Question 5 (a) The following data are available relating to the performance of Seminole Fund and the market portfolio: Seminole Market Portfolio Average Return 18% 14% Standard Deviation of Returns 30% 22% Beta 1.4 1.0 Residual Standard Deviation 4.0% 0% The risk-free return during the sample period was 6%. (1) Calculate the M measure for the Seminole Fund. (5 marks) (11) If the Seminole Fund is actively managed and will be mixed with the market index portfolio, but you suspect it may be mispriced, calculate the value of the measure that should be used for evaluation. (5 marks) (b) In a particular year, Aggie Mutual Fund earned a return of 15% by making the following investments in asset classes: Weight 10% Return 6% Bonds Stocks 90% 16% The return on a bogey portfolio was 10%, calculated as follows: Weight Return Bonds (Barclays Index) 50% 5% Stocks (S&P 500) 50% 15% Find the contribution of asset allocation across markets to the Aggie Fund's total excess return. (5 marks) Find the contribution of selection within markets to the Aggie Fund's total excess (5 marks) return. Question 5 (a) The following data are available relating to the performance of Seminole Fund and the market portfolio: Seminole Market Portfolio Average Return 18% 14% Standard Deviation of Returns 30% 22% Beta 1.4 1.0 Residual Standard Deviation 4.0% 0% The risk-free return during the sample period was 6%. (1) Calculate the M measure for the Seminole Fund. (5 marks) (11) If the Seminole Fund is actively managed and will be mixed with the market index portfolio, but you suspect it may be mispriced, calculate the value of the measure that should be used for evaluation. (5 marks) (b) In a particular year, Aggie Mutual Fund earned a return of 15% by making the following investments in asset classes: Weight 10% Return 6% Bonds Stocks 90% 16% The return on a bogey portfolio was 10%, calculated as follows: Weight Return Bonds (Barclays Index) 50% 5% Stocks (S&P 500) 50% 15% Find the contribution of asset allocation across markets to the Aggie Fund's total excess return. (5 marks) Find the contribution of selection within markets to the Aggie Fund's total excess (5 marks) return