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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
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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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

 

  1. 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

 

 

  1. 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%

 

 

  1. 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

 

 

  1. Refer to Exhibit 25-11. Based on the Sharpe Measure, which portfolio preformed best?

a.

A

b.

B

c.

C

d.

D

e.

Market

 

 

  1. 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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