Instructions for Parts 1 - 14:

For Parts 1-4you will use the dataset"managers"from thePerformanceAnalyticspackage in R.This datasetis already in XTS format andcontains the following variables:

• HAM1-HAM6:Columns of monthly returns for six hypothetical asset managers
• EDHEC LS EQ:EDHEC Long-Short Equity hedge fund index
• SP500 TR:S&P 500 total returns
• US 10YR TR:Total return series for US Treasury 10-year bond
• US 3m TR:Total return series for US Treasure 3-month bill

The dataset "managers" can be found by using the following code:

if(!require(PerformanceAnalytics))install.packages("PerformanceAnalytics")

library(PerformanceAnalytics)

data(managers)

Note: You may/may not need the following dependencies:

lubridatepackage

Part 1:

Find the standard deviation of HAM1 over the entire period given by the data set.

A) 3.78%

B) 2.24%

C) 2.56%

D) 3.12%

Part 2:

Over the entire period presented in data set, was HAM1 underperformed or overperformed the SP 500 and by what percentage per month on average?

A) Overperformed, 0.76%

B) Underperformed, 0.76%

C) Overperformed, 0.24%

D) Underperformed, 0.24%

Part 3:

$50,000 invested in HAM4 at the start of the sample period would have grown to ____ by the end of the period.

A) 176,472

B) $184,120

C) $253,491

D) $196,823

Part 4:

Find the monthly Sharpe Ratio for both HAM3 and the market index? Comparing these values which one is lower and what does that mean? Use US Treasure 3-month bill as risk free rate.

A) Market, this indicates a lower reward per unit risk.

B) HAM3, this indicates a lower reward per unit risk.

C) Market, this indicates a higher reward per unit risk.

D) HAM3, this indicates a higher reward per unit risk.