calculate the following Sharpe Ratio (SP) Treynor Measure Jensen Measure M2 measure T2 measure Information Ratio (appraisal ratio) Fund Average return Standard Deviation Beta coefficient Unsystematic Risk A 0.240 0.220 0.800 0.017 B 0.200 0.170 0.900 0.450 C 0.290 0.380 1.200 0.074 D 0.260 0.290 1.100 0.026 E 0.180 0.400 0.900 0.121 F 0.320 0.460 1.100 0.153 G 0.250 0.190 0.700 0.120 Market 0.220 0.180 1.000 0.000 Risk free return 0.050 0.000
Risk and return
Before understanding the concept of Risk and Return in Financial Management, understanding the two-concept Risk and return individually is necessary.
Capital Asset Pricing Model
Capital asset pricing model, also known as CAPM, shows the relationship between the expected return of the investment and the market at risk. This concept is basically used particularly in the case of stocks or shares. It is also used across finance for pricing assets that have higher risk identity and for evaluating the expected returns for the assets given the risk of those assets and also the cost of capital.
calculate the following
Sharpe Ratio (SP)
Treynor Measure
Jensen Measure
M2 measure
T2 measure
Information Ratio (appraisal ratio)
| Fund | Average return | Standard Deviation | Beta coefficient | Unsystematic Risk |
| A | 0.240 | 0.220 | 0.800 | 0.017 |
| B | 0.200 | 0.170 | 0.900 | 0.450 |
| C | 0.290 | 0.380 | 1.200 | 0.074 |
| D | 0.260 | 0.290 | 1.100 | 0.026 |
| E | 0.180 | 0.400 | 0.900 | 0.121 |
| F | 0.320 | 0.460 | 1.100 | 0.153 |
| G | 0.250 | 0.190 | 0.700 | 0.120 |
| Market | 0.220 | 0.180 | 1.000 | 0.000 |
| Risk free return | 0.050 | 0.000 |
Trending now
This is a popular solution!
Step by step
Solved in 3 steps with 3 images
