Answered step by step
Verified Expert Solution
Question
1 Approved Answer
5. The table shows the return for an investment fund, that for the market and the return on a one year bond (considered risk free)
5. The table shows the return for an investment fund, that for the market and the return on a one year bond (considered risk free) in the past 11 years. 1 6 9 10 Year Investment fund return (%) Market return (%) Risk-free return (%) -25 -22 2 3 0.5 -11 1.3 -10 9.8 7.1 4 38 40 6.8 5 5 4.2 10.2 7 8 14 15 60 10.3 6.6 -2 -4 10.4 52 35 22 11 7 7.2 3.7 43 5.1 24 2.5 10.1 a) On the basis of this historical data, compute the Sharpe ratio for the fund and the market. b) Compute the Security Market Line and show it in a graph. c) For the fund B = 0.9. What is Jensen's a for this fund? d) Another fund has a Sharpe ratio of 0.15 and a = 1%. Which fund manager had the better performance
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started