Question
A one factor model has been estimated for excess returns of funds A and B with the following results: Ra=.03+0.5Rm+eA Rb=.01+0.8Rm+eB Sigma(market)=0.35; Sigma(eA)=.15; Sigma(eB)=.20 1.
A one factor model has been estimated for excess returns of funds A and B with the following results:
Ra=.03+0.5Rm+eA
Rb=.01+0.8Rm+eB
Sigma(market)=0.35; Sigma(eA)=.15; Sigma(eB)=.20
1. a) Find the Jensens Alpha, Adjusted Treynor Ratio, and Information Ratio
b) Find the sharpe ratios of the funds if the market risk premium is 12%.
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Basic Finance An Introduction To Financial Institutions, Investments And Management
Authors: Herbert B Mayo
9th Edition
0324322291, 9780324322293
