You have been given the following return information for a mutual fund, the mark return correlation between the fund and the market is 0.97. Market Risk-Free Fund Year 2011 -20.6% -39.5% 1% 2012 25.1 21.0 3 13.9 2013 13.9 2014 7.6 8.8 4 2015 -2.1 -5.2 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate places.) Sharpe ratio Treynor ratio
Q: In a recent 5-year period, mutual fund manager Diana Sauros produced the following percentage rates…
A: Answer a)
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is…
A: Calculation of Expected Return, Standard Deviation, Sharpe Ratio, Weight of Stock and Weight of…
Q: covariance of returns
A: The covariance of returns indicates the relationship between the returns of two stocks. It could be…
Q: In a recent 5tear period, mutual fund manager Diana sharks produced the following percentage rates…
A: Dear Student Please find the below attached excel snapshot for answers:
Q: Elsie is an investor considering investing in an actively managed equity fund. The Fund has a return…
A: Sharpe ratio is defined as the financial metric or ratio, which is mostly used by an investors at…
Q: A mutual fund generates a 11.9 percent return. During the same period, the market rose by 7.4…
A: GIVEN, MF generated return = 11.9%rf=3.5%rm=7.4%beta= 1.4
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: Covariance refers to a statistical measure that depicts the directional relationship between two…
Q: Rank the following funds based on Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, Sortino Ratio, M…
A:
Q: In a recent 5-year period, mutual fund manager Diana Sauros produced the following percentage rates…
A: Average Return = Sum of all return / No. of periods
Q: (1) Find out the minimum-variance portfolio, its expected return and standard deviation. (2)…
A: Since you have posted a question with multiple sub-parts, we will solve the first three sub-parts…
Q: In a recent 5-year period, mutual fund manager Diana Sauros produced the following percentage rates…
A: benchmark portfolio: it is the portfolio which is used by the portfolio manager to compare the…
Q: In a recent 5-year period, mutual fund manager Diana Sauros produced the following percentage rates…
A: Given information: Five year returns of fund and market index are given below,
Q: You have been given the following return information for a mutual fund, the market index, and the…
A: The computation of Sharpe ratio and Treynor ratio is as follows:
Q: The average returns, standard deviations, and betas for three funds are given below along with data…
A: Sharp ratio is employed in helping an investor to create a comparison of return on investment to its…
Q: Consider the following information and then calculate the required rate of return for the Global…
A: Beta of the portfolio, Bp = Sum of investment proportion weighted beta of the individual…
Q: Robert is a fund manager in Man group. He is considering three funds. The first is a stock fund, the…
A: Since you have posted a question with multiple sub-parts, we will solve the first three subparts for…
Q: You are tasked with comparing two Icelandic equity funds. The other fund is called the RU IS Equity…
A: Annual average return is calculate by arithmetic average of all returns. Mean = ∑return/number of…
Q: Need help
A: The Treynor ratio is the measurement of portfolio’s risk premium where the risk premiums of funds…
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: Sharpe Ratio : Sharpe ratio is ratio which is use to compare the performance of two securities or…
Q: The following information applies to the questions displayed below.] A pension fund manager is…
A: Expected return of Stock fund(S) is 16% and standard Deviation is 32% Expected return of (B) is 10%…
Q: A fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: Given: Risk free rate 8% Particulars Return Standard deviation Stock fund 20.00% 30.00%…
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: a-1) Formula: Weight (Stock)=Bond…
Q: In a recent 5-year period, mutual fund manager Diana Sauros produced the following percentage rates…
A: Return means additional amount earned by investing the funds for a period and risk means possibility…
Q: Consider the following information and then calculate the required rate of return for the Global…
A: The portfolio beta needs to be computed to calculate the required return of portfolio
Q: nvestments are made to earn a return, but making investments requires the individual to bear risk.…
A: Given, Return from mutual fund = 10.8% Market Return = 8.80% Risk free Rate = 2% Fund Beta = 1.20…
Q: Example 14: SBI and ICICI are two mutual funds. SBI has a sample mean of success 0.13 and fund ICICI…
A: The question is to find the risk-adjusted index and return for the mutual fund portfolio. Jensen…
Q: You have been given the following return information for a mutual fund, the market index, and the…
A: Calculation of Sharpe and Treynor ratio using excel is as follows:
Q: You have been given the following return information for a mutual fund, the market index, and the…
A: The provided table is:
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: The formula used is shown:
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: Given the following information : Expected return Standard deviation Stock fund (S) 17% 30%…
Q: Vega fund had return of 12%, a beta of 1.2, in a standard deviation of 25% last year t bills…
A: Vega fund had return of 12%, a beta of 1.2, in a standard deviation of 25% last year t bills…
Q: The following data are available relating to the performance of Hayek Stock Fund and the market…
A: Required rate of return = Risk free rate + Beta * (Expected market return - Risk free rate) Active…
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: Risk-free rate = 8% Expected return on stock fund = 19% Expected return on bond fund = 12%…
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: Here, To Find: Part 1. Weightage of the portfolio invested in stocks =? Part 2. Weightage of the…
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: Expected returns are returns which are expected to be earned, whereas standard deviation is the risk…
Q: You are an advisor reviewing fund managers performance over the last year. Your records indicate…
A: capital line formula: portfolio return =rf+rm-rfσm×σpwhere,rf=risk free raterm=market returnσp=…
Q: The returns on the Bledsoe Small-Cap Fund are the most volatile of all the mutual funds offered in…
A: Sharp ratio It is a measure of risk adjusted return. In other words, it tells about the excess…
Q: A pension fund manager is considering three mutual funds for investment. The first one is a stock…
A: GIVEN, RS=10%RB=8%σS=15%σB=12.5%WS=0.6WB=0.4CORREL=0.2
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A:
Q: An insurance fund is analysing the performance of three different fund managers A, B and C. Each…
A: Performance measurement of fund portfolios can be performed using ratios such as Sharpe ratio,…
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: Expected return is the possible rate of return an investor expects to receive on an investment made…
Q: In a recent 5-year period, mutual fund manager Diana Sauros produced the following percentage rates…
A: Fund Market Index 1 -1.30% 0.60% 2 24.60% 18% 3 40.60% 31.60% 4 11.60% 10.90% 5 0.40%…
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A:
Q: In a recent 5-year period, mutual fund manager Diana Sauros produced the following percentage rates…
A: Part (a): Answer: Average return on both the fund and the index is 15.12% and 10.94% Standard…
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: Risk free rate = 6% Correlation between fund return = 0.14 Expected return on stock fund = 24%…
Trending now
This is a popular solution!
