Explain in what circumstances you should use the Sharpe Ratio and when you should use the...
Explain in what circumstances you should use the Sharpe Ratio and when you should use the Treynor Ratio to compare mutual funds.
Homework Answers
The Sharpe ratio refers to the excess return earned over risk free rate per unit of volatility.It is used to help investors in ascertaining the ROI at a given level of risk. If the Sharpe ratio of a fund is high the funds risk adjusted performance would be better.The Treynor ratio on the other hand is used evaluate the performance of a fund based on the systematic risk.The ratio give the excess return earned by the portfolio over the risk free rate per unit of systematic risk.
The Sharpe ratio expresses risk as a degree of volatility and thereby measures both systematic and unsystematic risk.The Treynor ratio on the other hand only measures the systematic risk.So when it comes to sector specific mutual funds the sharpe ratio would be the better method(since sector specific funds have unsystematic risks) and when it comes to fully diversified mutual funds(unsystematic risk would be small due to diversification) the Treynor ratio would be the suitable method.This is because the Treynor method only measures the systematic risk.
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Explain in what circumstances you should use the Sharpe Ratio
and when you should use the...
You have been given the following return information for a mutual fund, the market index, and...
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 0.97 Risk-F Year 2011 2012 2013 2014 Fund -16.4 25.1 13.2 Market -32.5 20.3 2015 -1.68 What are the Sharpe and Treynor ratios for the fund? (Do not round Intermediate calculations. Round your answers to 4 decimal places.) Sharpe ratio Treynor ratio
You have been given the following return information for a mutual fund, the market index, and...
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 0.97. Risk-Free Year 2011 2012 2013 2014 2015 Fund -17.68 25.1 13.4 6.6 -1.8 Market -34.5% 20.5 12.4 8 .4 -4.2 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.) Sharpe ratio Treynor ratio
what does -1.67% sharp ratio mean? and According to this Sharpe Ratio are you a good, average,...
what does -1.67% sharp ratio mean? and According to this Sharpe Ratio are you a good, average, or poor portfolio manager?
15. Estimate the Sharpe, Treynor and Alpha Jensen's performance analyses fort the three portfolios below. Use...
15. Estimate the Sharpe, Treynor and Alpha Jensen's performance analyses fort the three portfolios below. Use the data below to complete the table. Portfolio Sharpe Treynor Jensen's Return 0.07 0.085 0.11 SD 0.15 0.12 0.095 Beta 0.8 1.05 1.4 Z 0.075 Market Risk Free 0.075 0.025 a. If you were to choose one portfolio, which one would it be? Why?
You have been given the following return information for a mutual fund, the market index, and...
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 0.97. Risk-Free Year 2011 2012 2013 2014 2015 Fund -14.92% 25.1 12.8 7.0 -1.44 Market -28.5% 19.9 10.6 7.6 -2.2 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.) Answer is complete but not...
Assume that you are only concerned with systematic risk. Which of the following would be the...
Assume that you are only concerned with systematic risk. Which of the following would be the best measure to use to rank order funds with different betas based on their risk-return relationship with the market portfolio? (a) Sharpe ratio (b) Jensen’s alpha (c) Treynor ratio (d) Sortino ratio
Explain how the Sharpe Ratio is used to manage risk. Describe the significance of US equity...
Explain how the Sharpe Ratio is used to manage risk. Describe the significance of US equity risk premiums as a method of comparison with other countries.
Explain when you should use a species-area curve and when you should use a sampling effort...
Explain when you should use a species-area curve and when you should use a sampling effort curve.
2) You want to evaluate three mutual funds using the Sharpe measure for performance evaluation. The...
2) You want to evaluate three mutual funds using the Sharpe measure for performance evaluation. The risk-free return during the sample period is 5%. 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 Residual Standard Deviation Beta Fund A 23 % 30 % 1.3 Fund B 20 % 19 % 1.2 Fund C 19 % 17 % 1.1 S&P 500 18 15 %...
Explain the circumstances under which children should be prescribed drugs for off-label use. Be specific and...
Explain the circumstances under which children should be prescribed drugs for off-label use. Be specific and provide examples. Describe strategies to make the off-label use and dosage of drugs safer for children from infancy to adolescence. Include descriptions and names of off-label drugs that require extra care and attention when used in pediatrics.
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 0.97 Risk-F Year 2011 2012 2013 2014 Fund -16.4 25.1 13.2 Market -32.5 20.3 2015 -1.68 What are the Sharpe and Treynor ratios for the fund? (Do not round Intermediate calculations. Round your answers to 4 decimal places.) Sharpe ratio Treynor ratio
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 0.97. Risk-Free Year 2011 2012 2013 2014 2015 Fund -17.68 25.1 13.4 6.6 -1.8 Market -34.5% 20.5 12.4 8 .4 -4.2 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.) Sharpe ratio Treynor ratio
15. Estimate the Sharpe, Treynor and Alpha Jensen's performance analyses fort the three portfolios below. Use the data below to complete the table. Portfolio Sharpe Treynor Jensen's Return 0.07 0.085 0.11 SD 0.15 0.12 0.095 Beta 0.8 1.05 1.4 Z 0.075 Market Risk Free 0.075 0.025 a. If you were to choose one portfolio, which one would it be? Why?
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 0.97. Risk-Free Year 2011 2012 2013 2014 2015 Fund -14.92% 25.1 12.8 7.0 -1.44 Market -28.5% 19.9 10.6 7.6 -2.2 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.) Answer is complete but not...
2) You want to evaluate three mutual funds using the Sharpe measure for performance evaluation. The risk-free return during the sample period is 5%. 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 Residual Standard Deviation Beta Fund A 23 % 30 % 1.3 Fund B 20 % 19 % 1.2 Fund C 19 % 17 % 1.1 S&P 500 18 15 %...
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