Homework Answers
Information Ratio refers to the excess return generated by a fund beyond a spicific benchmark (in this case, assuming it to be S&P 500 Index). It is given by:
IR= (Portfolio return- benchmark return)/ tracking error
where, tracking error= standard deviation of difference between portfolio and benchmark index
As per the question, we have portfolio return (13.6%) and benchmark return (12%), but the standard deviation between fund A and S&P 500 is not given. Hence, we won't be able to compute the ratio due to lack of information.
ans- B)
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The average returns, standard deviations, and betas for three funds are given below along with data...
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...
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%...
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MC Qu. 27 You want to evaluate three mutual funds... You want to evaluate three mutual...
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a. Given the following holding-period returns, compute the average returns and the standard deviations for the...
a. Given the following holding-period returns, compute the
average returns and the standard deviations for the Zemin
Corporation and for the market.
b. If Zemin's beta is 1.98 and the risk-free rate is 7
percent, what would be an expected return for an investor owning
Zemin? (Note: Because the preceding returns are based on monthly
data, you will need to annualize the returns to make them
comparable with the risk-free rate. For simplicity, you can
convert from monthly to...
a. Given the following holding period returns, compute the average returns and the standard deviations for...
a. Given the following holding period returns, compute the average returns and the standard deviations for the Zen Corporation and for the market b. Zomb is 106 and ther e is 7 percent we would be an expected return for an investor o m Because the precedings are based on m to make them comprate with skrerateFor simplicity you can convert from m y to your by gyng e rgement returns by 12) C. How does Zem's historical average retum...
Name: 3. The means and standard deviations for the monthly returns from three Fidelity mutual funds...
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The table below provides the information of the expected returns, and the standard deviations of two...
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pehormance within of an index of share returns for a particular country or industry sector a...
pehormance within of an index of share returns for a particular country or industry sector a corporation rather than purchased. 9. Commercial paper is a short-term security issued by A. the Federal Reserve Bank D. the New York Stock Exchange 10. Theindex represents the performance of the Canadian stock market. A. DAX 11. Shelf registration A. is a way of placing issues in the primary market. B. allows firms to register securities for sale over a two-year period. C. increases...
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,...
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 %...
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...
a. Given the following holding-period returns, compute the
average returns and the standard deviations for the Zemin
Corporation and for the market.
b. If Zemin's beta is 1.98 and the risk-free rate is 7
percent, what would be an expected return for an investor owning
Zemin? (Note: Because the preceding returns are based on monthly
data, you will need to annualize the returns to make them
comparable with the risk-free rate. For simplicity, you can
convert from monthly to...
a. Given the following holding period returns, compute the average returns and the standard deviations for the Zen Corporation and for the market b. Zomb is 106 and ther e is 7 percent we would be an expected return for an investor o m Because the precedings are based on m to make them comprate with skrerateFor simplicity you can convert from m y to your by gyng e rgement returns by 12) C. How does Zem's historical average retum...
Name: 3. The means and standard deviations for the monthly returns from three Fidelity mutual funds for the 60 months ending in January 2019 are given in the table below. X = monthly return on Magellan Fund Y = monthly return on Energy Fund z = monthly return on Japan Fund EDX) = 2.28% E(Y) = 4.54% EIZ) = 2.47% S00) - 3.98% SD(Y)= 7.06% SD(Z) = 5 20% Many advisers recommend roughly 20% foreign stocks to diversity portfolios of...
The table below provides the information of the expected returns, and the standard deviations of two assets A and B, as well as that of the market portfolio and the risk-free asset, respectively. Asset M (Market portfolio) F(Risk-free) Expected Return Standard Deviation 20% 15 % 4% 0% 10% 8 % 24 % 22 % B Table 04 (a) On the risk-return diagram, draw the Security Market Line and show all the four assets. (Be sure to place the values and...
pehormance within of an index of share returns for a particular country or industry sector a corporation rather than purchased. 9. Commercial paper is a short-term security issued by A. the Federal Reserve Bank D. the New York Stock Exchange 10. Theindex represents the performance of the Canadian stock market. A. DAX 11. Shelf registration A. is a way of placing issues in the primary market. B. allows firms to register securities for sale over a two-year period. C. increases...
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