Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Please show work. Given the performance of 3 mutual funds and S&P500 over the past 15 years in table below: Return and Risk data for

image text in transcribedPlease show work.

Given the performance of 3 mutual funds and S&P500 over the past 15 years in table below: Return and Risk data for 3 equity mutual funds and SPY, 15-year period Mutual Fund Average Return % Standard Deviation % Beta 18.85 1.46 14.09 10.27 1.24 18.39 11.82 1.10 S&P 500 16.35 14.44 1.0 12.86 R2 .64 79 39 1.0 And assuming that current and average of past 15 years risk free rate is 7.96 %, and using a market risk premium of 8.39% (16.35 -7.96) for the 15-year period, estimate: a. Sharpe ratios of all 3 funds and S&P 500. Which fund has the highest risk adjusted performance according to Sharpe measure? Which of the above funds have beaten the market according to Sharpe measure? b. Treynor of all 3 funds and S&P 500. Which fund has the highest risk adjusted performance according to Treynor measure? Which of the above funds have beaten the market according to Treynor measures? c. Jensen's alpha for fund 1 d. Which fund is exposed to most nonsystematic or unique risk

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

Step: 3

blur-text-image

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

Public Finance A Contemporary Application of Theory to Policy

Authors: David N Hyman

11th edition

9781305474253, 1285173953, 1305474252, 978-1285173955

More Books

Students also viewed these Finance questions

Question

5. What is the effect of electronic media on oral communication?

Answered: 1 week ago