Question
Exhibit 18.3 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) Consider the data presented below on three mutual funds and the market. Standard Fund Beta
Exhibit 18.3
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
Consider the data presented below on three mutual funds and the market.
| Standard | ||||
| Fund | Beta | Deviation (%) | Return (%) | Rf (%) |
| AAA | 0.75 | 7.0 | 14 | 3 |
| BBB | 1.05 | 5.0 | 18 | 3 |
| CCC | 0.89 | 8.0 | 20 | 3 |
| Market | 1.00 | 8.0 | 12 | 3 |
. Refer to Exhibit 18.3. Compute the Jensen Measure for the BBB fund.
|
| a. | 4.49 |
|
| b. | 2.74 |
|
| c. | 4.25 |
|
| d. | 5.55 |
|
| e. | 8.99 |
Refer to Exhibit 18.3. Compute the Treynor Measure for the CCC fund.
|
| a. | 14.7 |
|
| b. | 15.3 |
|
| c. | 19.1 |
|
| d. | 17.0 |
|
| e. | 12.7 |
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The Oxford Handbook Of Hedge Funds
Authors: Douglas Cumming, Sofia Johan, Geoffrey Wood
1st Edition
0198840950, 978-0198840954
