The chairman provides you with the following data, covering one year, concerning the portfolios of two of

Question:

The chairman provides you with the following data, covering one year, concerning the portfolios of two of the fund’s equity managers (manager A and manager B ). A lthough the portfolios consist primarily of common stocks, cash reserves are included in the calculation of both portfolio betas and performance. By way of perspective, selected data for the financial markets are included in the following table.
Total Return Beta Manager A 24.0% 1.0 Manager B 30.0 1.5 S&P 500 21.0 Lehman Bond Index 31.0 91-day Treasury bills 12.0

a. Calculate and compare the risk-adjusted performance of the two managers relative to each other and to the S&P 500.

b. Explain two reasons the conclusions drawn from this calculation may be misleading. LO.1

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For  book-img-for-question

Essentials Of Investments

ISBN: 9780697789945

8th Edition

Authors: Zvi Bodie, Alex Kane, Alan J. Marcus

Question Posted: