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 -19.4% 25.1 13.7 7.2 -1.98 Sharpe ratio Treynor ratio Market -37.5% 20.8 13.3 8.4 -4.2 Risk-Free 1% 4 2 6 2 What are the Sharpe and Treynor ratios for the fund? Note: Do not round intermediate calculations. Round your answers to 4 decimal places.

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 -19.4% 25.1 13.7 7.2 -1.98 Sharpe ratio Treynor ratio Market -37.5% 20.8 13.3 8.4 -4.2 Risk-Free 1% 4 2 6 2 What are the Sharpe and Treynor ratios for the fund? Note: Do not round intermediate calculations. Round your answers to 4 decimal places.

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.
You wish to evaluate which of the two equity funds delivered a better risk adjusted return in terms of Sharpe ratio with the risk free rate currently at 1.58% UIT Fund Fund Return Standard Deviation Equity Fund A 8.60% 20.12% Equity Fund B 8.91% 18.12% Calculate the Sharpe ratios for both equity funds A and B and state which fund had superior risk-adjusted performance during this period, as measured by the Sharpe ratio
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
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 2011 2012 2013 2014 2015 Fund -15.2% 25.1 12.4 6.2 -1.2 Sharpe ratio Market -24.5% 19.5 9.4 7.6 -2.2 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.) Treynor ratio X Answer is complete but not entirely correct. Risk-Free 1% 3 2 4 2 0.2273 x 3.4773 X
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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 .97. Year 2015 2016 2017 2018 2019 Fund -17.0% Sharpe ratio Treynor ratio 25.1 13.3 6.4 -1.74 Market -33.5% 20.4 12.1 8.0 -3.2 Risk-Free 2% 6 2 5 3 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.)
If a fund has a return of 12% and a beta of 1.4, and if the risk-free rate is 2%, and market return rate is 8%, calculate Jensen's Alpha O a. 3.6 Ob. 2.4 O c. 1.6 Od. 1.4
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 2011 2012 2013 2014 2015 Fund -15.2% 25.1 12.4 6.2 -1.2 Market -24.5% 19.5 Jensen's alpha Information ratio 9.4 7.6 -2.2 Calculate Jensen's alpha for the fund, as well as its information ratio. (Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places.) Risk-Free 1% 3 2 4 2 %

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