The Performance Fund had returns of 19% over the evaluation period and the benchmark portfolio yielded a return of 17% over the same period.  Over the evaluation period, the standard deviation of returns from the Fund was 23% and the standard deviation of returns from the benchmark portfolio was 21%. Assuming a risk-free rate of return of 8%, which one of the following is the calculation of the Sharpe index of performance for the fund over the evaluation period? 0.3913 0.4286 0.4783 0.5238 0.5870

Q: You manage a risky portfolio with expected rate of return of 20% and standard deviation of 36%. The…

A: Expected return on portfolio, E(Rp) = 20%Risk aversion, A = 1.6Risk free rate = 5% Standard…

Q: The NXP fund has an expected return of 3.60%, with volatility 24.00%. The risk free rate is 1.70%,…

A: The reward-to-volatility ratio, also known as the Treynor ratio, gauges how much excess return a…

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A: Jensen's measure of performance for Wildcat Fund is calculated with the help of following formula…

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A: The excess return per unit of risk (standard deviation) of an investment portfolio relative to a…

Q: B 15.5% 20.2%

A: The coefficient of variation can be computed as follows :

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A:

Q: calculate tracking error if the return from the portfolio is 15.5% and the return from the bench…

A: Tracking error is computed by following formula-Tracking error = Rp - RiWhere,Rp = return from…

Q: The average return, standard deviation, and beta for Fund A is given below along with data for the…

A: Jensen's alpha = Average return less CAPM return of stock

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A: Sharpe ratio  is computed by following formula:-Sharpe ratio = whereRp=  expected return of…

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A: Arithmetic average is sum of all divided by number of return. Geometric return can be calculated by…

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A: The reward-to-variability ratio (also called the Sharpe ratio) refers to the measure of the return…

Q: Asset X has an expected return of 6% and a variance of 0.001. Asset Y has an expected return of 12%…

A: Sharp ratio is calculated as shown below.

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A: Treynor Ratio, Sharpe Ratio, and Jensen's Alpha for Funds A and BLet's calculate the Treynor ratio,…

Q: a. What is the expected return of each asset? b. What is the variance and the standard deviation of…

A:

Q: Suppose the asset S offers 12% expected return with 14% standard deviation per year, while the asset…

A: Diversification is a concept devised in risk management that helps limit the exposure of the…

Q: You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the…

A: The obtained results are provided below after taking into consideration of step 2

Q: You are going to invest in Asset J and Asset S. Asset J has an expected return of 14.2 percent and a…

A: Here, Expected ReturnStandard DeviationAsset J14.20%55.20%Asset S11.20%20.20%Correlation0.5

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A: To Find: Coefficient of Variation Sharpe ratio jensen Index

Q: free return during the sample period was 5%. Average return. Standard deviation of returns. Beta…

A: Information ratio tells how much is risk adjusted performance of the manager of the portfolio and it…

Q: The expected annual returns are 15% for investment 1 and 12% for investment 2. The standard…

A: Here, Expected Annual Return of Investment 1 is 15% Expected Annual Return of Investment 2 is 12%…

Q: Annual returns for three funds and a market index are given below: Fund A Rp 17.1 Op 28.1 Beta (Bp)…

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Q: Index. Fund Average Return Standard Deviation Beta A 14% 28.5% 1.7 S&P 500 17.6% 19.4% 1 Risk-free…

A: treynor ratio =rA-rfβA where, rA=return of stock Arf=risk free rateβA=beta of stock A

Q: Consider two assets A and B with expected return as 9% and 5%, respectively. Standard deviation of…

A: The expected return of Portfolio is calculated with the help of following formula  Er(p) = Er (A) ×…

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A: Probability is the chance that a particular event will occur and that depends on the z-score.

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A: a) Calculation of standard deviation:Standard deviation is 0.3516.Standard deviation can be derived…

Q: 1. Determine the expected return and the variance of the portfolio formed by the two assets S₁, S₂…

A: Portfolio Risk: Portfolio risk refers to the degree of uncertainty or potential variability in the…

Q: Vega fund had return of 12%, a beta of 1.2, in a standard deviation of 25% last year t bills…

A: Vega fund had return of 12%, a beta of 1.2, in a standard deviation of 25% last year t bills…

Q: f a fund has a return of 12% and a beta of 1.4, and if the risk-free rate is 2%, and market return…

A: Alpha of stock is excess return earned over the return calculated by CAPM.

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Q: Fund  Beta    Deviation (%)     Return (%)    Rf (%) XXX  1.07 5.13 19 6 YYY 1.02 4.28 17 6 ZZZ 0.86…

A: The question is based on the concept of Portfolio management

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A: The information ratio is a measure used in finance to evaluate the risk-adjusted performance of an…

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Q: minimum variance portfolio?

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A: The information ratio considers both returns and risk, providing a more comprehensive measure of…