Question
Client A has no other investments at this time and would establish a portfolio solely based on your recommendation. Client B has already invested in
Client A has no other investments at this time and would establish a portfolio solely based on your recommendation.
Client B has already invested in several mutual funds. She would establish an additional sub-portfolio and expected to enhance her risk-adjusted return of the whole portfolio based on your recommendation.
Client C was a bit conservative and only had passive investments in market index funds. He wants to add some active investments to enhance the performance of current passive investment based on your recommendation.
Based on the results in the graph below, select one fund for each client and explain.
| Yorktown Growth Fund | Aston | Glenmede Fund; Long/Short Portfolio | Glenmede Fund; Large Cap Growth Portfolio | Market | |
| Sharpe Ratio | 0.2002301 | 0.2370231 | 0.1731013 | 0.3191428 | 0.291511 |
| Market Beta | 1.0375300 | 0.9380132 | 0.4016944 | 1.0366620 | 1 |
| Treynor ratio | 0.0078107 | 0.0098454 | 0.0076547 | 0.0123329 | 0.010915 |
| CAPM Alpha | -0.0032208 | -0.0010033 | -0.0013096 | 0.0014698 | |
| P-Value of Alpha | 0.0036039 | 0.5347293 | 0.1495094 | 0.1231388 | |
| Nonsystematic risk | 0.0113995 | 0.0169406 | 0.0094908 | 0.0099513 | |
| information ratio | -0.2825404 | -0.0592233 | -0.1379902 | 0.1477033 |
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Accounting What the Numbers Mean
Authors: David Marshall, Wayne McManus, Daniel Viele
12th edition
978-1260565492
