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 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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Transcribed Image Text:Problem 23-7
The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year:
Benchmark
Risk-free
Fund
Return
Return
rate
14%
11%
2%
15%
12%
17%
14%
20%
15%
20%
14%
22%
15%
14%
13%
Year 1
Year 2
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10
11%
10%
12%
11%
9%
9%
c. What is the fund tracking error?
d. What is the beta for the fund?
e. What is Jensen's alpha for the fund?
Required A
2%
2%
2%
2%
2%
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?
2%
2%
Complete this question by entering your answers in the tabs below.
Required B Required C
What is the Sharpe ratio for the fund and the benchmark? (Do not round intermediate calculations. Round your final answer to
2 decimal places.)
Required D Required E
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