Homework Answers
Jensen's Alpha
# Higher and positive, the better.
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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%...
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...
The average returns, standard deviations, and betas for three funds are given below along with data...
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
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 %...
MC Qu. 27 You want to evaluate three mutual funds... You want to evaluate three mutual...
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. 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...
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.)...
Problem 2 Risk-free rate is 4%. Expected return on actively managed fund P is 16%, expected return on the market index i...
Problem 2 Risk-free rate is 4%. Expected return on actively managed fund P is 16%, expected return on the market index is 12%. Standard deviation of the fund is 20%, and standard deviation of the index is 17%. Beta of the fund is 0.73. Calculate Sharpe ratio of the market index and of fund P. Does the fund beat the market? Calculate Treynor measure of the market index and of fund P. Does the fund beat the market? Calculate the...
Name: 3. The means and standard deviations for the monthly returns from three Fidelity mutual funds...
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...
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...
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...
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...
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
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. 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...
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...
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...
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