(a) To calculate: We have to collect the data as given in Connect and calculate each fund's excess return.

Question

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Answer 1

Question

Chapter 18, Problem 17PS

Summary Introduction

(a)
To calculate:

We have to collect the data as given in Connect and calculate each fund's excess return.

Expert Solution

Explanation of Solution

Excess returns are calculated as shown below. Period chosen is from 2004 to 2008.

	Total monthly returns				Excess Returns
Month	Vanguard	Value Fund	S&P	T-bills	Vanguard	Value Fund	S&P
Jan-04	1.52	-0.07	1.35	0.07	1.45	-0.14	1.28
Feb-04	-0.53	-0.99	-1.32	0.06	-0.59	-1.05	-1.38
Mar-04	-2.69	-2.46	-1.89	0.09	-2.78	-2.55	-1.98
Apr-04	0.22	2.52	1.70	0.08	0.14	2.44	1.62
May-04	2.53	1.39	1.85	0.06	2.47	1.33	1.79
Jun-04	-1.93	-7.46	-3.22	0.08	-2.01	-7.54	-3.30
Jul-04	0.99	-0.78	0.25	0.1	0.89	-0.88	0.15
Aug-04	1.52	2.49	1.00	0.11	1.41	2.38	0.89
Sep-04	0.21	1.46	1.29	0.11	0.10	1.35	1.18
Oct-04	5.22	4.66	4.46	0.11	5.11	4.55	4.35
Nov-04	3.24	3.60	3.01	0.15	3.09	3.45	2.86
Dec-04	-2.36	-3.48	-2.24	0.16	-2.52	-3.64	-2.40
Jan-05	3.62	0.79	2.09	0.16	3.46	0.63	1.93
Feb-05	-2.33	-2.86	-1.83	0.16	-2.49	-3.02	-1.99
Mar-05	-2.68	-2.41	-1.87	0.21	-2.89	-2.62	-2.08
Apr-05	4.08	7.13	3.22	0.21	3.87	6.92	3.01
May-05	2.25	0.51	0.15	0.24	2.01	0.27	-0.09
Jun-05	3.55	5.28	3.82	0.23	3.32	5.05	3.59
Jul-05	-1.85	-0.85	-0.93	0.24	-2.09	-1.09	-1.17
Aug-05	0.38	1.34	0.80	0.3	0.08	1.04	0.50
Sep-05	-1.88	0.30	-2.36	0.29	-2.17	0.01	-2.65
Oct-05	2.87	5.04	4.39	0.27	2.60	4.77	4.12
Nov-05	0.93	0.46	-0.19	0.31	0.62	0.15	-0.50
Dec-05	3.41	3.30	2.41	0.32	3.09	2.98	2.09
Jan-06	0.00	-1.82	0.57	0.35	-0.35	-2.17	0.22
Feb-06	0.71	0.34	1.65	0.34	0.37	0.00	1.31
Mar-06	0.53	-0.45	1.26	0.37	0.16	-0.82	0.89
Apr-06	-3.00	-5.84	-3.01	0.36	-3.36	-6.20	-3.37
May-06	-0.27	-1.55	0.26	0.43	-0.70	-1.98	-0.17
Jun-06	1.09	-2.36	0.45	0.4	0.69	-2.76	0.05
Jul-06	2.70	3.60	2.18	0.4	2.30	3.20	1.78
Aug-06	2.63	2.87	2.70	0.42	2.21	2.45	2.28
Sep-06	2.56	1.92	3.16	0.41	2.15	1.51	2.75
Oct-06	0.75	1.94	1.99	0.41	0.34	1.53	1.58
Nov-06	2.32	0.22	0.77	0.42	1.90	-0.20	0.35
Dec-06	1.86	2.18	1.51	0.4	1.46	1.78	1.11
Jan-07	-2.30	-1.69	-1.96	0.44	-2.74	-2.13	-2.40
Feb-07	0.81	0.89	1.16	0.38	0.43	0.51	0.78
Mar-07	3.87	2.92	4.42	0.43	3.44	2.49	3.99
Apr-07	3.65	3.37	3.39	0.44	3.21	2.93	2.95
May-07	-2.02	-1.14	-1.46	0.41	-2.43	-1.55	-1.87
Jun-07	-4.74	-0.79	-3.13	0.4	-5.14	-1.19	-3.53
Jul-07	1.12	1.11	1.28	0.4	0.72	0.71	0.88
Aug-07	2.54	4.91	3.88	0.42	2.12	4.49	3.46
Sep-07	0.39	2.19	1.35	0.32	0.07	1.87	1.03
Oct-07	-5.86	-3.90	-3.87	0.32	-6.18	-4.22	-4.19
Nov-07	0.25	0.00	-1.13	0.34	-0.09	-0.34	-1.47
Dec-07	-5.39	-10.34	-6.04	0.27	-5.66	-10.61	-6.31
Jan-08	-2.67	-2.38	-2.58	0.21	-2.88	-2.59	-2.79
Feb-08	-0.89	-0.06	-0.90	0.13	-1.02	-0.19	-1.03
Mar-08	5.64	6.32	4.77	0.17	5.47	6.15	4.60
Apr-08	1.44	3.00	1.51	0.17	1.27	2.83	1.34
May-08	-7.18	-6.25	-8.35	0.17	-7.35	-6.42	-8.52
Jun-08	-1.80	-0.40	-0.90	0.17	-1.97	-0.57	-1.07
Jul-08	1.37	0.45	1.55	0.15	1.22	0.30	1.40
Aug-08	-7.50	-11.63	-9.42	0.12	-7.62	-11.75	-9.54
Sep-08	-18.16	-15.45	-16.52	0.15	-18.31	-15.60	-16.67
Oct-08	-7.16	-7.93	-6.96	0.08	-7.24	-8.01	-7.04
Nov-08	2.70	0.57	0.99	0.02	2.68	0.55	0.97
Dec-08	-10.76	-4.49	-8.22	0.09	-10.85	-4.58	-8.31

Conclusion

Excess returns have been shown in the spread sheet.

Summary Introduction

(b)
To calculate:

In this part of the problem we have to calculate standard deviation of each fund.

Expert Solution

Explanation of Solution

Standard deviation on excel can be calculated by using formula as = stdev
Then we have to choose the data accordingly to calculate standard deviation.

	Total monthly returns				Excess Returns
Month	Vanguard	Value Fund	S&P	T-bills	Vanguard	Value Fund	S&P
Jan-04	1.52	-0.07	1.35	0.07	1.45	-0.14	1.28
Feb-04	-0.53	-0.99	-1.32	0.06	-0.59	-1.05	-1.38
Mar-04	-2.69	-2.46	-1.89	0.09	-2.78	-2.55	-1.98
Apr-04	0.22	2.52	1.70	0.08	0.14	2.44	1.62
May-04	2.53	1.39	1.85	0.06	2.47	1.33	1.79
Jun-04	-1.93	-7.46	-3.22	0.08	-2.01	-7.54	-3.30
Jul-04	0.99	-0.78	0.25	0.1	0.89	-0.88	0.15
Aug-04	1.52	2.49	1.00	0.11	1.41	2.38	0.89
Sep-04	0.21	1.46	1.29	0.11	0.10	1.35	1.18
Oct-04	5.22	4.66	4.46	0.11	5.11	4.55	4.35
Nov-04	3.24	3.60	3.01	0.15	3.09	3.45	2.86
Dec-04	-2.36	-3.48	-2.24	0.16	-2.52	-3.64	-2.40
Jan-05	3.62	0.79	2.09	0.16	3.46	0.63	1.93
Feb-05	-2.33	-2.86	-1.83	0.16	-2.49	-3.02	-1.99
Mar-05	-2.68	-2.41	-1.87	0.21	-2.89	-2.62	-2.08
Apr-05	4.08	7.13	3.22	0.21	3.87	6.92	3.01
May-05	2.25	0.51	0.15	0.24	2.01	0.27	-0.09
Jun-05	3.55	5.28	3.82	0.23	3.32	5.05	3.59
Jul-05	-1.85	-0.85	-0.93	0.24	-2.09	-1.09	-1.17
Aug-05	0.38	1.34	0.80	0.3	0.08	1.04	0.50
Sep-05	-1.88	0.30	-2.36	0.29	-2.17	0.01	-2.65
Oct-05	2.87	5.04	4.39	0.27	2.60	4.77	4.12
Nov-05	0.93	0.46	-0.19	0.31	0.62	0.15	-0.50
Dec-05	3.41	3.30	2.41	0.32	3.09	2.98	2.09
Jan-06	0.00	-1.82	0.57	0.35	-0.35	-2.17	0.22
Feb-06	0.71	0.34	1.65	0.34	0.37	0.00	1.31
Mar-06	0.53	-0.45	1.26	0.37	0.16	-0.82	0.89
Apr-06	-3.00	-5.84	-3.01	0.36	-3.36	-6.20	-3.37
May-06	-0.27	-1.55	0.26	0.43	-0.70	-1.98	-0.17
Jun-06	1.09	-2.36	0.45	0.4	0.69	-2.76	0.05
Jul-06	2.70	3.60	2.18	0.4	2.30	3.20	1.78
Aug-06	2.63	2.87	2.70	0.42	2.21	2.45	2.28
Sep-06	2.56	1.92	3.16	0.41	2.15	1.51	2.75
Oct-06	0.75	1.94	1.99	0.41	0.34	1.53	1.58
Nov-06	2.32	0.22	0.77	0.42	1.90	-0.20	0.35
Dec-06	1.86	2.18	1.51	0.4	1.46	1.78	1.11
Jan-07	-2.30	-1.69	-1.96	0.44	-2.74	-2.13	-2.40
Feb-07	0.81	0.89	1.16	0.38	0.43	0.51	0.78
Mar-07	3.87	2.92	4.42	0.43	3.44	2.49	3.99
Apr-07	3.65	3.37	3.39	0.44	3.21	2.93	2.95
May-07	-2.02	-1.14	-1.46	0.41	-2.43	-1.55	-1.87
Jun-07	-4.74	-0.79	-3.13	0.4	-5.14	-1.19	-3.53
Jul-07	1.12	1.11	1.28	0.4	0.72	0.71	0.88
Aug-07	2.54	4.91	3.88	0.42	2.12	4.49	3.46
Sep-07	0.39	2.19	1.35	0.32	0.07	1.87	1.03
Oct-07	-5.86	-3.90	-3.87	0.32	-6.18	-4.22	-4.19
Nov-07	0.25	0.00	-1.13	0.34	-0.09	-0.34	-1.47
Dec-07	-5.39	-10.34	-6.04	0.27	-5.66	-10.61	-6.31
Jan-08	-2.67	-2.38	-2.58	0.21	-2.88	-2.59	-2.79
Feb-08	-0.89	-0.06	-0.90	0.13	-1.02	-0.19	-1.03
Mar-08	5.64	6.32	4.77	0.17	5.47	6.15	4.60
Apr-08	1.44	3.00	1.51	0.17	1.27	2.83	1.34
May-08	-7.18	-6.25	-8.35	0.17	-7.35	-6.42	-8.52
Jun-08	-1.80	-0.40	-0.90	0.17	-1.97	-0.57	-1.07
Jul-08	1.37	0.45	1.55	0.15	1.22	0.30	1.40
Aug-08	-7.50	-11.63	-9.42	0.12	-7.62	-11.75	-9.54
Sep-08	-18.16	-15.45	-16.52	0.15	-18.31	-15.60	-16.67
Oct-08	-7.16	-7.93	-6.96	0.08	-7.24	-8.01	-7.04
Nov-08	2.70	0.57	0.99	0.02	2.68	0.55	0.97
Dec-08	-10.76	-4.49	-8.22	0.09	-10.85	-4.58	-8.31
				Average	-0.59	-0.60	-0.55
				Standard Deviation	4.05	4.21	3.81

Conclusion

Standard deviation for the two funds is 4.05 and 4.21.

Summary Introduction

(d)

To Calculate:

In this question we have to calculate Sharpe, Jensen and Treynor ratio for each fund.

Expert Solution

Explanation of Solution

All these ratios are calculated as:

Sharpe ratio=
Excess Return / standard devation ESSENTIALS OF INVESTMENTS SELECT CHAPT, Chapter 18, Problem 17PS , additional homework tip 1

Treynor=Excess return / Beta ESSENTIALS OF INVESTMENTS SELECT CHAPT, Chapter 18, Problem 17PS , additional homework tip 2
Jensen=α_P = E(r_P) − {r_f + β_P [E(r_M) − r_f]}

	Total monthly returns				Excess Returns
Month	Vanguard	Value Fund	S&P	T-bills	Vanguard	Value Fund	S&P
Jan-04	1.52	-0.07	1.35	0.07	1.45	-0.14	1.28
Feb-04	-0.53	-0.99	-1.32	0.06	-0.59	-1.05	-1.38
Mar-04	-2.69	-2.46	-1.89	0.09	-2.78	-2.55	-1.98
Apr-04	0.22	2.52	1.70	0.08	0.14	2.44	1.62
May-04	2.53	1.39	1.85	0.06	2.47	1.33	1.79
Jun-04	-1.93	-7.46	-3.22	0.08	-2.01	-7.54	-3.30
Jul-04	0.99	-0.78	0.25	0.1	0.89	-0.88	0.15
Aug-04	1.52	2.49	1.00	0.11	1.41	2.38	0.89
Sep-04	0.21	1.46	1.29	0.11	0.10	1.35	1.18
Oct-04	5.22	4.66	4.46	0.11	5.11	4.55	4.35
Nov-04	3.24	3.60	3.01	0.15	3.09	3.45	2.86
Dec-04	-2.36	-3.48	-2.24	0.16	-2.52	-3.64	-2.40
Jan-05	3.62	0.79	2.09	0.16	3.46	0.63	1.93
Feb-05	-2.33	-2.86	-1.83	0.16	-2.49	-3.02	-1.99
Mar-05	-2.68	-2.41	-1.87	0.21	-2.89	-2.62	-2.08
Apr-05	4.08	7.13	3.22	0.21	3.87	6.92	3.01
May-05	2.25	0.51	0.15	0.24	2.01	0.27	-0.09
Jun-05	3.55	5.28	3.82	0.23	3.32	5.05	3.59
Jul-05	-1.85	-0.85	-0.93	0.24	-2.09	-1.09	-1.17
Aug-05	0.38	1.34	0.80	0.3	0.08	1.04	0.50
Sep-05	-1.88	0.30	-2.36	0.29	-2.17	0.01	-2.65
Oct-05	2.87	5.04	4.39	0.27	2.60	4.77	4.12
Nov-05	0.93	0.46	-0.19	0.31	0.62	0.15	-0.50
Dec-05	3.41	3.30	2.41	0.32	3.09	2.98	2.09
Jan-06	0.00	-1.82	0.57	0.35	-0.35	-2.17	0.22
Feb-06	0.71	0.34	1.65	0.34	0.37	0.00	1.31
Mar-06	0.53	-0.45	1.26	0.37	0.16	-0.82	0.89
Apr-06	-3.00	-5.84	-3.01	0.36	-3.36	-6.20	-3.37
May-06	-0.27	-1.55	0.26	0.43	-0.70	-1.98	-0.17
Jun-06	1.09	-2.36	0.45	0.4	0.69	-2.76	0.05
Jul-06	2.70	3.60	2.18	0.4	2.30	3.20	1.78
Aug-06	2.63	2.87	2.70	0.42	2.21	2.45	2.28
Sep-06	2.56	1.92	3.16	0.41	2.15	1.51	2.75
Oct-06	0.75	1.94	1.99	0.41	0.34	1.53	1.58
Nov-06	2.32	0.22	0.77	0.42	1.90	-0.20	0.35
Dec-06	1.86	2.18	1.51	0.4	1.46	1.78	1.11
Jan-07	-2.30	-1.69	-1.96	0.44	-2.74	-2.13	-2.40
Feb-07	0.81	0.89	1.16	0.38	0.43	0.51	0.78
Mar-07	3.87	2.92	4.42	0.43	3.44	2.49	3.99
Apr-07	3.65	3.37	3.39	0.44	3.21	2.93	2.95
May-07	-2.02	-1.14	-1.46	0.41	-2.43	-1.55	-1.87
Jun-07	-4.74	-0.79	-3.13	0.4	-5.14	-1.19	-3.53
Jul-07	1.12	1.11	1.28	0.4	0.72	0.71	0.88
Aug-07	2.54	4.91	3.88	0.42	2.12	4.49	3.46
Sep-07	0.39	2.19	1.35	0.32	0.07	1.87	1.03
Oct-07	-5.86	-3.90	-3.87	0.32	-6.18	-4.22	-4.19
Nov-07	0.25	0.00	-1.13	0.34	-0.09	-0.34	-1.47
Dec-07	-5.39	-10.34	-6.04	0.27	-5.66	-10.61	-6.31
Jan-08	-2.67	-2.38	-2.58	0.21	-2.88	-2.59	-2.79
Feb-08	-0.89	-0.06	-0.90	0.13	-1.02	-0.19	-1.03
Mar-08	5.64	6.32	4.77	0.17	5.47	6.15	4.60
Apr-08	1.44	3.00	1.51	0.17	1.27	2.83	1.34
May-08	-7.18	-6.25	-8.35	0.17	-7.35	-6.42	-8.52
Jun-08	-1.80	-0.40	-0.90	0.17	-1.97	-0.57	-1.07
Jul-08	1.37	0.45	1.55	0.15	1.22	0.30	1.40
Aug-08	-7.50	-11.63	-9.42	0.12	-7.62	-11.75	-9.54
Sep-08	-18.16	-15.45	-16.52	0.15	-18.31	-15.60	-16.67
Oct-08	-7.16	-7.93	-6.96	0.08	-7.24	-8.01	-7.04
Nov-08	2.70	0.57	0.99	0.02	2.68	0.55	0.97
Dec-08	-10.76	-4.49	-8.22	0.09	-10.85	-4.58	-8.31
				Average	-0.59	-0.60	-0.55
				Sharpe ratio	-0.15	-0.14	-0.14
				Alpha	-0.03	-0.04	0.00
				Treynor	-0.57	-0.58	-0.55

Conclusion

Alpha	-0.03	-0.04	0.00
Treynor	-0.57	-0.58	-0.55

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Answer 2

Question

Chapter 18, Problem 17PS

Summary Introduction

(a)
To calculate:

We have to collect the data as given in Connect and calculate each fund's excess return.

