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%.
a. Rank the funds using the Sharpe measure. Which fund(s) is (are) superior performer?
b. Rank the funds using the Treynor measure. Which fund, if any, outperformed the market?
c. Is ranking same or different in part (a) and (b)? Explain why.
Fund Sigma Omega Theta Tilde Mean Return 21% 19% 17% 12% Beta 1.0 1.3 0.7 1.2 SD .06 .10 .03 .07Step by Step Solution
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Investments Analysis And Management
Authors: Charles Jones, Nick Jones
11th Edition
0470477121, 9780470477120
