**DATA IS PROVIDED ABOVE**
C D 101 201 0.86% 102 0.35%. 1.25% 1.09. 202 -0.90% 103 203 0.83% 104 0.00% 204 -2.35% 105 0.49% 205 1.74% 106 1.04% 206 -0.40% -0.27% 207 0.82% 0.50% 208 -0.84% 1 Data for Question 4 2 Date S&P/ASX 2 returns 3 21/5/20 5550.398 22/5/20 5497 -0.96% 5 25/5/20 5615.602 2.16% 26/5/20 5780 2.93% 7 27/5/20 5775 -0.09% 28/5/20 5851.102 1.32% 9 29/5/20 S755.699 -1.63% 10 1/6/20 5819.199 1.10%. . 11 2/6/20 5835.102 0.27% 12 3/6/20 5941.602 1.9376 13 4/6/20 5991.801 0.84%. 14 5/6/20 5998.699 0.12% 15 8/6/20 5998.699 0.00% 16 9/6/20 6144.898 2.44% 17 10/6/20 6148.398 0.06% 107 108 109 110 111 -0.54% 23/2/21 6839.199 24/2/21 6777.801 25/2/21 6834.031 26/2/21 6673.301 1/3/21 6789.602 2/3/21 6762.301 3/3/21 6818 4/3/21 6760.699 5/3/21 6710.801 8/3/21 6739.602 9/3/21 6771.199 10/3/21 6714.102 11/3/21 6713.999 12/3/21 6766.801 15/3/21 6773 16/3/21 6827.102 209 -0.74% 0.85% -0.72% 210 0.43% 112 0.12% 211 0.47% -0.29% 212 113 114 -0.11% 213 0.00% 115 214 0.79% -0.18% -1.70% 116 0.09% 117 0.11% 215 216 217 0.80% 118 -1.61% . 18 11/6/20 5960.602 -3.05% 17/2/21 6795.199 119 -0.55%. 19 -1.899% 218 -0.73% 120 0.40%. 20 -2.19% 219 -0.56% 121 1.93% 21 3.89%. 220 0.66% | 122 -0.07% 22 0.83% 221 -0.11% 123 1.28% 23 -0.92% 222 0.50% 124 0.82% 24 0.10% 223 0.17% 125 1.75% 25 0.03% 224 0.49% 126 5/10/20 5962.102 7/10/20 6035.398 8/10/20 6102 9/10/20 6102.199 12/10/20 6132 13/10/20 6195.699 14/10/20 6179.199 15/10/20 6210.301 16/10/20 6176.801 19/10/20 6229.398 20/10/20 6184.602 21/10/20 6191.801 22/10/20 6173.801 23/10/20 6167 26/10/20 6155.602 27/10/20 6051 28/10/20 6057.699 29/10/20 5960.301 30/10/20 5927,602 2/11/20 5951.301 3/11/20 6066.898 4/11/20 6062.102 5/11/20 6139.602 6/11/20 6190.199 9/11/20 6298.801 10/11/20 63.40.5 11/11/20 6449.699 12/11/20 6418.199 13/11/20 6405.199 16/11/20 6484.328 17/11/20 6498.199 18/11/20 6531.102 19/11/20 6547.199 20/11/20 6539.199 23/11/20 6561,602 24/11/20 6644.102 25/11/20 6683.301 26/11/20 6636.898 27/11/20 6601.102 30/11/20 6517.801 1/12/20 65RR.5 2/12/20 6590.199 3/12/20 6615.301 4/12/20 6634.102 7/12/20 6675 8/12/20 6687.699 9/12/20 6728.5 10/12/20 6683.102 11/12/20 6642.602 14/12/20 6660.199 15/12/20 6631.301 0.66% 26 0.17% 225 127 -0.36% 1.72% 27 0.19%. 226 -0.90% -0.49% 28 -2.48% 128 129 130 -0.20% 227 0.78% 29 1.49% 1.24% 228 0.56% 30 -1.51% 131 0.21% 229 0.00% 31 1.43%. 