Question
The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Fund Return Benchmark Return Risk-free
The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year:
| Fund Return | Benchmark Return | Risk-free rate | |
|---|---|---|---|
| Year 1 | 15% | 12% | 2% |
| Year 2 | 16% | 13% | 2% |
| Year 3 | 18% | 15% | 2% |
| Year 4 | 21% | 16% | 2% |
| Year 5 | 21% | 15% | 2% |
| Year 6 | 22% | 15% | 2% |
| Year 7 | 14% | 12% | 2% |
| Year 8 | 13% | 11% | 2% |
| Year 9 | 11% | 9% | 2% |
| Year 10 | 10% | 9% | 2% |
Required:
a. What is the Sharpe ratio for the fund and the benchmark?
b. What is the Treynor ratio for the fund and the benchmark?
c. What is the fund tracking error?
d. What is the beta for the fund?
e. What is Jensens alpha for the fund?
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Dropshipping How To Build And Scale An Online Dropshipping Business To Six Figures Working From Home
Authors: John Swann
1st Edition
1522092404, 978-1522092407
