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?

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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The offer price of an open-end fund is $24.00 and the fund is sold with a front-end load of 11.00%? What is the fund's NAV? Multiple Cholce $13.00 $23.89 $21.36 $20.00
A fund has an initial investment of $100 million from investors. The investors will receive an 8 percent preferred return. After the preferred return is met, remaining distributions will be split 80 percent to the investors and 20 percent to the fund manager. Funds available for distribution after the regular fund management fee are as follows: Fund Cash Flow for Distribution After Management Fee Year 0 Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8. Year 9 Year 10 $ 5.00 $ 10.00 $ 20.00 $ 30.00 $ 50.00 $ 40.00 $ 30.00 $ 20.00 $ 10.00 $ 5.00 Required: a. How many years will it take until the investor gets the 8 percent preferred return? b. What will be the split in distributions to the investor and the manager for the year found in which preferred return is achieved? c. What will the investor's IRR be over the entire 10 years? d. What will the total promote earned by the fund manager be for the 10 years?
Activity 3 You are given the following information on three funds. The risk free rate is 6%. Calculate the differential return measure. Interpret your findings. Fund CH- G I Actual Return 15 25 30 Market Return 20 20 20 Sigma² 16 25 36
a. Using the data in the table below and calculate the following performance measures
Problem 4-18 (Algo) Loaded-Up Fund charges a 12b-1 fee of 1% and maintains an expense ratio of 0.80%. Economy Fund charges a front-end load of 2%, but has no 12b-1 fee and has an expense ratio of 0.20%. Assume the rate of return on both funds portfolios (before any fees) is 8% per year. Required: a. How much will an investment of $100 in each fund grow to after 1 year? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Mutual Fund Loaded Up Fund Economy Fund Investment Values b. How much will an investment of $100 in each fund grow to after 4 years? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Mutual Fund Investment Values
The following performance data about the Big Gain Fund & the S&P 500 appears below Big Gain S&P 500 Return 40% 22% Standard Deviation 32 % 20% Beta Value 1.26 1.00 The risk free rate is 5% Required i. Calculate the sharpe ratio ii. The Treynor measure iii. And Jensen's iv. Comment on the results obtained
In a recent 5-year period, mutual fund manager Diana Sauros produced the following percentage rates of return for the Mesozoic Fund. Rates of return on the market index are given for comparison. Fund Market index -1.2 -0.9 2 +24.8 +16.0 a. Average retur a. Standard deviation b. Did Ms. Sauros do better or worse than the market index on these measures? 3 +40.7 +31.7 a. Calculate (a) the average return on both the Fund and the index, and (b) the standard deviation of the returns on each. Note: Do not round intermediate calculations. Round your answers to 2 decimal places. b. Did Ms. Sauros do better or worse than the market index on these measures? Answer is complete but not entirely correct. Mesozoic Fund Return Better +11.1 +10.9 19.23 15.14 x Market Portfolio Return 19.53 +0.3 -0.7 8.85 x
Unit trust Average return Standard deviation Beta Fund Alpha 10% 0.05 0.4 Fund Beta 12% 0.15 1.0 Fund Sigma 15% 0.10 1.2 Calculate the Jensen measure of Fund Alpha. A. 1.40% B. 1.60% OC. 0.20% OD. 1.00% Reset Selection
In the above $110K allocation problem, you decided to allocate 30% weight in A, 50% weight in B, 20% weight in C, and you want to find its AVG return. Which of the following is the appropriate method to find the mean (AVG) return on the $100K fund invested? a. Weighted Average (WAVG ) b. Simple Average c. Geometric Average d. Arithmetic Average
Please do it correctly will upvote in 30 minutes
Statement 1: Three of the four capital budgeting screening methods (Net Present Value, Internal Rate of Return and Payback Method) rely on the relevant expected cash inflows and outflows, whereas one (the Accrual Accounting Rate of Return Method) utilizes relevant accounting incomes and expenses. Statement 2: All expected cash flows in a capital budgeting analysis are treated as though they are received at the end of the year to which they are assigned, even though in actuality, they will be received throughout the year. Select the correct response: Both statements are correct. Only statement 1 is correct. Only statement 2 is correct. Both statements are incorrect.
17. Average Return and Standard Deviation. In a recent 5-year period, mutual fund manager Diana Sauros produced the following percentage rates of return for the Mesozoic Fund. Rates of return on the market index are given for comparison. Calculate (a) the average return on both the fund and the index and (b) the standard deviation of the returns on each. Did Ms. Sauros do better or worse than the market index on these measures? (L011-3) 1 2 3 4 5 Fund - 1.2 +24.8 +40.7 +11.1 +0.3 Market index -0.9 +16.0 +31.7 +10.9 -0.7

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