Question
. An investor was tracking SBI and HDFC mutual funds whose return and beta are as given below: Observed Return Beta Portfolio SBI 18% 0.75
. An investor was tracking SBI and HDFC mutual funds whose return and beta are as given below:
| Observed Return | Beta | ||
| Portfolio SBI | 18% | 0.75 | |
| Portfolio HDFC | 25% | 1.25 | |
| | | | |
Return on the market portfolio is 11%, while the risk-free return is 8%. Assume standard Deviation of the market to be 7%.
a. Compute the Jensen index for each of the funds and comment which one is better.
(5 Marks)
b. Compute the Treynor index for each of the funds and comment which one is better.
(5 Marks)
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Solution aJensens index CAPM returnR f R m R f 1Portfolio SBI Given Rfrisk free return8 Rm market re...
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An Introduction To Management Science Quantitative Approaches To Decision Making
Authors: David Anderson, Dennis Sweeney, Thomas Williams, Jeffrey Cam
13th Edition
9781111532246, 1111532222, 1111532249, 978-1111532222
