Sharpe Measure = ( Return of stock -Risk Free Return)/ Standard deviation of stock
A = (23 - 5) / 30 = 0.6
B = (20 - 5) / 19 = 0.79
C = (19 - 5) / 17 = 0.82
index = (18-5) / 15 = 0.87
option D is correct. Index.
2) You want to evaluate three mutual funds using the Sharpe measure for performance evaluation. The...
MC Qu. 27 You want to evaluate three mutual funds... You want to evaluate three mutual funds using the Sharpe measure for performance evaluation. The for the three funds are given below, as are the data for the S&P 500 Index free return during the same period is 4. The average returns, standard deviations, and betas Average Standard Return Deviation Beta and 181 388 1.6 Fund B 151 271 1.3 Fund C 114 241 1.0 S&P 500 101 221 1.0...
1. The risk-free rate, the average returns, standard deviations, betas, and residual standard deviations for three funds and the S&P 500. Std De. Beta Residual Std. Dev. Fund Avg. 18 25 20 15 30 35 25 20 1.3 1.4 1.2 1.0 1.5 2.5 3.0 S&P 500 Risk-free 1) Figure out a fund with the highest Jensen's alpha. (20points) 2) Figure out the information ratio for Fund C.(15points) 1. The risk-free rate, the average returns, standard deviations, betas, and residual standard...
2. The risk-free rate, average returns, standard deviations, and betas for three funds and the S&P 500 are given below. Suppose the risk-free rate is 5%. Fund AvStd DevBeta | 13.6% | 13.1% 12.4% | 12.0% | 40% | 25% |30% | 15% | 1.0 1.3 1.0 S&P 500 Compute the Treynor measure, Sharpe ratio, and Jensen's alpha for portfolio A, B, and C. Based on each measure, which portfolio shows the best performance? 2. The risk-free rate, average returns,...
The average returns, standard deviations, and betas for three funds are given below along with data for the S&P 500 Index The risk-free return during the sample period is 6%. Fund Beta Ave 13695 Sid Dey 4096 110 C 12.4% SP350012204 30% 13395 What is the information ratio of fund A? -0614 • Not enough information to compute information ratio 0.0274 0.055 None of the other answers
You are provided with information on mutual fund performance. All Funds have an investment objective of outperforming the S&P 500 Index (symbol: SPX). None of the MFs distribute dividends to their investors. [Table 2] Mutual Fund Performance (Year 2019: 12/31/2018-12/31/2019) Average number of stocks in 2019 Price as of 12/31/2018 Price as of 12/31/2019 Annual risk (stdev) market risk () MF A 500 100 128 30% 1.00 MF B 125 100 130 30% 1.05 MF C 12 100 100 40%...
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a rate of 4%. The probability distribution of the risky funds is as follows: Expected Return 24% 12 Standard Deviation 30% Stock fund (S) Bond fund (B) 19 The correlation between the fund returns is 0.13. What is the Sharpe ratio of the best...
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a rate of 4%. The probability distribution of the risky funds is as follows: 10 points Expected Return 24% 12 Standard Deviation 30% 19 Stock fund (S) Bond fund (B) eBook The correlation between the fund returns is 0.13. What is the Sharpe ratio...
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a rate of 7%. The probability distribution of the risky funds is as follows: Expected Return Standard Deviation Stock fund (S) 18 % 35 % Bond fund (B) 15 20 The correlation between the fund returns is 0.12. What is the Sharpe ratio of...
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 4.2%. The probability distributions of the risky funds are: Expected Return Standard Deviation Stock fund (S) 12% 33% Bond fund (B) 5% 26% The correlation between the fund returns is 0.0308. What is the Sharpe ratio of the best feasible...
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a rate of 5%. The probability distribution of the risky funds is as follows: Expected Return 19% 12 Standard Deviation 32% 15 Stock fund (5) Bond fund (B) The correlation between the fund returns is 0.11. What is the Sharpe ratio of the best...