Fund Market Risk-free rate Fund A Fund B Fund C Average 4.95 1.64 9.50 8.65 5.70 return (%) Standard deviation (%) 10.75 14.82 12.33 Beta 0.873 1.251 1.005
Fund Market Risk-free rate Fund A Fund B Fund C Average 4.95 1.64 9.50 8.65 5.70 return (%) Standard deviation (%) 10.75 14.82 12.33 Beta 0.873 1.251 1.005
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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Question
The following information on the performance of three funds A, B and C in Australia. Calculate the Coefficient of variation, Sharpe and Jensen Indices of performance for these funds and interpret the results.
Transcribed Image Text:Fund
Market
Risk-free rate
Fund A
Fund B
Fund C
Average
4.95
1.64
9.50
8.65
5.70
return
(%)
Standard
deviation (%)
10.75
14.82
12.33
Beta
0.873
1.251
1.005
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The following information on the performance of three funds A, B and C in Australia. Calculate the Coefficient of variation, Sharpe and Jensen Indices of performance for these funds and interpret the results.
Transcribed Image Text:Fund
Market
Risk-free rate
Fund A
Fund B
Fund C
Average
4.95
1.64
9.50
8.65
5.70
return
(%)
Standard
deviation (%)
10.75
14.82
12.33
Beta
0.873
1.251
1.005
Solution
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