The following data is reported for a fund and an appropriate benchmark as well as the...
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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 12% 15% 15% 12% 16% 13% 19% 14% 20% 14% 22% 15% 26% 24% 24% 22% 21% 19% 19% 18% Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 Risk-free rate 2% 2% N N N N N N N N 2% 2% 2% 2% 2% 2% 2% 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 Jensen's alpha for the fund? Required A Required B What is the Sharpe ratio Fund Benchmark Sharpe Ratio Re Required A What is the Treynor ratio Fund Required B Benchmark Require Treynor Ratio % % 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 12% 15% 15% 12% 16% 13% 19% 14% 20% 14% 22% 15% 26% 24% 24% 22% 21% 19% 19% 18% Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 Risk-free rate 2% 2% N N N N N N N N 2% 2% 2% 2% 2% 2% 2% 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 Jensen's alpha for the fund? Required A Required B What is the Sharpe ratio Fund Benchmark Sharpe Ratio Re Required A What is the Treynor ratio Fund Required B Benchmark Require Treynor Ratio % %
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Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
Posted Date:
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