0.62% 132 0.51% 230 0.00% 32 133 0.25% 231 0.84% 33 1.66% 134 -0.12% 232 12/6/20 5847.801 15/6/20 5719.801 16/6/20 5942.301 17/6/20 5991.801 18/6/20 5936.5 19/6/20 5942.578 22/6/20 5944.5 23/6/20 5954.398 24/6/20 5965.699 25/6/20 5817,699 26/6/20 5904.102 29/6/20 5815 30/6/20 5897.898 1/7/20 5934.398 2/7/20 6032.699 3/7/20 6057.898 6/7/20 6014.602 7/7/20 6012.898 8/7/20 5920.301 9/7/20 5955.5 10/7/20 5919.199 13/7/20 5977.5 14/7/20 5941.102 15/7/20 6052.898 16/7/20 6010.898 17/7/20 6033.602 20/7/20 6001.602 21/7/20 6156.301 22/7/20 6075.102 23/7/20 6094.5 24/7/20 6024 34 0.42% 135 0.34% 233 18/3/21 6745.898 19/3/21 6708.199 22/3/21 5752.5 23/3/21 6745.398 24/3/21 6778.801 25/3/21 6790.602 26/3/21 6824.199 29/3/21 5799.5 30/3/21 6738.398 31/3/21 6790.699 1/4/21 6828.699 2/4/21 6828.699 5/4/21 6828.699 6/4/21 6885.898 7/4/21 6928 8/4/21 6998.801 9/4/21 6995.199 12/4/21 6974 13/4/21 6976.898 14/4/21 7023.102 15/4/21 7058,602 16/4/21 7063.5 19/4/21 7065.602 20/4/21 7017.801 21/4/21 6997.5 22/4/21 7055.398 23/4/21 7060.699 26/4/21 7045.602 27/4/21 7033.801 28/4/21 7064.699 29/4/21 7082.301 0.61% 1.02% -0.05% % 35 136 -0.71% -0.036 1.26% 234 36 0.59% 137 138 235 -0.30% 37 -1.54% -0.70% 236 0.04% 38 0.59% 139 -0.53%. 237 0.66% 39 -0.61% 140 238 0.51% 40 0.98% 141 -1.26% 1.08% % 0.03% 239 0.07% 41 -0.61% 142 240 0.03% 42 1.88% 143 0.38% 43 -0.69% 144 241 0.28% 0.68% 44 0.3% 0.62% 45 -0.53% 0.19% -0.29% 0.83% 0.08% 46 145 146 147 148 149 2.58% -1.32% 0.61%6 242 243 244 245 246 247 47 -0.21% -0.67% -0.61% 48 0.32% -0.17% 49 -1.16% 150 0.26% % 0.44% 50 27/7/20 6044.199 0.34% 151 -0.43% 248 0.25% A D B C D 249 30/4/21 7025.801 -0.8036 51 -0.39% 152 0.72% 250 3/5/21 7028.801 0.04% 52 -0.23% 153 16/12/20 6679.199 17/12/20 6756.699 18/12/20 6675.5 1.166 53 0.74% -1.20% 54 -2.04% 21/12/20 6669.898 -0.08% 55 -0.03% -1.05% 56 1.88% 0.66% 154 155 156 157 158 159 160 161 57 -0.60% 0.33% 58 0.68% 0.00% 59 -0.62% 0.00% 60 1.76% 22/12/20 6599.602 23/12/20 6643.102 24/12/20 6664.801 25/12/20 6664.801 28/12/20 6664.801 29/12/20 6700.301 30/12/20 6682.398 31/12/20 6587.098 1/1/21 6587.098 4/1/21 6684.199 0.53% 61 0.47% -0.27% 62 -0.11% 162 163 -1.43% 63 -0.67% 164 0.00% 64 0.58% 165 1.47% 65 -0.81% 166 5/1/21 5581.898 66 0.77% -0.03% -1.12% 167 67 0.72% 168 1.59% 68 -0.77% 0.68% 69 -0.14% 169 170 -0.90% 70 0.30% 171 -0.27% 71 0.52% 6/1/21 6607.102 7/1/21 6712 8/1/21 6757.898 11/1/21 6697.199 12/1/21 6679.102 13/1/21 6686.602 14/1/21 