Question

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 the table below) through her market-timing and security selection skills. At the outset of the year, she became extremely concerned that the combination of a weak economy and geopolitical uncertainties would negatively impact the market. Taking a bold step, she changed her market allocation. 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%. One-Year Trailing Returns Miranda Fund Return 10.5% Standard deviation 36.0% Beta 1.30 S&P 500 -20.8% 41% 1.00 a. What are the Sharpe ratios for the Miranda Fund and the S&P 500? (Negative values should be indicated by a minus sign. Do not round intermediate calculations. Round your answers to 4 decimal places.) Sharpe Ratio Miranda fund S&P 500 b. What is the measure for Miranda? (Do not round intermediate calculations. Round your answer to 2 decimal places.) M2 Measure c. What is the Treynor measure for the Miranda Fund and the S&P 500? (Negative values should be indicated by a minus sign. Do not round intermediate calculations. Round your answers to 4 decimal places.) Treynor Measure Miranda S&P 500 d. What is the Jensen measure for the Miranda Fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.)

Answer 1

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ke - Microsoft Excel (Product Activation Failed) Add-Ins View - 2x Dr General Wrap Text *Merge & Center - $ % 8. Cell Styles Insert Delete Format File Home Insert Page Layout Formulas Data Review % Cut Calibri -11AA = = = Ea Copy Paste Format Painter BI U DA * Clipboard Font FL2 FK FLFM 1 Conditional Format Formatting as Table Styles Σ AutoSum : A Fill Sort & Find & 2 Clear Filter Select Editing Alignment Number Cells EN FO FP FQ FR S&P 500 miranda fund 10.50% 36% -20.80% 41% 1.3 1 oooo vane wn return (Rp) standard deviation (SDp) beta Rf = RISK FREE RATE (a) SHARPE RATIO (Rp - Rf)/SDp 3% 3% 0.2083 -0.5805 (b) M square (Rp-Rf)(SD(M)/SD(P)) - (Rm-Rf) 11 32.34% [=(0.105-0.03)*(0.41/0.36)-(-0.208-0.03)] 12 13 (c) TREYNOR RATIO (Rp - Rf)/BETA 0.0577 -0.2380 (d ) JENSON'S ALPHA ALPHA = Rp - [Rf + BETA(Rm-Rf) 14 15 16 17 18 19 HON Rea ALPHA=0.105 - (0.03 +1.34-0.208-0.03)] ALPHA = 0.3844 = 0.3844 convexity DGM beta port future INDEX INTL CAP BUD SANDRINE LEASING PV, FV, ANNUITY DIR right clean RI O KE CAPM UTILITY, SHARPE, beta ferences YIELD bond portfolio WACC DOI 130% - 9 * * *O ENG O- 2. B 25-11-2019