Expert Solution

Explanation of Solution

Excess returns are calculated as shown below. Period chosen is from 2004 to 2008.

	Total monthly returns				Excess Returns
Month	Vanguard	Value Fund	S&P	T-bills	Vanguard	Value Fund	S&P
Jan-04	1.52	-0.07	1.35	0.07	1.45	-0.14	1.28
Feb-04	-0.53	-0.99	-1.32	0.06	-0.59	-1.05	-1.38
Mar-04	-2.69	-2.46	-1.89	0.09	-2.78	-2.55	-1.98
Apr-04	0.22	2.52	1.70	0.08	0.14	2.44	1.62
May-04	2.53	1.39	1.85	0.06	2.47	1.33	1.79
Jun-04	-1.93	-7.46	-3.22	0.08	-2.01	-7.54	-3.30
Jul-04	0.99	-0.78	0.25	0.1	0.89	-0.88	0.15
Aug-04	1.52	2.49	1.00	0.11	1.41	2.38	0.89
Sep-04	0.21	1.46	1.29	0.11	0.10	1.35	1.18
Oct-04	5.22	4.66	4.46	0.11	5.11	4.55	4.35
Nov-04	3.24	3.60	3.01	0.15	3.09	3.45	2.86
Dec-04	-2.36	-3.48	-2.24	0.16	-2.52	-3.64	-2.40
Jan-05	3.62	0.79	2.09	0.16	3.46	0.63	1.93
Feb-05	-2.33	-2.86	-1.83	0.16	-2.49	-3.02	-1.99
Mar-05	-2.68	-2.41	-1.87	0.21	-2.89	-2.62	-2.08
Apr-05	4.08	7.13	3.22	0.21	3.87	6.92	3.01
May-05	2.25	0.51	0.15	0.24	2.01	0.27	-0.09
Jun-05	3.55	5.28	3.82	0.23	3.32	5.05	3.59
Jul-05	-1.85	-0.85	-0.93	0.24	-2.09	-1.09	-1.17
Aug-05	0.38	1.34	0.80	0.3	0.08	1.04	0.50
Sep-05	-1.88	0.30	-2.36	0.29	-2.17	0.01	-2.65
Oct-05	2.87	5.04	4.39	0.27	2.60	4.77	4.12
Nov-05	0.93	0.46	-0.19	0.31	0.62	0.15	-0.50
Dec-05	3.41	3.30	2.41	0.32	3.09	2.98	2.09
Jan-06	0.00	-1.82	0.57	0.35	-0.35	-2.17	0.22
Feb-06	0.71	0.34	1.65	0.34	0.37	0.00	1.31
Mar-06	0.53	-0.45	1.26	0.37	0.16	-0.82	0.89
Apr-06	-3.00	-5.84	-3.01	0.36	-3.36	-6.20	-3.37
May-06	-0.27	-1.55	0.26	0.43	-0.70	-1.98	-0.17
Jun-06	1.09	-2.36	0.45	0.4	0.69	-2.76	0.05
Jul-06	2.70	3.60	2.18	0.4	2.30	3.20	1.78
Aug-06	2.63	2.87	2.70	0.42	2.21	2.45	2.28
Sep-06	2.56	1.92	3.16	0.41	2.15	1.51	2.75
Oct-06	0.75	1.94	1.99	0.41	0.34	1.53	1.58
Nov-06	2.32	0.22	0.77	0.42	1.90	-0.20	0.35
Dec-06	1.86	2.18	1.51	0.4	1.46	1.78	1.11
Jan-07	-2.30	-1.69	-1.96	0.44	-2.74	-2.13	-2.40
Feb-07	0.81	0.89	1.16	0.38	0.43	0.51	0.78
Mar-07	3.87	2.92	4.42	0.43	3.44	2.49	3.99
Apr-07	3.65	3.37	3.39	0.44	3.21	2.93	2.95
May-07	-2.02	-1.14	-1.46	0.41	-2.43	-1.55	-1.87
Jun-07	-4.74	-0.79	-3.13	0.4	-5.14	-1.19	-3.53
Jul-07	1.12	1.11	1.28	0.4	0.72	0.71	0.88
Aug-07	2.54	4.91	3.88	0.42	2.12	4.49	3.46
Sep-07	0.39	2.19	1.35	0.32	0.07	1.87	1.03
Oct-07	-5.86	-3.90	-3.87	0.32	-6.18	-4.22	-4.19
Nov-07	0.25	0.00	-1.13	0.34	-0.09	-0.34	-1.47
Dec-07	-5.39	-10.34	-6.04	0.27	-5.66	-10.61	-6.31
Jan-08	-2.67	-2.38	-2.58	0.21	-2.88	-2.59	-2.79
Feb-08	-0.89	-0.06	-0.90	0.13	-1.02	-0.19	-1.03
Mar-08	5.64	6.32	4.77	0.17	5.47	6.15	4.60
Apr-08	1.44	3.00	1.51	0.17	1.27	2.83	1.34
May-08	-7.18	-6.25	-8.35	0.17	-7.35	-6.42	-8.52
Jun-08	-1.80	-0.40	-0.90	0.17	-1.97	-0.57	-1.07
Jul-08	1.37	0.45	1.55	0.15	1.22	0.30	1.40
Aug-08	-7.50	-11.63	-9.42	0.12	-7.62	-11.75	-9.54
Sep-08	-18.16	-15.45	-16.52	0.15	-18.31	-15.60	-16.67
Oct-08	-7.16	-7.93	-6.96	0.08	-7.24	-8.01	-7.04
Nov-08	2.70	0.57	0.99	0.02	2.68	0.55	0.97
Dec-08	-10.76	-4.49	-8.22	0.09	-10.85	-4.58	-8.31

Conclusion

Excess returns have been shown in the spread sheet.

Summary Introduction

(b)
To calculate:

In this part of the problem we have to calculate standard deviation of each fund.

Expert Solution

Explanation of Solution

Standard deviation on excel can be calculated by using formula as = stdev
Then we have to choose the data accordingly to calculate standard deviation.

	Total monthly returns				Excess Returns
Month	Vanguard	Value Fund	S&P	T-bills	Vanguard	Value Fund	S&P
Jan-04	1.52	-0.07	1.35	0.07	1.45	-0.14	1.28
Feb-04	-0.53	-0.99	-1.32	0.06	-0.59	-1.05	-1.38
Mar-04	-2.69	-2.46	-1.89	0.09	-2.78	-2.55	-1.98
Apr-04	0.22	2.52	1.70	0.08	0.14	2.44	1.62
May-04	2.53	1.39	1.85	0.06	2.47	1.33	1.79
Jun-04	-1.93	-7.46	-3.22	0.08	-2.01	-7.54	-3.30
Jul-04	0.99	-0.78	0.25	0.1	0.89	-0.88	0.15
Aug-04	1.52	2.49	1.00	0.11	1.41	2.38	0.89
Sep-04	0.21	1.46	1.29	0.11	0.10	1.35	1.18
Oct-04	5.22	4.66	4.46	0.11	5.11	4.55	4.35
Nov-04	3.24	3.60	3.01	0.15	3.09	3.45	2.86
Dec-04	-2.36	-3.48	-2.24	0.16	-2.52	-3.64	-2.40
Jan-05	3.62	0.79	2.09	0.16	3.46	0.63	1.93
Feb-05	-2.33	-2.86	-1.83	0.16	-2.49	-3.02	-1.99
Mar-05	-2.68	-2.41	-1.87	0.21	-2.89	-2.62	-2.08
Apr-05	4.08	7.13	3.22	0.21	3.87	6.92	3.01
May-05	2.25	0.51	0.15	0.24	2.01	0.27	-0.09
Jun-05	3.55	5.28	3.82	0.23	3.32	5.05	3.59
Jul-05	-1.85	-0.85	-0.93	0.24	-2.09	-1.09	-1.17
Aug-05	0.38	1.34	0.80	0.3	0.08	1.04	0.50
Sep-05	-1.88	0.30	-2.36	0.29	-2.17	0.01	-2.65
Oct-05	2.87	5.04	4.39	0.27	2.60	4.77	4.12
Nov-05	0.93	0.46	-0.19	0.31	0.62	0.15	-0.50
Dec-05	3.41	3.30	2.41	0.32	3.09	2.98	2.09
Jan-06	0.00	-1.82	0.57	0.35	-0.35	-2.17	0.22
Feb-06	0.71	0.34	1.65	0.34	0.37	0.00	1.31
Mar-06	0.53	-0.45	1.26	0.37	0.16	-0.82	0.89
Apr-06	-3.00	-5.84	-3.01	0.36	-3.36	-6.20	-3.37
May-06	-0.27	-1.55	0.26	0.43	-0.70	-1.98	-0.17
Jun-06	1.09	-2.36	0.45	0.4	0.69	-2.76	0.05
Jul-06	2.70	3.60	2.18	0.4	2.30	3.20	1.78
Aug-06	2.63	2.87	2.70	0.42	2.21	2.45	2.28
Sep-06	2.56	1.92	3.16	0.41	2.15	1.51	2.75
Oct-06	0.75	1.94	1.99	0.41	0.34	1.53	1.58
Nov-06	2.32	0.22	0.77	0.42	1.90	-0.20	0.35
Dec-06	1.86	2.18	1.51	0.4	1.46	1.78	1.11
Jan-07	-2.30	-1.69	-1.96	0.44	-2.74	-2.13	-2.40
Feb-07	0.81	0.89	1.16	0.38	0.43	0.51	0.78
Mar-07	3.87	2.92	4.42	0.43	3.44	2.49	3.99
Apr-07	3.65	3.37	3.39	0.44	3.21	2.93	2.95
May-07	-2.02	-1.14	-1.46	0.41	-2.43	-1.55	-1.87
Jun-07	-4.74	-0.79	-3.13	0.4	-5.14	-1.19	-3.53
Jul-07	1.12	1.11	1.28	0.4	0.72	0.71	0.88
Aug-07	2.54	4.91	3.88	0.42	2.12	4.49	3.46
Sep-07	0.39	2.19	1.35	0.32	0.07	1.87	1.03
Oct-07	-5.86	-3.90	-3.87	0.32	-6.18	-4.22	-4.19
Nov-07	0.25	0.00	-1.13	0.34	-0.09	-0.34	-1.47
Dec-07	-5.39	-10.34	-6.04	0.27	-5.66	-10.61	-6.31
Jan-08	-2.67	-2.38	-2.58	0.21	-2.88	-2.59	-2.79
Feb-08	-0.89	-0.06	-0.90	0.13	-1.02	-0.19	-1.03
Mar-08	5.64	6.32	4.77	0.17	5.47	6.15	4.60
Apr-08	1.44	3.00	1.51	0.17	1.27	2.83	1.34
May-08	-7.18	-6.25	-8.35	0.17	-7.35	-6.42	-8.52
Jun-08	-1.80	-0.40	-0.90	0.17	-1.97	-0.57	-1.07
Jul-08	1.37	0.45	1.55	0.15	1.22	0.30	1.40
Aug-08	-7.50	-11.63	-9.42	0.12	-7.62	-11.75	-9.54
Sep-08	-18.16	-15.45	-16.52	0.15	-18.31	-15.60	-16.67
Oct-08	-7.16	-7.93	-6.96	0.08	-7.24	-8.01	-7.04
Nov-08	2.70	0.57	0.99	0.02	2.68	0.55	0.97
Dec-08	-10.76	-4.49	-8.22	0.09	-10.85	-4.58	-8.31
				Average	-0.59	-0.60	-0.55
				Standard Deviation	4.05	4.21	3.81

Conclusion

Standard deviation for the two funds is 4.05 and 4.21.

Summary Introduction

(d)

To Calculate:

In this question we have to calculate Sharpe, Jensen and Treynor ratio for each fund.

