ZuoTi.Pro
Question

One-Year Trailing Returns Miranda Fund S&P 500 Return 10.5 % −20.8 % Standard deviation 36.0 %...

One-Year Trailing Returns
Miranda Fund S&P 500
Return 10.5 % −20.8 %
Standard deviation 36.0 % 41 %
Beta 1.30 1.00

For the entire year her asset class exposures averaged 50% in stocks and 50% in cash. The S&P’s allocation between stocks and cash during the period was a constant 94% and 6%, respectively. The risk-free rate of return was 3%.

What is the M2 measure for Miranda? (Do not round intermediate calculations. Round your answer to 2 decimal places.)

Return - 10.5%

Standard Deviation - 36%

Beta -1.3

Sharpe Ratio - .2083

business   finance   
0 0
Add a comment Improve this question Transcribed image text
Next > < Previous
Sort answers by oldest

Homework Answers

Answer #1

M2 = Modigliani measure of risk adjusted performance

M2 = Sharpe ratio*Std Deviation of Market + Risk Free Return

= 0.2083*41+3.5 = 8.5403+3.5 = 12.0403

0 0
Add a comment
Know the answer?
Add Answer to:
One-Year Trailing Returns Miranda Fund S&P 500 Return 10.5 % −20.8 % Standard deviation 36.0 %...
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Log In

Sign Up

Not the answer you're looking for? Ask your own homework help question. Our experts will answer your question WITHIN MINUTES for Free.
Similar Homework Help Questions

  • For the entire year her asset class exposures averaged 50% in stocks and 50% in cash....

    For the entire year her asset class exposures averaged 50% in stocks and 50% in cash. The S&P’s allocation between stocks and cash during the period was a constant 94% and 6%, respectively. The risk-free rate of return was 3%. What is the Jensen measure for the Miranda Fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.) One-Year Trailing Returns Miranda Fund S&P 500 Return 10.5 % −20.8 % Standard deviation 36.0 % 41 % Beta...

  • Kelli Blakely is a portfolio manager for the Miranda Fund (Miranda), a core large-cap equity fund....

    Kelli Blakely is a portfolio manager for the Miranda Fund (Miranda), a core large-cap equity fund. The market proxy and benchmark for performance measurement purposes is the S&P 500. Although the Miranda portfolio generally mirrors the asset class and sector weightings of the S&P, Blakely is allowed a significant amount of leeway in managing the fund. Her portfolio holds only stocks found in the S&P 500 and cash. Blakely was able to produce exceptional returns last year (as outlined in...

  • a. What are the Sharpe ratios for the Miranda Fund and the S&P 500? (Do not...

    a. What are the Sharpe ratios for the Miranda Fund and the S&P 500? (Do not round intermediate calculations. Negative amount should be indicated by a minus sign. Round your answer to 4 decimal places.) b. What are the M 2 measures for Miranda and the S&P 500? (Do not round intermediate calculations. Round your answer to 2 c. What is the Treynor measure for the Miranda Fund and the S&P 500? (Do not round intermediate calculations. Round your answer...

  • Kelli Blakely is a portfolio manager for the Miranda Fund (Miranda), a core large-cap equity fund....

    Kelli Blakely is a portfolio manager for the Miranda Fund (Miranda), a core large-cap equity fund. The market proxy and benchmark for performance measurement purposes is the S&P 500. Although the Miranda portfolio generally mirrors the asset class and sector weightings of the S&P, Blakely is allowed a significant amount of leeway in managing the fund. Her portfolio holds only stocks found in the S&P 500 and cash. Blakely was able to produce exceptional returns last year (as outlined in...

  • The following table provides the expected return and the standard deviation of returns for srocks and...

    The following table provides the expected return and the standard deviation of returns for srocks and gold. Your client is currently holding a portfolio of stocks and he is considering whether he should replace half of the stocks with gold. . Question 1 Part a) The following table provides the expected return and the standard deviation of returns for stocks and gold. Your client is currently holding a portfolio of stocks and he is considering whether he should replace haif...

  • 1. Consider historical data showing that the average annual rate of return on the S&P 500...

    1. Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 85 years has averaged roughly 8% more than the Treasury bill return and that the S&P 500 standard deviation has been about 20% per year. Assume these values are representative of investors' expectations for future performance and that the current T-bill rate is 5%. Calculate the expected return and variance of portfolios invested in T-bills and the S&P 500 index...

ADVERTISEMENT
Free Homework Help App
Download From Google Play
Scan Your Homework
to Get Instant Free Answers
Need Online Homework Help?
Ask a Question
Get Answers For Free
Most questions answered within 3 hours.
ADVERTISEMENT
ADVERTISEMENT
ADVERTISEMENT