Question
The data of historical performance of Mutual Fund, Hedge Fund and market portfolio ASX300 (as a benchmark) are in the table below. The risk-free rate
The data of historical performance of Mutual Fund, Hedge Fund and market portfolio ASX300 (as a benchmark) are in the table below. The risk-free rate is 4%.
- Mutual Fund Return: 10.50% Standard deviation of returns: 25% Beta: 0.9
- Hedge Fund Return: 14.00% Standard deviation of returns: 50% Beta: 1.3
- ASX300 Return: 11.00% Standard deviation of returns: 30% Beta: 1
a. Calculate Shape ratios for the Mutual Fund, Hedge Fund and market portfolio ASX300 respectively. Which fund performance was better, according to the Shape ratio measure?
b. Calculate Treynor measures for the Mutual Fund, Hedge Fund and market portfolio ASX300 respectively. Which fund performance was better, according to Treynor measure?
c. Calculate Jensen measures for the Mutual Fund, Hedge Fund and market portfolio ASX300 respectively. Which fund performance was better, according to Jensen measure?
d. Calculate M2 (M-square) measures for the Mutual Fund, Hedge Fund respectively. Which fund performance was better, according to M2 measure?
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Analytical Corporate Finance
Authors: Angelo Corelli
2nd Edition
3030070921, 978-3030070922
