The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Risk-free Fund Return Benchmark Return rate 14% 11% 2% 15% 12% 2% 14% 2% 15% 2% 14% 2% 15% 2% 12% 2% 11% 2% Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 17% 20% 20% 22% 14% 13% 11% 10% 9% 9% 2% 2% Required: a. What is the Sharpe ratio for the fund and the benchmark? b. What is the Treynor ratio for the fund and the benchmark? c. What is the fund tracking error? d. What is the beta for the fund? e. What is Jensen's alpha for the fund?
The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Risk-free Fund Return Benchmark Return rate 14% 11% 2% 15% 12% 2% 14% 2% 15% 2% 14% 2% 15% 2% 12% 2% 11% 2% Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 17% 20% 20% 22% 14% 13% 11% 10% 9% 9% 2% 2% Required: a. What is the Sharpe ratio for the fund and the benchmark? b. What is the Treynor ratio for the fund and the benchmark? c. What is the fund tracking error? d. What is the beta for the fund? e. What is Jensen's alpha for the fund?
Essentials of Business Analytics (MindTap Course List)
2nd Edition
ISBN:9781305627734
Author:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson
Publisher:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson
Chapter3: Data Visualization
Section: Chapter Questions
Problem 6P: The file MutualFunds contains a data set with information for 45 mutual funds that are part of the...
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