The following data are available relating to the performacne of Long Horn Stock Fund and the market portfolio:                                                             Long Horn      Market Portfolio Average return                                        19%                     12% Standard Deviation of returns                 35%                     15% Beta                                                         1.5                       1.0  Residual standard deviation                    3.0%                    0.0% The risk-free return during the sample period was 4%.   A. What is the sharpe measure of performance evaluation for long horn stock fund? B. What is the treynor measure of performance evaluation for long horn stock fund? C. Calculate the jensen measure of performance evaluation for long horn stock fund.

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
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Chapter1: Investments: Background And Issues
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The following data are available relating to the performacne of Long Horn Stock Fund and the market portfolio:

                                                            Long Horn      Market Portfolio

Average return                                        19%                     12%

Standard Deviation of returns                 35%                     15%

Beta                                                         1.5                       1.0 

Residual standard deviation                    3.0%                    0.0%

The risk-free return during the sample period was 4%.

 

A. What is the sharpe measure of performance evaluation for long horn stock fund?

B. What is the treynor measure of performance evaluation for long horn stock fund?

C. Calculate the jensen measure of performance evaluation for long horn stock fund.

D. Calculate the information ratio of performance evaluation for long horn stock fund. 

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