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

Question

Want to see more full solutions like this?

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

Want to see more full solutions like this?

Subscribe now to access step-by-step solutions to millions of textbook problems written by subject matter experts!

Students have asked these similar questions

Article: Current Bank Problem Statement The general problem to be surveyed is that leaders lack an understanding of how to address job demands, resulting in an increase in voluntary termination, counterproductive workplace outcomes, and a loss of customers. Bank leaders discovered from customer surveys that customers are closing accounts because their rates are not competitive with area credit unions. Job demands such as a heavy workload interfered with employee performance, leading to decreased job performance. Healthcare employees who felt the organization’s benefits were not competitive were more likely to quit without notice, resulting in retention issues for the organization. Information technology leaders who provide job resources to offset job demand have seen an increase in (a) new accounts, (b) employee productivity, (c) positive workplace culture, and (d) employee retention. The specific problem to be addressed is that IT technology leaders in the information technology…

How to rewrite the problem statement, correcting the identified errors of the Business Problem Information and the current Bank Problem Statement (for the discussion: Evaluating a Problem Statement)

Don't used hand raiting and don't used Ai solution

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

Want to see more full solutions like this?

Subscribe now to access step-by-step solutions to millions of textbook problems written by subject matter experts!

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

Want to see more full solutions like this?

Subscribe now to access step-by-step solutions to millions of textbook problems written by subject matter experts!

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

Want to see more full solutions like this?

Subscribe now to access step-by-step solutions to millions of textbook problems written by subject matter experts!

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

Want to see more full solutions like this?

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.