The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Fund Return Benchmark Return Risk-free rate Year 1 15% 12% 2% Year 2 15% 12% 2% Year 3 16% 13% 2% Year 4 19% 14% 2% Year 5 20% 14% 2% Year 6 22% 15% 2% Year 7 26% 24% 2% Year 8 24% 22% 2% Year 9 21% 19% 2% Year 10 19% 18% 2% Required: a. What is the Sharpe ratio for the fund and the benchmark? Asnwer is not Fund: 4.77 and Benchmark: 3.37 b. What is the Treynor ratio for the fund and the benchmark? Answer is: Fund: 22.79 Benchmark: 14.30 c. What is the fund tracking error? Asnwer is Not 1.71
The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Fund Return Benchmark Return Risk-free rate Year 1 15% 12% 2% Year 2 15% 12% 2% Year 3 16% 13% 2% Year 4 19% 14% 2% Year 5 20% 14% 2% Year 6 22% 15% 2% Year 7 26% 24% 2% Year 8 24% 22% 2% Year 9 21% 19% 2% Year 10 19% 18% 2% Required: a. What is the Sharpe ratio for the fund and the benchmark? Asnwer is not Fund: 4.77 and Benchmark: 3.37 b. What is the Treynor ratio for the fund and the benchmark? Answer is: Fund: 22.79 Benchmark: 14.30 c. What is the fund tracking error? Asnwer is Not 1.71
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
The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year:
| Fund Return | Benchmark Return | Risk-free rate | |
|---|---|---|---|
| Year 1 | 15% | 12% | 2% |
| Year 2 | 15% | 12% | 2% |
| Year 3 | 16% | 13% | 2% |
| Year 4 | 19% | 14% | 2% |
| Year 5 | 20% | 14% | 2% |
| Year 6 | 22% | 15% | 2% |
| Year 7 | 26% | 24% | 2% |
| Year 8 | 24% | 22% | 2% |
| Year 9 | 21% | 19% | 2% |
| Year 10 | 19% | 18% | 2% |
Required:
a. What is the Sharpe ratio for the fund and the benchmark?
Asnwer is not Fund: 4.77 and Benchmark: 3.37
b. What is the Treynor ratio for the fund and the benchmark?
Answer is: Fund: 22.79 Benchmark: 14.30
c. What is the fund tracking error?
Asnwer is Not 1.71
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