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An investment fund, P, generates a return of 30% in 2006 and 20% in 2007 . The beta of P, the risk-free rate and the
An investment fund, P, generates a return of 30% in 2006 and 20% in 2007 . The beta of P, the risk-free rate and the return on the market portfolio over the two years are as follows: (a) The systematic variance of returns for the fund remains fixed at 60% [15 points] of the total variance of returns. Define Jensen, Fama, Treynor and Sharpe measures and calculate their values for the fund for both years. (b) Briefly assess the performance of the fund. What evidence is there of [10 points] the fund manager possessing - superior stock selection skills - market timing ability? Does it matter whether the fund represents a standalone investment or is part of a larger (diversified) portfolio
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