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Rank the following funds based on Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, Sortino Ratio, M squared.  Explain the difference in ranking of the funds if any as per various measures. Compare each of the fund with the benchmark index and explain the better or poor performance of the funds. The average return on the risk-free securities is 6% during the period of measurement.     Mutual Fund Return (%) Total Standard Deviation (%) Downside Standard Deviation (%) Correlation with market Contra Fund 25 15 12 0.65 Equity Minimum Variance Fund 28 18 15 0.75 Focused Equity Fund 21 15 13 0.72 Midcap Fund 30 17 16 0.68 Benchmark Index 27 16 14

Rank the following funds based on Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, Sortino Ratio, M squared.  Explain the difference in ranking of the funds if any as per various measures. Compare each of the fund with the benchmark index and explain the better or poor performance of the funds. The average return on the risk-free securities is 6% during the period of measurement.     Mutual Fund Return (%) Total Standard Deviation (%) Downside Standard Deviation (%) Correlation with market Contra Fund 25 15 12 0.65 Equity Minimum Variance Fund 28 18 15 0.75 Focused Equity Fund 21 15 13 0.72 Midcap Fund 30 17 16 0.68 Benchmark Index 27 16 14

Pfin (with Mindtap, 1 Term Printed Access Card) (mindtap Course List)
Pfin (with Mindtap, 1 Term Printed Access Card) (mindtap Course List)
7th Edition
ISBN:9780357033609
Author:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk
Publisher:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk
Chapter13: Investing In Mutual Funds, Etfs, And Real Estate
Section: Chapter Questions
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  1. Rank the following funds based on Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, Sortino Ratio, M squared.  Explain the difference in ranking of the funds if any as per various measures. Compare each of the fund with the benchmark index and explain the better or poor performance of the funds. The average return on the risk-free securities is 6% during the period of measurement.  

 

Mutual Fund

Return (%)

Total Standard Deviation (%)

Downside Standard Deviation (%)

Correlation with market

Contra Fund

25

15

12

0.65

Equity Minimum Variance Fund

28

18

15

0.75

Focused Equity Fund

21

15

13

0.72

Midcap Fund

30

17

16

0.68

Benchmark Index

27

16

14

 

 

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