Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

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 21% 18% 2%
Year 2 22% 19% 2%
Year 3 24% 12% 2%
Year 4 26% 15% 2%
Year 5 24% 21% 2%
Year 6 28% 21% 2%
Year 7 19% 17% 2%
Year 8 17% 15% 2%
Year 9 14% 12% 2%
Year 10 12% 11% 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?

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Personal Finance

Authors: Jack Kapoor, Les R. Dlabay, Robert J. Hughes

2nd Edition

0256079056, 9780256079050

More Books

Students also viewed these Finance questions

Question

=+6. Whether they'd talk to others about the ad.

Answered: 1 week ago