Expert Solution

Explanation of Solution

All these ratios are calculated as:

Sharpe ratio=
Excess Return / standard devation ESSENTIALS OF INVESTMENTS SELECT CHAPT, Chapter 18, Problem 17PS , additional homework tip 1

Treynor=Excess return / Beta ESSENTIALS OF INVESTMENTS SELECT CHAPT, Chapter 18, Problem 17PS , additional homework tip 2
Jensen=α_P = E(r_P) − {r_f + β_P [E(r_M) − r_f]}

	Total monthly returns				Excess Returns
Month	Vanguard	Value Fund	S&P	T-bills	Vanguard	Value Fund	S&P
Jan-04	1.52	-0.07	1.35	0.07	1.45	-0.14	1.28
Feb-04	-0.53	-0.99	-1.32	0.06	-0.59	-1.05	-1.38
Mar-04	-2.69	-2.46	-1.89	0.09	-2.78	-2.55	-1.98
Apr-04	0.22	2.52	1.70	0.08	0.14	2.44	1.62
May-04	2.53	1.39	1.85	0.06	2.47	1.33	1.79
Jun-04	-1.93	-7.46	-3.22	0.08	-2.01	-7.54	-3.30
Jul-04	0.99	-0.78	0.25	0.1	0.89	-0.88	0.15
Aug-04	1.52	2.49	1.00	0.11	1.41	2.38	0.89
Sep-04	0.21	1.46	1.29	0.11	0.10	1.35	1.18
Oct-04	5.22	4.66	4.46	0.11	5.11	4.55	4.35
Nov-04	3.24	3.60	3.01	0.15	3.09	3.45	2.86
Dec-04	-2.36	-3.48	-2.24	0.16	-2.52	-3.64	-2.40
Jan-05	3.62	0.79	2.09	0.16	3.46	0.63	1.93
Feb-05	-2.33	-2.86	-1.83	0.16	-2.49	-3.02	-1.99
Mar-05	-2.68	-2.41	-1.87	0.21	-2.89	-2.62	-2.08
Apr-05	4.08	7.13	3.22	0.21	3.87	6.92	3.01
May-05	2.25	0.51	0.15	0.24	2.01	0.27	-0.09
Jun-05	3.55	5.28	3.82	0.23	3.32	5.05	3.59
Jul-05	-1.85	-0.85	-0.93	0.24	-2.09	-1.09	-1.17
Aug-05	0.38	1.34	0.80	0.3	0.08	1.04	0.50
Sep-05	-1.88	0.30	-2.36	0.29	-2.17	0.01	-2.65
Oct-05	2.87	5.04	4.39	0.27	2.60	4.77	4.12
Nov-05	0.93	0.46	-0.19	0.31	0.62	0.15	-0.50
Dec-05	3.41	3.30	2.41	0.32	3.09	2.98	2.09
Jan-06	0.00	-1.82	0.57	0.35	-0.35	-2.17	0.22
Feb-06	0.71	0.34	1.65	0.34	0.37	0.00	1.31
Mar-06	0.53	-0.45	1.26	0.37	0.16	-0.82	0.89
Apr-06	-3.00	-5.84	-3.01	0.36	-3.36	-6.20	-3.37
May-06	-0.27	-1.55	0.26	0.43	-0.70	-1.98	-0.17
Jun-06	1.09	-2.36	0.45	0.4	0.69	-2.76	0.05
Jul-06	2.70	3.60	2.18	0.4	2.30	3.20	1.78
Aug-06	2.63	2.87	2.70	0.42	2.21	2.45	2.28
Sep-06	2.56	1.92	3.16	0.41	2.15	1.51	2.75
Oct-06	0.75	1.94	1.99	0.41	0.34	1.53	1.58
Nov-06	2.32	0.22	0.77	0.42	1.90	-0.20	0.35
Dec-06	1.86	2.18	1.51	0.4	1.46	1.78	1.11
Jan-07	-2.30	-1.69	-1.96	0.44	-2.74	-2.13	-2.40
Feb-07	0.81	0.89	1.16	0.38	0.43	0.51	0.78
Mar-07	3.87	2.92	4.42	0.43	3.44	2.49	3.99
Apr-07	3.65	3.37	3.39	0.44	3.21	2.93	2.95
May-07	-2.02	-1.14	-1.46	0.41	-2.43	-1.55	-1.87
Jun-07	-4.74	-0.79	-3.13	0.4	-5.14	-1.19	-3.53
Jul-07	1.12	1.11	1.28	0.4	0.72	0.71	0.88
Aug-07	2.54	4.91	3.88	0.42	2.12	4.49	3.46
Sep-07	0.39	2.19	1.35	0.32	0.07	1.87	1.03
Oct-07	-5.86	-3.90	-3.87	0.32	-6.18	-4.22	-4.19
Nov-07	0.25	0.00	-1.13	0.34	-0.09	-0.34	-1.47
Dec-07	-5.39	-10.34	-6.04	0.27	-5.66	-10.61	-6.31
Jan-08	-2.67	-2.38	-2.58	0.21	-2.88	-2.59	-2.79
Feb-08	-0.89	-0.06	-0.90	0.13	-1.02	-0.19	-1.03
Mar-08	5.64	6.32	4.77	0.17	5.47	6.15	4.60
Apr-08	1.44	3.00	1.51	0.17	1.27	2.83	1.34
May-08	-7.18	-6.25	-8.35	0.17	-7.35	-6.42	-8.52
Jun-08	-1.80	-0.40	-0.90	0.17	-1.97	-0.57	-1.07
Jul-08	1.37	0.45	1.55	0.15	1.22	0.30	1.40
Aug-08	-7.50	-11.63	-9.42	0.12	-7.62	-11.75	-9.54
Sep-08	-18.16	-15.45	-16.52	0.15	-18.31	-15.60	-16.67
Oct-08	-7.16	-7.93	-6.96	0.08	-7.24	-8.01	-7.04
Nov-08	2.70	0.57	0.99	0.02	2.68	0.55	0.97
Dec-08	-10.76	-4.49	-8.22	0.09	-10.85	-4.58	-8.31
				Average	-0.59	-0.60	-0.55
				Sharpe ratio	-0.15	-0.14	-0.14
				Alpha	-0.03	-0.04	0.00
				Treynor	-0.57	-0.58	-0.55

Conclusion

Alpha	-0.03	-0.04	0.00
Treynor	-0.57	-0.58	-0.55

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Answer 3

Question

Chapter 18, Problem 17PS

Summary Introduction

(a)
To calculate:

We have to collect the data as given in Connect and calculate each fund's excess return.

Expert Solution

Explanation of Solution

Excess returns are calculated as shown below. Period chosen is from 2004 to 2008.

	Total monthly returns				Excess Returns
Month	Vanguard	Value Fund	S&P	T-bills	Vanguard	Value Fund	S&P
Jan-04	1.52	-0.07	1.35	0.07	1.45	-0.14	1.28
Feb-04	-0.53	-0.99	-1.32	0.06	-0.59	-1.05	-1.38
Mar-04	-2.69	-2.46	-1.89	0.09	-2.78	-2.55	-1.98
Apr-04	0.22	2.52	1.70	0.08	0.14	2.44	1.62
May-04	2.53	1.39	1.85	0.06	2.47	1.33	1.79
Jun-04	-1.93	-7.46	-3.22	0.08	-2.01	-7.54	-3.30
Jul-04	0.99	-0.78	0.25	0.1	0.89	-0.88	0.15
Aug-04	1.52	2.49	1.00	0.11	1.41	2.38	0.89
Sep-04	0.21	1.46	1.29	0.11	0.10	1.35	1.18
Oct-04	5.22	4.66	4.46	0.11	5.11	4.55	4.35
Nov-04	3.24	3.60	3.01	0.15	3.09	3.45	2.86
Dec-04	-2.36	-3.48	-2.24	0.16	-2.52	-3.64	-2.40
Jan-05	3.62	0.79	2.09	0.16	3.46	0.63	1.93
Feb-05	-2.33	-2.86	-1.83	0.16	-2.49	-3.02	-1.99
Mar-05	-2.68	-2.41	-1.87	0.21	-2.89	-2.62	-2.08
Apr-05	4.08	7.13	3.22	0.21	3.87	6.92	3.01
May-05	2.25	0.51	0.15	0.24	2.01	0.27	-0.09
Jun-05	3.55	5.28	3.82	0.23	3.32	5.05	3.59
Jul-05	-1.85	-0.85	-0.93	0.24	-2.09	-1.09	-1.17
Aug-05	0.38	1.34	0.80	0.3	0.08	1.04	0.50
Sep-05	-1.88	0.30	-2.36	0.29	-2.17	0.01	-2.65
Oct-05	2.87	5.04	4.39	0.27	2.60	4.77	4.12
Nov-05	0.93	0.46	-0.19	0.31	0.62	0.15	-0.50
Dec-05	3.41	3.30	2.41	0.32	3.09	2.98	2.09
Jan-06	0.00	-1.82	0.57	0.35	-0.35	-2.17	0.22
Feb-06	0.71	0.34	1.65	0.34	0.37	0.00	1.31
Mar-06	0.53	-0.45	1.26	0.37	0.16	-0.82	0.89
Apr-06	-3.00	-5.84	-3.01	0.36	-3.36	-6.20	-3.37
May-06	-0.27	-1.55	0.26	0.43	-0.70	-1.98	-0.17
Jun-06	1.09	-2.36	0.45	0.4	0.69	-2.76	0.05
Jul-06	2.70	3.60	2.18	0.4	2.30	3.20	1.78
Aug-06	2.63	2.87	2.70	0.42	2.21	2.45	2.28
Sep-06	2.56	1.92	3.16	0.41	2.15	1.51	2.75
Oct-06	0.75	1.94	1.99	0.41	0.34	1.53	1.58
Nov-06	2.32	0.22	0.77	0.42	1.90	-0.20	0.35
Dec-06	1.86	2.18	1.51	0.4	1.46	1.78	1.11
Jan-07	-2.30	-1.69	-1.96	0.44	-2.74	-2.13	-2.40
Feb-07	0.81	0.89	1.16	0.38	0.43	0.51	0.78
Mar-07	3.87	2.92	4.42	0.43	3.44	2.49	3.99
Apr-07	3.65	3.37	3.39	0.44	3.21	2.93	2.95
May-07	-2.02	-1.14	-1.46	0.41	-2.43	-1.55	-1.87
Jun-07	-4.74	-0.79	-3.13	0.4	-5.14	-1.19	-3.53
Jul-07	1.12	1.11	1.28	0.4	0.72	0.71	0.88
Aug-07	2.54	4.91	3.88	0.42	2.12	4.49	3.46
Sep-07	0.39	2.19	1.35	0.32	0.07	1.87	1.03
Oct-07	-5.86	-3.90	-3.87	0.32	-6.18	-4.22	-4.19
Nov-07	0.25	0.00	-1.13	0.34	-0.09	-0.34	-1.47
Dec-07	-5.39	-10.34	-6.04	0.27	-5.66	-10.61	-6.31
Jan-08	-2.67	-2.38	-2.58	0.21	-2.88	-2.59	-2.79
Feb-08	-0.89	-0.06	-0.90	0.13	-1.02	-0.19	-1.03
Mar-08	5.64	6.32	4.77	0.17	5.47	6.15	4.60
Apr-08	1.44	3.00	1.51	0.17	1.27	2.83	1.34
May-08	-7.18	-6.25	-8.35	0.17	-7.35	-6.42	-8.52
Jun-08	-1.80	-0.40	-0.90	0.17	-1.97	-0.57	-1.07
Jul-08	1.37	0.45	1.55	0.15	1.22	0.30	1.40
Aug-08	-7.50	-11.63	-9.42	0.12	-7.62	-11.75	-9.54
Sep-08	-18.16	-15.45	-16.52	0.15	-18.31	-15.60	-16.67
Oct-08	-7.16	-7.93	-6.96	0.08	-7.24	-8.01	-7.04
Nov-08	2.70	0.57	0.99	0.02	2.68	0.55	0.97
Dec-08	-10.76	-4.49	-8.22	0.09	-10.85	-4.58	-8.31

Conclusion

Excess returns have been shown in the spread sheet.

Summary Introduction

(b)
To calculate:

In this part of the problem we have to calculate standard deviation of each fund.

Expert Solution

Explanation of Solution

Standard deviation on excel can be calculated by using formula as = stdev
Then we have to choose the data accordingly to calculate standard deviation.

	Total monthly returns				Excess Returns
Month	Vanguard	Value Fund	S&P	T-bills	Vanguard	Value Fund	S&P
Jan-04	1.52	-0.07	1.35	0.07	1.45	-0.14	1.28
Feb-04	-0.53	-0.99	-1.32	0.06	-0.59	-1.05	-1.38
Mar-04	-2.69	-2.46	-1.89	0.09	-2.78	-2.55	-1.98
Apr-04	0.22	2.52	1.70	0.08	0.14	2.44	1.62
May-04	2.53	1.39	1.85	0.06	2.47	1.33	1.79
Jun-04	-1.93	-7.46	-3.22	0.08	-2.01	-7.54	-3.30
Jul-04	0.99	-0.78	0.25	0.1	0.89	-0.88	0.15
Aug-04	1.52	2.49	1.00	0.11	1.41	2.38	0.89
Sep-04	0.21	1.46	1.29	0.11	0.10	1.35	1.18
Oct-04	5.22	4.66	4.46	0.11	5.11	4.55	4.35
Nov-04	3.24	3.60	3.01	0.15	3.09	3.45	2.86
Dec-04	-2.36	-3.48	-2.24	0.16	-2.52	-3.64	-2.40
Jan-05	3.62	0.79	2.09	0.16	3.46	0.63	1.93
Feb-05	-2.33	-2.86	-1.83	0.16	-2.49	-3.02	-1.99
Mar-05	-2.68	-2.41	-1.87	0.21	-2.89	-2.62	-2.08
Apr-05	4.08	7.13	3.22	0.21	3.87	6.92	3.01
May-05	2.25	0.51	0.15	0.24	2.01	0.27	-0.09
Jun-05	3.55	5.28	3.82	0.23	3.32	5.05	3.59
Jul-05	-1.85	-0.85	-0.93	0.24	-2.09	-1.09	-1.17
Aug-05	0.38	1.34	0.80	0.3	0.08	1.04	0.50
Sep-05	-1.88	0.30	-2.36	0.29	-2.17	0.01	-2.65
Oct-05	2.87	5.04	4.39	0.27	2.60	4.77	4.12
Nov-05	0.93	0.46	-0.19	0.31	0.62	0.15	-0.50
Dec-05	3.41	3.30	2.41	0.32	3.09	2.98	2.09
Jan-06	0.00	-1.82	0.57	0.35	-0.35	-2.17	0.22
Feb-06	0.71	0.34	1.65	0.34	0.37	0.00	1.31
Mar-06	0.53	-0.45	1.26	0.37	0.16	-0.82	0.89
Apr-06	-3.00	-5.84	-3.01	0.36	-3.36	-6.20	-3.37
May-06	-0.27	-1.55	0.26	0.43	-0.70	-1.98	-0.17
Jun-06	1.09	-2.36	0.45	0.4	0.69	-2.76	0.05
Jul-06	2.70	3.60	2.18	0.4	2.30	3.20	1.78
Aug-06	2.63	2.87	2.70	0.42	2.21	2.45	2.28
Sep-06	2.56	1.92	3.16	0.41	2.15	1.51	2.75
Oct-06	0.75	1.94	1.99	0.41	0.34	1.53	1.58
Nov-06	2.32	0.22	0.77	0.42	1.90	-0.20	0.35
Dec-06	1.86	2.18	1.51	0.4	1.46	1.78	1.11
Jan-07	-2.30	-1.69	-1.96	0.44	-2.74	-2.13	-2.40
Feb-07	0.81	0.89	1.16	0.38	0.43	0.51	0.78
Mar-07	3.87	2.92	4.42	0.43	3.44	2.49	3.99
Apr-07	3.65	3.37	3.39	0.44	3.21	2.93	2.95
May-07	-2.02	-1.14	-1.46	0.41	-2.43	-1.55	-1.87
Jun-07	-4.74	-0.79	-3.13	0.4	-5.14	-1.19	-3.53
Jul-07	1.12	1.11	1.28	0.4	0.72	0.71	0.88
Aug-07	2.54	4.91	3.88	0.42	2.12	4.49	3.46
Sep-07	0.39	2.19	1.35	0.32	0.07	1.87	1.03
Oct-07	-5.86	-3.90	-3.87	0.32	-6.18	-4.22	-4.19
Nov-07	0.25	0.00	-1.13	0.34	-0.09	-0.34	-1.47
Dec-07	-5.39	-10.34	-6.04	0.27	-5.66	-10.61	-6.31
Jan-08	-2.67	-2.38	-2.58	0.21	-2.88	-2.59	-2.79
Feb-08	-0.89	-0.06	-0.90	0.13	-1.02	-0.19	-1.03
Mar-08	5.64	6.32	4.77	0.17	5.47	6.15	4.60
Apr-08	1.44	3.00	1.51	0.17	1.27	2.83	1.34
May-08	-7.18	-6.25	-8.35	0.17	-7.35	-6.42	-8.52
Jun-08	-1.80	-0.40	-0.90	0.17	-1.97	-0.57	-1.07
Jul-08	1.37	0.45	1.55	0.15	1.22	0.30	1.40
Aug-08	-7.50	-11.63	-9.42	0.12	-7.62	-11.75	-9.54
Sep-08	-18.16	-15.45	-16.52	0.15	-18.31	-15.60	-16.67
Oct-08	-7.16	-7.93	-6.96	0.08	-7.24	-8.01	-7.04
Nov-08	2.70	0.57	0.99	0.02	2.68	0.55	0.97
Dec-08	-10.76	-4.49	-8.22	0.09	-10.85	-4.58	-8.31
				Average	-0.59	-0.60	-0.55
				Standard Deviation	4.05	4.21	3.81

Conclusion

Standard deviation for the two funds is 4.05 and 4.21.

Summary Introduction

(d)

To Calculate:

In this question we have to calculate Sharpe, Jensen and Treynor ratio for each fund.

