ESSENTIALS OF INVESTMENTS>LL<+CONNECT
11th Edition
ISBN: 9781264001026
Author: Bodie
Publisher: MCG
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Textbook Question
Chapter 18.1, Problem 2EQ
Which fund would you choose if you were considering investing the entire risky portion of your portfolios? What if you were considering adding a small position in one of these films to a portfolio currently invested in the market index?
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Would a market-neutral hedge fund be a good candidate for an investor’s entire retirement portfolio? If not, would there be a role for the hedge fund in the overall portfolio of such an investor?
a. Using the data in the table below and calculate the following performance measures.
i. Sharpe ratio
ii. Treynor measure
iii. Jensen's alpha
iv. M-squared measure
v. T-squared measure, and
vi. Appraisal ratio (information ratio)
Average Standard
Beta
Unsystematic
Fund
Return
Deviation Coefficient
Risk
A
0.240
0.800
0.900
0.220
0.017
B
0.200
0.170
0.450
C
0.380
0.290
0.400
0.290
1.200
0.074
0.260
0.180
1.100
0.026
E
0.900
0.121
F
0.460
0.190
0.180
0.153
0.120
0.320
1.100
G
0.250
0.700
Market
0.220
1.000
0.000
Risk-free
return
0.050
0.000
Chapter 18 Solutions
ESSENTIALS OF INVESTMENTS>LL<+CONNECT
Ch. 18.1 - Prob. 1EQCh. 18.1 - Which fund would you choose if you were...Ch. 18.6 - Prob. 1EQCh. 18.6 - What would happen to the contribution of security...Ch. 18 - Prob. 1PSCh. 18 - Is it possible for a positive alpha to be...Ch. 18 - Prob. 3PSCh. 18 - Prob. 5PSCh. 18 - 6. stock price and dividend history are as...Ch. 18 - Prob. 7PS
Ch. 18 - Based on current dividend yields and expected...Ch. 18 - Consider the two (excess return) index~m0del...Ch. 18 - Prob. 10PSCh. 18 - Prob. 11PSCh. 18 - Prob. 12PSCh. 18 - Conventional wisdom says that one should measure a...Ch. 18 - Prob. 14PSCh. 18 - Prob. 15PSCh. 18 - Bill Smith is evaluating the performance of four...Ch. 18 - Prob. 17PSCh. 18 - Prob. 18PSCh. 18 - Prob. 19PSCh. 18 - Prob. 20PSCh. 18 - Prob. 21PSCh. 18 - Prob. 22PSCh. 18 - Prob. 1CPCh. 18 - Prob. 2CPCh. 18 - Prob. 3CPCh. 18 - Prob. 4CPCh. 18 - What is the Sharpe performance measure for...Ch. 18 - Prob. 6CPCh. 18 - Prob. 7CPCh. 18 - Prob. 8CPCh. 18 - Prob. 9CPCh. 18 - Prob. 10CPCh. 18 - Prob. 11CPCh. 18 - Prob. 12CPCh. 18 - Prob. 13CPCh. 18 - Prob. 14CPCh. 18 - Prob. 1WMCh. 18 - Prob. 2WMCh. 18 - Prob. 3WMCh. 18 - Prob. 4WMCh. 18 - Prob. 5WMCh. 18 - Prob. 7WM
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