Consider the following funds and the market portfolio: Bell Fund Cloche Fund Tintinnabulum Fund Market Portfolio Average return 18% 12% 30% 15% Standard deviation 25% 15% 30% 20% Beta 1.25 0.6 2.5 The risk-free return during the sample period was 5%. Rankings:
Consider the following funds and the market portfolio: Bell Fund Cloche Fund Tintinnabulum Fund Market Portfolio Average return 18% 12% 30% 15% Standard deviation 25% 15% 30% 20% Beta 1.25 0.6 2.5 The risk-free return during the sample period was 5%. Rankings:
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Question
IINV4 4b
Consider the following funds and the market portfolio:
|
|
Bell Fund |
Cloche Fund |
Tintinnabulum Fund |
Market Portfolio |
|
Average return |
18% |
12% |
30% |
15% |
|
Standard deviation |
25% |
15% |
30% |
20% |
|
Beta |
1.25 |
0.6 |
2.5 |
|
The risk-free return during the sample period was 5%.
Rankings:
|
Particulars |
Bell Fund |
Cloche Fund |
Tintinnabulum Fund |
|
Sharpe Ratio |
2 |
3 |
1 |
|
Treynor Ratio |
2 |
1 |
3 |
|
Jensen's Alpha |
2 |
3 |
1 |
Did any of the funds out-perform the market on the basis of the Sharpe’s or Treynor’s measures? Which, if any?
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