Step by step
Solved in 2 steps with 2 images
- Suppose that the return for a particular large-cap stock fund is normally distributed with a mean of 14.4% and standard deviation of 4.4%. a. What is the probability that the large-cap stock fund has a return of at least 20%? b. What is the probability that the large-cap stock fund has a return of 10% or less?The file MutualFunds contains a data set with information for 45 mutual funds that are part of the Morningstar Funds 500. The data set includes the following five variables: Fund Type: The type of fund, labeled DE (Domestic Equity), IE (International Equity), and FI (Fixed Income) Net Asset Value (): The closing price per share Five-Year Average Return (%): The average annual return for the fund over the past five years Expense Ratio (%): The percentage of assets deducted each fiscal year for fund expenses Morningstar Rank: The risk adjusted star rating for each fund; Morningstar ranks go from a low of 1 Star to a high of 5 Stars. a. Prepare a PivotTable that gives the frequency count of the data by Fund Type (rows) and the five-year average annual return (columns). Use classes of 09.99, 1019.99, 2029.99, 3039.99, 4049.99, and 5059.99 for the Five-Year Average Return (%). b. What conclusions can you draw about the fund type and the average return over the past five years?You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is .97. Year Fund Market Risk-Free 2015 −18.20 % −35.50 % 2 % 2016 25.10 20.60 5 2017 13.50 12.70 2 2018 6.80 8.40 6 2019 −1.86 −4.20 3 Calculate Jensen’s alpha for the fund, as well as its information ratio. (Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places.)
- You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.91. Year 2018 2019 2020 2021 2022 Fund -20.60% 25.10 13.90 7.60 -2.10 Market -39.50% 21.00 13.90 8.80 -5.20 Risk-Free 1% 3 2 4 2 Calculate Jensen's alpha for the fund, as well as its information ratio. Note: Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places.You have been given the following return information for two mutual funds (Papa and Mama), the market index, and the risk-free rate. Year Papa Fund Mama Fund Market Risk-Free 2011 –12.6 % –22.6 % –24.5 % 1 % 2012 25.4 18.5 19.5 3 2013 8.5 9.2 9.4 2 2014 15.5 8.5 7.6 4 2015 2.6 –1.2 –2.2 2 Calculate the Sharpe ratio, Treynor ratio, Jensen’s alpha, information ratio, and R-squared for both funds. (Input all amounts as positive values. Do not round intermediate calculations. Enter all answers as a decimal value rounded to 4 decimal places.) PAPA MAMA SHARPE RATIO: TREYNOR RATIO JENSEN'S ALPHA INFORMATION RATIO R-SQUAREDYou 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,…
- Finance Consider the following information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.89. Year Fund Market Risk-Free 2008 -21.2 % -40.5 % 2 % 2009 25.1 21.1 4 2010 14 14.2 2 2011 6.2 8.8 4 2012 -2.16 -5.2 3 What are the Sharpe and Treynor ratios for the fund? (Round your answer to 4 decimal places.) Treynor ratio 2. Refer to the table below. 3 Doors, Inc. Down Co. Expected return, E (R) 16 % 9.5 % Standard deviation, σ 31 19 Correlation .40 Using the information provided on the two stocks in the table above, find the expected return and standard deviation on the minimum variance portfolio. (Round your answer to 2 decimal places. Omit the "%" sign in your response.) Expected Return % Expected return 3. Consider the following…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?If you desire to forecast performance of a mutual fund for next year, the best forecast will be given by the a. geometric average return b. neither geometric average return nor arithmetic average return c. arithmetic average return d. both geometric average return and arithmetic average return You buy and hold a S&P 500 index fund. You always reinvest your dividends earned on the fund. Which method provides the best measure of the actual average historical performance of the investments you have chosen? a. both geometric average return and arithmetic average return b. neither geometric average return nor arithmetic average return c. arithmetic average return d. geometric average return
- As 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?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?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