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 22% 23% 25% Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 28% 28% 29% 20% 18% 15% 13% 19% 20% 22% 23% 22% 22% 18% 16% 13% 12% Risk-free rate 2% 2% 2% 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: Fund Return Benchmark Return 22% 23% 25% Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 28% 28% 29% 20% 18% 15% 13% 19% 20% 22% 23% 22% 22% 18% 16% 13% 12% Risk-free rate 2% 2% 2% 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?

Entrepreneurial Finance

6th Edition

ISBN:9781337635653

Author:Leach

Publisher:Leach

Chapter9: Projecting Financial Statements

Section: Chapter Questions

Problem 11DQ

See similar textbooks

Similar questions

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 22% 19% 2% Year 2 23% 20% 2% Year 3 25% 22% 2% Year 4 28% 23% 2% Year 5 28% 22% 2% Year 6 29% 22% 2% Year 7 20% 18% 2% Year 8 18% 16% 2% Year 9 15% 13% 2% Year 10 13% 12% 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: Fund Return Benchmark Return Risk-free rate Year 1 22% 19% 2% Year 2 23% 20% 2% Year 3 25% 22% 2% Year 4 28% 23% 2% Year 5 28% 22% 2% Year 6 29% 22% 2% Year 7 20% 18% 2% Year 8 18% 16% 2% Year 9 15% 13% 2% Year 10 13% 12% 2% Do not round intermidete calucations 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?
An investor is evaluating the historical performance of an investment fund. The following annual returns are provided to the investor: Fund Value Year 0 $120 Year 1 132 Year 2 146 Year 3 133 Year 4 128 Year 5 123 Required: a. Calculate the investment returns for each year. b. Compute the arithmetic mean return. c. Calculate the geometric mean return.
a. Using the data in the table below and calculate the following performance measures
(10 POINTS) Consider the following funds whose expected returns and volatilities are given in the following table: \table [[Type of fund, Er,, o,, management fee (f) 5. (10 POINTS) Consider the following funds whose expected returns and volatilities are given in the following table: Type of fund Bio tech fund (B) Er σi management fee (f) .40 .60 .04 Critical minerals fund (C) .26 .40 .03 Market portfolio (M) .18 .24 0 where the management fee (f) is the percentage fee for holding the fund. The risk-free rate is 0.04.Is this situation compatible with the CAPM? Justify your answer.
When evaluating a fund based on its cash-on-cash returns, what other considerations should you keep in mind?
What are the advantages of evaluating fund performance based on Internal Rate of Return (IRR)? Why would an investor prefer to evaluate a fund based on a cash-on-cash return?
The following information is provided regarding the performance of fund namely Birla Advantage, Sundaram Growth and Sun F&C Value for a period of six months ending August 2022. The Risk free rate of interest is assumed to be 9 percent. Rank them with the help of Treynor Index and discuss. Birla Sundaram Sun Rp 25.38 25.11 25.01 Sigma p 4 9.01 3.55 Beta 0.23 0.56 0.59
7. Consider the following table for the cash flows of an investment account: Time mm/dd/yy 01/01/2015 04/01/2015 08/01/2015 12/31/2015 Contribution -300 +2,000 (a) Calculate the TWRR and the DWRR of the fund. (b) Comment on the results. Fund value before contribution 1,000 500 250 2,800
Pls help ASAP
A portfolio manager is evaluating the performance of a fund that has been managed for the past 20 years. The appraised value of the fund each year and the cash flow from the fund is shown are the following table. Portfolio Value ($000) Cash flow ($000) Year 0 $ 100 – Year 1 105 $ 2 Year 2 108 2 Year 3 110 2 Year 4 115 3 Year 5 120 3 Year 6 125 4 Year 7 130 4 Year 8 120 4 Year 9 100 2 Year 10 105 3 Year 11 110 4 Year 12 105 3 Year 13 110 4 Year 14 116 5 Year 15 125 6 Year 16 130 7 Year 17 135 7 Year 18 132 6 Year 19 135 7 Year 20 140 8 Required: Calculate the holding period return for the fund each year. Calculate arithmetic mean of the fund holding period returns for the 20 years. Calculate the geometric mean of the fund holding period returns for the 20 years. Calculate the standard deviation of the fund holding period returns. Use the population standard deviation. please help with question 4
s