Question
Table 1: ABC Managed Fund Performance Table 1: ABC Managed Fund Performance ABC S&P Index T-bills Mean 13.0% 12.0% 7.6% Standard deviation 12.4% 9.4% 0.5%
Table 1: ABC Managed Fund Performance
Table 1: ABC Managed Fund Performance
|
| ABC | S&P Index | T-bills |
| Mean | 13.0% | 12.0% | 7.6% |
| Standard deviation | 12.4% | 9.4% | 0.5% |
| Cov(ABC, S&P I) | 0.0107 |
|
|
Calculate the Sharpe ratio for the fund and the market portfolio.
Calculate the Treynor ratio for the fund and the market portfolio. show working out
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Authors: Mr Mark Gates
1st Edition
1974565491, 978-1974565498
