Question
What is the Sharpe Ratio of fund (monthly and annualized)? What is the CAPM alpha of the fund (monthly and annualized). Assume the risk-free rate
What is the Sharpe Ratio of fund (monthly and annualized)?
What is the CAPM alpha of the fund (monthly and annualized). Assume the risk-free rate is equal to zero throughout the entire period, and that the Russell 3000 index is the Market Portfolio.
What is the Information Ratio of the fund? (monthly and annualized). Assume the Russell 3000 is the benchmark.
What is the Maximum Draw Down of the fund?
| cash ($) | stocks ($) | total ($) | Russell 3000 with div. | |
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Client flow |
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31-Dec-11 | 10000 | 412 | 9588 | 10000 | 3449.92 |
30-Jan-12 | 0 | 412 | 11852 | 12264 | 3571.83 |
28-Feb-12 | 0 | 412 | 17134 | 17546 | 3732.76 |
31-Mar-12 | 0 | 412 | 16904 | 17316 | 3866.13 |
30-Apr-12 | 0 | 412 | 15522 | 15934 | 3810.91 |
31-May-12 | 0 | 412 | 13842 | 14254 | 3638.04 |
30-Jun-12 | 0 | 412 | 16094 | 16506 | 3728.72 |
31-Jul-12 | 0 | 412 | 14276 | 14688 | 3769.23 |
31-Aug-12 | 0 | 412 | 15416 | 15828 | 3850.65 |
30-Sep-12 | 0 | 412 | 15552 | 15964 | 3955.86 |
31-Oct-12 | 0 | 412 | 17144 | 17556 | 3878.72 |
30-Nov-12 | 0 | 412 | 13434 | 13846 | 3874.14 |
31-Dec-12 | 10000 | 1854 | 22322 | 24176 | 3956.65 |
30-Jan-13 | 0 | 1854 | 24667 | 26521 | 4179.75 |
28-Feb-13 | 0 | 1854 | 24168 | 26022 | 4151.61 |
31-Mar-13 | 0 | 1854 | 25818 | 27672 | 4370.52 |
30-Apr-13 | 0 | 1854 | 26986 | 28840 | 4452.47 |
31-May-13 | 0 | 1854 | 27188 | 29042 | 4648.17 |
30-Jun-13 | 0 | 1854 | 25345 | 27199 | 4543.36 |
31-Jul-13 | 0 | 1854 | 26645 | 28499 | 4752.44 |
31-Aug-13 | 0 | 2945 | 25425 | 28370 | 4646.54 |
30-Sep-13 | 0 | 2945 | 31421 | 34366 | 4799.28 |
31-Oct-13 | 0 | 2945 | 31512 | 34457 | 5024.42 |
30-Nov-13 | 0 | 2965 | 33116 | 36081 | 5131.71 |
31-Dec-13 | 0 | 2965 | 28093 | 31058 | 5262.98 |
31-Jan-14 | 0 | 2965 | 22854 | 25819 | 5105.86 |
28-Feb-14 | 0 | 2990 | 26271 | 29261 | 5323.05 |
31-Mar-14 | 0 | 2990 | 27417 | 30407 | 5388.41 |
30-Apr-14 | 0 | 2990 | 30341 | 33331 | 5349.34 |
31-May-14 | 0 | 3015 | 29741 | 32756 | 5516.72 |
30-Jun-14 | 0 | 3015 | 28898 | 31913 | 5650.94 |
31-Jul-14 | 0 | 3015 | 27564 | 30579 | 5669.33 |
31-Aug-14 | 0 | 3040 | 26872 | 29912 | 5774.29 |
30-Sep-14 | 0 | 3040 | 23316 | 26356 | 5775.62 |
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