Homework Help is Here – Start Your Trial Now!
Business
Operations Management
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...
See similar textbooks
icon
Related questions
Question
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)
Expert Solution
steps

Step by step

Solved in 2 steps

SEE SOLUTIONCheck out a sample Q&A here
Blurred answer
Similar questions
  • SEE MORE QUESTIONS
Recommended textbooks for you
Practical Management Science
Practical Management Science
Operations Management
ISBN:
9781337406659
Author:
WINSTON, Wayne L.
Publisher:
Cengage,
Operations Management
Operations Management
Operations Management
ISBN:
9781259667473
Author:
William J Stevenson
Publisher:
McGraw-Hill Education
Operations and Supply Chain Management (Mcgraw-hi…
Operations and Supply Chain Management (Mcgraw-hi…
Operations Management
ISBN:
9781259666100
Author:
F. Robert Jacobs, Richard B Chase
Publisher:
McGraw-Hill Education
Business in Action
Business in Action
Operations Management
ISBN:
9780135198100
Author:
BOVEE
Publisher:
PEARSON CO
Purchasing and Supply Chain Management
Purchasing and Supply Chain Management
Operations Management
ISBN:
9781285869681
Author:
Robert M. Monczka, Robert B. Handfield, Larry C. Giunipero, James L. Patterson
Publisher:
Cengage Learning
Production and Operations Analysis, Seventh Editi…
Production and Operations Analysis, Seventh Editi…
Operations Management
ISBN:
9781478623069
Author:
Steven Nahmias, Tava Lennon Olsen
Publisher:
Waveland Press, Inc.
SEE MORE TEXTBOOKS