The following data are available relating to the performance of Hayek Stock Fund and the market portfa Market Portfolio 118 198 Average return. Standard deviations of returns Beta Residual standard deviation The risk-free return during the sample period was 3%. Calculate the information ratio for Hayek Stock Fund. Hayek 20% 44% 1.8 2.0% 1.0 0.0%
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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 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.
- 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.Suppose you manage an equity fund with the following securities. Use the following data to calculate the information ratio of each stock. Input Data Vogt Industries Isher Corporation Hedrock, Incorporated Alpha 0.012 0.006 0.016 Beta 0.277 1.015 1.630 Standard Deviation 0.156 0.168 0.181 Residual Standard Deviation 0.117 0.048 0.113 Required: Using the information in the table above, please calculate the information ratio for each stock. (Use cells A5 to D8 from the given information to complete this question.) Vogt Industries Isher Corporation Hedrock, Incorporated Information RatioYou 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
- 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,…Suppose you manage an equity fund with the following securities. Use the following data to help build an active portfolio. Input Data Vogt Industries Isher Corporation Hedrock, Incorporated Alpha 0.012 0.006 0.016 Beta 0.277 1.015 1.630 Standard Deviation 0.156 0.168 0.181 Residual Standard Deviation 0.117 0.048 0.113 Information Ratio 0.1026 0.1250 0.1416 Alpha/Residual Variance 0.877 2.604 1.253 Market Data S&P 500 Treasury Bills Expected Raturn 12.00% 2.50% Standard Deviation 20.00% 0.00% Required: Using the information in the table above, please first calculate the initial weight of each stock in an active portfolio, using the Treynor Black approach. Then adjust each weight for beta. (Use cells A5 to D14 from the given information to complete this question.) Treynor-Black Model Vogt Industries Isher Corporation Hedrock, Incorporated…In a recent 5tear period, mutual fund manager Diana sharks produced the following percentage rates of return for the Mesozoic fund. Rates of return on the market index are given for comparison. A. Calculate the average return on both the fund and the index and the standard deviation of the returns on each. Did Ms. Sauros do better or worse than the market index on these measures?
- As an active fund manager, you have obtained information on three individual stocks, the market index, and T-bills as follows: Asset Expected Return (%) Total Standard Deviation (%) Beta Stock 1 20.0 80.00 1.8 Stock 2 16.0 60.00 1.4 Stock 3 6.0 50.00 0.8 Market Index 10.0 40.00 1.0 T-bills 4.0 0.00 0.0 You decide to use the above information to form an optimal active portfolio, consisting of the three individual stocks. Determine the corresponding weights for the three stocks in the optimal active portfolio. Show your work.You develop the following correlation matrix of returns Hedge Fund Stock Fund Market Index Standard deviations Hedge Fund 1 0.5 Stock Fund 0.45 1 0.8 Market Index 0.36 0.65 1 0.7 The covariance of returns between the market index and stock fund is closest to: 0.126 0.180 0.364 0.429 1.029As an equity analyst, you have developed the following return forecasts and risk estimates for two different stock mutual funds (Fund T and Fund U}: Forecasted Return CAPM Beta Fund T 9.00% 1.20 Fund U 10.00% 0.80 a. If the risk-free rate is 3.9 percent and the expected market risk premium (£(RM) -RFR} is 6.1 percent, calculate the expected return for each mutual fund according to the CAPM. b. Using the estimated expected returns from part (a) along with your own return forecasts, demonstrate whether Fund T and Fund U are currently priced to fall directly on the security market line (SML), above the SML, or below the SML. c. According to your analysis, are Funds T and U overvalued, undervalued, or properly valued?