Question
Use the information presented below to answer questions 1-5. The following data are available relating to the performance of Marie Holdings Stock Fund and the
Use the information presented below to answer questions 1-5.
The following data are available relating to the performance of Marie Holdings Stock Fund and the market portfolio
Marie HoldingsMarket
Average Return 0.11 0.15
Std. Dev. of Returns 0.29 0.30
Beta 0.90 1.00
Tracking Error 0.13 -
Average PE 16 0015.00
The risk-free rate during the sample period was 0.07.
1. Calculate the Jensen measure of performance for Marie Holdings Fund.
a. 0.1379
b. 0.0444
c. -0.0386
d. none of these, or insufficient information
e.-0.3077
2. Calculate the Sharpe measure of performance for Marie Holdings Fund
a. -0.0386
b. -0.3077
c. 0.0444
d. 0.1379
e. none of these, or insufficient information
3. Calculate the Treynor measure of performance for Marie Holdings Fund.
a. 0.0444
b. none of these, or insufficient information
C. -0.0386
d. -0.3077
. -0.0320
4. Calculate the Information Ratio measure of performance for Marie Holdings Fund.
a.-0.0320
b. none of these, or insufficient information
c. -0.0386
d. -0.3077
. 0.1379
5. Calculate the M2 measure of performance for Marie Holdings Fund.
a.-0.0320
b. 0.1379
c. none of these, or insufficient information
d.-0.3077
e. 0.0444
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