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Background: Schwab Capital Fund is an open-end equity indexed mutual fund. The fund invests in the public equity markets of the United States. The fund

Background: Schwab Capital Fund is an open-end equity indexed mutual fund. The fund invests in the public equity markets of the United States. The fund seeks to track the performance of the S&P 500 Index.

You performed the following regression analysis to evaluate the performance of Schwab Capital Fund in the past one-year period. Using the following regression on monthly pricing information, the fund excess return, alpha, and residual standard deviation reported in the table below have been annualised. The annual excess return on S&P 500 index in the past one year was 30.37%.

Regression model: (Rs - Rf ) = Alpha + Beta x (Rm - Rf) + e

Fund

(Annual) Fund Excess Return,

(Rs - Rf )

(Annual) Alpha Beta R-square (Annual) Residual Standard Deviation,

(e)

Schwab Fund 30.46% 1.69% 0.95 0.9722 0.021

Required:

Required: [Instruction: For a through to c, do not round the intermediate answers. Round final answers to two decimal places for your answer, e.g., 0.01; for d, no calculation is required]

  1. Calculate the funds annual Treynor ratio.
  2. Calculate the funds annual Information ratio.
  3. Calculate the funds annual Sharpe ratio.
  4. In one or two sentences, comment whether the fund achieves its objective of tracking the performance of ASX200.

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