Expert Solution

Explanation of Solution

All these ratios are calculated as:

Sharpe ratio=
Excess Return / standard devation ESSENTIALS OF INVESTMENTS SELECT CHAPT, Chapter 18, Problem 17PS , additional homework tip 1

Treynor=Excess return / Beta ESSENTIALS OF INVESTMENTS SELECT CHAPT, Chapter 18, Problem 17PS , additional homework tip 2
Jensen=α_P = E(r_P) − {r_f + β_P [E(r_M) − r_f]}

	Total monthly returns				Excess Returns
Month	Vanguard	Value Fund	S&P	T-bills	Vanguard	Value Fund	S&P
Jan-04	1.52	-0.07	1.35	0.07	1.45	-0.14	1.28
Feb-04	-0.53	-0.99	-1.32	0.06	-0.59	-1.05	-1.38
Mar-04	-2.69	-2.46	-1.89	0.09	-2.78	-2.55	-1.98
Apr-04	0.22	2.52	1.70	0.08	0.14	2.44	1.62
May-04	2.53	1.39	1.85	0.06	2.47	1.33	1.79
Jun-04	-1.93	-7.46	-3.22	0.08	-2.01	-7.54	-3.30
Jul-04	0.99	-0.78	0.25	0.1	0.89	-0.88	0.15
Aug-04	1.52	2.49	1.00	0.11	1.41	2.38	0.89
Sep-04	0.21	1.46	1.29	0.11	0.10	1.35	1.18
Oct-04	5.22	4.66	4.46	0.11	5.11	4.55	4.35
Nov-04	3.24	3.60	3.01	0.15	3.09	3.45	2.86
Dec-04	-2.36	-3.48	-2.24	0.16	-2.52	-3.64	-2.40
Jan-05	3.62	0.79	2.09	0.16	3.46	0.63	1.93
Feb-05	-2.33	-2.86	-1.83	0.16	-2.49	-3.02	-1.99
Mar-05	-2.68	-2.41	-1.87	0.21	-2.89	-2.62	-2.08
Apr-05	4.08	7.13	3.22	0.21	3.87	6.92	3.01
May-05	2.25	0.51	0.15	0.24	2.01	0.27	-0.09
Jun-05	3.55	5.28	3.82	0.23	3.32	5.05	3.59
Jul-05	-1.85	-0.85	-0.93	0.24	-2.09	-1.09	-1.17
Aug-05	0.38	1.34	0.80	0.3	0.08	1.04	0.50
Sep-05	-1.88	0.30	-2.36	0.29	-2.17	0.01	-2.65
Oct-05	2.87	5.04	4.39	0.27	2.60	4.77	4.12
Nov-05	0.93	0.46	-0.19	0.31	0.62	0.15	-0.50
Dec-05	3.41	3.30	2.41	0.32	3.09	2.98	2.09
Jan-06	0.00	-1.82	0.57	0.35	-0.35	-2.17	0.22
Feb-06	0.71	0.34	1.65	0.34	0.37	0.00	1.31
Mar-06	0.53	-0.45	1.26	0.37	0.16	-0.82	0.89
Apr-06	-3.00	-5.84	-3.01	0.36	-3.36	-6.20	-3.37
May-06	-0.27	-1.55	0.26	0.43	-0.70	-1.98	-0.17
Jun-06	1.09	-2.36	0.45	0.4	0.69	-2.76	0.05
Jul-06	2.70	3.60	2.18	0.4	2.30	3.20	1.78
Aug-06	2.63	2.87	2.70	0.42	2.21	2.45	2.28
Sep-06	2.56	1.92	3.16	0.41	2.15	1.51	2.75
Oct-06	0.75	1.94	1.99	0.41	0.34	1.53	1.58
Nov-06	2.32	0.22	0.77	0.42	1.90	-0.20	0.35
Dec-06	1.86	2.18	1.51	0.4	1.46	1.78	1.11
Jan-07	-2.30	-1.69	-1.96	0.44	-2.74	-2.13	-2.40
Feb-07	0.81	0.89	1.16	0.38	0.43	0.51	0.78
Mar-07	3.87	2.92	4.42	0.43	3.44	2.49	3.99
Apr-07	3.65	3.37	3.39	0.44	3.21	2.93	2.95
May-07	-2.02	-1.14	-1.46	0.41	-2.43	-1.55	-1.87
Jun-07	-4.74	-0.79	-3.13	0.4	-5.14	-1.19	-3.53
Jul-07	1.12	1.11	1.28	0.4	0.72	0.71	0.88
Aug-07	2.54	4.91	3.88	0.42	2.12	4.49	3.46
Sep-07	0.39	2.19	1.35	0.32	0.07	1.87	1.03
Oct-07	-5.86	-3.90	-3.87	0.32	-6.18	-4.22	-4.19
Nov-07	0.25	0.00	-1.13	0.34	-0.09	-0.34	-1.47
Dec-07	-5.39	-10.34	-6.04	0.27	-5.66	-10.61	-6.31
Jan-08	-2.67	-2.38	-2.58	0.21	-2.88	-2.59	-2.79
Feb-08	-0.89	-0.06	-0.90	0.13	-1.02	-0.19	-1.03
Mar-08	5.64	6.32	4.77	0.17	5.47	6.15	4.60
Apr-08	1.44	3.00	1.51	0.17	1.27	2.83	1.34
May-08	-7.18	-6.25	-8.35	0.17	-7.35	-6.42	-8.52
Jun-08	-1.80	-0.40	-0.90	0.17	-1.97	-0.57	-1.07
Jul-08	1.37	0.45	1.55	0.15	1.22	0.30	1.40
Aug-08	-7.50	-11.63	-9.42	0.12	-7.62	-11.75	-9.54
Sep-08	-18.16	-15.45	-16.52	0.15	-18.31	-15.60	-16.67
Oct-08	-7.16	-7.93	-6.96	0.08	-7.24	-8.01	-7.04
Nov-08	2.70	0.57	0.99	0.02	2.68	0.55	0.97
Dec-08	-10.76	-4.49	-8.22	0.09	-10.85	-4.58	-8.31
				Average	-0.59	-0.60	-0.55
				Sharpe ratio	-0.15	-0.14	-0.14
				Alpha	-0.03	-0.04	0.00
				Treynor	-0.57	-0.58	-0.55

Conclusion

Alpha	-0.03	-0.04	0.00
Treynor	-0.57	-0.58	-0.55

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Answer 4

Question

Chapter 18, Problem 17PS

Summary Introduction

(a)
To calculate:

We have to collect the data as given in Connect and calculate each fund's excess return.

Expert Solution

Explanation of Solution

Excess returns are calculated as shown below. Period chosen is from 2004 to 2008.

	Total monthly returns				Excess Returns
Month	Vanguard	Value Fund	S&P	T-bills	Vanguard	Value Fund	S&P
Jan-04	1.52	-0.07	1.35	0.07	1.45	-0.14	1.28
Feb-04	-0.53	-0.99	-1.32	0.06	-0.59	-1.05	-1.38
Mar-04	-2.69	-2.46	-1.89	0.09	-2.78	-2.55	-1.98
Apr-04	0.22	2.52	1.70	0.08	0.14	2.44	1.62
May-04	2.53	1.39	1.85	0.06	2.47	1.33	1.79
Jun-04	-1.93	-7.46	-3.22	0.08	-2.01	-7.54	-3.30
Jul-04	0.99	-0.78	0.25	0.1	0.89	-0.88	0.15
Aug-04	1.52	2.49	1.00	0.11	1.41	2.38	0.89
Sep-04	0.21	1.46	1.29	0.11	0.10	1.35	1.18
Oct-04	5.22	4.66	4.46	0.11	5.11	4.55	4.35
Nov-04	3.24	3.60	3.01	0.15	3.09	3.45	2.86
Dec-04	-2.36	-3.48	-2.24	0.16	-2.52	-3.64	-2.40
Jan-05	3.62	0.79	2.09	0.16	3.46	0.63	1.93
Feb-05	-2.33	-2.86	-1.83	0.16	-2.49	-3.02	-1.99
Mar-05	-2.68	-2.41	-1.87	0.21	-2.89	-2.62	-2.08
Apr-05	4.08	7.13	3.22	0.21	3.87	6.92	3.01
May-05	2.25	0.51	0.15	0.24	2.01	0.27	-0.09
Jun-05	3.55	5.28	3.82	0.23	3.32	5.05	3.59
Jul-05	-1.85	-0.85	-0.93	0.24	-2.09	-1.09	-1.17
Aug-05	0.38	1.34	0.80	0.3	0.08	1.04	0.50
Sep-05	-1.88	0.30	-2.36	0.29	-2.17	0.01	-2.65
Oct-05	2.87	5.04	4.39	0.27	2.60	4.77	4.12
Nov-05	0.93	0.46	-0.19	0.31	0.62	0.15	-0.50
Dec-05	3.41	3.30	2.41	0.32	3.09	2.98	2.09
Jan-06	0.00	-1.82	0.57	0.35	-0.35	-2.17	0.22
Feb-06	0.71	0.34	1.65	0.34	0.37	0.00	1.31
Mar-06	0.53	-0.45	1.26	0.37	0.16	-0.82	0.89
Apr-06	-3.00	-5.84	-3.01	0.36	-3.36	-6.20	-3.37
May-06	-0.27	-1.55	0.26	0.43	-0.70	-1.98	-0.17
Jun-06	1.09	-2.36	0.45	0.4	0.69	-2.76	0.05
Jul-06	2.70	3.60	2.18	0.4	2.30	3.20	1.78
Aug-06	2.63	2.87	2.70	0.42	2.21	2.45	2.28
Sep-06	2.56	1.92	3.16	0.41	2.15	1.51	2.75
Oct-06	0.75	1.94	1.99	0.41	0.34	1.53	1.58
Nov-06	2.32	0.22	0.77	0.42	1.90	-0.20	0.35
Dec-06	1.86	2.18	1.51	0.4	1.46	1.78	1.11
Jan-07	-2.30	-1.69	-1.96	0.44	-2.74	-2.13	-2.40
Feb-07	0.81	0.89	1.16	0.38	0.43	0.51	0.78
Mar-07	3.87	2.92	4.42	0.43	3.44	2.49	3.99
Apr-07	3.65	3.37	3.39	0.44	3.21	2.93	2.95
May-07	-2.02	-1.14	-1.46	0.41	-2.43	-1.55	-1.87
Jun-07	-4.74	-0.79	-3.13	0.4	-5.14	-1.19	-3.53
Jul-07	1.12	1.11	1.28	0.4	0.72	0.71	0.88
Aug-07	2.54	4.91	3.88	0.42	2.12	4.49	3.46
Sep-07	0.39	2.19	1.35	0.32	0.07	1.87	1.03
Oct-07	-5.86	-3.90	-3.87	0.32	-6.18	-4.22	-4.19
Nov-07	0.25	0.00	-1.13	0.34	-0.09	-0.34	-1.47
Dec-07	-5.39	-10.34	-6.04	0.27	-5.66	-10.61	-6.31
Jan-08	-2.67	-2.38	-2.58	0.21	-2.88	-2.59	-2.79
Feb-08	-0.89	-0.06	-0.90	0.13	-1.02	-0.19	-1.03
Mar-08	5.64	6.32	4.77	0.17	5.47	6.15	4.60
Apr-08	1.44	3.00	1.51	0.17	1.27	2.83	1.34
May-08	-7.18	-6.25	-8.35	0.17	-7.35	-6.42	-8.52
Jun-08	-1.80	-0.40	-0.90	0.17	-1.97	-0.57	-1.07
Jul-08	1.37	0.45	1.55	0.15	1.22	0.30	1.40
Aug-08	-7.50	-11.63	-9.42	0.12	-7.62	-11.75	-9.54
Sep-08	-18.16	-15.45	-16.52	0.15	-18.31	-15.60	-16.67
Oct-08	-7.16	-7.93	-6.96	0.08	-7.24	-8.01	-7.04
Nov-08	2.70	0.57	0.99	0.02	2.68	0.55	0.97
Dec-08	-10.76	-4.49	-8.22	0.09	-10.85	-4.58	-8.31

Conclusion

Excess returns have been shown in the spread sheet.

Summary Introduction

(b)
To calculate:

In this part of the problem we have to calculate standard deviation of each fund.

Expert Solution

Explanation of Solution

Standard deviation on excel can be calculated by using formula as = stdev
Then we have to choose the data accordingly to calculate standard deviation.

	Total monthly returns				Excess Returns
Month	Vanguard	Value Fund	S&P	T-bills	Vanguard	Value Fund	S&P
Jan-04	1.52	-0.07	1.35	0.07	1.45	-0.14	1.28
Feb-04	-0.53	-0.99	-1.32	0.06	-0.59	-1.05	-1.38
Mar-04	-2.69	-2.46	-1.89	0.09	-2.78	-2.55	-1.98
Apr-04	0.22	2.52	1.70	0.08	0.14	2.44	1.62
May-04	2.53	1.39	1.85	0.06	2.47	1.33	1.79
Jun-04	-1.93	-7.46	-3.22	0.08	-2.01	-7.54	-3.30
Jul-04	0.99	-0.78	0.25	0.1	0.89	-0.88	0.15
Aug-04	1.52	2.49	1.00	0.11	1.41	2.38	0.89
Sep-04	0.21	1.46	1.29	0.11	0.10	1.35	1.18
Oct-04	5.22	4.66	4.46	0.11	5.11	4.55	4.35
Nov-04	3.24	3.60	3.01	0.15	3.09	3.45	2.86
Dec-04	-2.36	-3.48	-2.24	0.16	-2.52	-3.64	-2.40
Jan-05	3.62	0.79	2.09	0.16	3.46	0.63	1.93
Feb-05	-2.33	-2.86	-1.83	0.16	-2.49	-3.02	-1.99
Mar-05	-2.68	-2.41	-1.87	0.21	-2.89	-2.62	-2.08
Apr-05	4.08	7.13	3.22	0.21	3.87	6.92	3.01
May-05	2.25	0.51	0.15	0.24	2.01	0.27	-0.09
Jun-05	3.55	5.28	3.82	0.23	3.32	5.05	3.59
Jul-05	-1.85	-0.85	-0.93	0.24	-2.09	-1.09	-1.17
Aug-05	0.38	1.34	0.80	0.3	0.08	1.04	0.50
Sep-05	-1.88	0.30	-2.36	0.29	-2.17	0.01	-2.65
Oct-05	2.87	5.04	4.39	0.27	2.60	4.77	4.12
Nov-05	0.93	0.46	-0.19	0.31	0.62	0.15	-0.50
Dec-05	3.41	3.30	2.41	0.32	3.09	2.98	2.09
Jan-06	0.00	-1.82	0.57	0.35	-0.35	-2.17	0.22
Feb-06	0.71	0.34	1.65	0.34	0.37	0.00	1.31
Mar-06	0.53	-0.45	1.26	0.37	0.16	-0.82	0.89
Apr-06	-3.00	-5.84	-3.01	0.36	-3.36	-6.20	-3.37
May-06	-0.27	-1.55	0.26	0.43	-0.70	-1.98	-0.17
Jun-06	1.09	-2.36	0.45	0.4	0.69	-2.76	0.05
Jul-06	2.70	3.60	2.18	0.4	2.30	3.20	1.78
Aug-06	2.63	2.87	2.70	0.42	2.21	2.45	2.28
Sep-06	2.56	1.92	3.16	0.41	2.15	1.51	2.75
Oct-06	0.75	1.94	1.99	0.41	0.34	1.53	1.58
Nov-06	2.32	0.22	0.77	0.42	1.90	-0.20	0.35
Dec-06	1.86	2.18	1.51	0.4	1.46	1.78	1.11
Jan-07	-2.30	-1.69	-1.96	0.44	-2.74	-2.13	-2.40
Feb-07	0.81	0.89	1.16	0.38	0.43	0.51	0.78
Mar-07	3.87	2.92	4.42	0.43	3.44	2.49	3.99
Apr-07	3.65	3.37	3.39	0.44	3.21	2.93	2.95
May-07	-2.02	-1.14	-1.46	0.41	-2.43	-1.55	-1.87
Jun-07	-4.74	-0.79	-3.13	0.4	-5.14	-1.19	-3.53
Jul-07	1.12	1.11	1.28	0.4	0.72	0.71	0.88
Aug-07	2.54	4.91	3.88	0.42	2.12	4.49	3.46
Sep-07	0.39	2.19	1.35	0.32	0.07	1.87	1.03
Oct-07	-5.86	-3.90	-3.87	0.32	-6.18	-4.22	-4.19
Nov-07	0.25	0.00	-1.13	0.34	-0.09	-0.34	-1.47
Dec-07	-5.39	-10.34	-6.04	0.27	-5.66	-10.61	-6.31
Jan-08	-2.67	-2.38	-2.58	0.21	-2.88	-2.59	-2.79
Feb-08	-0.89	-0.06	-0.90	0.13	-1.02	-0.19	-1.03
Mar-08	5.64	6.32	4.77	0.17	5.47	6.15	4.60
Apr-08	1.44	3.00	1.51	0.17	1.27	2.83	1.34
May-08	-7.18	-6.25	-8.35	0.17	-7.35	-6.42	-8.52
Jun-08	-1.80	-0.40	-0.90	0.17	-1.97	-0.57	-1.07
Jul-08	1.37	0.45	1.55	0.15	1.22	0.30	1.40
Aug-08	-7.50	-11.63	-9.42	0.12	-7.62	-11.75	-9.54
Sep-08	-18.16	-15.45	-16.52	0.15	-18.31	-15.60	-16.67
Oct-08	-7.16	-7.93	-6.96	0.08	-7.24	-8.01	-7.04
Nov-08	2.70	0.57	0.99	0.02	2.68	0.55	0.97
Dec-08	-10.76	-4.49	-8.22	0.09	-10.85	-4.58	-8.31
				Average	-0.59	-0.60	-0.55
				Standard Deviation	4.05	4.21	3.81

Conclusion

Standard deviation for the two funds is 4.05 and 4.21.

