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A university Endowment Fund is evaluated using Top-Down and Bottom- Up analysis, and against a 40:60 (Bonds:Equity) benchmark. The evaluation used the Fund and Benchmark
A university Endowment Fund is evaluated using Top-Down and Bottom- Up analysis, and against a 40:60 (Bonds:Equity) benchmark. The evaluation used the Fund and Benchmark performance over a 10 year period and the results are provided below in annualized terms. Excess Returns and Volatility: Average Excess returns above risk free Volatilit Fund 14.3% 25.6% Benchmark 12.9% 16.9% Regression Results: Coefficient Standard (Alpha) error (Alpha) Coefficient Standard (Beta) Error (Beta) Standard Deviation (Errors) 19% Fund -1.27% 0.95% 1.7 4.65% Based on the above, calculate the (i) Sharpe Ratio, (ii) Treynor Ratio and (iii) Information Ratio for the Endowment Fund. None of the other answers are correct (0) 0.5, (ii) 0.13, (iii) 0.20 O (i) 0.56, (ii) 0.08, (iii) -0.07 O (0) 0.56, (ii) 0.08, (iii) 0.07 O 0) 0.56, (ii) -0.11, (iii) -0.07
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