The following data are available relating to the performance of Long Horn Fund and the market portfolio: Average return Standard deviations of returns Beta Residual standard deviation Multiple Choice O O O 1.33% The risk-free return during the sample period was 6%. What is the Treynor measure of performance evaluation for Long Horn Fund ? 4.00% 8.67% 31.43% Long Horn 37.14% 19% 35% 1.5 3.0% Market Portfolio 12% 15% 1.0 0.0%

The following data are available relating to the performance of Long Horn Fund and the market portfolio: Average return Standard deviations of returns Beta Residual standard deviation Multiple Choice O O O 1.33% The risk-free return during the sample period was 6%. What is the Treynor measure of performance evaluation for Long Horn Fund ? 4.00% 8.67% 31.43% Long Horn 37.14% 19% 35% 1.5 3.0% Market Portfolio 12% 15% 1.0 0.0%

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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The following data are available relating to the performance of Hayek Stock Fund and the market portfolio: Market Portfolio 118 198 Average return. Standard deviations of returns Beta Residual standard deviation The risk-free return during the sample period was 3%. Calculate the information ratio for Hayek Stock Fund. Multiple Choice O 1.53 1.30 2.60 Hayek 20% 44% 1.8 2.08 1.0 0.0%
Fund Beta Deviation (%) Return (%) Rf (%) XXX 1.07 5.13 19 6 YYY 1.02 4.28 17 6 ZZZ 0.86 3.52 12 6 Market 1 3.8 13 6 Compute the Sharpe Measure for the XXX fund. Compute the Treynor Ratio for the ZZZ fund. Compute the Jensen Measure for the YYY fund.
Use the following data to answer the question regarding the performance of Guardian Stock Fund and the market portfolio. The risk-free return during the sample period was 4%. Guardian Market Portfolio Average return 14 % 10 % Standard deviation of returns 27 % 21 % Beta 1.5 1 Residual standard deviation 4 % 0 % Calculate the information ratio measure of performance for Guardian Stock Fund. (Round your answer to 2 decimal places. Do not round intermediate calculations.)
Use the following data to answer the question regarding the performance of Guardian Stock Fund and the market portfolio. The risk- free return during the sample period was 5%. Average return Standard deviation of returns Beta Residual standard deviation Guardian 14% 26% 1.2 0.60 X 4% Calculate the information ratio measure of performance for Guardian Stock Fund. (Round your answer to 2 decimal places. Do not round intermediate calculations.) Answer is complete but not entirely correct. Information ratio Market Portfolio 10% 21% 1 0%
Example: Consider the following data for a particular sample period: 　 Portfolio P Market M Average return 35% 28% Beta 1.20 1.00 Standard deviation 42% 30% Nonsystematic risk, σ(e) 18% 0 The T-bill rate during the period was 6%. A) Calculate the market and portfolio returns using sharpe's measure, treynor's measure, jensen's measure and information ratio B) Compare and comment on results of each measure.
Use the following data to answer the question regarding the performance of Guardian Stock Fund and the market portfolio. The risk- free return during the sample period was 5%. Average return Standard deviation of returns Beta Residual standard deviation Guardian 14% 26% 1.2 (0.80) 4% X Answer is complete but not entirely correct. Information ratio Market Portfolio Calculate the information ratio measure of performance for Guardian Stock Fund. (Round your answer to 2 decimal places. Do not round intermediate calculations.) 10% 21% 1 0%
The betas for company 1 and company 2 are 0.636 and 0.291, respectively. The market variance is 10.3%. Form an equally-weighted portfolio of company 1 and company 2. The systematic risk of this portfolio according to the single index model is closest to Select one: a. 1.92% b. 4.56% c. 2.21% O d. 3.25% <
The average return, standard deviation, and beta for Fund A is given below along with data for the S&P 500 Index. Fund Average Return Standard Deviation Beta A 14.5% 24.6% 1.4 S&P 500 14.5% 21.3% 1 Risk-free 1% Calculate the Sharpe measure of performance for the S&P 500.
The average return, standard deviation, and beta for Fund A is given below along with data for the S&P 500 Index. Fund Average Return Standard Deviation Beta A 14% 24% 1.21 S&P 500 17.4% 19.4% 1 Risk-free 5.1% Calculate the Treynor measure of performance for the S&P 500. Convert percentages to decimal places before calculating your answer. ENTER your answer using FOUR DECIMAL places.Example: 1.2345
An insurance fund is analysing the performance of three different fund managers A, B and C. Each manager invests in one third of all asset classes to maintain a well diversified portfolio. The following information is available: A B C Market portfolio Average net return (%) 5 8 9 9 Volatility (%) 18 24 21 20 Beta 0.8 1.1 1.3 A risk free rate is established to be 2%. Calculate for each of the fund managers the expected return using CAPM, ex post Sharpe Ratio, Treynor Ratio, M2 alpha and Jensen’s alpha. Interpret your results.
The average return, standard deviation, and beta for Fund A is given below along with data for the S&P 500 Index. Fund Average Return Standard Deviation Beta A 25.7% 29% 1.3 S&P 500 17.9% 20% 1 Risk-free 3.8% Calculate the M2 measure of performance for Fund A. Use the correct sign if the answer is negative! Example: -1.23
Consider Microsoft Corporation (MSFT) and Meta Platforms, Inc. (META) that have returns variances of 6.25% and 3.24%, respectively. Calculate the standard deviation of portfolio returns for an equal-weighted portfolio of the two assets when their correlation of returns is 0. A. 24.71% B. 19.20% C. 15.40% D. 10.28%

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