Example: Risk-adjusted performance appraisal measures The data in the table below has been collected to appraise the performance of four asset management firms: Performance Appraisal Data Fund 1 Fund 2 Fund 3 Fund 4 Market Index Return 6.45% 8.96% 9.44% 5.82% 7.60% Beta 0.88 1.02 1.36 0.80 1.00 Standard deviation 2.74% 4.54% 3.72% 2.64% 2.80% The risk-free rate of return for the relevant period was 3%. Calculate and rank the funds using ex post alpha, Treynor measure, Sharpe ratio, and M².

Example: Risk-adjusted performance appraisal measures The data in the table below has been collected to appraise the performance of four asset management firms: Performance Appraisal Data Fund 1 Fund 2 Fund 3 Fund 4 Market Index Return 6.45% 8.96% 9.44% 5.82% 7.60% Beta 0.88 1.02 1.36 0.80 1.00 Standard deviation 2.74% 4.54% 3.72% 2.64% 2.80% The risk-free rate of return for the relevant period was 3%. Calculate and rank the funds using ex post alpha, Treynor measure, Sharpe ratio, and M².

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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Similar questions

We have all heard of Return on Investment or (ROI). Please research anddescribe five other business metrics that you may use in your analysis withyour business plan.Also, please describe how these ratios are calculated for example...Quick Ratio or Acid Test, Cash + Accounts Receivable ÷ Current Liabilities.
2) Calculate the envelope set (frontier) for the following four assets and show that the individual assets all lie within this envelope set. 123456 A B E A FOUR-ASSET PORTFOLIO PROBLEM C Variance-covariance 0.01 0.30 0.06 -0.04 0.10 0.01 0.03 0.05 0.03 0.06 0.40 0.02 D 0.05 -0.04 0.02 0.50 F Mean returns 6% 8% 10% 15%
Assuming that the rates of return associated with a given asset investment are normally distributed; that the expected return, r, is 18.7%; and that the coefficient of variation, CV, is 1.88, answer the following questions: a. Find the standard deviation of returns, sigma Subscript rσr. b. Calculate the range of expected return outcomes associated with the following probabilities of occurrence: (1) 68%, (2) 95%, (3) 99%.
Which of the following facilitates the comparison of financial performance with one period to another period is possible ? O a. Historical cost concept O b. Going concern Assumption O c. Matching Concept O d. Consistency Principle
Costco Financial Analysis. Perform the following ratio analysis for 2021, 2022, and 2023 for Costco using the attached financial statements. a. Profitability ratios b. Liquidity ratios c. Leverage ratios d. Activity ratios e. Price to earnings ratio
Required: Compute the following ratios for 2020: 1. Current Ratio 2. Quick Ratio 3. Receivable Turnover 4. Average Collection Period 5. Inventory Turnover 6. Average Sales Period 7. Working Capital 8. Debt Ratio 9. Equity Ratio 10. Debt to Equity Ratio 11. Time Interest Earned 12. Gross Profit Ratio 13. Operating Profit Margin 14. Net Profit Margin 15. Return on Assets
The ROI formula typically uses O average operating and non-operating assets for the year O end of year operating and non-operating assets O average operating assets for the year O end of year operating assets
The management of Mecca Copy, a photocopying center located on University Avenue, has compiled the following data to use in preparing its budgeted balance sheet for next year: Ending Balances: Cash-? Accounts receivable - $ 9,400 Supplies inventory - $ 3, 200 Equipment - $ 40, 500 Accumulated depreciation - $16, 400 Accounts payable - $ 3,100 Common stock - $5,000 Retained earnings-? The beginning balance of retained earnings was $30,000, net income is budgeted to be $20, 200, and dividends are budgeted to be $ 3,300.
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
Indicate one ratio from each of the three categories (profitability, liquidity, and solvency) that you believe to be most indicative of future performance.
Trend projection is an example of _____________ methods of forecasting. a. Econometric b. Barometric c. Time-series d. Qualitative
Give typing answer with explanation and conclusion Financial analysis is more meaningful if the ratios can be compared to an appropriate benchmark such as Select one: a. Industry averages b. Economic industry sector c. Changes over time d. All of the options are appropriate benchmarks

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