6715.301 15/1/21 6715.398 18/1/21 GGG3 19/1/21 6742.602 172 0.11% 72 -0.73% 0.43% 73 0.16% 0.00% 74 -0.86% 28/7/20 6020.5 29/7/20 6006.398 30/7/20 6051.102 31/7/20 5927.801 3/8/20 5926.102 4/8/20 603 7.602 5/8/20 6001.301 6/8/20 6042.199 7/8/20 6004.801 10/8/20 6110.199 11/8/20 6138.699 12/8/20 6132 13/8/20 6091 14/8/20 6126.199 17/8/20 6075.398 18/8/20 6123.398 19/8/20 6167.602 20/8/20 6120 21/8/20 6111.199 24/8/20 6129.602 25/8/20 6161.398 26/8/20 6116.398 27/8/20 6126.199 28/8/20 6073.801 31/8/20 6060.5 1/9/20 5953.398 2/9/20 6063.199 3/9/20 6112.602 4/9/20 5925.5 7/9/20 5944.801 8/9/20 6007.801 9/9/20 5878.602 10/9/20 5908.5 11/9/20 5859.398 14/9/20 5899.5 15/9/20 5894.801 16/9/20 5956.102 17/9/20 5883.199 18/9/20 5864.5 21/9/20 5822.502 22/9/20 5784.102 23/9/20 5923.898 24/9/20 5875.898 25/9/20 5964.898 28/9/20 5952.301 29/9/20 5952.102 30/9/20 5815.898 1/10/20 5872.898 2/10/20 5791.5 173 174 175 176 -0.79% 75 -0.22% 1.19% 76 -1.77% 177 20/1/21 6770.398 0.41% 77 1.84% 0.79% 78 0.81%6 -0.34% 79 -3.06% 178 179 180 181 0.36% 80 0.33% 0.00% 81 1.05% 182 -0.65% 82 -2.15% 183 -1.93% 83 0.51% 184 84 -0.83% -0.64% 185 0.84% 85 0.68% 1.49% 86 -0.08% 87 0.92% 1.04% 186 187 188 189 -0.87% 88 -1.22% 89 -0.32% 21/1/21 6823.699 22/1/21 6800.398 25/1/21 6824.699 26/1/21 6824.699 27/1/21 6780.602 28/1/21 6649.699 29/1/21 6607.398 1/2/21 6663 2/2/21 6762.602 3/2/21 5824.602 4/2/21 6765.5 5/2/21 6B40.527 8/2/21 5880.676 9/2/21 6821.223 10/2/21 6856.902 11/2/21 6850.102 12/2/21 6806.699 15/2/21 6868.898 16/2/21 6917.301 17/2/21 6885.199 18/2/21 6885.898 19/2/21 6793.801 22/2/21 6780.898 1.11% 0.59% % 190 90 -0.71% 91 -0.66% -0.86% 92 0.52% 2.42% 191 192 193 194 195 93 -0.81% -0.10% 94 1.51% -0.63% 95 -0.21% 96 0.00% 196 0.91% 0.70%. % -0.46% 97 -2.29% 197 98 0.986 0.01% 99 -1.39% 198 199 200 -1.34% 100 5/10/20 5941.602 2.59% -0.19% b) The following information on the performance of three funds A, B and C in Australia. Average return (%) Standard deviation (%) Fund Beta Market Risk-free rate Fund A Fund B Fund C ?? ? 19.50 28.65 25.70 10.75 14.82 12.33 0.873 1.251 1.005 (i) Use the data provided on Canvas to calculate the annual return of the market (ASX/S&P200). Find a proxy for the risk free rate in Australia and explain your reasoning. [2 marks] (ii) Calculate the Coefficient of variation, Sharpe and Jensen Indices of performance for these funds and interpret the results. [6 marks]. C D 101 201 0.86% 102 0.35%. 