During the boom years of 2010-2014, ace mutual fund manager Diana Sauros produced the following percentage rates of return. Rates of return on the market are given for comparison. Ms. Sauros S&P 500 2010 2011 2012 2013 2014 +24.9 -0.9 +18.6 +42.1 +15.2 +17.2 +1.0 +16.1 +33.1 +12.7 a. Calculate the average return and standard deviation of Ms. Sauros's mutual fund. (Use decimals, not percents, In your calculations. Do not round Intermediate calculations. Enter your answers as a percent rounded to 2 decimal places.)

During the boom years of 2010-2014, ace mutual fund manager Diana Sauros produced the following percentage rates of return. Rates of return on the market are given for comparison. Ms. Sauros S&P 500 2010 2011 2012 2013 2014 +24.9 -0.9 +18.6 +42.1 +15.2 +17.2 +1.0 +16.1 +33.1 +12.7 a. Calculate the average return and standard deviation of Ms. Sauros's mutual fund. (Use decimals, not percents, In your calculations. Do not round Intermediate calculations. Enter your answers as a percent rounded to 2 decimal places.)

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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In the chapter opener, you learned that Bill Miller's investment performance was alternating between the very top and the very bottom of his profession. What aspect of his investment strategy would lead you to expect that his performance might exhibit greater volatility than that of other mutual funds? The following table shows the annual performance from 2009 to 2012 of Miller's Opportunity fund and the S&P 500 index. Opportunity Year 2009 2010 2011 2012 S&P 500 Fund Return 76.0% 16.6% -34.9% 39.6% Return 26.5% 15.1% 2.11% 16.0% Calculate the average annual return of the Opportunity fund and the S&P 500. Which performed better over this period? If you had invested $1,000 in each in- vestment at the beginning of 2009, how much money would you have in each investment at the end of 2012? Calculate the standard deviation of the Opportu- nity fund's return and those of the S&P 500. Which is more volatile?
Historical nominal returns for Company A have been 8% and -20%. The nominal returns for the market index S&P500 over the same periods were -15% and 28%. Calculate the beta for Company A. Please include equations used. Thanks
You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.97. 1ITT Market Risk-Free Year Fund 2011 -21.8% -41.5% 3% 2012 25.1 21.2 4 14.1 2013 14.5 8.8 2014 6.4 4 -2.22 2015 -5.2 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.) Sharpe ratio Treynor ratio
The Yachtsman Fund had NAV per share of $36.12 on January 1, 2016. On December 31 of the same year, the fund's NAV was $39.71. Income distributions were $0.64, and the fund had capital gain distributions of $1.13. Without considering taxes and transactions costs, what rate of return did an investor receive on the Yachtsman Fund last year? A. 14.84% B. 14.39% C. 17.68% D. 18.52% E. 22.92%
You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.97. Year 2011 2012 2013 2014 2015 Fund -15.2% 25.1 12.4 6.2 -1.2 Sharpe ratio Market -24.5% 19.5 9.4 7.6 -2.2 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.) Treynor ratio X Answer is complete but not entirely correct. Risk-Free 1% 3 2 4 2 0.2273 x 3.4773 X
Your client has a risk aversion of A3 when applied to return on wealth over a 1 year horizon. She is looking at two portfolios: The S&P 500 with a Risk Premium of 8% and a standard Deviation of 20%. A Hedge Fund with a Risk Premium of 12% and a standard Deviation of 35% There is an annual correlation of .6200 Use this data for problems #12 - #16 Fund S&P 500 Hedge Correlation: Risk Aversion A B 6542 5390 Risk Premium .6390 0.0800 Given the risk aversion of 3.0, how much will she invest in the risky assets of the portfolio? Y*= Expected Return on Portfolio / (A*Variance of Portfolio) 0.1200 0.6200 3.00 STDEV 0.2000 0.3500
In a recent 5-year period, mutual fund manager Diana Sauros produced the following percentage rates of return for the Mesozoic Fund. Rates of return on the market index are given for comparison. Fund Market index a. 1 -1.2 -0.9 b. 2 +24.8 +16.0 a. Calculate (a) the average return on both the Fund and the index, and (b) the standard deviation of the returns on each. (Do not round intermediate calculations. Round your answers to 2 decimal places.) b. Did Ms. Sauros do better or worse than the market index on these measures? Average return Standard deviation Did Ms. Sauros do better or worse than the market index on these measures? 3 +40.7 +31.7 Mesozoic Fund Return Better 4 +11.1 +10.9 15.06 16.04 Market Portfolio Return 5 +0.3 -0.7 10.70 11.76
You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is .97. Year 2015 2016 2017 2018 2019 Fund -17.0% Sharpe ratio Treynor ratio 25.1 13.3 6.4 -1.74 Market -33.5% 20.4 12.1 8.0 -3.2 Risk-Free 2% 6 2 5 3 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.)
Suppose at the start of the year, a no-load mutual fund has a net value of RM27.15 per share. During the year, it pays its shareholders a capital gain and dividend distribution of RM1.12 per share and finishes the year with NAV of RM30.34. Required: a. b. If at the end of the year, the fund is selling is selling at 5% discount, what is the rate of return? C. What is the return to an investor who holds 2000 shares of this fund in his retirement account? d. Differentiate between open end and closed end funds. Assume at the end of year, the company change its policy and charge. 12b-1 fees of 2%, What is the rate of return?
Bhupatbhai
Use the following data to answer the question regarding the performance of Guardian Stock Fund and the market portfolio. The risk- free return during the sample period was 5%. Average return Standard deviation of returns Beta Residual standard deviation Guardian 14% 26% 1.2 0.60 X 4% Calculate the information ratio measure of performance for Guardian Stock Fund. (Round your answer to 2 decimal places. Do not round intermediate calculations.) Answer is complete but not entirely correct. Information ratio Market Portfolio 10% 21% 1 0%
Mansukh

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