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 | 13% | 10% | 2% |
| Year 2 | 10% | 10% | 2% |
| Year 3 | 15% | 12% | 2% |
| Year 4 | 19% | 14% | 2% |
| Year 5 | 32% | 26% | 2% |
| Year 6 | 33% | 26% | 2% |
| Year 7 | 24% | 22% | 2% |
| Year 8 | 22% | 20% | 2% |
| Year 9 | 19% | 17% | 2% |
| Year 10 | 17% | 16% | 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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Short Term Financial Management
Authors: John Zietlow, Matthew Hill, Terry Maness
5th Edition
1516512405, 9781516512409