1.25% 1.09. 202 -0.90% 103 203 0.83% 104 0.00% 204 -2.35% 105 0.49% 205 1.74% 106 1.04% 206 -0.40% -0.27% 207 0.82% 0.50% 208 -0.84% 1 Data for Question 4 2 Date S&P/ASX 2 returns 3 21/5/20 5550.398 22/5/20 5497 -0.96% 5 25/5/20 5615.602 2.16% 26/5/20 5780 2.93% 7 27/5/20 5775 -0.09% 28/5/20 5851.102 1.32% 9 29/5/20 S755.699 -1.63% 10 1/6/20 5819.199 1.10%. . 11 2/6/20 5835.102 0.27% 12 3/6/20 5941.602 1.9376 13 4/6/20 5991.801 0.84%. 14 5/6/20 5998.699 0.12% 15 8/6/20 5998.699 0.00% 16 9/6/20 6144.898 2.44% 17 10/6/20 6148.398 0.06% 107 108 109 110 111 -0.54% 23/2/21 6839.199 24/2/21 6777.801 25/2/21 6834.031 26/2/21 6673.301 1/3/21 6789.602 2/3/21 6762.301 3/3/21 6818 4/3/21 6760.699 5/3/21 6710.801 8/3/21 6739.602 9/3/21 6771.199 10/3/21 6714.102 11/3/21 6713.999 12/3/21 6766.801 15/3/21 6773 16/3/21 6827.102 209 -0.74% 0.85% -0.72% 210 0.43% 112 0.12% 211 0.47% -0.29% 212 113 114 -0.11% 213 0.00% 115 214 0.79% -0.18% -1.70% 116 0.09% 117 0.11% 215 216 217 0.80% 118 -1.61% . 18 11/6/20 5960.602 -3.05% 17/2/21 6795.199 119 -0.55%. 19 -1.899% 218 -0.73% 120 0.40%. 20 -2.19% 219 -0.56% 121 1.93% 21 3.89%. 220 0.66% | 122 -0.07% 22 0.83% 221 -0.11% 123 1.28% 23 -0.92% 222 0.50% 124 0.82% 24 0.10% 223 0.17% 125 1.75% 25 0.03% 224 0.49% 126 5/10/20 5962.102 7/10/20 6035.398 8/10/20 6102 9/10/20 6102.199 12/10/20 6132 13/10/20 6195.699 14/10/20 6179.199 15/10/20 6210.301 16/10/20 6176.801 19/10/20 6229.398 20/10/20 6184.602 21/10/20 6191.801 22/10/20 6173.801 23/10/20 6167 26/10/20 6155.602 27/10/20 6051 28/10/20 6057.699 29/10/20 5960.301 30/10/20 5927,602 2/11/20 5951.301 3/11/20 6066.898 4/11/20 6062.102 5/11/20 6139.602 6/11/20 6190.199 9/11/20 6298.801 10/11/20 63.40.5 11/11/20 6449.699 12/11/20 6418.199 13/11/20 6405.199 16/11/20 6484.328 17/11/20 6498.199 18/11/20 6531.102 19/11/20 6547.199 20/11/20 6539.199 23/11/20 6561,602 24/11/20 6644.102 25/11/20 6683.301 26/11/20 6636.898 27/11/20 6601.102 30/11/20 6517.801 1/12/20 65RR.5 2/12/20 6590.199 3/12/20 6615.301 4/12/20 6634.102 7/12/20 6675 8/12/20 6687.699 9/12/20 6728.5 10/12/20 6683.102 11/12/20 6642.602 14/12/20 6660.199 15/12/20 6631.301 0.66% 26 0.17% 225 127 -0.36% 1.72% 27 0.19%. 226 -0.90% -0.49% 28 -2.48% 128 129 130 -0.20% 227 0.78% 29 1.49% 1.24% 228 0.56% 30 -1.51% 131 0.21% 229 0.00% 31 1.43%. 