Question 7 Consider the following data for these funds. Fund Alpha Omega Omicron Millennium Big Value Momentum Watcher Big Potential S & P Index Return T-Bill Return Average Standard Beta Return Deviation 28.00% 27.00% 31.00% 26.00% 22.00% 21.00% 40.00% 33.00% 15.00% 13.00% 29.00% 24.00% 15.00% 11.00% 20.00% 17.00% 6.00% Coefficient 1.7000 1.6200 0.8500 2.5000 0.9000 1.4000 0.5500 1.0000 0.0000 Non- systematic Risk 5.00% 6.00% 2.00% 27.00% 3.00% 16.00% 1.50% 0.00% Calculate: Sharpe, Treynor, Jenson, M², T² and Information ratio for these funds and rank the funds according to the performance measures.
Question 7 Consider the following data for these funds. Fund Alpha Omega Omicron Millennium Big Value Momentum Watcher Big Potential S & P Index Return T-Bill Return Average Standard Beta Return Deviation 28.00% 27.00% 31.00% 26.00% 22.00% 21.00% 40.00% 33.00% 15.00% 13.00% 29.00% 24.00% 15.00% 11.00% 20.00% 17.00% 6.00% Coefficient 1.7000 1.6200 0.8500 2.5000 0.9000 1.4000 0.5500 1.0000 0.0000 Non- systematic Risk 5.00% 6.00% 2.00% 27.00% 3.00% 16.00% 1.50% 0.00% Calculate: Sharpe, Treynor, Jenson, M², T² and Information ratio for these funds and rank the funds according to the performance measures.
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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Transcribed Image Text:Question 7
Consider the following data for these funds.
Non-
Average
Return
28.00%
Standard
Beta
systematic
Coefficient Risk
5.00%
6.00%
2.00%
27.00%
Fund
Alpha
Omega
Omicron
Millennium
Big Value
Momentum Watcher
Big Potential
S & P Index Return
T-Bill Return
Deviation
27.00%
26.00%
21.00%
33.00%
13.00%
24.00%
11.00%
17.00%
1.7000
1.6200
31.00%
22.00%
40.00%
15.00%
0.8500
2.5000
0.9000
3.00%
29.00%
15.00%
20.00%
6.00%
1.4000
16.00%
1.50%
0.00%
0.5500
1.0000
0.0000
Calculate:
Sharpe, Treynor, Jenson, M2, T² and Information ratio for these funds and rank the
funds according to the performance measures.
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