You want to evaluate two mutual funds using the information ratio measure forperformance evaluation. The risk-free return during the sample period is 5.00%, and theaverage return on the market portfolio is 18.00%. The average returns, residual standarddeviations, and betas for the three funds are given below.AverageReturnFund A 18%Fund B 21%ResidualStandardDeviation4.00%27%1.25% 27%StandardDeviationWhat is Fund A's Sharpe Ratio? [Select]Beta0.751.00What is Fund A's Information Ratio? [Select]

Sharpe ratio refers to the method used for the measurement of the volatility of the returns related…

You want to evaluate two mutual funds using the information ratio measure for performance evaluation. The risk-free return during the sample period is 5.00%, and th average return on the market portfolio is 18.00%. The average returns, residual standar deviations, and betas for the three funds are given below. Average Return Fund A 18% Fund B 21% Residual Standard Deviation Standard Deviation 4.00% 27% 1.25% 27% Beta 0.75 1.00

You want to evaluate two mutual funds using the information ratio measure for performance evaluation. The risk-free return during the sample period is 5.00%, and th average return on the market portfolio is 18.00%. The average returns, residual standar deviations, and betas for the three funds are given below. Average Return Fund A 18% Fund B 21% Residual Standard Deviation Standard Deviation 4.00% 27% 1.25% 27% Beta 0.75 1.00

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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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 0.91. Year 2018 2019 2020 2021 2022 Fund -20.60% 25.10 13.90 7.60 -2.10 Market -39.50% 21.00 13.90 8.80 -5.20 Risk-Free 1% 3 2 4 2 Calculate Jensen's alpha for the fund, as well as its information ratio. Note: Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio 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. 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 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
2. Consider two assets, S and B. The expected return on S is 12.2% while the expected return on B is 5.8 % . The standard deviation of Asset S returns is 20 %, while the standard deviation of Asset B returns is 10%. The correlation between Asset S and Asset B returns is 0.05. (a) What is the expected return on a portfolio with 20% of invested funds in S and 80% of invested funds in B? (b) What is the standard deviation of returns for a portfolio with 20% of invested funds in S and 80% of invested funds in B? (c) Compare your answers obtained in part (b) to the expected return and standard deviation of a portfolio will all funds invested in B, and summarize the principle demonstrated by the comparison. (d) Assume that the correlation of 0.05 was based on
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 -14.85% 25.1 12.9 7.2 -1.5 Market -29.5% 20.0 10.9 8.0 -3.2 Risk-Free 3% 5 2 5 What are the Sharpe and Treynor ratios for the fund? Note: Do not round intermediate calculations. Round your answers to 4 decimal places. Answer is complete but not entirely correct. Sharpe ratio Treynor ratio 0.1613 2.8377
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 Fund Market Risk-Free 2015 −18.20 % −35.50 % 2 % 2016 25.10 20.60 5 2017 13.50 12.70 2 2018 6.80 8.40 6 2019 −1.86 −4.20 3 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.)
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.)
Fund Beta Deviation (%) Return (%) Rf (%) XXX 1.07 5.13 19 6 YYY 1.02 4.28 17 6 ZZZ 0.86 3.52 12 6 Market 1 3.8 13 6 Compute the Sharpe Measure for the XXX fund. Compute the Treynor Ratio for the ZZZ fund. Compute the Jensen Measure for the YYY fund.
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 4%. The characteristics of the risky funds are as follows: Stock fund (S) Exp. Return Bond fund (B) 0.43 15% O 1.00 0.70 11% The correlation between the fund returns is 0.2. Solve numerically for the Sharpe Ratio of the optimal risky portfolio. 0.66 Std. Deviation 0.85 26% 12%
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5%. The probability distributions of the risky funds are: Stock fund (S) Bond fund (8) The correlation between the fund returns is 0.10. Expected Return 16% 10% Expected return Standard deviation. Required: What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Round your answers to 2 decimal places.) 1% % Standard Deviation 32% 23%
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 0.87. Year 2018 2019 2020 2021 2022 Fund -14.85% 25,10 12.90 7.20 -1.50 Jensen's alpha Information ratio Market -29.50% 20.00 10.90 8.00 -3.20 Risk-Free 3% Calculate Jensen's alpha for the fund, as well as its information ratio. Note: Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places. 5 2 5 3 %

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