Summary Introduction

(d)

To Calculate:

In this question we have to calculate Sharpe, Jensen and Treynor ratio for each fund.

Expert Solution

Explanation of Solution

All these ratios are calculated as:

Sharpe ratio=
Excess Return / standard devation ESSENTIALS OF INVESTMENTS SELECT CHAPT, Chapter 18, Problem 17PS , additional homework tip 1

Treynor=Excess return / Beta ESSENTIALS OF INVESTMENTS SELECT CHAPT, Chapter 18, Problem 17PS , additional homework tip 2
Jensen=α_P = E(r_P) − {r_f + β_P [E(r_M) − r_f]}

	Total monthly returns				Excess Returns
Month	Vanguard	Value Fund	S&P	T-bills	Vanguard	Value Fund	S&P
Jan-04	1.52	-0.07	1.35	0.07	1.45	-0.14	1.28
Feb-04	-0.53	-0.99	-1.32	0.06	-0.59	-1.05	-1.38
Mar-04	-2.69	-2.46	-1.89	0.09	-2.78	-2.55	-1.98
Apr-04	0.22	2.52	1.70	0.08	0.14	2.44	1.62
May-04	2.53	1.39	1.85	0.06	2.47	1.33	1.79
Jun-04	-1.93	-7.46	-3.22	0.08	-2.01	-7.54	-3.30
Jul-04	0.99	-0.78	0.25	0.1	0.89	-0.88	0.15
Aug-04	1.52	2.49	1.00	0.11	1.41	2.38	0.89
Sep-04	0.21	1.46	1.29	0.11	0.10	1.35	1.18
Oct-04	5.22	4.66	4.46	0.11	5.11	4.55	4.35
Nov-04	3.24	3.60	3.01	0.15	3.09	3.45	2.86
Dec-04	-2.36	-3.48	-2.24	0.16	-2.52	-3.64	-2.40
Jan-05	3.62	0.79	2.09	0.16	3.46	0.63	1.93
Feb-05	-2.33	-2.86	-1.83	0.16	-2.49	-3.02	-1.99
Mar-05	-2.68	-2.41	-1.87	0.21	-2.89	-2.62	-2.08
Apr-05	4.08	7.13	3.22	0.21	3.87	6.92	3.01
May-05	2.25	0.51	0.15	0.24	2.01	0.27	-0.09
Jun-05	3.55	5.28	3.82	0.23	3.32	5.05	3.59
Jul-05	-1.85	-0.85	-0.93	0.24	-2.09	-1.09	-1.17
Aug-05	0.38	1.34	0.80	0.3	0.08	1.04	0.50
Sep-05	-1.88	0.30	-2.36	0.29	-2.17	0.01	-2.65
Oct-05	2.87	5.04	4.39	0.27	2.60	4.77	4.12
Nov-05	0.93	0.46	-0.19	0.31	0.62	0.15	-0.50
Dec-05	3.41	3.30	2.41	0.32	3.09	2.98	2.09
Jan-06	0.00	-1.82	0.57	0.35	-0.35	-2.17	0.22
Feb-06	0.71	0.34	1.65	0.34	0.37	0.00	1.31
Mar-06	0.53	-0.45	1.26	0.37	0.16	-0.82	0.89
Apr-06	-3.00	-5.84	-3.01	0.36	-3.36	-6.20	-3.37
May-06	-0.27	-1.55	0.26	0.43	-0.70	-1.98	-0.17
Jun-06	1.09	-2.36	0.45	0.4	0.69	-2.76	0.05
Jul-06	2.70	3.60	2.18	0.4	2.30	3.20	1.78
Aug-06	2.63	2.87	2.70	0.42	2.21	2.45	2.28
Sep-06	2.56	1.92	3.16	0.41	2.15	1.51	2.75
Oct-06	0.75	1.94	1.99	0.41	0.34	1.53	1.58
Nov-06	2.32	0.22	0.77	0.42	1.90	-0.20	0.35
Dec-06	1.86	2.18	1.51	0.4	1.46	1.78	1.11
Jan-07	-2.30	-1.69	-1.96	0.44	-2.74	-2.13	-2.40
Feb-07	0.81	0.89	1.16	0.38	0.43	0.51	0.78
Mar-07	3.87	2.92	4.42	0.43	3.44	2.49	3.99
Apr-07	3.65	3.37	3.39	0.44	3.21	2.93	2.95
May-07	-2.02	-1.14	-1.46	0.41	-2.43	-1.55	-1.87
Jun-07	-4.74	-0.79	-3.13	0.4	-5.14	-1.19	-3.53
Jul-07	1.12	1.11	1.28	0.4	0.72	0.71	0.88
Aug-07	2.54	4.91	3.88	0.42	2.12	4.49	3.46
Sep-07	0.39	2.19	1.35	0.32	0.07	1.87	1.03
Oct-07	-5.86	-3.90	-3.87	0.32	-6.18	-4.22	-4.19
Nov-07	0.25	0.00	-1.13	0.34	-0.09	-0.34	-1.47
Dec-07	-5.39	-10.34	-6.04	0.27	-5.66	-10.61	-6.31
Jan-08	-2.67	-2.38	-2.58	0.21	-2.88	-2.59	-2.79
Feb-08	-0.89	-0.06	-0.90	0.13	-1.02	-0.19	-1.03
Mar-08	5.64	6.32	4.77	0.17	5.47	6.15	4.60
Apr-08	1.44	3.00	1.51	0.17	1.27	2.83	1.34
May-08	-7.18	-6.25	-8.35	0.17	-7.35	-6.42	-8.52
Jun-08	-1.80	-0.40	-0.90	0.17	-1.97	-0.57	-1.07
Jul-08	1.37	0.45	1.55	0.15	1.22	0.30	1.40
Aug-08	-7.50	-11.63	-9.42	0.12	-7.62	-11.75	-9.54
Sep-08	-18.16	-15.45	-16.52	0.15	-18.31	-15.60	-16.67
Oct-08	-7.16	-7.93	-6.96	0.08	-7.24	-8.01	-7.04
Nov-08	2.70	0.57	0.99	0.02	2.68	0.55	0.97
Dec-08	-10.76	-4.49	-8.22	0.09	-10.85	-4.58	-8.31
				Average	-0.59	-0.60	-0.55
				Sharpe ratio	-0.15	-0.14	-0.14
				Alpha	-0.03	-0.04	0.00
				Treynor	-0.57	-0.58	-0.55

Conclusion

Alpha	-0.03	-0.04	0.00
Treynor	-0.57	-0.58	-0.55

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Answer 5

Chapter 18, Problem 17PS

Summary Introduction

(a)
To calculate:

We have to collect the data as given in Connect and calculate each fund's excess return.

Expert Solution

Explanation of Solution

Excess returns are calculated as shown below. Period chosen is from 2004 to 2008.

	Total monthly returns				Excess Returns
Month	Vanguard	Value Fund	S&P	T-bills	Vanguard	Value Fund	S&P
Jan-04	1.52	-0.07	1.35	0.07	1.45	-0.14	1.28
Feb-04	-0.53	-0.99	-1.32	0.06	-0.59	-1.05	-1.38
Mar-04	-2.69	-2.46	-1.89	0.09	-2.78	-2.55	-1.98
Apr-04	0.22	2.52	1.70	0.08	0.14	2.44	1.62
May-04	2.53	1.39	1.85	0.06	2.47	1.33	1.79
Jun-04	-1.93	-7.46	-3.22	0.08	-2.01	-7.54	-3.30
Jul-04	0.99	-0.78	0.25	0.1	0.89	-0.88	0.15
Aug-04	1.52	2.49	1.00	0.11	1.41	2.38	0.89
Sep-04	0.21	1.46	1.29	0.11	0.10	1.35	1.18
Oct-04	5.22	4.66	4.46	0.11	5.11	4.55	4.35
Nov-04	3.24	3.60	3.01	0.15	3.09	3.45	2.86
Dec-04	-2.36	-3.48	-2.24	0.16	-2.52	-3.64	-2.40
Jan-05	3.62	0.79	2.09	0.16	3.46	0.63	1.93
Feb-05	-2.33	-2.86	-1.83	0.16	-2.49	-3.02	-1.99
Mar-05	-2.68	-2.41	-1.87	0.21	-2.89	-2.62	-2.08
Apr-05	4.08	7.13	3.22	0.21	3.87	6.92	3.01
May-05	2.25	0.51	0.15	0.24	2.01	0.27	-0.09
Jun-05	3.55	5.28	3.82	0.23	3.32	5.05	3.59
Jul-05	-1.85	-0.85	-0.93	0.24	-2.09	-1.09	-1.17
Aug-05	0.38	1.34	0.80	0.3	0.08	1.04	0.50
Sep-05	-1.88	0.30	-2.36	0.29	-2.17	0.01	-2.65
Oct-05	2.87	5.04	4.39	0.27	2.60	4.77	4.12
Nov-05	0.93	0.46	-0.19	0.31	0.62	0.15	-0.50
Dec-05	3.41	3.30	2.41	0.32	3.09	2.98	2.09
Jan-06	0.00	-1.82	0.57	0.35	-0.35	-2.17	0.22
Feb-06	0.71	0.34	1.65	0.34	0.37	0.00	1.31
Mar-06	0.53	-0.45	1.26	0.37	0.16	-0.82	0.89
Apr-06	-3.00	-5.84	-3.01	0.36	-3.36	-6.20	-3.37
May-06	-0.27	-1.55	0.26	0.43	-0.70	-1.98	-0.17
Jun-06	1.09	-2.36	0.45	0.4	0.69	-2.76	0.05
Jul-06	2.70	3.60	2.18	0.4	2.30	3.20	1.78
Aug-06	2.63	2.87	2.70	0.42	2.21	2.45	2.28
Sep-06	2.56	1.92	3.16	0.41	2.15	1.51	2.75
Oct-06	0.75	1.94	1.99	0.41	0.34	1.53	1.58
Nov-06	2.32	0.22	0.77	0.42	1.90	-0.20	0.35
Dec-06	1.86	2.18	1.51	0.4	1.46	1.78	1.11
Jan-07	-2.30	-1.69	-1.96	0.44	-2.74	-2.13	-2.40
Feb-07	0.81	0.89	1.16	0.38	0.43	0.51	0.78
Mar-07	3.87	2.92	4.42	0.43	3.44	2.49	3.99
Apr-07	3.65	3.37	3.39	0.44	3.21	2.93	2.95
May-07	-2.02	-1.14	-1.46	0.41	-2.43	-1.55	-1.87
Jun-07	-4.74	-0.79	-3.13	0.4	-5.14	-1.19	-3.53
Jul-07	1.12	1.11	1.28	0.4	0.72	0.71	0.88
Aug-07	2.54	4.91	3.88	0.42	2.12	4.49	3.46
Sep-07	0.39	2.19	1.35	0.32	0.07	1.87	1.03
Oct-07	-5.86	-3.90	-3.87	0.32	-6.18	-4.22	-4.19
Nov-07	0.25	0.00	-1.13	0.34	-0.09	-0.34	-1.47
Dec-07	-5.39	-10.34	-6.04	0.27	-5.66	-10.61	-6.31
Jan-08	-2.67	-2.38	-2.58	0.21	-2.88	-2.59	-2.79
Feb-08	-0.89	-0.06	-0.90	0.13	-1.02	-0.19	-1.03
Mar-08	5.64	6.32	4.77	0.17	5.47	6.15	4.60
Apr-08	1.44	3.00	1.51	0.17	1.27	2.83	1.34
May-08	-7.18	-6.25	-8.35	0.17	-7.35	-6.42	-8.52
Jun-08	-1.80	-0.40	-0.90	0.17	-1.97	-0.57	-1.07
Jul-08	1.37	0.45	1.55	0.15	1.22	0.30	1.40
Aug-08	-7.50	-11.63	-9.42	0.12	-7.62	-11.75	-9.54
Sep-08	-18.16	-15.45	-16.52	0.15	-18.31	-15.60	-16.67
Oct-08	-7.16	-7.93	-6.96	0.08	-7.24	-8.01	-7.04
Nov-08	2.70	0.57	0.99	0.02	2.68	0.55	0.97
Dec-08	-10.76	-4.49	-8.22	0.09	-10.85	-4.58	-8.31

Conclusion

Excess returns have been shown in the spread sheet.

Summary Introduction

(b)
To calculate:

In this part of the problem we have to calculate standard deviation of each fund.

Expert Solution

Explanation of Solution

Standard deviation on excel can be calculated by using formula as = stdev
Then we have to choose the data accordingly to calculate standard deviation.