0.62% 132 0.51% 230 0.00% 32 133 0.25% 231 0.84% 33 1.66% 134 -0.12% 232 12/6/20 5847.801 15/6/20 5719.801 16/6/20 5942.301 17/6/20 5991.801 18/6/20 5936.5 19/6/20 5942.578 22/6/20 5944.5 23/6/20 5954.398 24/6/20 5965.699 25/6/20 5817,699 26/6/20 5904.102 29/6/20 5815 30/6/20 5897.898 1/7/20 5934.398 2/7/20 6032.699 3/7/20 6057.898 6/7/20 6014.602 7/7/20 6012.898 8/7/20 5920.301 9/7/20 5955.5 10/7/20 5919.199 13/7/20 5977.5 14/7/20 5941.102 15/7/20 6052.898 16/7/20 6010.898 17/7/20 6033.602 20/7/20 6001.602 21/7/20 6156.301 22/7/20 6075.102 23/7/20 6094.5 24/7/20 6024 34 0.42% 135 0.34% 233 18/3/21 6745.898 19/3/21 6708.199 22/3/21 5752.5 23/3/21 6745.398 24/3/21 6778.801 25/3/21 6790.602 26/3/21 6824.199 29/3/21 5799.5 30/3/21 6738.398 31/3/21 6790.699 1/4/21 6828.699 2/4/21 6828.699 5/4/21 6828.699 6/4/21 6885.898 7/4/21 6928 8/4/21 6998.801 9/4/21 6995.199 12/4/21 6974 13/4/21 6976.898 14/4/21 7023.102 15/4/21 7058,602 16/4/21 7063.5 19/4/21 7065.602 20/4/21 7017.801 21/4/21 6997.5 22/4/21 7055.398 23/4/21 7060.699 26/4/21 7045.602 27/4/21 7033.801 28/4/21 7064.699 29/4/21 7082.301 0.61% 1.02% -0.05% % 35 136 -0.71% -0.036 1.26% 234 36 0.59% 137 138 235 -0.30% 37 -1.54% -0.70% 236 0.04% 38 0.59% 139 -0.53%. 237 0.66% 39 -0.61% 140 238 0.51% 40 0.98% 141 -1.26% 1.08% % 0.03% 239 0.07% 41 -0.61% 142 240 0.03% 42 1.88% 143 0.38% 43 -0.69% 144 241 0.28% 0.68% 44 0.3% 0.62% 45 -0.53% 0.19% -0.29% 0.83% 0.08% 46 145 146 147 148 149 2.58% -1.32% 0.61%6 242 243 244 245 246 247 47 -0.21% -0.67% -0.61% 48 0.32% -0.17% 49 -1.16% 150 0.26% % 0.44% 50 27/7/20 6044.199 0.34% 151 -0.43% 248 0.25% A D B C D 249 30/4/21 7025.801 -0.8036 51 -0.39% 152 0.72% 250 3/5/21 7028.801 0.04% 52 -0.23% 153 16/12/20 6679.199 17/12/20 6756.699 18/12/20 6675.5 1.166 53 0.74% -1.20% 54 -2.04% 21/12/20 6669.898 -0.08% 55 -0.03% -1.05% 56 1.88% 0.66% 154 155 156 157 158 159 160 161 57 -0.60% 0.33% 58 0.68% 0.00% 59 -0.62% 0.00% 60 1.76% 22/12/20 6599.602 23/12/20 6643.102 24/12/20 6664.801 25/12/20 6664.801 28/12/20 6664.801 29/12/20 6700.301 30/12/20 6682.398 31/12/20 6587.098 1/1/21 6587.098 4/1/21 6684.199 0.53% 61 0.47% -0.27% 62 -0.11% 162 163 -1.43% 63 -0.67% 164 0.00% 64 0.58% 165 1.47% 65 -0.81% 166 5/1/21 5581.898 66 0.77% -0.03% -1.12% 167 67 0.72% 168 1.59% 68 -0.77% 0.68% 69 -0.14% 169 170 -0.90% 70 0.30% 171 -0.27% 71 0.52% 6/1/21 6607.102 7/1/21 6712 8/1/21 6757.898 11/1/21 6697.199 12/1/21 6679.102 13/1/21 6686.602 14/1/21 6715.301 