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Compare the performance of funds A and B with the following characteristics: in a context where the risk-free rate is 2%, the market has a
Compare the performance of funds A and B with the following characteristics: in a context where the risk-free rate is 2%, the "market" has a profitability average of 10% and a volatility of 12%. A B expected profitability. 9% 12% volatility. 20% 15% beta. 0,7 1,3 (1) You will use the following performance measures, explaining how to calculate and interpret them: Sharpe, Treynor, Jensen, Black-Treynor . (2) Assuming that funds are managed with reference to a benchmark (say an I index for fund A, and a J index for fund B), what (other) performance measures could we use?
Compare the performance of funds A and B with the following characteristics:
in a context where the risk-free rate is 2%, the "market" has a profitability
average of 10% and a volatility of 12%.
A B
expected profitability. 9% 12%
volatility. 20% 15%
beta. 0,7 1,3
(1) You will use the following performance measures, explaining how to calculate and interpret them: Sharpe, Treynor, Jensen, Black-Treynor .
(2) Assuming that funds are managed with reference to a benchmark (say an I index for fund A, and a J index for fund B), what (other) performance measures could we use?
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Fundamentals Of Financial Management
Authors: Eugene F. Brigham, Joel F. Houston
16th Edition
9780357517574