	Total monthly returns				Excess Returns
Month	Vanguard	Value Fund	S&P	T-bills	Vanguard	Value Fund	S&P
Jan-04	1.52	-0.07	1.35	0.07	1.45	-0.14	1.28
Feb-04	-0.53	-0.99	-1.32	0.06	-0.59	-1.05	-1.38
Mar-04	-2.69	-2.46	-1.89	0.09	-2.78	-2.55	-1.98
Apr-04	0.22	2.52	1.70	0.08	0.14	2.44	1.62
May-04	2.53	1.39	1.85	0.06	2.47	1.33	1.79
Jun-04	-1.93	-7.46	-3.22	0.08	-2.01	-7.54	-3.30
Jul-04	0.99	-0.78	0.25	0.1	0.89	-0.88	0.15
Aug-04	1.52	2.49	1.00	0.11	1.41	2.38	0.89
Sep-04	0.21	1.46	1.29	0.11	0.10	1.35	1.18
Oct-04	5.22	4.66	4.46	0.11	5.11	4.55	4.35
Nov-04	3.24	3.60	3.01	0.15	3.09	3.45	2.86
Dec-04	-2.36	-3.48	-2.24	0.16	-2.52	-3.64	-2.40
Jan-05	3.62	0.79	2.09	0.16	3.46	0.63	1.93
Feb-05	-2.33	-2.86	-1.83	0.16	-2.49	-3.02	-1.99
Mar-05	-2.68	-2.41	-1.87	0.21	-2.89	-2.62	-2.08
Apr-05	4.08	7.13	3.22	0.21	3.87	6.92	3.01
May-05	2.25	0.51	0.15	0.24	2.01	0.27	-0.09
Jun-05	3.55	5.28	3.82	0.23	3.32	5.05	3.59
Jul-05	-1.85	-0.85	-0.93	0.24	-2.09	-1.09	-1.17
Aug-05	0.38	1.34	0.80	0.3	0.08	1.04	0.50
Sep-05	-1.88	0.30	-2.36	0.29	-2.17	0.01	-2.65
Oct-05	2.87	5.04	4.39	0.27	2.60	4.77	4.12
Nov-05	0.93	0.46	-0.19	0.31	0.62	0.15	-0.50
Dec-05	3.41	3.30	2.41	0.32	3.09	2.98	2.09
Jan-06	0.00	-1.82	0.57	0.35	-0.35	-2.17	0.22
Feb-06	0.71	0.34	1.65	0.34	0.37	0.00	1.31
Mar-06	0.53	-0.45	1.26	0.37	0.16	-0.82	0.89
Apr-06	-3.00	-5.84	-3.01	0.36	-3.36	-6.20	-3.37
May-06	-0.27	-1.55	0.26	0.43	-0.70	-1.98	-0.17
Jun-06	1.09	-2.36	0.45	0.4	0.69	-2.76	0.05
Jul-06	2.70	3.60	2.18	0.4	2.30	3.20	1.78
Aug-06	2.63	2.87	2.70	0.42	2.21	2.45	2.28
Sep-06	2.56	1.92	3.16	0.41	2.15	1.51	2.75
Oct-06	0.75	1.94	1.99	0.41	0.34	1.53	1.58
Nov-06	2.32	0.22	0.77	0.42	1.90	-0.20	0.35
Dec-06	1.86	2.18	1.51	0.4	1.46	1.78	1.11
Jan-07	-2.30	-1.69	-1.96	0.44	-2.74	-2.13	-2.40
Feb-07	0.81	0.89	1.16	0.38	0.43	0.51	0.78
Mar-07	3.87	2.92	4.42	0.43	3.44	2.49	3.99
Apr-07	3.65	3.37	3.39	0.44	3.21	2.93	2.95
May-07	-2.02	-1.14	-1.46	0.41	-2.43	-1.55	-1.87
Jun-07	-4.74	-0.79	-3.13	0.4	-5.14	-1.19	-3.53
Jul-07	1.12	1.11	1.28	0.4	0.72	0.71	0.88
Aug-07	2.54	4.91	3.88	0.42	2.12	4.49	3.46
Sep-07	0.39	2.19	1.35	0.32	0.07	1.87	1.03
Oct-07	-5.86	-3.90	-3.87	0.32	-6.18	-4.22	-4.19
Nov-07	0.25	0.00	-1.13	0.34	-0.09	-0.34	-1.47
Dec-07	-5.39	-10.34	-6.04	0.27	-5.66	-10.61	-6.31
Jan-08	-2.67	-2.38	-2.58	0.21	-2.88	-2.59	-2.79
Feb-08	-0.89	-0.06	-0.90	0.13	-1.02	-0.19	-1.03
Mar-08	5.64	6.32	4.77	0.17	5.47	6.15	4.60
Apr-08	1.44	3.00	1.51	0.17	1.27	2.83	1.34
May-08	-7.18	-6.25	-8.35	0.17	-7.35	-6.42	-8.52
Jun-08	-1.80	-0.40	-0.90	0.17	-1.97	-0.57	-1.07
Jul-08	1.37	0.45	1.55	0.15	1.22	0.30	1.40
Aug-08	-7.50	-11.63	-9.42	0.12	-7.62	-11.75	-9.54
Sep-08	-18.16	-15.45	-16.52	0.15	-18.31	-15.60	-16.67
Oct-08	-7.16	-7.93	-6.96	0.08	-7.24	-8.01	-7.04
Nov-08	2.70	0.57	0.99	0.02	2.68	0.55	0.97
Dec-08	-10.76	-4.49	-8.22	0.09	-10.85	-4.58	-8.31
				Average	-0.59	-0.60	-0.55
				Standard Deviation	4.05	4.21	3.81

Conclusion

Standard deviation for the two funds is 4.05 and 4.21.

Summary Introduction

(d)

To Calculate:

In this question we have to calculate Sharpe, Jensen and Treynor ratio for each fund.

Expert Solution

Explanation of Solution

All these ratios are calculated as:

Sharpe ratio=
Excess Return / standard devation ESSENTIALS OF INVESTMENTS SELECT CHAPT, Chapter 18, Problem 17PS , additional homework tip 1

Treynor=Excess return / Beta ESSENTIALS OF INVESTMENTS SELECT CHAPT, Chapter 18, Problem 17PS , additional homework tip 2
Jensen=α_P = E(r_P) − {r_f + β_P [E(r_M) − r_f]}

	Total monthly returns				Excess Returns
Month	Vanguard	Value Fund	S&P	T-bills	Vanguard	Value Fund	S&P
Jan-04	1.52	-0.07	1.35	0.07	1.45	-0.14	1.28
Feb-04	-0.53	-0.99	-1.32	0.06	-0.59	-1.05	-1.38
Mar-04	-2.69	-2.46	-1.89	0.09	-2.78	-2.55	-1.98
Apr-04	0.22	2.52	1.70	0.08	0.14	2.44	1.62
May-04	2.53	1.39	1.85	0.06	2.47	1.33	1.79
Jun-04	-1.93	-7.46	-3.22	0.08	-2.01	-7.54	-3.30
Jul-04	0.99	-0.78	0.25	0.1	0.89	-0.88	0.15
Aug-04	1.52	2.49	1.00	0.11	1.41	2.38	0.89
Sep-04	0.21	1.46	1.29	0.11	0.10	1.35	1.18
Oct-04	5.22	4.66	4.46	0.11	5.11	4.55	4.35
Nov-04	3.24	3.60	3.01	0.15	3.09	3.45	2.86
Dec-04	-2.36	-3.48	-2.24	0.16	-2.52	-3.64	-2.40
Jan-05	3.62	0.79	2.09	0.16	3.46	0.63	1.93
Feb-05	-2.33	-2.86	-1.83	0.16	-2.49	-3.02	-1.99
Mar-05	-2.68	-2.41	-1.87	0.21	-2.89	-2.62	-2.08
Apr-05	4.08	7.13	3.22	0.21	3.87	6.92	3.01
May-05	2.25	0.51	0.15	0.24	2.01	0.27	-0.09
Jun-05	3.55	5.28	3.82	0.23	3.32	5.05	3.59
Jul-05	-1.85	-0.85	-0.93	0.24	-2.09	-1.09	-1.17
Aug-05	0.38	1.34	0.80	0.3	0.08	1.04	0.50
Sep-05	-1.88	0.30	-2.36	0.29	-2.17	0.01	-2.65
Oct-05	2.87	5.04	4.39	0.27	2.60	4.77	4.12
Nov-05	0.93	0.46	-0.19	0.31	0.62	0.15	-0.50
Dec-05	3.41	3.30	2.41	0.32	3.09	2.98	2.09
Jan-06	0.00	-1.82	0.57	0.35	-0.35	-2.17	0.22
Feb-06	0.71	0.34	1.65	0.34	0.37	0.00	1.31
Mar-06	0.53	-0.45	1.26	0.37	0.16	-0.82	0.89
Apr-06	-3.00	-5.84	-3.01	0.36	-3.36	-6.20	-3.37
May-06	-0.27	-1.55	0.26	0.43	-0.70	-1.98	-0.17
Jun-06	1.09	-2.36	0.45	0.4	0.69	-2.76	0.05
Jul-06	2.70	3.60	2.18	0.4	2.30	3.20	1.78
Aug-06	2.63	2.87	2.70	0.42	2.21	2.45	2.28
Sep-06	2.56	1.92	3.16	0.41	2.15	1.51	2.75
Oct-06	0.75	1.94	1.99	0.41	0.34	1.53	1.58
Nov-06	2.32	0.22	0.77	0.42	1.90	-0.20	0.35
Dec-06	1.86	2.18	1.51	0.4	1.46	1.78	1.11
Jan-07	-2.30	-1.69	-1.96	0.44	-2.74	-2.13	-2.40
Feb-07	0.81	0.89	1.16	0.38	0.43	0.51	0.78
Mar-07	3.87	2.92	4.42	0.43	3.44	2.49	3.99
Apr-07	3.65	3.37	3.39	0.44	3.21	2.93	2.95
May-07	-2.02	-1.14	-1.46	0.41	-2.43	-1.55	-1.87
Jun-07	-4.74	-0.79	-3.13	0.4	-5.14	-1.19	-3.53
Jul-07	1.12	1.11	1.28	0.4	0.72	0.71	0.88
Aug-07	2.54	4.91	3.88	0.42	2.12	4.49	3.46
Sep-07	0.39	2.19	1.35	0.32	0.07	1.87	1.03
Oct-07	-5.86	-3.90	-3.87	0.32	-6.18	-4.22	-4.19
Nov-07	0.25	0.00	-1.13	0.34	-0.09	-0.34	-1.47
Dec-07	-5.39	-10.34	-6.04	0.27	-5.66	-10.61	-6.31
Jan-08	-2.67	-2.38	-2.58	0.21	-2.88	-2.59	-2.79
Feb-08	-0.89	-0.06	-0.90	0.13	-1.02	-0.19	-1.03
Mar-08	5.64	6.32	4.77	0.17	5.47	6.15	4.60
Apr-08	1.44	3.00	1.51	0.17	1.27	2.83	1.34
May-08	-7.18	-6.25	-8.35	0.17	-7.35	-6.42	-8.52
Jun-08	-1.80	-0.40	-0.90	0.17	-1.97	-0.57	-1.07
Jul-08	1.37	0.45	1.55	0.15	1.22	0.30	1.40
Aug-08	-7.50	-11.63	-9.42	0.12	-7.62	-11.75	-9.54
Sep-08	-18.16	-15.45	-16.52	0.15	-18.31	-15.60	-16.67
Oct-08	-7.16	-7.93	-6.96	0.08	-7.24	-8.01	-7.04
Nov-08	2.70	0.57	0.99	0.02	2.68	0.55	0.97
Dec-08	-10.76	-4.49	-8.22	0.09	-10.85	-4.58	-8.31
				Average	-0.59	-0.60	-0.55
				Sharpe ratio	-0.15	-0.14	-0.14
				Alpha	-0.03	-0.04	0.00
				Treynor	-0.57	-0.58	-0.55

Conclusion

Alpha	-0.03	-0.04	0.00
Treynor	-0.57	-0.58	-0.55

Answer 6

Chapter 18, Problem 17PS

Summary Introduction

(a)
To calculate:

We have to collect the data as given in Connect and calculate each fund's excess return.

Expert Solution

Explanation of Solution

Excess returns are calculated as shown below. Period chosen is from 2004 to 2008.

	Total monthly returns				Excess Returns
Month	Vanguard	Value Fund	S&P	T-bills	Vanguard	Value Fund	S&P
Jan-04	1.52	-0.07	1.35	0.07	1.45	-0.14	1.28
Feb-04	-0.53	-0.99	-1.32	0.06	-0.59	-1.05	-1.38
Mar-04	-2.69	-2.46	-1.89	0.09	-2.78	-2.55	-1.98
Apr-04	0.22	2.52	1.70	0.08	0.14	2.44	1.62
May-04	2.53	1.39	1.85	0.06	2.47	1.33	1.79
Jun-04	-1.93	-7.46	-3.22	0.08	-2.01	-7.54	-3.30
Jul-04	0.99	-0.78	0.25	0.1	0.89	-0.88	0.15
Aug-04	1.52	2.49	1.00	0.11	1.41	2.38	0.89
Sep-04	0.21	1.46	1.29	0.11	0.10	1.35	1.18
Oct-04	5.22	4.66	4.46	0.11	5.11	4.55	4.35
Nov-04	3.24	3.60	3.01	0.15	3.09	3.45	2.86
Dec-04	-2.36	-3.48	-2.24	0.16	-2.52	-3.64	-2.40
Jan-05	3.62	0.79	2.09	0.16	3.46	0.63	1.93
Feb-05	-2.33	-2.86	-1.83	0.16	-2.49	-3.02	-1.99
Mar-05	-2.68	-2.41	-1.87	0.21	-2.89	-2.62	-2.08
Apr-05	4.08	7.13	3.22	0.21	3.87	6.92	3.01
May-05	2.25	0.51	0.15	0.24	2.01	0.27	-0.09
Jun-05	3.55	5.28	3.82	0.23	3.32	5.05	3.59
Jul-05	-1.85	-0.85	-0.93	0.24	-2.09	-1.09	-1.17
Aug-05	0.38	1.34	0.80	0.3	0.08	1.04	0.50
Sep-05	-1.88	0.30	-2.36	0.29	-2.17	0.01	-2.65
Oct-05	2.87	5.04	4.39	0.27	2.60	4.77	4.12
Nov-05	0.93	0.46	-0.19	0.31	0.62	0.15	-0.50
Dec-05	3.41	3.30	2.41	0.32	3.09	2.98	2.09
Jan-06	0.00	-1.82	0.57	0.35	-0.35	-2.17	0.22
Feb-06	0.71	0.34	1.65	0.34	0.37	0.00	1.31
Mar-06	0.53	-0.45	1.26	0.37	0.16	-0.82	0.89
Apr-06	-3.00	-5.84	-3.01	0.36	-3.36	-6.20	-3.37
May-06	-0.27	-1.55	0.26	0.43	-0.70	-1.98	-0.17
Jun-06	1.09	-2.36	0.45	0.4	0.69	-2.76	0.05
Jul-06	2.70	3.60	2.18	0.4	2.30	3.20	1.78
Aug-06	2.63	2.87	2.70	0.42	2.21	2.45	2.28
Sep-06	2.56	1.92	3.16	0.41	2.15	1.51	2.75
Oct-06	0.75	1.94	1.99	0.41	0.34	1.53	1.58
Nov-06	2.32	0.22	0.77	0.42	1.90	-0.20	0.35
Dec-06	1.86	2.18	1.51	0.4	1.46	1.78	1.11
Jan-07	-2.30	-1.69	-1.96	0.44	-2.74	-2.13	-2.40
Feb-07	0.81	0.89	1.16	0.38	0.43	0.51	0.78
Mar-07	3.87	2.92	4.42	0.43	3.44	2.49	3.99
Apr-07	3.65	3.37	3.39	0.44	3.21	2.93	2.95
May-07	-2.02	-1.14	-1.46	0.41	-2.43	-1.55	-1.87
Jun-07	-4.74	-0.79	-3.13	0.4	-5.14	-1.19	-3.53
Jul-07	1.12	1.11	1.28	0.4	0.72	0.71	0.88
Aug-07	2.54	4.91	3.88	0.42	2.12	4.49	3.46
Sep-07	0.39	2.19	1.35	0.32	0.07	1.87	1.03
Oct-07	-5.86	-3.90	-3.87	0.32	-6.18	-4.22	-4.19
Nov-07	0.25	0.00	-1.13	0.34	-0.09	-0.34	-1.47
Dec-07	-5.39	-10.34	-6.04	0.27	-5.66	-10.61	-6.31
Jan-08	-2.67	-2.38	-2.58	0.21	-2.88	-2.59	-2.79
Feb-08	-0.89	-0.06	-0.90	0.13	-1.02	-0.19	-1.03
Mar-08	5.64	6.32	4.77	0.17	5.47	6.15	4.60
Apr-08	1.44	3.00	1.51	0.17	1.27	2.83	1.34
May-08	-7.18	-6.25	-8.35	0.17	-7.35	-6.42	-8.52
Jun-08	-1.80	-0.40	-0.90	0.17	-1.97	-0.57	-1.07
Jul-08	1.37	0.45	1.55	0.15	1.22	0.30	1.40
Aug-08	-7.50	-11.63	-9.42	0.12	-7.62	-11.75	-9.54
Sep-08	-18.16	-15.45	-16.52	0.15	-18.31	-15.60	-16.67
Oct-08	-7.16	-7.93	-6.96	0.08	-7.24	-8.01	-7.04
Nov-08	2.70	0.57	0.99	0.02	2.68	0.55	0.97
Dec-08	-10.76	-4.49	-8.22	0.09	-10.85	-4.58	-8.31

Conclusion

Excess returns have been shown in the spread sheet.

