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
Step by Step Answer:
Essentials Of Investments
ISBN: 9780697789945
8th Edition
Authors: Zvi Bodie, Alex Kane, Alan J. Marcus