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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 is
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- 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.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.)The 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 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.You are given the following information concerning several mutual funds: Fund Return in Excess of the Treasury Bill Rate Beta A 12.4% 1.14 B 13.2% 1.22 C 11.4% 0.90 D 9.8% 0.76 E 12.6% 0.95 During the time period, the Standard & Poor's stock index exceeded the Treasury bill rate by 10.5 percent (i.e., r(m) - r(f) = 10.5%) a. Rank the performance of each fund without adjusting for risk and adjusting for risk using the Treynor index. Which, if any, outperformed the market? (Remember, the beta of the market is 1.0.) b. The analysis in part (a) assumes each fund is sufficiently diversified so that the appropriate measure of risk is the beta coefficient. Suppose,…In a recent 5-year period, mutual fund manager Diana Sauros produced the following percentage rates of return for the Mesozoic Fund. Rates of return on the market index are given for comparison. 1 2 3 4 5 Fund -1.4 23.2 41.1 10.1 0.5 Market index -0.6 18.0 30.6 11.4 -0.4 a. Calculate (a) the average return on both the Fund and the index, and (b) the standard deviation of the returns on each. (Do not round intermediate calculations. Round your answers to 2 decimal places.) b. Did Ms. Sauros do better or worse than the market index on these measures?
- Consider the following information and then calculate the required rate of return for the Scientific Investment Fund, which holds 4 stocks. The market's required rate of return is 16 %, the risk-free rate is 7 %, and the Fund's assets are as follows: Stock Investment Beta A $ 200,000 1.50 B 300,000 -0.50 C 500,000 1.25 D 1,000,000 1.1 Round it to two decimal places without the percent sign (%), e.g., 13.54.Consider the following information and then calculate the required rate of return for the Scientific Investment Fund, which holds 4 stocks. The market's required rate of return is 14 %, the risk-free rate is 6 %, and the Fund's assets are as follows: Stock Investment Beta A $ 200,000 1.50 B 300,000 -0.50 C 500,000 1.25 D 1,000,000 1.1Consider the following two assets. The first is a stock fund, the second is a long-term government and corporate bond fund. The probability distribution of the funds is as follows: Expected ret std. dev. Stock fund 24% 28% Bond fund 11% 14% The correlation between the fund returns is 0.2. What is the investment proportion in the minimum variance portfolio of the bond fund? Round your answer to 4 decimal places. For example, if your answer is 3.205%, then please write down 0.0321 .
- During the past 10 years, the percent returns on two mutual funds (aggressive and passive) expressed in percentages were as follows: Year Aggressive Fund Passive Fund-100% 2%-96% 2%-80% 2% -73% 4% -67% 3%-50% 2% 45% 4% 31% 3% 22% 2% Last Year 3% 4% Note that this is a sample of returns. a) Compute the expected return for the two funds. Round your answers to two decimal places. Aggressive = Number Passive = Number b) Compute the variance and standard deviation of the returns of the two funds. Round your answers to two decimal places. Variance: Aggressive = Number Passive = Number Standard Deviation:Aggressive = Number % Passive =Number %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.A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a rate of 8%. The probability distribution of the risky funds is as follows: Expected Return Standard Deviation Stock fund (s) 20% 30% Bond fund (b) 12 15 The correlation between the fund returns is .10. What are the investment proportions in the minimum-variance portfolio of the two risky funds, and what is the expected value and standard deviation of its rate of return?
