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 | 11% | 8% | 2% |
| Year 2 | 12% | 9% | 2% |
| Year 3 | 27% | 24% | 2% |
| Year 4 | 30% | 25% | 2% |
| Year 5 | 30% | 24% | 2% |
| Year 6 | 31% | 24% | 2% |
| Year 7 | 22% | 20% | 2% |
| Year 8 | 20% | 18% | 2% |
| Year 9 | 17% | 15% | 2% |
| Year 10 | 15% | 14% | 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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Public Finance A Contemporary Application Of Theory To Policy
Authors: David N. Hyman
9th Edition
0324537190, 9780324537192