15/1/21 6715.398 18/1/21 GGG3 19/1/21 6742.602 172 0.11% 72 -0.73% 0.43% 73 0.16% 0.00% 74 -0.86% 28/7/20 6020.5 29/7/20 6006.398 30/7/20 6051.102 31/7/20 5927.801 3/8/20 5926.102 4/8/20 603 7.602 5/8/20 6001.301 6/8/20 6042.199 7/8/20 6004.801 10/8/20 6110.199 11/8/20 6138.699 12/8/20 6132 13/8/20 6091 14/8/20 6126.199 17/8/20 6075.398 18/8/20 6123.398 19/8/20 6167.602 20/8/20 6120 21/8/20 6111.199 24/8/20 6129.602 25/8/20 6161.398 26/8/20 6116.398 27/8/20 6126.199 28/8/20 6073.801 31/8/20 6060.5 1/9/20 5953.398 2/9/20 6063.199 3/9/20 6112.602 4/9/20 5925.5 7/9/20 5944.801 8/9/20 6007.801 9/9/20 5878.602 10/9/20 5908.5 11/9/20 5859.398 14/9/20 5899.5 15/9/20 5894.801 16/9/20 5956.102 17/9/20 5883.199 18/9/20 5864.5 21/9/20 5822.502 22/9/20 5784.102 23/9/20 5923.898 24/9/20 5875.898 25/9/20 5964.898 28/9/20 5952.301 29/9/20 5952.102 30/9/20 5815.898 1/10/20 5872.898 2/10/20 5791.5 173 174 175 176 -0.79% 75 -0.22% 1.19% 76 -1.77% 177 20/1/21 6770.398 0.41% 77 1.84% 0.79% 78 0.81%6 -0.34% 79 -3.06% 178 179 180 181 0.36% 80 0.33% 0.00% 81 1.05% 182 -0.65% 82 -2.15% 183 -1.93% 83 0.51% 184 84 -0.83% -0.64% 185 0.84% 85 0.68% 1.49% 86 -0.08% 87 0.92% 1.04% 186 187 188 189 -0.87% 88 -1.22% 89 -0.32% 21/1/21 6823.699 22/1/21 6800.398 25/1/21 6824.699 26/1/21 6824.699 27/1/21 6780.602 28/1/21 6649.699 29/1/21 6607.398 1/2/21 6663 2/2/21 6762.602 3/2/21 5824.602 4/2/21 6765.5 5/2/21 6B40.527 8/2/21 5880.676 9/2/21 6821.223 10/2/21 6856.902 11/2/21 6850.102 12/2/21 6806.699 15/2/21 6868.898 16/2/21 6917.301 17/2/21 6885.199 18/2/21 6885.898 19/2/21 6793.801 22/2/21 6780.898 1.11% 0.59% % 190 90 -0.71% 91 -0.66% -0.86% 92 0.52% 2.42% 191 192 193 194 195 93 -0.81% -0.10% 94 1.51% -0.63% 95 -0.21% 96 0.00% 196 0.91% 0.70%. % -0.46% 97 -2.29% 197 98 0.986 0.01% 99 -1.39% 198 199 200 -1.34% 100 5/10/20 5941.602 2.59% -0.19% b) The following information on the performance of three funds A, B and C in Australia. Average return (%) Standard deviation (%) Fund Beta Market Risk-free rate Fund A Fund B Fund C ?? ? 19.50 28.65 25.70 10.75 14.82 12.33 0.873 1.251 1.005 (i) Use the data provided on Canvas to calculate the annual return of the market (ASX/S&P200). Find a proxy for the risk free rate in Australia and explain your reasoning. [2 marks] (ii) Calculate the Coefficient of variation, Sharpe and Jensen Indices of performance for these funds and interpret the results. [6 marks]
