Consider the following historical performance data for two different portfolios, the Standard and Poor's 500, and the 90-day T-bill. Average Rate of Investment Vehicle Standard Deviation 20.07% 13.20 12.25 0.70 Fund 1 Fund 2 S&P 500 90-day T-bill a. Calculate the Fama overall performance measure for both funds. Round your answers to two decimal places. Overall performance (Fund 1): % Fund 1 Fund 2 Return 28.40% 13.80 14.76 7.00 Overall performance (Fund 2): b. What is the return to risk for both funds? Do not round intermediate calculations. Round your answers to two decimal places. Return to risk (Fund 1): % % % Beta R² 1.367 0.777 0.865 0.689 Return to risk (Fund 2): c. For both funds, compute the measures of (1) selectivity, (2) diversification, and (3) net selectivity. Do not round intermediate calculations. Round your answers to two decimal places. Use a minus sign to enter negative values, if any. Selectivity % % Diversification % % Net selectivity % % d. Explain the meaning of the net selectivity measure and how it helps you evaluate investor performance. Which fund had the best performance The net selectivity is an unexplained portion of the excess [-Select- -Select- ✓diversification. The higher the net selectivity the -Select- investor performance is. -Select- had the best performance.
Consider the following historical performance data for two different portfolios, the Standard and Poor's 500, and the 90-day T-bill. Average Rate of Investment Vehicle Standard Deviation 20.07% 13.20 12.25 0.70 Fund 1 Fund 2 S&P 500 90-day T-bill a. Calculate the Fama overall performance measure for both funds. Round your answers to two decimal places. Overall performance (Fund 1): % Fund 1 Fund 2 Return 28.40% 13.80 14.76 7.00 Overall performance (Fund 2): b. What is the return to risk for both funds? Do not round intermediate calculations. Round your answers to two decimal places. Return to risk (Fund 1): % % % Beta R² 1.367 0.777 0.865 0.689 Return to risk (Fund 2): c. For both funds, compute the measures of (1) selectivity, (2) diversification, and (3) net selectivity. Do not round intermediate calculations. Round your answers to two decimal places. Use a minus sign to enter negative values, if any. Selectivity % % Diversification % % Net selectivity % % d. Explain the meaning of the net selectivity measure and how it helps you evaluate investor performance. Which fund had the best performance The net selectivity is an unexplained portion of the excess [-Select- -Select- ✓diversification. The higher the net selectivity the -Select- investor performance is. -Select- had the best performance.
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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Transcribed Image Text:Problem 18-04
Consider the following historical performance data for two different portfolios, the Standard and Poor's 500, and the 90-day T-bill.
Average Rate of
Investment
Vehicle
Standard
Deviation
20.07%
13.20
12.25
0.70
Fund 1
Fund 2
S&P 500
90-day T-bill
a. Calculate the Fama overall performance measure for both funds. Round your answers to two decimal places.
Overall performance (Fund 1):
%
Fund 1
Fund 2
Return
28.40%
13.80
14.76
7.00
Overall performance (Fund 2):
b. What is the return to risk for both funds? Do not round intermediate calculations. Round your answers to two decimal places.
Return to risk (Fund 1):
%
%
%
Beta
R²
1.367
0.777
0.865 0.689
Return to risk (Fund 2):
c. For both funds, compute the measures of (1) selectivity, (2) diversification, and (3) net selectivity. Do not round intermediate calculations.
Round your answers to two decimal places. Use a minus sign to enter negative values, if any.
Selectivity
%
%
Diversification
%
%
Net selectivity
%
%
d. Explain the meaning of the net selectivity measure and how it helps you evaluate investor performance. Which fund had the best performance
The net selectivity is an unexplained portion of the excess -Select-
diversification. The higher the net
-Select-
selectivity the-Select- investor performance is. -Select- had the best performance.
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