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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
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. Blakely was able to produce exceptional returns last year (as outlined in the table below) through her market timing and security selection skills. The risk-free rate of return was 2%. One-Year Trailing Returns Miranda Fund Return 10.2% Standard deviation 37% Beta 1.10 S&P 500 -22.5% 44% 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 answer to 4 decimal places.) Sharpe ratio for the Miranda Fund Sharpe ratio for the S&P 500 6. d. What is the Jensen alpha measure for the Miranda Fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Jensen measure for the Miranda Fund
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