Question 11: The following list the performance metric of 3 hedge fund managers, where manager A and B invests in stock while manager Cinvests only in Bonds. Assume the benchmark return for stocks and bonds are 10% and 5% respectively. (a) Calculate their Sharpe Ratio (recall Sharpe ratio is Ry - where R, is the benchmark return, R, is the portfolio return and op, is the standard deviation of the excess returns. (b) Rank them according to which managers you want to invest your money in, explain your reasonings Annual Return for the year ABC 2017 2018 15% 12% 5.3% 8% 10% 5.4% 2019 7% 11% 5.0% 4/5 CFFinal2021.md 5/25/2021 Annual Return for the year 2020 Average Return 30% 10% 5.1% 15% 11% 5.2% Answers: Question 12: (a) Calculate the duration of a 2Y semi-annual bond with 5% coupon priced at 6% yield (b) Calculate the duration of a 5 annual payment bond with 4% coupon priced at 6% yield. (C) How much notional balance of the 5 bond you need to sell in order to hedge the interest rate risk if you own 10,000 of the 2Y bond? Answers