Mercury 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.?
Mercury 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.?
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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Mercury 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.?
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