Question
Assume that we have the following data for 3 funds , G' H' J with their rate of return and beta. The risk free rate
Assume that we have the following data for 3 funds , G' H' J with their rate of return and beta. The risk free rate is 12%. The risk for market (M) is 1.0 and the rate of return for the market (M) is 18%.
Manager Rate of Return Beta
Market 18% 1.00
G 16% 0.90
H 20% 1.05
J 22% 1.20
Using the Treynor index equation, calculate the value of each manager. Which fund has the highest performance
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International Financial Management
Authors: Jeff Madura
3rd Edition
0314862722, 978-0314862723
