he following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Fund Return Benchmark Return Risk-free rate Year 1 22% 19% 2% Year 2 23% 20% 2% Year 3 25% 22% 2% Year 4 28% 23% 2% Year 5 28% 22% 2% Year 6 29% 22% 2% Year 7 20% 18% 2% Year 8 18% 16% 2% Year 9 15% 13% 2% Year 10 13% 12% 2% Do not round intermidete calucations Required: a. What is the Sharpe ratio for the fund and the benchmark? b. What is the Treynor ratio for the fund and the benchmark? c. What is the fund tracking error? d. What is the beta for the fund? e. What is Jensen’s alpha for the fund?
he following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Fund Return Benchmark Return Risk-free rate Year 1 22% 19% 2% Year 2 23% 20% 2% Year 3 25% 22% 2% Year 4 28% 23% 2% Year 5 28% 22% 2% Year 6 29% 22% 2% Year 7 20% 18% 2% Year 8 18% 16% 2% Year 9 15% 13% 2% Year 10 13% 12% 2% Do not round intermidete calucations Required: a. What is the Sharpe ratio for the fund and the benchmark? b. What is the Treynor ratio for the fund and the benchmark? c. What is the fund tracking error? d. What is the beta for the fund? e. What is Jensen’s alpha for the fund?
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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Question
The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year:
| Fund Return | Benchmark Return | Risk-free rate | |
|---|---|---|---|
| Year 1 | 22% | 19% | 2% |
| Year 2 | 23% | 20% | 2% |
| Year 3 | 25% | 22% | 2% |
| Year 4 | 28% | 23% | 2% |
| Year 5 | 28% | 22% | 2% |
| Year 6 | 29% | 22% | 2% |
| Year 7 | 20% | 18% | 2% |
| Year 8 | 18% | 16% | 2% |
| Year 9 | 15% | 13% | 2% |
| Year 10 | 13% | 12% | 2% |
Do not round intermidete calucations
Required:
a. What is the Sharpe ratio for the fund and the benchmark?
b. What is the Treynor ratio for the fund and the benchmark?
c. What is the fund tracking error?
d. What is the beta for the fund?
e. What is Jensen’s alpha for the fund?
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