Problem

Go to www.mhhe.com/bkm and link to the material for Chapter 18, where you will find five...

Go to www.mhhe.com/bkm and link to the material for Chapter 18, where you will find five years of monthly returns for two mutual funds, Vanguard’s U.S. Growth Fund and U.S. Value Fund, as well as corresponding returns for the S&P 500 and the Treasury bill rate.

a. Set up a spreadsheet to calculate each fund’s excess rate of return over T-bills in each month.

b. Calculate the standard deviation of each fund over the fi ve-year period.

c. What was the beta of each fund over the fi ve-year period? (You may wish to review the spreadsheets from Chapters 5 and 6 on the Index model.)

d. What were the Sharpe, Jensen, and Treynor measures for each fund?

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Solutions For Problems in Chapter 18