Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

please do it on online form NOT WITH HAND WRITING PLEASEEEEE The following data are available relating to the performance of Istanbul Stock Fund, the

image text in transcribedplease do it on online form NOT WITH HAND WRITING PLEASEEEEE

The following data are available relating to the performance of Istanbul Stock Fund, the market portfolio and T-Bill Return: Istanbul T-Bill Stock Return Return Market Return Year Y x 1 12% -8 -6 2 12 8 9 3 12 18 20 4 12 22 18 5 16 -10 -10 6 16 24 18 7 16 28 22 8 18 8 13 9 18 26 18 10 18 30 22 Mean Std. Dev a. Calculate the Beta of the Istanbul Stock Fund? ()- (x) Beta = (TxEX?)- (EX) b. Calculate the Alpha of the Istanbul Stock Fund? Alpha = [EY/T]-[Betax(EX/T)] c. Calculate the correlation Coefficient between Istanbul Stock Fund and the Market? Correlation Coefficient = (TxEXY)-(EYxEX) {[(TxEY?)(EY)?]~[(TxEX?)(EX)?]}\/2 d. What is the ex post alpha (Jensen's measure) of performance evaluation for Istanbul Stock Fund? Draw the ex post SML and compare the performance with the market. e. Calculate Reward-to-Variability Ratio (Sharpe's measure) of performance for Istanbul Stock Fund. Draw the ex post CML and compare the performance with the market. f. Calculate the Reward-to-Volatility Ratio (Treynor's measure) of performance for Istanbul Stock Fund and Comment on the Fund's risk-adjusted performance

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_2

Step: 3

blur-text-image_3

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

Financial Accounting A Focus On Interpretation And Analysis

Authors: Richard F Kochanek, A Douglas Hillman

7th Edition

1111061750, 9781111061753

More Books

Students also viewed these Finance questions