Ingabire is a portfolio manager for the Nyamata Fund, a core large-cap equity fund. The market proxy and benchmark for performance measurement purposes is the S&P 500. Although the Nyamata portfolio generally mirrors the asset class and sector weightings of the S&P, Ingabire is allowed a significant amount of leeway in managing the fund. His portfolio holds only stocks found in the S&P 500 and cash. Ingabire was able to produce exceptional returns last year (as outlined in the table below) through his market-timing and security selection skills. At the outset of the year, he became extremely concerned that the combination of a weak economy and geopolitical uncertainties would negatively impact the market. Taking a bold step, he changed his market allocation. For the entire year his asset class exposures averaged 50% in stocks and 50% in cash. The S&P’s allocation between stocks and cash during the period was a constant 97% and 3%, respectively. The risk-free rate of return was 2%. One-Year Trailing Returns Nyamata Fund S&P 500 Return 10.2% -22.5% Standard deviation 37% 44% Beta 1.10 1.00 a. What are the Sharpe ratios for the Nyamata Fund and the S&P 500? (Negative values should be indicated by a minus sign. Do not round intermediate calculations. Round your answers to 4 decimal places.) Sharpe Ratio Nyamata fund S&P 500 . b. What is the M2 measure for Nyamata? (Do not round intermediate calculations. Roundyour answerto 2 decimal places.) M2 measure = c. What is the Treynor measure for the Nyamata Fund and the S&P 500? (Negative values should be indicated by a minus sign. Do not round intermediate calculations. Round your answersto 4 decimal places.) Treynor Measure Miranda S&P 500 . d. What is the Jensen measure for the Nyamata Fund? (Do not round intermediate calculations. Round your answer to 4 decimal places.) Jensen measure =
Ingabire is a
Ingabire was able to produce exceptional returns last year (as outlined in the table below) through his market-timing and security selection skills. At the outset of the year, he became extremely concerned that the combination of a weak economy and geopolitical uncertainties would negatively impact the market. Taking a bold step, he changed his market allocation. For the entire year his asset class exposures averaged 50% in stocks and 50% in cash. The S&P’s allocation between stocks and cash during the period was a constant 97% and 3%, respectively. The risk-free
| One-Year Trailing Returns | ||
| Nyamata Fund | S&P 500 | |
| Return | 10.2% | -22.5% |
| Standard deviation | 37% | 44% |
| Beta | 1.10 | 1.00 |
a. What are the Sharpe ratios for the Nyamata Fund and the S&P 500? (Negative values should be indicated by a minus sign. Do not round intermediate calculations. Round your answers to 4 decimal places.)
| Sharpe Ratio | |
| Nyamata fund | |
| S&P 500 | . |
b. What is the M2 measure for Nyamata? (Do not round intermediate calculations. Roundyour answerto 2 decimal places.)
M2 measure =
c. What is the Treynor measure for the Nyamata Fund and the S&P 500? (Negative values should be indicated by a minus sign. Do not round intermediate calculations. Round your answersto 4 decimal places.)
| Treynor Measure | |
| Miranda | |
| S&P 500 | . |
d. What is the Jensen measure for the Nyamata Fund? (Do not round intermediate calculations. Round your answer to 4 decimal places.)
Jensen measure =
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