Illustration 2 • Annual returns for three funds and a market index are given below: Rp Op Fund A Fund B 17.1 14.5 28.1 19.7 Beta(Bp) 1.20 0.92 Risk free rate= 8.6% Required: Performance evaluation of the 3 funds Fund C 13 22.8 1.04 Rm 11 20.5 1.00
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- 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% 28.5% 1.7 S&P 500 17.6% 19.4% 1 Risk-free 4.8% Calculate the Treynor measure of performance for Fund A. Convert percentages to decimal places before calculating your answer. ENTER your answer using FOUR DECIMAL places. Example: 0.1234The 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% 24% 1.21 S&P 500 17.4% 19.4% 1 Risk-free 5.1% Calculate the Treynor measure of performance for the S&P 500. Convert percentages to decimal places before calculating your answer. ENTER your answer using FOUR DECIMAL places.Example: 1.2345The 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 22.9% 24% 1.4 S&P 500 15.7% 19% 1 Risk-free 3.5% Calculate the Jensen's alpha measure of performance for Fund A only. ENTER your answer using THREE DECIMAL places.Use the correct sign if the answer is negative! Example: -1.234
- The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Fund Return Benchmark Return Risk-free rate Year 1 22% 19% 2% Year 2 23% 20% 2% Year 3 25% 22% 2% Year 4 28% 23% 2% Year 5 28% 22% 2% Year 6 29% 22% 2% Year 7 20% 18% 2% Year 8 18% 16% 2% Year 9 15% 13% 2% Year 10 13% 12% 2% Required: a. What is the Sharpe ratio for the fund and the benchmark? b. What is the Treynor ratio for the fund and the benchmark? c. What is the fund tracking error? d. What is the beta for the fund? e. What is Jensen’s alpha for the 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.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 25.7% 29% 1.3 S&P 500 17.9% 20% 1 Risk-free 3.8% Calculate the M2 measure of performance for Fund A. Use the correct sign if the answer is negative! Example: -1.23
- The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Fund Return Benchmark Return Risk-free rate Year 1 22% 19% 2% Year 2 23% 20% 2% Year 3 25% 22% 2% Year 4 28% 23% 2% Year 5 28% 22% 2% Year 6 29% 22% 2% Year 7 20% 18% 2% Year 8 18% 16% 2% Year 9 15% 13% 2% Year 10 13% 12% 2% Do not round intermidete calucations Required: a. What is the Sharpe ratio for the fund and the benchmark? b. What is the Treynor ratio for the fund and the benchmark? c. What is the fund tracking error? d. What is the beta for the fund? e. What is Jensen’s alpha for the fund?A closed-end fund starts the year with a net asset value of OMR10. By year end, NAV equals OMR10.10. At the beginning of the year, the fund was selling at a 3% premium to NAV. By the end of the year, the fund is selling at a 6% discount to NAV. The fund paid year end distributions of income and capital gains of OMR2.50. What is the rate of return to an investor in the fund during the year?A closed-end fund starts the year with a net asset value of $31. By year-end, NAV equals $33.00. At the beginning of the year, the fund is selling at a 3% premium to NAV. By the end of the year, the fund is selling at a 8% discount to NAV. The fund paid year-end distributions of income and capital gains of $3.40. Required: a. What is the rate of return to an investor in the fund during the year? (Do not round intermediate calculations. Round your answer to 2 decimal places.) b. What would have been the rate of return to an investor who held the same securities as the fund manager during the year? (Round your answer to 2 decimal places.)
- In the above $110K allocation problem, you decided to allocate 30% weight in A, 50% weight in B, 20% weight in C, and you want to find its AVG return. Which of the following is the appropriate method to find the mean (AVG) return on the $100K fund invested? a. Weighted Average (WAVG ) b. Simple Average c. Geometric Average d. Arithmetic AverageFund Beta Deviation (%) Return (%) Rf (%) XXX 1.07 5.13 19 6 YYY 1.02 4.28 17 6 ZZZ 0.86 3.52 12 6 Market 1 3.8 13 6 Compute the Sharpe Measure for the XXX fund. Compute the Treynor Ratio for the ZZZ fund. Compute the Jensen Measure for the YYY fund.You need to know the profitability of an investment fund where the amount to invest is $ 17,000, the amount of initial participation value is 3.1235 and at the end of the period is 4.456, what is the profitability of the fund?
