Question
The following data are available relating to the performance of Wildcat Fund and the market portfolio: Wildcat 18% 25% 1.25 2% Market Portfolio 15%
The following data are available relating to the performance of Wildcat Fund and the market portfolio: Wildcat 18% 25% 1.25 2% Market Portfolio 15% 20% 1.00 0% Average Return Standard Deviation of Returns Beta Residual Standard Deviation The risk-free return during the sample period was 7%. a) Calculate Sharpe's measure of performance for Wildcat Fund. (3 marks) b) Calculate Treynor's measure of performance for Wildcat Fund. (3 marks) c) Calculate Jensen's measure of performance for Wildcat Fund. (3 marks) d) Assuming that the Wildcat fund is well diversified; which performance measure is best? Why? (6 marks)
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An Introduction To Statistical Methods And Data Analysis
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1305269470, 978-1305465527, 1305465520, 978-1305269477
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