You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that thereturn correlation between the fund and the market is 0.97.1TTTFundRisk-FreeMarketYear2011-20.6%-39.5%201225.121.03201313.913.9220147.68.82015-2.1-5.22What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimalplaces.)Sharpe ratioTreynor ratio

The computation of Sharpe ratio and Treynor ratio is as follows:

Answered: You have been given the following…

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 risk-free rate, average returns, standard deviations, and betas for three funds and the S&P 500 are given below. Fund A B C S&P 500 rf Avg Std Dev Beta 1.20 11.00% 28.00% 13.00% 24.50% 1.25 16.50% 31.50% 1.45 10.00% 18.00% 1.00 3.00% What is the M² measure for portfolio B? O 1.02% 35% 65% O 1.90%
Mr. Abir, after joining in Classic Mutual Fund has been asked to compute the returns. Apart from this, he must have to highlight the other areas of the fund. Consider the following information about the returns on Classic Fund, the market returns, and the T-Bill returns. Year Returns on Classic Fund % Market Index (Nifty Returns) % T-Bills Returns % 2003 15.3 10.5 5.4 2004 14.2 16.5 6.1 2005 -5.0 -7.9 5.9 2006 21.2 18.0 6.2 2007 18.3 15.5 5.5 2008 12.5 10.7 5.4 2009 -9.5 -3.0 5.8 2010 -7.3 4.9 6.1 2011 8.5 -7.5 6.2 2012 -11.4 3.0 5.8 2013 25.2 20.5 5.7 2014 22.0 18.0 5.4 2015 -16.3 4.3 6.0 2016 14.7 12.0 6.2 2017 18.5 15.3 5.8 2018 20.2 18.0 6.0 From the above information calculate all the inputs required for determining the Sharpe’s Ratio Treynor Ratio Jensen Ratio
You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.97. 1ITT Market Risk-Free Year Fund 2011 -21.8% -41.5% 3% 2012 25.1 21.2 4 14.1 2013 14.5 8.8 2014 6.4 4 -2.22 2015 -5.2 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.) Sharpe ratio Treynor ratio
You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.97. Year 2018 2019 2020 2021 2022 Fund -15,2% 25.1 12.4 6.2 -1.2 Sharpe ratio Treynor ratio Market -24.5% 19.5 9.4 7.6 -2.2 Risk-Free 1% 3 2 4 2 What are the Sharpe and Treynor ratios for the fund? Note: Do not round intermediate calculations. Round your answers to 4 decimal places.
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 5%. The characteristics of the risky funds are as follows: Stock fund (S) Bond fund (B) Expected Return Standard Deviation 19% 32% 15 12 The correlation between the fund returns is 0.11. What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Enter your answer as a decimal rounded to 4 places.) Sharpe ratio
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A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 5%. The characteristics of the risky funds are as follows: Stock fund (S) Bond fund (B) Expected Return 17% 13 Standard Deviation 38% 18 The correlation between the fund returns is 0.12. Sharpe ratio What is the Sharpe ratio of the best feasible CAL? Note: Do not round intermediate calculations. Enter your answer as a decimal rounded to 4 places.
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As an individual investor, you have three funds to invest into. The first is an equity fund, the second is a corporate bond fund, and the third is a T-bill money-market fund (your risk-free asset). Fund Expected rate of return Risk (Standard deviation) Equity fund 16% 32% Corporate bond fund 12% 18% T-bill money market fund 2% Correlation between equity fund and bond fund returns is 0.4. Find the Expected return of the minimum variance portfolio formed from Equity and Bond funds
Raghubhai

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