Question
long-term Commonwealth bonds rate is 2.50%p.a.the return (standard deviation) for market-index is 9.65% p.a. (17% p.a.) Fund STR Fund SHP Fund ENT Fund GLX Average
long-term Commonwealth bonds rate is 2.50%p.a.the return (standard deviation) for market-index is 9.65% p.a. (17% p.a.)
| Fund STR | Fund SHP | Fund ENT | Fund GLX | |
| Average Return (% p.a.) | 10.50 | 20.70 | 12.30 | 18.40 |
| Standard deviation (% p.a.) | 3.40 | 5.60 | 7.40 | 5.85 |
| Beta | 1.00 | 1.97 | 0.73 | 1.19 |
Required
I. Which fund has the lowest overall risk versus its return?
II. Which funds following Jensens alpha outperformed the market?
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Contemporary Issues In Quantitative Finance
Authors: Ahmet Can Inci
1st Edition
1032101121, 978-1032101125
