In a recent 5-year period, mutual fund manager Diana Sauros produced the following percentage rates of return for the MesozoicFund. Rates of return on the market index are given for comparison.234Fund-1.5+24.1 +42.0 +11.0+0.5Market index-0.6+17.0 +31.5+10.0-0.4a. Calculate (a) the average return on both the Fund and the index, and (b) the standard deviation of the returns on each. (Do notround intermediate calculations. Round your answers to 2 decimal places.)b. Did Ms. Sauros do better or worse than the market index on these measures?Mesozoic Fund Market PortfolioReturnReturnAverage returnа.Standard deviationDid Ms. Sauros do better or worse than theb.market index on these measures?

benchmark portfolio: it is the portfolio which is used by the portfolio manager to compare the…

Answered: In a recent 5-year period, mutual 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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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?
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 Market -24.5% 19.5 Jensen's alpha Information ratio 9.4 7.6 -2.2 Calculate Jensen's alpha for the fund, as well as its information ratio. (Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places.) Risk-Free 1% 3 2 4 2 %
A fund achieved a return of 9.5%; the risk free rate was 1.5% and the market portfolio achieved 6%. The fund had a target Beta of 0.8, but was actually 1.25. The fund had a standard deviation of 28%, and the market had a standard deviation of 16%. (a) Calculate the following performance measures for the fund: • Sharpe ratio • Jensen’s alpha • Treynor ratio (b) Calculate whether the fund or the market portfolio would have provided more utility to an investor with a risk aversion coefficient, A, of 1.0
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. Tear 2015 2016 2017 2018 2019 Fund -15.8% 25.1 13.1 7.6 -1.62 Sharpe ratio Treynor ratio Market -31.50 20.2 11.5 8.0 -3.2 Risk-Free. 39 5 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.)
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 0.87. Year 2018 2019 2020 2021 2022 Fund -14.85% 25,10 12.90 7.20 -1.50 Jensen's alpha Information ratio Market -29.50% 20.00 10.90 8.00 -3.20 Risk-Free 3% Calculate Jensen's alpha for the fund, as well as its information ratio. Note: Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places. 5 2 5 3 %
17. Average Return and Standard Deviation. In a recent five-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. Calculate (a) the average return on both the fund and the index and (b) the standard deviation of the returns on each. Did Ms. Sauros do better or worse than the market index on these measures? (LO11-3) Fund Market index 1 -1.2 -0.9 2 +24.8 +16.0 3 +40.7 +31.7 4 +11.1 +10.9 5 +0.3 -0.7
answer must be correct or i will give down vote
Investor has had the following returns in the Magic Fund for the past 4 years: 15%, 25%, -30%, 18%. c) State whether the annual geometric return (assume positive) should be higher, lower, or the same as the annual arithmetic return. Neither calculation nor explanation is necessary. d) State which measure, annual arithmetic return or annual geometric return, better represents how an investment performed over time. Neither calculation nor explanation is necessary.
RACE Mutual fund is a no-load fund that had a net asset value of $25.60 1 year ago. Today, the net asset value (NAV) is $28.83. During the year, dividends of $0.72 were paid out, and a capital gain distribution of $0.65 was made. Calculate the approximate yield for RACE. (Show all work.)
You are an analyst for a large public pension fund and you have been assigned the task of evaluating two different external portfolio managers (Yellen and Zagami) who (actively) manage two funds which are considering. Your associates have assembled the following historical average return, standard deviation, and CAPM beta estimates for these two fund managers over the past five years. In addition, you have estimated that the risk premium for the market portfolio is 5.12% and the risk-free rate is currently 4.14%. What is Ms. Yellen's average "alpha" for the period. Report your answer in percentage format rounded to three decimal places. (For example.1234 should be entered as "12.3"). Fund Manager Actual Avg. Return Standard Deviation Ms. Yellen 11% Mr. Zagami 8.24% Answer: 11.07 8.75% Beta 1.18 0.9
Analyze the following three years of data relating to the MoMoney Mutual Fund, . It should report the amount of dividend income and capital gains distributed to the shareholders, along with any other changes in the fund's net asset value (b = 0.5). (Click the icon here ☐ in order to copy the contents of the data table below into a spreadsheet.) 2019 2018 NAV (beginning of period) ? ? 2017 $35.56 Net investment income 0.64 0.74 0.56 Net gains on securities 5.48 4.52 - 3.41 Dividends from net investment income 0.64 0.56 Distributions from realized gains 1.61 1.96 0.51 1.44 a. What is the total income from the investment operations? b. What are the total distributions from the investment operations? a. The total income from investment operations in 2019 is $ The total income from investment operations in 2018 is $ (Round to the nearest cent.) (Round to the nearest cent.) (Round to the nearest cent.) The total income from investment operations in 2017 is $ b. The total distributions from…
Required information [The following information applies to the questions displayed below.] A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5%. The probability distributions of the risky funds are: Stock fund (S) Bond fund (B) Expected Return 17% 11% The correlation between the fund returns is 0.25. Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation Required: Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. (Do not round intermediate calculations and round your final answers to 2 decimal places.) Standard Deviation 36% 27% % % % %

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