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 | 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
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
Auditing An International Approach
Authors: Wally J. Smieliauskas, Kathryn Bewley
6th edition
978-0070968295, 9781259087462, 978-0071051415