Answer 7

Chapter 18, Problem 17PS

Summary Introduction

(a)
To calculate:

We have to collect the data as given in Connect and calculate each fund's excess return.

Answer 8

Expert Solution

Explanation of Solution

Excess returns are calculated as shown below. Period chosen is from 2004 to 2008.

	Total monthly returns				Excess Returns
Month	Vanguard	Value Fund	S&P	T-bills	Vanguard	Value Fund	S&P
Jan-04	1.52	-0.07	1.35	0.07	1.45	-0.14	1.28
Feb-04	-0.53	-0.99	-1.32	0.06	-0.59	-1.05	-1.38
Mar-04	-2.69	-2.46	-1.89	0.09	-2.78	-2.55	-1.98
Apr-04	0.22	2.52	1.70	0.08	0.14	2.44	1.62
May-04	2.53	1.39	1.85	0.06	2.47	1.33	1.79
Jun-04	-1.93	-7.46	-3.22	0.08	-2.01	-7.54	-3.30
Jul-04	0.99	-0.78	0.25	0.1	0.89	-0.88	0.15
Aug-04	1.52	2.49	1.00	0.11	1.41	2.38	0.89
Sep-04	0.21	1.46	1.29	0.11	0.10	1.35	1.18
Oct-04	5.22	4.66	4.46	0.11	5.11	4.55	4.35
Nov-04	3.24	3.60	3.01	0.15	3.09	3.45	2.86
Dec-04	-2.36	-3.48	-2.24	0.16	-2.52	-3.64	-2.40
Jan-05	3.62	0.79	2.09	0.16	3.46	0.63	1.93
Feb-05	-2.33	-2.86	-1.83	0.16	-2.49	-3.02	-1.99
Mar-05	-2.68	-2.41	-1.87	0.21	-2.89	-2.62	-2.08
Apr-05	4.08	7.13	3.22	0.21	3.87	6.92	3.01
May-05	2.25	0.51	0.15	0.24	2.01	0.27	-0.09
Jun-05	3.55	5.28	3.82	0.23	3.32	5.05	3.59
Jul-05	-1.85	-0.85	-0.93	0.24	-2.09	-1.09	-1.17
Aug-05	0.38	1.34	0.80	0.3	0.08	1.04	0.50
Sep-05	-1.88	0.30	-2.36	0.29	-2.17	0.01	-2.65
Oct-05	2.87	5.04	4.39	0.27	2.60	4.77	4.12
Nov-05	0.93	0.46	-0.19	0.31	0.62	0.15	-0.50
Dec-05	3.41	3.30	2.41	0.32	3.09	2.98	2.09
Jan-06	0.00	-1.82	0.57	0.35	-0.35	-2.17	0.22
Feb-06	0.71	0.34	1.65	0.34	0.37	0.00	1.31
Mar-06	0.53	-0.45	1.26	0.37	0.16	-0.82	0.89
Apr-06	-3.00	-5.84	-3.01	0.36	-3.36	-6.20	-3.37
May-06	-0.27	-1.55	0.26	0.43	-0.70	-1.98	-0.17
Jun-06	1.09	-2.36	0.45	0.4	0.69	-2.76	0.05
Jul-06	2.70	3.60	2.18	0.4	2.30	3.20	1.78
Aug-06	2.63	2.87	2.70	0.42	2.21	2.45	2.28
Sep-06	2.56	1.92	3.16	0.41	2.15	1.51	2.75
Oct-06	0.75	1.94	1.99	0.41	0.34	1.53	1.58
Nov-06	2.32	0.22	0.77	0.42	1.90	-0.20	0.35
Dec-06	1.86	2.18	1.51	0.4	1.46	1.78	1.11
Jan-07	-2.30	-1.69	-1.96	0.44	-2.74	-2.13	-2.40
Feb-07	0.81	0.89	1.16	0.38	0.43	0.51	0.78
Mar-07	3.87	2.92	4.42	0.43	3.44	2.49	3.99
Apr-07	3.65	3.37	3.39	0.44	3.21	2.93	2.95
May-07	-2.02	-1.14	-1.46	0.41	-2.43	-1.55	-1.87
Jun-07	-4.74	-0.79	-3.13	0.4	-5.14	-1.19	-3.53
Jul-07	1.12	1.11	1.28	0.4	0.72	0.71	0.88
Aug-07	2.54	4.91	3.88	0.42	2.12	4.49	3.46
Sep-07	0.39	2.19	1.35	0.32	0.07	1.87	1.03
Oct-07	-5.86	-3.90	-3.87	0.32	-6.18	-4.22	-4.19
Nov-07	0.25	0.00	-1.13	0.34	-0.09	-0.34	-1.47
Dec-07	-5.39	-10.34	-6.04	0.27	-5.66	-10.61	-6.31
Jan-08	-2.67	-2.38	-2.58	0.21	-2.88	-2.59	-2.79
Feb-08	-0.89	-0.06	-0.90	0.13	-1.02	-0.19	-1.03
Mar-08	5.64	6.32	4.77	0.17	5.47	6.15	4.60
Apr-08	1.44	3.00	1.51	0.17	1.27	2.83	1.34
May-08	-7.18	-6.25	-8.35	0.17	-7.35	-6.42	-8.52
Jun-08	-1.80	-0.40	-0.90	0.17	-1.97	-0.57	-1.07
Jul-08	1.37	0.45	1.55	0.15	1.22	0.30	1.40
Aug-08	-7.50	-11.63	-9.42	0.12	-7.62	-11.75	-9.54
Sep-08	-18.16	-15.45	-16.52	0.15	-18.31	-15.60	-16.67
Oct-08	-7.16	-7.93	-6.96	0.08	-7.24	-8.01	-7.04
Nov-08	2.70	0.57	0.99	0.02	2.68	0.55	0.97
Dec-08	-10.76	-4.49	-8.22	0.09	-10.85	-4.58	-8.31

Answer 9

Expert Solution

Answer 10

Expert Solution

Answer 11

Expert Solution

Answer 12

Conclusion

Excess returns have been shown in the spread sheet.

Answer 13

Summary Introduction

(b)
To calculate:

In this part of the problem we have to calculate standard deviation of each fund.

Expert Solution

Explanation of Solution

Standard deviation on excel can be calculated by using formula as = stdev
Then we have to choose the data accordingly to calculate standard deviation.

	Total monthly returns				Excess Returns
Month	Vanguard	Value Fund	S&P	T-bills	Vanguard	Value Fund	S&P
Jan-04	1.52	-0.07	1.35	0.07	1.45	-0.14	1.28
Feb-04	-0.53	-0.99	-1.32	0.06	-0.59	-1.05	-1.38
Mar-04	-2.69	-2.46	-1.89	0.09	-2.78	-2.55	-1.98
Apr-04	0.22	2.52	1.70	0.08	0.14	2.44	1.62
May-04	2.53	1.39	1.85	0.06	2.47	1.33	1.79
Jun-04	-1.93	-7.46	-3.22	0.08	-2.01	-7.54	-3.30
Jul-04	0.99	-0.78	0.25	0.1	0.89	-0.88	0.15
Aug-04	1.52	2.49	1.00	0.11	1.41	2.38	0.89
Sep-04	0.21	1.46	1.29	0.11	0.10	1.35	1.18
Oct-04	5.22	4.66	4.46	0.11	5.11	4.55	4.35
Nov-04	3.24	3.60	3.01	0.15	3.09	3.45	2.86
Dec-04	-2.36	-3.48	-2.24	0.16	-2.52	-3.64	-2.40
Jan-05	3.62	0.79	2.09	0.16	3.46	0.63	1.93
Feb-05	-2.33	-2.86	-1.83	0.16	-2.49	-3.02	-1.99
Mar-05	-2.68	-2.41	-1.87	0.21	-2.89	-2.62	-2.08
Apr-05	4.08	7.13	3.22	0.21	3.87	6.92	3.01
May-05	2.25	0.51	0.15	0.24	2.01	0.27	-0.09
Jun-05	3.55	5.28	3.82	0.23	3.32	5.05	3.59
Jul-05	-1.85	-0.85	-0.93	0.24	-2.09	-1.09	-1.17
Aug-05	0.38	1.34	0.80	0.3	0.08	1.04	0.50
Sep-05	-1.88	0.30	-2.36	0.29	-2.17	0.01	-2.65
Oct-05	2.87	5.04	4.39	0.27	2.60	4.77	4.12
Nov-05	0.93	0.46	-0.19	0.31	0.62	0.15	-0.50
Dec-05	3.41	3.30	2.41	0.32	3.09	2.98	2.09
Jan-06	0.00	-1.82	0.57	0.35	-0.35	-2.17	0.22
Feb-06	0.71	0.34	1.65	0.34	0.37	0.00	1.31
Mar-06	0.53	-0.45	1.26	0.37	0.16	-0.82	0.89
Apr-06	-3.00	-5.84	-3.01	0.36	-3.36	-6.20	-3.37
May-06	-0.27	-1.55	0.26	0.43	-0.70	-1.98	-0.17
Jun-06	1.09	-2.36	0.45	0.4	0.69	-2.76	0.05
Jul-06	2.70	3.60	2.18	0.4	2.30	3.20	1.78
Aug-06	2.63	2.87	2.70	0.42	2.21	2.45	2.28
Sep-06	2.56	1.92	3.16	0.41	2.15	1.51	2.75
Oct-06	0.75	1.94	1.99	0.41	0.34	1.53	1.58
Nov-06	2.32	0.22	0.77	0.42	1.90	-0.20	0.35
Dec-06	1.86	2.18	1.51	0.4	1.46	1.78	1.11
Jan-07	-2.30	-1.69	-1.96	0.44	-2.74	-2.13	-2.40
Feb-07	0.81	0.89	1.16	0.38	0.43	0.51	0.78
Mar-07	3.87	2.92	4.42	0.43	3.44	2.49	3.99
Apr-07	3.65	3.37	3.39	0.44	3.21	2.93	2.95
May-07	-2.02	-1.14	-1.46	0.41	-2.43	-1.55	-1.87
Jun-07	-4.74	-0.79	-3.13	0.4	-5.14	-1.19	-3.53
Jul-07	1.12	1.11	1.28	0.4	0.72	0.71	0.88
Aug-07	2.54	4.91	3.88	0.42	2.12	4.49	3.46
Sep-07	0.39	2.19	1.35	0.32	0.07	1.87	1.03
Oct-07	-5.86	-3.90	-3.87	0.32	-6.18	-4.22	-4.19
Nov-07	0.25	0.00	-1.13	0.34	-0.09	-0.34	-1.47
Dec-07	-5.39	-10.34	-6.04	0.27	-5.66	-10.61	-6.31
Jan-08	-2.67	-2.38	-2.58	0.21	-2.88	-2.59	-2.79
Feb-08	-0.89	-0.06	-0.90	0.13	-1.02	-0.19	-1.03
Mar-08	5.64	6.32	4.77	0.17	5.47	6.15	4.60
Apr-08	1.44	3.00	1.51	0.17	1.27	2.83	1.34
May-08	-7.18	-6.25	-8.35	0.17	-7.35	-6.42	-8.52
Jun-08	-1.80	-0.40	-0.90	0.17	-1.97	-0.57	-1.07
Jul-08	1.37	0.45	1.55	0.15	1.22	0.30	1.40
Aug-08	-7.50	-11.63	-9.42	0.12	-7.62	-11.75	-9.54
Sep-08	-18.16	-15.45	-16.52	0.15	-18.31	-15.60	-16.67
Oct-08	-7.16	-7.93	-6.96	0.08	-7.24	-8.01	-7.04
Nov-08	2.70	0.57	0.99	0.02	2.68	0.55	0.97
Dec-08	-10.76	-4.49	-8.22	0.09	-10.85	-4.58	-8.31
				Average	-0.59	-0.60	-0.55
				Standard Deviation	4.05	4.21	3.81

Conclusion

Standard deviation for the two funds is 4.05 and 4.21.

Answer 14

Summary Introduction

(b)
To calculate:

In this part of the problem we have to calculate standard deviation of each fund.

Answer 15

Expert Solution

Explanation of Solution

Standard deviation on excel can be calculated by using formula as = stdev
Then we have to choose the data accordingly to calculate standard deviation.

	Total monthly returns				Excess Returns
Month	Vanguard	Value Fund	S&P	T-bills	Vanguard	Value Fund	S&P
Jan-04	1.52	-0.07	1.35	0.07	1.45	-0.14	1.28
Feb-04	-0.53	-0.99	-1.32	0.06	-0.59	-1.05	-1.38
Mar-04	-2.69	-2.46	-1.89	0.09	-2.78	-2.55	-1.98
Apr-04	0.22	2.52	1.70	0.08	0.14	2.44	1.62
May-04	2.53	1.39	1.85	0.06	2.47	1.33	1.79
Jun-04	-1.93	-7.46	-3.22	0.08	-2.01	-7.54	-3.30
Jul-04	0.99	-0.78	0.25	0.1	0.89	-0.88	0.15
Aug-04	1.52	2.49	1.00	0.11	1.41	2.38	0.89
Sep-04	0.21	1.46	1.29	0.11	0.10	1.35	1.18
Oct-04	5.22	4.66	4.46	0.11	5.11	4.55	4.35
Nov-04	3.24	3.60	3.01	0.15	3.09	3.45	2.86
Dec-04	-2.36	-3.48	-2.24	0.16	-2.52	-3.64	-2.40
Jan-05	3.62	0.79	2.09	0.16	3.46	0.63	1.93
Feb-05	-2.33	-2.86	-1.83	0.16	-2.49	-3.02	-1.99
Mar-05	-2.68	-2.41	-1.87	0.21	-2.89	-2.62	-2.08
Apr-05	4.08	7.13	3.22	0.21	3.87	6.92	3.01
May-05	2.25	0.51	0.15	0.24	2.01	0.27	-0.09
Jun-05	3.55	5.28	3.82	0.23	3.32	5.05	3.59
Jul-05	-1.85	-0.85	-0.93	0.24	-2.09	-1.09	-1.17
Aug-05	0.38	1.34	0.80	0.3	0.08	1.04	0.50
Sep-05	-1.88	0.30	-2.36	0.29	-2.17	0.01	-2.65
Oct-05	2.87	5.04	4.39	0.27	2.60	4.77	4.12
Nov-05	0.93	0.46	-0.19	0.31	0.62	0.15	-0.50
Dec-05	3.41	3.30	2.41	0.32	3.09	2.98	2.09
Jan-06	0.00	-1.82	0.57	0.35	-0.35	-2.17	0.22
Feb-06	0.71	0.34	1.65	0.34	0.37	0.00	1.31
Mar-06	0.53	-0.45	1.26	0.37	0.16	-0.82	0.89
Apr-06	-3.00	-5.84	-3.01	0.36	-3.36	-6.20	-3.37
May-06	-0.27	-1.55	0.26	0.43	-0.70	-1.98	-0.17
Jun-06	1.09	-2.36	0.45	0.4	0.69	-2.76	0.05
Jul-06	2.70	3.60	2.18	0.4	2.30	3.20	1.78
Aug-06	2.63	2.87	2.70	0.42	2.21	2.45	2.28
Sep-06	2.56	1.92	3.16	0.41	2.15	1.51	2.75
Oct-06	0.75	1.94	1.99	0.41	0.34	1.53	1.58
Nov-06	2.32	0.22	0.77	0.42	1.90	-0.20	0.35
Dec-06	1.86	2.18	1.51	0.4	1.46	1.78	1.11
Jan-07	-2.30	-1.69	-1.96	0.44	-2.74	-2.13	-2.40
Feb-07	0.81	0.89	1.16	0.38	0.43	0.51	0.78
Mar-07	3.87	2.92	4.42	0.43	3.44	2.49	3.99
Apr-07	3.65	3.37	3.39	0.44	3.21	2.93	2.95
May-07	-2.02	-1.14	-1.46	0.41	-2.43	-1.55	-1.87
Jun-07	-4.74	-0.79	-3.13	0.4	-5.14	-1.19	-3.53
Jul-07	1.12	1.11	1.28	0.4	0.72	0.71	0.88
Aug-07	2.54	4.91	3.88	0.42	2.12	4.49	3.46
Sep-07	0.39	2.19	1.35	0.32	0.07	1.87	1.03
Oct-07	-5.86	-3.90	-3.87	0.32	-6.18	-4.22	-4.19
Nov-07	0.25	0.00	-1.13	0.34	-0.09	-0.34	-1.47
Dec-07	-5.39	-10.34	-6.04	0.27	-5.66	-10.61	-6.31
Jan-08	-2.67	-2.38	-2.58	0.21	-2.88	-2.59	-2.79
Feb-08	-0.89	-0.06	-0.90	0.13	-1.02	-0.19	-1.03
Mar-08	5.64	6.32	4.77	0.17	5.47	6.15	4.60
Apr-08	1.44	3.00	1.51	0.17	1.27	2.83	1.34
May-08	-7.18	-6.25	-8.35	0.17	-7.35	-6.42	-8.52
Jun-08	-1.80	-0.40	-0.90	0.17	-1.97	-0.57	-1.07
Jul-08	1.37	0.45	1.55	0.15	1.22	0.30	1.40
Aug-08	-7.50	-11.63	-9.42	0.12	-7.62	-11.75	-9.54
Sep-08	-18.16	-15.45	-16.52	0.15	-18.31	-15.60	-16.67
Oct-08	-7.16	-7.93	-6.96	0.08	-7.24	-8.01	-7.04
Nov-08	2.70	0.57	0.99	0.02	2.68	0.55	0.97
Dec-08	-10.76	-4.49	-8.22	0.09	-10.85	-4.58	-8.31
				Average	-0.59	-0.60	-0.55
				Standard Deviation	4.05	4.21	3.81

Answer 16

Expert Solution

Answer 17

Expert Solution

Answer 18

Expert Solution

Answer 19

Conclusion

Standard deviation for the two funds is 4.05 and 4.21.

