Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Kelli Blakely is a portfolio manager for the Miranda Fund, a core large-cap equity fund. The market proxy and benchmark for performance measurement purposes is

image text in transcribedimage text in transcribed

Kelli Blakely is a portfolio manager for the Miranda Fund, a core large-cap equity fund. The market proxy and benchmark for performance measurement purposes is the S&P 500. Although the Miranda portfolio generally mirrors the asset class and sector weightings of the S&P, Blakely is allowed a significant amount of leeway in managing the fund. Blakely was able to produce exceptional returns last year (as outlined in the table below) through her market timing and security selection skills. At the outset of the year, she became extremely concerned that the combination of a weak economy and geopolitical uncertainties would negatively impact the market. Taking a bold step, she changed her market allocation. For the entire year her asset class exposures averaged 50% in stocks and 50% in cash. The S&P's allocation between stocks and cash during the period was a constant 97% and 3%, respectively. The risk-free rate of return was 2%. S&P 500 One-Year Trailing Returns Miranda Fund Return 10.28 Standard deviation 37% Beta 1.10 -22.5% 448 1.00 a. What are the Sharpe ratios for the Miranda Fund and the S&P 500? (Do not round intermediate calculations. Negative amount should be indicated by a minus sign. Round your answers to 4 decimal places.) Sharpe ratio for the Miranda Fund Sharpe ratio for the S&P 500 b. What are the m2 measure for the Miranda Fund and the S&P 500? (Do not round intermediate calculations. Round your answer to 2 decimal places.) M2 measure for Miranda c. What is the Treynor measure for the Miranda Fund and the S&P 500? (Do not round intermediate calculations. Round your answers to 4 decimal places.) Treynor measure for the Miranda Fund Treynor measure for the S&P 500 d. What is the Jensen measure for the Miranda Fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Jensen measure for the Miranda Fund %

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Contemporary Issues In Behavioral Finance

Authors: Simon Grima

1st Edition

1787698823, 978-1787698826

More Books

Students also viewed these Finance questions

Question

Explain in detail how the Mughal Empire was established in India

Answered: 1 week ago