Last year, mutual fund, VALU, reported 16% return, 26% standard deviation, and 1.15 beta while the market index had 12% return and 22% standard deviation. What is VALU's Jensen's alpha? OA.0.028 OB.-0.021 OC.-0.014 OD. 0.005
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- onsider 123 Fund (which is invested in 35% High risk stock and 65% normal bonds). Assume you have the following historical data of annual returns: Return S.D. Normal Stock 8% 20% Risky Bonds 10% 35% High Risk Stock 14% 40% Normal Bonds 6% 10% Assume High Risk Stocks and Normal Bonds have correlation coefficient of 0.24 Find the standard deviation of 123. Please use 5 decimal places in your response. Note: The right answer is 0.1679 Please explain step by stepUse the following data to answer the question regarding the performance of Guardian Stock Fund and the market portfolio. The risk- free return during the sample period was 5%. Average return Standard deviation of returns Beta Residual standard deviation Guardian 14% 26% 1.2 (0.80) 4% X Answer is complete but not entirely correct. Information ratio Market Portfolio Calculate the information ratio measure of performance for Guardian Stock Fund. (Round your answer to 2 decimal places. Do not round intermediate calculations.) 10% 21% 1 0%The average return, standard deviation, and beta for Fund A is given below along with data for the S&P 500 Index. Fund Average Return Standard Deviation Beta A 14.5% 24.6% 1.4 S&P 500 14.5% 21.3% 1 Risk-free 1% Calculate the Sharpe measure of performance for the S&P 500.
- 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. Year Fund Market Risk-Free 2015 −18.80 % −36.50 % 1 % 2016 25.10 20.70 6 2017 13.60 13.00 2 2018 7.00 8.40 6 2019 −1.92 −4.20 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.)The covariance between the returns on Zion shares and the returns on the ASX200 market index is 0.0112. The standard deviation of the returns on ASX200 is 14%. The standard deviation of the returns on Zion shares is 10%. What is the beta of Zion shares? Group of answer choices0.57 0.16 0.55 0.08 1.12it's not .80, .75, .35 or any number .10 - 1.0
- Consider the following information for three stocks, Stocks A, B, and C. The returns on the three stocks are positively correlated, but they are not perfectly correlated. (That is, each of the correlation coefficients is between 0 and 1.) Standard Deviation Stock Expected Return A 8.88% B с X 10.82 12.76 THATH 14% 14 14 Beta 0.8 1.2 Fund P has one-third of its funds invested in each of the three stocks. The risk-free rate is 5%, and the market is in equilibrium. (That is, required returns equal expected returns.) The data has been collected in the Microsoft Excel Online file below. Open the spreadsheet and perform the required analysis to answer the questions below. 1.6 Open spreadsheet a. What is the market risk premium (H-AF)? Round your answer to two decimal places. b. What is the beta of Fund P? Do not round intermediate calculations. Round your answer to two decimal places. c. What is the required return of Fund P? Do not round intermediate calculations. Round your answer to two…Consider the following information for stocks A, B, and C. The returns on the three stocks are positively correlated, but they are not perfectly correlated. (That is, each of the correlation coefficients is between 0 and 1.) Stock Expected Return Standard Deviation Beta 16% 0.8 B 16 1.2 с 8.50 16 1.6 Fund P has one-third of its funds invested in each of the three stocks. The risk-free rate is 4.5%, and the market is in equilibrium. (That is, required returns equal expected returns.) a. What is the market risk premium (re-ra)? Round your answer to one decimal place. b. What is the beta of Fund P? Do not round intermediate calculations. Round your answer to two decimal places. c. What is the required return of Fund P? Do not round intermediate calculations. Round your answer to two decimal places. % d. What would you expect the standard deviation of Fund P to be? 1. Less than 16% II. Greater than 16% III. Equal to 16% -Select- 6.50% 7.50The following data relates to the portfolios of a fund’s two equity managers Total Return Beta Manager A 24 % 1.0 Manager B 30.0 % 1.5 S&P 500 21.0 Lehman 31.0 91 day Treasury bills 12.0 Calculate and compare the risk-adjusted performance of the two managers relative to each other and to the S&P 500. Explain the reasons why the conclusions drawn from this calculation may be misleading.
- Consider the following information for stocks A, B, and C. The returns on the three stocks are positively correlated, but they are not perfectly correlated. (That is, each of the correlation coefficients is between 0 and 1.) Stock Expected Return Standard Deviation Beta A B с 9.30% 10.35 12.10 14% 14 14 0.8 1.1 1.6 Fund P has one-third of its funds invested in each of the three stocks. The risk-free rate is 6.5%, and the market is in equilibrium. (That is, required returns equal expected returns.) a. What is the market risk premium (гM-TRF)? Round your answer to one decimal place. % b. What is the beta of Fund P? Do not round intermediate calculations. Round your answer to two decimal places. c. What is the required return of Fund P? Do not round intermediate calculations. Round your answer to two decimal places. % d. What would you expect the standard deviation of Fund P to be? I. Less than 14% II. Greater than 14% III. Equal to 14% -Select-Aa.1Mercury Mutual Fund realized a return of 17% in its growth fund in the year 2018-19. The market index returned 12.5%. Standard deviation of the portfolio was 20% & the standard deviation of index returns was 8%.The correlation between the portfolio & the market was found to be 44%. The the risk-free rate was 4%. You are required to estimate the Treynor’s ratio and Jensen’s alpha of the portfolio. Also state your interpretation of the result.?