Rank the following funds based on Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, Sortino Ratio, M squared. Explain the difference in ranking of the funds if any as per various measures. Compare each of the fund with the benchmark index and explain the better or poor performance of the funds. The average return on the risk-free securities is 6% during the period of measurement. Mutual Fund Return (%) Total Standard Deviation (%) Downside Standard Deviation (%) Correlation with market Contra Fund 25 15 12 0.65 Equity Minimum Variance Fund 28 18 15 0.75 Focused Equity Fund 21 15 13 0.72 Midcap Fund 30 17 16 0.68 Benchmark Index 27 16 14
Rank the following funds based on Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, Sortino Ratio, M squared. Explain the difference in ranking of the funds if any as per various measures. Compare each of the fund with the benchmark index and explain the better or poor performance of the funds. The average return on the risk-free securities is 6% during the period of measurement. Mutual Fund Return (%) Total Standard Deviation (%) Downside Standard Deviation (%) Correlation with market Contra Fund 25 15 12 0.65 Equity Minimum Variance Fund 28 18 15 0.75 Focused Equity Fund 21 15 13 0.72 Midcap Fund 30 17 16 0.68 Benchmark Index 27 16 14
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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- Rank the following funds based on Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, Sortino Ratio, M squared. Explain the difference in ranking of the funds if any as per various measures. Compare each of the fund with the benchmark index and explain the better or poor performance of the funds. The average return on the risk-free securities is 6% during the period of measurement.
|
Mutual Fund |
Return (%) |
Total Standard Deviation (%) |
Downside Standard Deviation (%) |
Correlation with market |
|
Contra Fund |
25 |
15 |
12 |
0.65 |
|
Equity Minimum Variance Fund |
28 |
18 |
15 |
0.75 |
|
Focused Equity Fund |
21 |
15 |
13 |
0.72 |
|
Midcap Fund |
30 |
17 |
16 |
0.68 |
|
Benchmark Index |
27 |
16 |
14 |
|
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