questions to be answered

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
icon
Related questions
Question

questions to be answered 

b. Out of the performance measures you calculated in part a., which one would you use under each
of the following circumstances:
i.
You want to select one of the funds as your risky portfolio.
ii.
You want to select one of the funds to be mixed with the rest of your portfolio,
currently composed solely of holdings in the market-index fund.
iii.
You want to select one of the funds to form an actively managed stock portfolio.
Transcribed Image Text:b. Out of the performance measures you calculated in part a., which one would you use under each of the following circumstances: i. You want to select one of the funds as your risky portfolio. ii. You want to select one of the funds to be mixed with the rest of your portfolio, currently composed solely of holdings in the market-index fund. iii. You want to select one of the funds to form an actively managed stock portfolio.
a. Using the data in the table below and calculate the following performance measures.
i. Sharpe ratio
ii. Treynor measure
iii. Jensen's alpha
iv. M-squared measure
v. T-squared measure, and
vi. Appraisal ratio (information ratio)
Average Standard
Beta
Unsystematic
Fund
Return
Deviation Coefficient
Risk
А
0.220
0.017
0.800
0.900
1.200
1.100
0.240
0.200
0.170
0.450
C
0.290
0.380
0.074
D
0.260
0.290
0.026
E
0.180
0.320
0.121
0.153
0.120
0.000
0.400
0.460
0.900
F
1.100
G
0.250
0.700
0.190
0.180
Market
0.220
1.000
Risk-free
return
0.050
0.000
Transcribed Image Text:a. Using the data in the table below and calculate the following performance measures. i. Sharpe ratio ii. Treynor measure iii. Jensen's alpha iv. M-squared measure v. T-squared measure, and vi. Appraisal ratio (information ratio) Average Standard Beta Unsystematic Fund Return Deviation Coefficient Risk А 0.220 0.017 0.800 0.900 1.200 1.100 0.240 0.200 0.170 0.450 C 0.290 0.380 0.074 D 0.260 0.290 0.026 E 0.180 0.320 0.121 0.153 0.120 0.000 0.400 0.460 0.900 F 1.100 G 0.250 0.700 0.190 0.180 Market 0.220 1.000 Risk-free return 0.050 0.000
Expert Solution
steps

Step by step

Solved in 4 steps with 2 images

Blurred answer
Knowledge Booster
Public Issue
Learn more about
Need a deep-dive on the concept behind this application? Look no further. Learn more about this topic, finance and related others by exploring similar questions and additional content below.
Recommended textbooks for you
Essentials Of Investments
Essentials Of Investments
Finance
ISBN:
9781260013924
Author:
Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:
Mcgraw-hill Education,
FUNDAMENTALS OF CORPORATE FINANCE
FUNDAMENTALS OF CORPORATE FINANCE
Finance
ISBN:
9781260013962
Author:
BREALEY
Publisher:
RENT MCG
Financial Management: Theory & Practice
Financial Management: Theory & Practice
Finance
ISBN:
9781337909730
Author:
Brigham
Publisher:
Cengage
Foundations Of Finance
Foundations Of Finance
Finance
ISBN:
9780134897264
Author:
KEOWN, Arthur J., Martin, John D., PETTY, J. William
Publisher:
Pearson,
Fundamentals of Financial Management (MindTap Cou…
Fundamentals of Financial Management (MindTap Cou…
Finance
ISBN:
9781337395250
Author:
Eugene F. Brigham, Joel F. Houston
Publisher:
Cengage Learning
Corporate Finance (The Mcgraw-hill/Irwin Series i…
Corporate Finance (The Mcgraw-hill/Irwin Series i…
Finance
ISBN:
9780077861759
Author:
Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan Professor
Publisher:
McGraw-Hill Education