Kelli Blakely is a portfolio manager for the Miranda Fund (Miranda), a core large-cap equity fund. The
Question:
Kelli Blakely is a portfolio manager for the Miranda Fund (Miranda), a core large-cap equity fund. The market proxy and benchmark for performance measurement purposes is the S&P 500. Although the Miranda portfolio generally mirrors the asset class and sector weightings of the S&P, Blakely is allowed a significant amount of leeway in managing the fund. Her portfolio holds only stocks found in the S&P 500 and cash.
Blakely was able to produce exceptional returns last year (as outlined in the table below) through her market timing and security selection skills. At the outset of the year, she became extremely concerned that the combination of a weak economy and geopolitical uncertainties would negatively impact the market. Taking a bold step, she changed her market allocation. For the entire year her asset class exposures averaged 50% in stocks and 50% in cash. The S&€™s allocation between stocks and cash during period was a constant 97% and 3%, respectively. The risk-free rate of return was 2%.
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a. What are the Sharpe ratios for the Miranda Fund and the S&P 500?
b. What are the M 2 measures for Miranda and the S&P 500?
c. What is the Treynor measure for the Miranda Fund and the S&P 500?
d. What is the Jensen measure for the MirandaFund?
Stocks or shares are generally equity instruments that provide the largest source of raising funds in any public or private listed company's. The instruments are issued on a stock exchange from where a large number of general public who are willing... Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...
Step by Step Answer:
a b To compute M 2 measure blend the Miranda Fund with a position in ...View the full answer
