance of fund namely Birla Advantage, Sundaram Growth and Sun F&C Value for a period of six months ending August 2022. The Risk free rate of interest is assumed to be 9 percent. Rank them with the help of Treynor Index and discuss. Birla Sundaram Sun Rp 25.38 25.11 25.01 Sigma p 4 9.01 3.55 Beta 0.23 0.56 0.59
- If a fund has a return of 12% and a standard deviation of 15%, and if the risk-free rate is 2%, then what is its Sharpe ratio O a. 0.667 O b. 0.235 O c. 0.435 O d. 0.0.23720)Corporate fund started the year with a net asset value of GHS12.25. By year-end, its NAV equaled GHS12.10. The fund paid year-end distributions of income and capital gains of GHS1.50. What was the (pretax) rate of return to an investor in the fund?Suppose that during the most recent 10 year period, the average annual total rate of return on the aggregate market portfolio, namely the All Ordinaries Accumulation Index, was 12 per cent, its standard deviation was 10 per cent, and the average annual risk free rate of return was 5 per cent. You are evaluating the following funds: Fund Beta A B с Average Annual Rate of Return% 12 6 8 b) c) 0.90 1.05 1.20 Standard Deviation % 5.5 10.0 7.5 a) Calculate the Jensen performance measure for each of the funds. Your method of calculation must be clear. On the basis of the Jensen measure, which fund performed the worst? For Fund A, provide an interpretation of the Jensen performance measure you calculated. Briefly explain.
- (10 POINTS) Consider the following funds whose expected returns and volatilities are given in the following table: \table [[Type of fund, Er,, o,, management fee (f) 5. (10 POINTS) Consider the following funds whose expected returns and volatilities are given in the following table: Type of fund Bio tech fund (B) Er σi management fee (f) .40 .60 .04 Critical minerals fund (C) .26 .40 .03 Market portfolio (M) .18 .24 0 where the management fee (f) is the percentage fee for holding the fund. The risk-free rate is 0.04.Is this situation compatible with the CAPM? Justify your answer.If a fund has a return of 12% and a beta of 1.4, and if the risk-free rate is 2%, and market return rate is 8%, calculate Jensen's Alpha O a. 3.6 Ob. 2.4 O c. 1.6 Od. 1.4McCann Company has identified an investment project with the following cash flows. a. If the discount rate is 11 percent, what is the present value of these cash flows? b. What is the present value at 18 percent? c. What is the present value at 29 percent?
