You are a crude oil dealer. You intend to sell 40,000 barrels of crude oil in December. Each contract calls for delivery of 1,000 barrels of oil. Current futures price of one barrel of crude oil is $70. You believe that there are only four possible oil prices in December which are $50, $60, $70, and $80.

i. Explain what action you would take to protect from changes in oil prices in December. Provide reasons for your action.

ii. Calculate the total proceeds for each of the possible prices in December

The following information relates to the performance of a manager in January 2020.

	actual return	actual weight	Benchmark weight	Return on the benchmark
Equity	5.50%	0.6	0.7	5.00%
Bonds	2.40%	0.2	0.1	2.60%
Cash	0.80%	0.2	0.2	0.8%

Using the above data, answer the following questions:

1. Has the manager over-performed or under-performed?

2. What was the contribution of security selection to relative performance?

3. What was the contribution of asset allocation to relative performance?

4. Confirm that the sum of contribution of security selection to relative performance and

   contribution of asset allocation to relative performance equal managers total excess return in relation to the bogey.

a. Using the data in the table below and calculate the following performance measures.

1. Sharpe ratio

2. Treynor measure

3. Jensensalpha

4. M-squared measure

5. T-squared measure, and

6. Appraisal ratio (information ratio)

Fund	Average	Standard	Beta	Unsystematic
	Return	Deviation	Coefficient	Risk
A	0.3646	0.4432	1.1880	0.0436
B	0.3268	0.3340	1.0560	0.0688
C	0.4402	0.4276	1.9800	0.0940
D	0.3898	0.4900	1.7160	0.0400
E	0.3016	0.3808	1.0560	0.0604
F	0.5032	0.4744	2.3760	0.0772
G	0.3772	0.3964	1.2540	0.0604
Market	0.3520	0.3652	1.0000	0.0000
Risk-free return	0.0500		0.0000

b. Out of the performance measures you calculated in part a., which one would you use under each of the following circumstances:

1. You want to select one of the funds as your risky portfolio.

2. You want to select one of the funds to be mixed with the rest of your portfolio, currently composed solely of holdings in the market-index fund.

3. You want to select one of the funds to form an actively managed stock portfolio.