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 | 18% | 15% | 2% |
| Year 2 | 19% | 16% | 2% |
| Year 3 | 21% | 18% | 2% |
| Year 4 | 24% | 19% | 2% |
| Year 5 | 24% | 18% | 2% |
| Year 6 | 25% | 18% | 2% |
| Year 7 | 16% | 14% | 2% |
| Year 8 | 14% | 12% | 2% |
| Year 9 | 11% | 9% | 2% |
| Year 10 | 10% | 9% | 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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The Economics Of Money Banking And Finance
Authors: Howells, Keith Bain
3rd Edition
0273693395, 978-0273693390
