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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.

Client flow

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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