Q4. Data on a fund and benchmark returns are contained in the table below.

Return data Index values Benchmark returns Fund returns Benchmark values Fund values End 2014 100.00 100.00 Q1 2015 2.36% 2.30% 102.36 102.30 Q2 2015 -0.11% 0.40% 102.25 102.71 Q3 2015 -6.13% -5.10% 95.98 97.47 Q4 2015 3.71% 3.20% 99.54 100.59 Q1 2016 0.07% 1.30% 99.62 101.90 Q2 2016 6.54% 6.10% 106.13 108.11 Q3 2016 7.06% 6.70% 113.62 115.36 Q4 2016 4.32% 4.10% 118.53 120.09 Q1 2017 3.65% 3.50% 122.86 124.29 Q2 2017 1.00% 1.20% 124.09 125.78 Q3 2017 1.82% 2.10% 126.35 128.42 Q4 2017 5.02% 4.50% 132.70 134.20 Q1 2018 -6.21% -4.20% 124.45 128.57 Q2 2018 9.58% 8.81% 136.38 139.89 Q3 2018 7.67% 7.20% 146.84 149.96 Q4 2018 -9.64% -7.84% 132.67 138.21 Q1 2019 2.49% 2.50% 135.98 141.66 Q2 2019 3.33% 2.12% 140.52 144.67 Q3 2019 0.98% 1.60% 141.89 146.98 Q4 2019 2.68% 1.45% 145.70 149.11 Q1 2020 -23.84% -21.70% 110.97 116.75 Q2 2020 10.14% 9.18% 122.22 127.47 Q3 2020 -4.89% -3.45% 116.25 123.07 Q4 2020 5.93% 5.61% 123.15 129.98

Number of Standard deviations Proportion of values of a normal distribution that will fall within the standard deviations 1.0 0.68 1.282 0.80 1.645 0.90 1.960 0.95 2.326 0.98 2.576 0.99 2.807 0.995

The risk-free rate is 1.0%. Based on the information contained in the tables above, calculate the following performance measures to 2 decimal places for both the fund and the benchmark unless otherwise stated. Show all workings.

a) Annualised Tracking Error (%) and annualised Information Ratio of the fund only. [10 marks] b) Beta and alpha of the fund only.

c) Annualised return.

d) Annualised risk.

e) Annualised Sharpe ratio.

f) Annualised Treynor ratio.

g) Annualised downside deviation (target return = 0).

h) Annualised Sortino ratio.

i) Value at Risk (99%).

j) Annual drawdowns and Max drawdown.