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QUESTION 2 CLO 4: Explain the role of risk management in portfolio management Evaluate risk measurement techniques (20 marks) a) with The average returns, standard deviations and betas for three funds are given below along data for the S&P 500 index. The risk free return during the sample period is 6%. The average returns, standard deviations and betas for three funds are given below along with data for the S&P 500 index. The risk free return during the sample period is 6%. a) The average returns, standard deviations and betas for three funds are given below along with data for the S&P 500 index. The risk free return during the sample period is 6%. Fund Avg Return St Dev Beta A 13.6% 40% 11 B 13.1% 25% 10 12.4% 30% 13 S&P 500 120% 15% 10 i) ii) You wish to evaluate the three mutual funds using the Sharpe measure for performance evaluation. The fund with the highest Sharpe measure of performance is (Show your workings) Calculate and rank the funds using Jensen's alpha, Treynor measure, Sharpe ratio and M2. (Show your workings) (3+3+3+3=12 marks)

QUESTION 2 CLO 4: Explain the role of risk management in portfolio management Evaluate risk measurement techniques (20 marks) a) with The average returns, standard deviations and betas for three funds are given below along data for the S&P 500 index. The risk free return during the sample period is 6%. The average returns, standard deviations and betas for three funds are given below along with data for the S&P 500 index. The risk free return during the sample period is 6%. a) The average returns, standard deviations and betas for three funds are given below along with data for the S&P 500 index. The risk free return during the sample period is 6%. Fund Avg Return St Dev Beta A 13.6% 40% 11 B 13.1% 25% 10 12.4% 30% 13 S&P 500 120% 15% 10 i) ii) You wish to evaluate the three mutual funds using the Sharpe measure for performance evaluation. The fund with the highest Sharpe measure of performance is (Show your workings) Calculate and rank the funds using Jensen's alpha, Treynor measure, Sharpe ratio and M2. (Show your workings) (3+3+3+3=12 marks)

Practical Management Science
Practical Management Science
6th Edition
ISBN:9781337406659
Author:WINSTON, Wayne L.
Publisher:WINSTON, Wayne L.
Chapter2: Introduction To Spreadsheet Modeling
Section: Chapter Questions
Problem 20P: Julie James is opening a lemonade stand. She believes the fixed cost per week of running the stand...
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QUESTION 2 CLO 4: Explain the role of risk management in portfolio management Evaluate risk measurement techniques (20 marks) a) with The average returns, standard deviations and betas for three funds are given below along data for the S&P 500 index. The risk free return during the sample period is 6%. The average returns, standard deviations and betas for three funds are given below along with data for the S&P 500 index. The risk free return during the sample period is 6%. a) The average returns, standard deviations and betas for three funds are given below along with data for the S&P 500 index. The risk free return during the sample period is 6%. Fund Avg Return St Dev Beta A 13.6% 40% 11 B 13.1% 25% 10 12.4% 30% 13 S&P 500 120% 15% 10 i) ii) You wish to evaluate the three mutual funds using the Sharpe measure for performance evaluation. The fund with the highest Sharpe measure of performance is (Show your workings) Calculate and rank the funds using Jensen's alpha, Treynor measure, Sharpe ratio and M2. (Show your workings) (3+3+3+3=12 marks)
Transcribed Image Text:QUESTION 2 CLO 4: Explain the role of risk management in portfolio management Evaluate risk measurement techniques (20 marks) a) with The average returns, standard deviations and betas for three funds are given below along data for the S&P 500 index. The risk free return during the sample period is 6%. The average returns, standard deviations and betas for three funds are given below along with data for the S&P 500 index. The risk free return during the sample period is 6%. a) The average returns, standard deviations and betas for three funds are given below along with data for the S&P 500 index. The risk free return during the sample period is 6%. Fund Avg Return St Dev Beta A 13.6% 40% 11 B 13.1% 25% 10 12.4% 30% 13 S&P 500 120% 15% 10 i) ii) You wish to evaluate the three mutual funds using the Sharpe measure for performance evaluation. The fund with the highest Sharpe measure of performance is (Show your workings) Calculate and rank the funds using Jensen's alpha, Treynor measure, Sharpe ratio and M2. (Show your workings) (3+3+3+3=12 marks)
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