Exhibit 25-11 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) The last year's performance for four mutual funds is presented below. The market return was 10.70%, last year with a standard deviation of 13.1% and the risk-free rate of return was 5%. Standard Fund Beta Deviation (%) Return (%) A 1.50 18.95 12.5 B 1.20 12.41 13.0 C 0.90 9.30 11.2 D 0.50 8.10 9.5 Refer to Exhibit 25-11. Compute the Sharpe Measure for the A fund. a. 0.012 b. 0.040 c. 0.069 d. 0.396 e. 1.142 Refer to Exhibit 25-11. Compute the Jensen Measure for the B fund. a. 1.16% b. 2.31% c. 6.90% d. 9.60% e. 10.13% Refer to Exhibit 25-11. Compute the Treynor Measure for the C fund. a. 0.012 b. 0.040 c. 0.069 d. 0.396 e. 1.142 Refer to Exhibit 25-11. Based on the Sharpe Measure, which portfolio preformed best? a. A b. B c. C d. D e. Market Refer to Exhibit 25-11. Based on the Treynor Measure, which portfolio preformed best? a. A b. B c. C d. D e. Market
Exhibit 25-11 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) The last year's performance for four mutual funds is presented below. The market return was 10.70%, last year with a standard deviation of 13.1% and the risk-free rate of return was 5%. Standard Fund Beta Deviation (%) Return (%) A 1.50 18.95 12.5 B 1.20 12.41 13.0 C 0.90 9.30 11.2 D 0.50 8.10 9.5 Refer to Exhibit 25-11. Compute the Sharpe Measure for the A fund. a. 0.012 b. 0.040 c. 0.069 d. 0.396 e. 1.142 Refer to Exhibit 25-11. Compute the Jensen Measure for the B fund. a. 1.16% b. 2.31% c. 6.90% d. 9.60% e. 10.13% Refer to Exhibit 25-11. Compute the Treynor Measure for the C fund. a. 0.012 b. 0.040 c. 0.069 d. 0.396 e. 1.142 Refer to Exhibit 25-11. Based on the Sharpe Measure, which portfolio preformed best? a. A b. B c. C d. D e. Market Refer to Exhibit 25-11. Based on the Treynor Measure, which portfolio preformed best? a. A b. B c. C d. D e. Market
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
Related questions
Question
Exhibit 25-11
USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S)
The last year's performance for four mutual funds is presented below. The market return was 10.70%, last year with a standard deviation of 13.1% and the risk-free
|
|
|
Standard |
|
|
Fund |
Beta |
Deviation (%) |
Return (%) |
|
A |
1.50 |
18.95 |
12.5 |
|
B |
1.20 |
12.41 |
13.0 |
|
C |
0.90 |
9.30 |
11.2 |
|
D |
0.50 |
8.10 |
9.5 |
- Refer to Exhibit 25-11. Compute the Sharpe Measure for the A fund.
|
a. |
0.012 |
|
b. |
0.040 |
|
c. |
0.069 |
|
d. |
0.396 |
|
e. |
1.142 |
- Refer to Exhibit 25-11. Compute the Jensen Measure for the B fund.
|
a. |
1.16% |
|
b. |
2.31% |
|
c. |
6.90% |
|
d. |
9.60% |
|
e. |
10.13% |
- Refer to Exhibit 25-11. Compute the Treynor Measure for the C fund.
|
a. |
0.012 |
|
b. |
0.040 |
|
c. |
0.069 |
|
d. |
0.396 |
|
e. |
1.142 |
- Refer to Exhibit 25-11. Based on the Sharpe Measure, which portfolio preformed best?
|
a. |
A |
|
b. |
B |
|
c. |
C |
|
d. |
D |
|
e. |
Market |
- Refer to Exhibit 25-11. Based on the Treynor Measure, which portfolio preformed best?
|
a. |
A |
|
b. |
B |
|
c. |
C |
|
d. |
D |
|
e. |
Market |
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