Question
Mutual funds identified below are considered for investment. During the period, the average T-bill rate was 2.8% and market risk premium was 9.5% and standard
Mutual funds identified below are considered for investment. During the period, the average T-bill rate was 2.8% and market risk premium was 9.5% and standard deviation of market return was 4.5%.
Fund Mean Return Beta SD
Sigma 21% 1.0 .06
Omega 19% 1.3 .10
Theta 17% 0.7 .03
Tilde 12% 1.2 .07
- Rank the funds using the Sharpe measure. Which fund(s) is (are) superior performer?
- Rank the funds using the Treynor measure. Which fund, if any, outperformed the market?
- Is ranking same or different in part (a) and (b)? Explain why
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Focus On Personal Finance
Authors: Jack Kapoor, Les Dlabay, Robert Hughes
3rd Edition
0073382426, 9780073382425
