c) Calculate Jensen's measure of performance for Wildcat Fund. d) Assuming that the Wildcat fund is well diversified; which performance measure is best? Why?
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c) Calculate Jensen's measure of performance for Wildcat Fund.
d) Assuming that the Wildcat fund is well diversified; which performance measure is best? Why?
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- The following data are available relating to the performance of Tiger Fund and the market portfolio: Tiger Market Portfolio Average return 18 % 15 % Standard deviations of returns 25 % 20 % Beta 1.25 1.00 Residual standard deviation 2 % 0 % The risk-free return during the sample period was 7%.Calculate Sharpe's measure of performance for Tiger Fund.The Performance Fund had returns of 19% over the evaluation period and the benchmark portfolio yielded a return of 17% over the same period. Over the evaluation period, the standard deviation of returns from the Fund was 23% and the standard deviation of returns from the benchmark portfolio was 21%. Assuming a risk-free rate of return of 8%, which one of the following is the calculation of the Sharpe index of performance for the fund over the evaluation period? 0.3913 0.4286 0.4783 0.5238 0.5870The following data are available relating to the performance of Long Horn Fund and the market portfolio: Long Horn Market Portfolio Average return 19% 12% Standard deviations of returns 35% 15% Beta 1.5 1.0 Residual standard deviation 3.0% 0.0% The risk-free return during the sample period was 6%. What is the Treynor measure of performance evaluation for Long Horn Fund ? Please answer fast i give you upvote.
- The following data are available relating to the performacne of Long Horn Stock Fund and the market portfolio: Long Horn Market Portfolio Average return 19% 12% Standard Deviation of returns 35% 15% Beta 1.5 1.0 Residual standard deviation 3.0% 0.0% The risk-free return during the sample period was 4%. A. What is the sharpe measure of performance evaluation for long horn stock fund? B. What is the treynor measure of performance evaluation for long horn stock fund? C. Calculate the jensen measure of performance evaluation for long horn stock fund. D. Calculate the information ratio of performance evaluation for long horn stock fund.You want to evaluate three mutual funds using the Sharpe measure for performance evaluation. The risk-free return during the sample period is 4%. The average returns, standard deviations, and betas for the three funds are given below, as are the data for the S&P 500 Index. Average Return Standard Deviation Beta Fund A 18 % 38 % 1.6 Fund B 15 % 27 % 1.3 Fund C 11 % 24 % 1.0 S&P 500 10 % 22 % 1.0 The fund with the highest Sharpe measure isThe average return, standard deviation, and beta for Fund A is given below along with data for the S&P 500 Index. Fund Average Return Standard Deviation Beta A 14.5% 24.6% 1.4 S&P 500 14.5% 21.3% 1 Risk-free 1% Calculate the Sharpe measure of performance for the S&P 500.
- Use the following data to answer the question regarding the performance of Guardian Stock Fund and the market portfolio. The risk-free return during the sample period was 4%. Guardian Market Portfolio Average return 14 % 10 % Standard deviation of returns 27 % 21 % Beta 1.5 1 Residual standard deviation 4 % 0 % Calculate the information ratio measure of performance for Guardian Stock Fund. (Round your answer to 2 decimal places. Do not round intermediate calculations.)Vega fund had return of 14%, a beta of 0.9, in a standard deviation of 27% last year 20 bills generated 3%. At the same time, the market portfolio generated return of 13% and the standard deviation of 22%. What is the information ratio of Vega fund ?The average return, standard deviation, and beta for Fund A is given below along with data for the S&P 500 Index. Fund Average Return Standard Deviation Beta A 12.5% 25.4% 1.27 S&P 500 14% 6% 1 Risk-free 1.2% Calculate the Sharpe measure of performance for Fund A.
- calculate the following M-squared measureT-squared measure, andAppraisal ratio (information ratio) Fund Average return Standard Deviation Beta coefficient Unsystematic Risk A 0.240 0.220 0.800 0.017 B 0.200 0.170 0.900 0.450 C 0.290 0.380 1.200 0.074 D 0.260 0.290 1.100 0.026 E 0.180 0.400 0.900 0.121 F 0.320 0.460 1.100 0.153 G 0.250 0.190 0.700 0.120 Market 0.220 0.180 1.000 0.000 Risk free return 0.050 0.000 Out of the performance measures you calculated in part a., which one would you use undereach of the following circumstances:i. You want to select one of the funds as your risky portfolio.ii. 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.iii. You want to select one of the funds to form an actively managed stock portfolioGiven the following sample data, calculate the performance measures for portfolio P and the market (Sharpe, Jensen/Alpha and Treynor. The T-bill rate during the period was 6 %). By which measure did portfolio P outperform the market? Portfolio P Market M Average return 35 % 28 % Beta 1.2 1.0 Standard deviation 42 % 30 %A fund achieved a return of 9.5%; the risk free rate was 1.5% and the market portfolio achieved 6%. The fund had a target Beta of 0.8, but was actually 1.25. The fund had a standard deviation of 28%, and the market had a standard deviation of 16%. (a) Calculate the following performance measures for the fund: • Sharpe ratio • Jensen’s alpha • Treynor ratio (b) Calculate whether the fund or the market portfolio would have provided more utility to an investor with a risk aversion coefficient, A, of 1.0