Answered: f a fund has a return of 12% and a…

EBK CFIN

6th Edition

ISBN:9781337671743

Author:BESLEY

Publisher:BESLEY

Chapter8: Risk And Rates Of Return

Section: Chapter Questions

Problem 1PROB

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The Manhawkin Fund has an expected return of 17% and a standard deviation return of 33%. The risk free rate is 4%. What is the Sharpe ratio for the Manhawkin Fund?
The risk free rate is 2% and the expected return on the market is 8% . Lexington fund has expected return of 13%, standard deviation of 31% and beta of 1.6. What is the treynor ratio of the Lexington fund?
If a fund has a return of 10% and a beta of 1.5, and if the risk-free rate is 5%, and market return rate is 8%, calculate Jensen's Alpha O a. 0.5 O b. 1.4 O c. 0.65 O d. 0.42
The NXP fund has an expected return of 3.60%, with volatility 24.00%. The risk free rate is 1.70%, the market volatility is 10.90%, and the correlation between NXP returns and market returns is 0.79. What is the Treynor ratio for NXP?
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 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.
If a fund has a return of 12% and a beta of 1.4, and if the risk-free rate is 2%, then what is its Treynor ratio O a. 7.14 Ob. 2.35 O c. 3.14 O d. 5.35
If a fund has a return of 12% and a beta of 1.4, and if the risk-free rate is 2%, and market return rate is 8%, calculate Jensen's Alpha O a. 3.6 Ob. 2.4 O c. 1.6 Od. 1.4
The Manhawkin Fund has an expected return of 16% and a standard deviation of 20%. The risk-free rate is 4%. What is the reward-to-volatility ratio for the Manhawkin Fund? a. .8 b. .6 c. 9 d. 1
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.
The average returns, standard deviation and betas for three funds and the S&P are given below. The risk-free rate is 3%. Use Fund A the risk-free asset to create a complete portfolio that has the same standard deviation as the market portfolio. What is the expected return of this complete portfolio? Fund Avg. Return Std. Dev Beta A 16% 30% 1.1 B 18% 25% 1.2 C 22% 35% 1.3 S&P 500 14% 20% 1.0
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 0.5870
Vega fund had return of 12%, a beta of 1.2, in a standard deviation of 25% last year t bills generated 2%. At the same time, the market portfolio generated return of 11% and the standard deviation of 20%. What is the information ratio of Vega fund ?

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f a fund has a return of 12% and a standard deviation of 15%, and if the risk-free rate is 2%, then what is its Sharpe ratio O a. 0.667 O b. 0.235 O c. 0.435 O d. 0.0.237