Question

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		1.30			1.00

Answer 1

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Generally Jenson's Alpha in % terms, but here it is asked to round till 4 decimals, taken answer in decimals only not in %.

ke - Microsoft Excel (Product Activation Failed) Add-Ins View - 2x Σ AutoSum : A Dr General File Home Insert Page Layout Formulas Data Review % Cut Calibri -11AA = = = Ea Copy Paste Format Painter BIU - D A Clipboard Font Wrap Text Merge Merge & Center - Center SF $ % % , 4:0 .00 :.: Insert Delete Format Conditional Format Formatting as Table Styles Cell Styles Fill 2 Clear Sort & Filter Editing Find & Select Alignment Number Cells FN54 FM EN FO FP FO FR FEL FS FT 42 43 44 45 46 miranda fund 10.50% 36% 1.3 S&P 500 -20.80% 41% return (Rp) standard deviation (SDp) beta Rf = RISK FREE RATE 47 3% 3% JENSON'S ALPHA ALPHA = Rp - [Rf + BETA(Rm-Rf) ALPHA = 0.105 - 10.03 + 1.3(-0.208-0.03) ALPHA = 0.3844 = 0.3844 48 49 50 51 52 53 54 55 56 57 58 59 60 beta port future INDEX INTL CAP BUD LEASING PV, FV, ANNUITY DIR right clean YIELD bond portfolio cap stru WACC convexity DGM ferences RESI ex div DIV POLICY BO R 9 NAME 130% DIV YIELDI - Red D * * ENG 23-11-2019