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 19% rate 2% 2% Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 21% 22% 24% 25% 26% 17% 15% 12% 10% Benchmark Return 16% 12% 15% 20% 19% 19% 15% 13% 10% 9% *********** 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? 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 19% rate 2% 2% Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 21% 22% 24% 25% 26% 17% 15% 12% 10% Benchmark Return 16% 12% 15% 20% 19% 19% 15% 13% 10% 9% *********** 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? 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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Question
B1.
Transcribed Image Text: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
19%
rate
2%
16%
21%
12%
22%
15%
24%
25%
26%
17%
15%
12%
10%
Year 1
Year 2
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10
20%
19%
19%
15%
13%
10%
9%
- నననననననననన
c. What is the fund tracking error?
d. What is the beta for the fund?
e. What is Jensen's alpha for the fund?
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?
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