Answer 20

Summary Introduction

(d)

To Calculate:

In this question we have to calculate Sharpe, Jensen and Treynor ratio for each fund.

Expert Solution

Explanation of Solution

All these ratios are calculated as:

Sharpe ratio=
Excess Return / standard devation ESSENTIALS OF INVESTMENTS SELECT CHAPT, Chapter 18, Problem 17PS , additional homework tip 1

Treynor=Excess return / Beta ESSENTIALS OF INVESTMENTS SELECT CHAPT, Chapter 18, Problem 17PS , additional homework tip 2
Jensen=α_P = E(r_P) − {r_f + β_P [E(r_M) − r_f]}

	Total monthly returns				Excess Returns
Month	Vanguard	Value Fund	S&P	T-bills	Vanguard	Value Fund	S&P
Jan-04	1.52	-0.07	1.35	0.07	1.45	-0.14	1.28
Feb-04	-0.53	-0.99	-1.32	0.06	-0.59	-1.05	-1.38
Mar-04	-2.69	-2.46	-1.89	0.09	-2.78	-2.55	-1.98
Apr-04	0.22	2.52	1.70	0.08	0.14	2.44	1.62
May-04	2.53	1.39	1.85	0.06	2.47	1.33	1.79
Jun-04	-1.93	-7.46	-3.22	0.08	-2.01	-7.54	-3.30
Jul-04	0.99	-0.78	0.25	0.1	0.89	-0.88	0.15
Aug-04	1.52	2.49	1.00	0.11	1.41	2.38	0.89
Sep-04	0.21	1.46	1.29	0.11	0.10	1.35	1.18
Oct-04	5.22	4.66	4.46	0.11	5.11	4.55	4.35
Nov-04	3.24	3.60	3.01	0.15	3.09	3.45	2.86
Dec-04	-2.36	-3.48	-2.24	0.16	-2.52	-3.64	-2.40
Jan-05	3.62	0.79	2.09	0.16	3.46	0.63	1.93
Feb-05	-2.33	-2.86	-1.83	0.16	-2.49	-3.02	-1.99
Mar-05	-2.68	-2.41	-1.87	0.21	-2.89	-2.62	-2.08
Apr-05	4.08	7.13	3.22	0.21	3.87	6.92	3.01
May-05	2.25	0.51	0.15	0.24	2.01	0.27	-0.09
Jun-05	3.55	5.28	3.82	0.23	3.32	5.05	3.59
Jul-05	-1.85	-0.85	-0.93	0.24	-2.09	-1.09	-1.17
Aug-05	0.38	1.34	0.80	0.3	0.08	1.04	0.50
Sep-05	-1.88	0.30	-2.36	0.29	-2.17	0.01	-2.65
Oct-05	2.87	5.04	4.39	0.27	2.60	4.77	4.12
Nov-05	0.93	0.46	-0.19	0.31	0.62	0.15	-0.50
Dec-05	3.41	3.30	2.41	0.32	3.09	2.98	2.09
Jan-06	0.00	-1.82	0.57	0.35	-0.35	-2.17	0.22
Feb-06	0.71	0.34	1.65	0.34	0.37	0.00	1.31
Mar-06	0.53	-0.45	1.26	0.37	0.16	-0.82	0.89
Apr-06	-3.00	-5.84	-3.01	0.36	-3.36	-6.20	-3.37
May-06	-0.27	-1.55	0.26	0.43	-0.70	-1.98	-0.17
Jun-06	1.09	-2.36	0.45	0.4	0.69	-2.76	0.05
Jul-06	2.70	3.60	2.18	0.4	2.30	3.20	1.78
Aug-06	2.63	2.87	2.70	0.42	2.21	2.45	2.28
Sep-06	2.56	1.92	3.16	0.41	2.15	1.51	2.75
Oct-06	0.75	1.94	1.99	0.41	0.34	1.53	1.58
Nov-06	2.32	0.22	0.77	0.42	1.90	-0.20	0.35
Dec-06	1.86	2.18	1.51	0.4	1.46	1.78	1.11
Jan-07	-2.30	-1.69	-1.96	0.44	-2.74	-2.13	-2.40
Feb-07	0.81	0.89	1.16	0.38	0.43	0.51	0.78
Mar-07	3.87	2.92	4.42	0.43	3.44	2.49	3.99
Apr-07	3.65	3.37	3.39	0.44	3.21	2.93	2.95
May-07	-2.02	-1.14	-1.46	0.41	-2.43	-1.55	-1.87
Jun-07	-4.74	-0.79	-3.13	0.4	-5.14	-1.19	-3.53
Jul-07	1.12	1.11	1.28	0.4	0.72	0.71	0.88
Aug-07	2.54	4.91	3.88	0.42	2.12	4.49	3.46
Sep-07	0.39	2.19	1.35	0.32	0.07	1.87	1.03
Oct-07	-5.86	-3.90	-3.87	0.32	-6.18	-4.22	-4.19
Nov-07	0.25	0.00	-1.13	0.34	-0.09	-0.34	-1.47
Dec-07	-5.39	-10.34	-6.04	0.27	-5.66	-10.61	-6.31
Jan-08	-2.67	-2.38	-2.58	0.21	-2.88	-2.59	-2.79
Feb-08	-0.89	-0.06	-0.90	0.13	-1.02	-0.19	-1.03
Mar-08	5.64	6.32	4.77	0.17	5.47	6.15	4.60
Apr-08	1.44	3.00	1.51	0.17	1.27	2.83	1.34
May-08	-7.18	-6.25	-8.35	0.17	-7.35	-6.42	-8.52
Jun-08	-1.80	-0.40	-0.90	0.17	-1.97	-0.57	-1.07
Jul-08	1.37	0.45	1.55	0.15	1.22	0.30	1.40
Aug-08	-7.50	-11.63	-9.42	0.12	-7.62	-11.75	-9.54
Sep-08	-18.16	-15.45	-16.52	0.15	-18.31	-15.60	-16.67
Oct-08	-7.16	-7.93	-6.96	0.08	-7.24	-8.01	-7.04
Nov-08	2.70	0.57	0.99	0.02	2.68	0.55	0.97
Dec-08	-10.76	-4.49	-8.22	0.09	-10.85	-4.58	-8.31
				Average	-0.59	-0.60	-0.55
				Sharpe ratio	-0.15	-0.14	-0.14
				Alpha	-0.03	-0.04	0.00
				Treynor	-0.57	-0.58	-0.55

Conclusion

Alpha	-0.03	-0.04	0.00
Treynor	-0.57	-0.58	-0.55

Answer 21

Summary Introduction

(d)

To Calculate:

In this question we have to calculate Sharpe, Jensen and Treynor ratio for each fund.

Answer 22

Expert Solution

Explanation of Solution

All these ratios are calculated as:

Sharpe ratio=
Excess Return / standard devation ESSENTIALS OF INVESTMENTS SELECT CHAPT, Chapter 18, Problem 17PS , additional homework tip 1

Treynor=Excess return / Beta ESSENTIALS OF INVESTMENTS SELECT CHAPT, Chapter 18, Problem 17PS , additional homework tip 2
Jensen=α_P = E(r_P) − {r_f + β_P [E(r_M) − r_f]}

	Total monthly returns				Excess Returns
Month	Vanguard	Value Fund	S&P	T-bills	Vanguard	Value Fund	S&P
Jan-04	1.52	-0.07	1.35	0.07	1.45	-0.14	1.28
Feb-04	-0.53	-0.99	-1.32	0.06	-0.59	-1.05	-1.38
Mar-04	-2.69	-2.46	-1.89	0.09	-2.78	-2.55	-1.98
Apr-04	0.22	2.52	1.70	0.08	0.14	2.44	1.62
May-04	2.53	1.39	1.85	0.06	2.47	1.33	1.79
Jun-04	-1.93	-7.46	-3.22	0.08	-2.01	-7.54	-3.30
Jul-04	0.99	-0.78	0.25	0.1	0.89	-0.88	0.15
Aug-04	1.52	2.49	1.00	0.11	1.41	2.38	0.89
Sep-04	0.21	1.46	1.29	0.11	0.10	1.35	1.18
Oct-04	5.22	4.66	4.46	0.11	5.11	4.55	4.35
Nov-04	3.24	3.60	3.01	0.15	3.09	3.45	2.86
Dec-04	-2.36	-3.48	-2.24	0.16	-2.52	-3.64	-2.40
Jan-05	3.62	0.79	2.09	0.16	3.46	0.63	1.93
Feb-05	-2.33	-2.86	-1.83	0.16	-2.49	-3.02	-1.99
Mar-05	-2.68	-2.41	-1.87	0.21	-2.89	-2.62	-2.08
Apr-05	4.08	7.13	3.22	0.21	3.87	6.92	3.01
May-05	2.25	0.51	0.15	0.24	2.01	0.27	-0.09
Jun-05	3.55	5.28	3.82	0.23	3.32	5.05	3.59
Jul-05	-1.85	-0.85	-0.93	0.24	-2.09	-1.09	-1.17
Aug-05	0.38	1.34	0.80	0.3	0.08	1.04	0.50
Sep-05	-1.88	0.30	-2.36	0.29	-2.17	0.01	-2.65
Oct-05	2.87	5.04	4.39	0.27	2.60	4.77	4.12
Nov-05	0.93	0.46	-0.19	0.31	0.62	0.15	-0.50
Dec-05	3.41	3.30	2.41	0.32	3.09	2.98	2.09
Jan-06	0.00	-1.82	0.57	0.35	-0.35	-2.17	0.22
Feb-06	0.71	0.34	1.65	0.34	0.37	0.00	1.31
Mar-06	0.53	-0.45	1.26	0.37	0.16	-0.82	0.89
Apr-06	-3.00	-5.84	-3.01	0.36	-3.36	-6.20	-3.37
May-06	-0.27	-1.55	0.26	0.43	-0.70	-1.98	-0.17
Jun-06	1.09	-2.36	0.45	0.4	0.69	-2.76	0.05
Jul-06	2.70	3.60	2.18	0.4	2.30	3.20	1.78
Aug-06	2.63	2.87	2.70	0.42	2.21	2.45	2.28
Sep-06	2.56	1.92	3.16	0.41	2.15	1.51	2.75
Oct-06	0.75	1.94	1.99	0.41	0.34	1.53	1.58
Nov-06	2.32	0.22	0.77	0.42	1.90	-0.20	0.35
Dec-06	1.86	2.18	1.51	0.4	1.46	1.78	1.11
Jan-07	-2.30	-1.69	-1.96	0.44	-2.74	-2.13	-2.40
Feb-07	0.81	0.89	1.16	0.38	0.43	0.51	0.78
Mar-07	3.87	2.92	4.42	0.43	3.44	2.49	3.99
Apr-07	3.65	3.37	3.39	0.44	3.21	2.93	2.95
May-07	-2.02	-1.14	-1.46	0.41	-2.43	-1.55	-1.87
Jun-07	-4.74	-0.79	-3.13	0.4	-5.14	-1.19	-3.53
Jul-07	1.12	1.11	1.28	0.4	0.72	0.71	0.88
Aug-07	2.54	4.91	3.88	0.42	2.12	4.49	3.46
Sep-07	0.39	2.19	1.35	0.32	0.07	1.87	1.03
Oct-07	-5.86	-3.90	-3.87	0.32	-6.18	-4.22	-4.19
Nov-07	0.25	0.00	-1.13	0.34	-0.09	-0.34	-1.47
Dec-07	-5.39	-10.34	-6.04	0.27	-5.66	-10.61	-6.31
Jan-08	-2.67	-2.38	-2.58	0.21	-2.88	-2.59	-2.79
Feb-08	-0.89	-0.06	-0.90	0.13	-1.02	-0.19	-1.03
Mar-08	5.64	6.32	4.77	0.17	5.47	6.15	4.60
Apr-08	1.44	3.00	1.51	0.17	1.27	2.83	1.34
May-08	-7.18	-6.25	-8.35	0.17	-7.35	-6.42	-8.52
Jun-08	-1.80	-0.40	-0.90	0.17	-1.97	-0.57	-1.07
Jul-08	1.37	0.45	1.55	0.15	1.22	0.30	1.40
Aug-08	-7.50	-11.63	-9.42	0.12	-7.62	-11.75	-9.54
Sep-08	-18.16	-15.45	-16.52	0.15	-18.31	-15.60	-16.67
Oct-08	-7.16	-7.93	-6.96	0.08	-7.24	-8.01	-7.04
Nov-08	2.70	0.57	0.99	0.02	2.68	0.55	0.97
Dec-08	-10.76	-4.49	-8.22	0.09	-10.85	-4.58	-8.31
				Average	-0.59	-0.60	-0.55
				Sharpe ratio	-0.15	-0.14	-0.14
				Alpha	-0.03	-0.04	0.00
				Treynor	-0.57	-0.58	-0.55

Answer 23

Expert Solution

Answer 24

Expert Solution

Answer 25

Expert Solution

Answer 26

Conclusion

Alpha	-0.03	-0.04	0.00
Treynor	-0.57	-0.58	-0.55

Answer 27

Ch. 18 - Prob. 1PS Ch. 18 - Prob. 2PS Ch. 18 - Prob. 3PS Ch. 18 - 4. Two portfolio managers use different procedures...Ch. 18 - Prob. 5PS Ch. 18 - Prob. 6PS Ch. 18 - Prob. 7PS Ch. 18 - Conventional wisdom says that one should measure a...Ch. 18 - Prob. 9PS Ch. 18 - Prob. 10PS

(a) To calculate: We have to collect the data as given in Connect and calculate each fund's excess return.

(a) To calculate: We have to collect the data as given in Connect and calculate each fund's excess return.

Explanation of Solution

(b) To calculate: In this part of the problem we have to calculate standard deviation of each fund.

Explanation of Solution

(d) To Calculate: In this question we have to calculate Sharpe, Jensen and Treynor ratio for each fund.

Explanation of Solution

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Chapter 18 Solutions

(a)
To calculate:

We have to collect the data as given in Connect and calculate each fund's excess return.

(b)
To calculate:

In this part of the problem we have to calculate standard deviation of each fund.

(d)

To Calculate:

In this question we have to calculate Sharpe, Jensen and Treynor ratio for each fund.