Question
Return data for mutual fund XYZ, the S&P 500, and 90-day T-Bills can be found below: Year Fund XYZ S&P 500 90d T-Bills 2000 -19.40%
Return data for mutual fund XYZ, the S&P 500, and 90-day T-Bills can be found below:
| Year | Fund XYZ | S&P 500 | 90d T-Bills |
| 2000 | -19.40% | -13.40% | 1.10% |
| 2001 | 39.70% | 29.70% | 1.30% |
| 2002 | 17.00% | 17.00% | 1.50% |
| 2003 | 29.60% | 21.60% | 1.90% |
| 2004 | -10.40% | -4.40% | 2.00% |
| 2005 | 23.10% | 22.10% | 1.60% |
| 2006 | 24.00% | 18.00% | 1.90% |
| 2007 | -1.20% | 0.80% | 1.20% |
| 2008 | -26.80% | -17.80% | 1.60% |
| 2009 | -3.00% | -5.00% | 1.00% |
| 2010 | -24.00% | -17.00% | 1.10% |
| 2011 | 32.70% | 22.70% | 1.10% |
| 2012 | -29.20% | -21.20% | 1.20% |
| 2013 | -10.60% | -3.60% | 1.70% |
| 2014 | -23.10% | -20.10% | 1.50% |
| 2015 | 16.10% | 11.10% | 1.00% |
| 2016 | 7.80% | 12.80% | 1.90% |
| 2017 | 23.60% | 15.60% | 1.20% |
| 2018 | 37.80% | 27.80% | 1.30% |
| 2019 | 9.60% | 13.60% | 1.70% |
| Total Return (p.a) | 3.20% | 4.14% | 1.44% |
a) Plot the risk premium of Fund XYZ vs. the market premium (10 pts)
b) What is Fund XYZs beta? Hint: use the slope function in Excel. (5 pts)
c) What is Fund XYZs alpha? Hint: use the intercept function in Excel. (5 pts)
Please include the formulas on how to calculate the risk premium and market premium. Please also include instructions on how to plot.
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Finance For Executives Managing For Value Creation
Authors: Gabriel Hawawini, Claude Viallet
3rd Edition
0324274319, 9780324274318
