The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Fund Return Benchmark Return Risk-free rate Year 1 15% 12% 2% Year 2 15% 12% 2% Year 3 16% 13% 2% Year 4 19% 14% 2% Year 5 20% 14% 2% Year 6 22% 15% 2% Year 7 26% 24% 2% Year 8 24% 22% 2% Year 9 21% 19% 2% Year 10 19% 18% 2% Required: a. What is the Sharpe ratio for the fund and the benchmark? Asnwer is not Fund: 4.77 and Benchmark: 3.37 b. What is the Treynor ratio for the fund and the benchmark? Answer is: Fund: 22.79 Benchmark: 14.30 c. What is the fund tracking error? Asnwer is Not 1.71

The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Fund Return Benchmark Return Risk-free rate Year 1 15% 12% 2% Year 2 15% 12% 2% Year 3 16% 13% 2% Year 4 19% 14% 2% Year 5 20% 14% 2% Year 6 22% 15% 2% Year 7 26% 24% 2% Year 8 24% 22% 2% Year 9 21% 19% 2% Year 10 19% 18% 2% Required: a. What is the Sharpe ratio for the fund and the benchmark? Asnwer is not Fund: 4.77 and Benchmark: 3.37 b. What is the Treynor ratio for the fund and the benchmark? Answer is: Fund: 22.79 Benchmark: 14.30 c. What is the fund tracking error? Asnwer is Not 1.71

Essentials of Business Analytics (MindTap Course List)

2nd Edition

ISBN:9781305627734

Author:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson

Publisher:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson

Chapter3: Data Visualization

Section: Chapter Questions

Problem 6P: The file MutualFunds contains a data set with information for 45 mutual funds that are part of the...

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	Fund Return	Benchmark Return	Risk-free rate
Year 1	15%	12%	2%
Year 2	15%	12%	2%
Year 3	16%	13%	2%
Year 4	19%	14%	2%
Year 5	20%	14%	2%
Year 6	22%	15%	2%
Year 7	26%	24%	2%
Year 8	24%	22%	2%
Year 9	21%	19%	2%
Year 10	19%	18%	2%

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The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Benchmark Return 19% 20% 22% 23% 22% 22% 18% 16% 13% 12% Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 Required A Fund Return Required: a. What is the Sharpe ratio for the fund and the benchmark? b. What is the Treynor ratio for the fund and the benchmark? c. What is the fund tracking error? d. What is the beta for the fund? e. What is Jensen's alpha for the fund? 22% 23% 25% 28% 28% 29% 20% 18% 15% 13% Complete this question by entering your answers in the tabs below. Fund Benchmark Required B Risk-free rate 2% 2% 2% 2% 2% 2% 2% 2% 2% 2% Required C Sharpe Ratio What is the Sharpe ratio for the fund and the benchmark? (Do not round intermediate calculations. Round your final answer to 2 decimal places.) Required D Required E
The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Fund Return Benchmark Return Risk-free rate Year 1 22% 19% 2% Year 2 23% 20% 2% Year 3 25% 22% 2% Year 4 28% 23% 2% Year 5 28% 22% 2% Year 6 29% 22% 2% Year 7 20% 18% 2% Year 8 18% 16% 2% Year 9 15% 13% 2% Year 10 13% 12% 2% Required: a. What is the Sharpe ratio for the fund and the benchmark? b. What is the Treynor ratio for the fund and the benchmark? c. What is the fund tracking error? d. What is the beta for the fund? e. What is Jensen’s alpha for the fund?
The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Fund Return Benchmark Return Risk-free rate Year 1 22% 19% 2% Year 2 23% 20% 2% Year 3 25% 22% 2% Year 4 28% 23% 2% Year 5 28% 22% 2% Year 6 29% 22% 2% Year 7 20% 18% 2% Year 8 18% 16% 2% Year 9 15% 13% 2% Year 10 13% 12% 2% Do not round intermidete calucations Required: a. What is the Sharpe ratio for the fund and the benchmark? b. What is the Treynor ratio for the fund and the benchmark? c. What is the fund tracking error? d. What is the beta for the fund? e. What is Jensen’s alpha for the fund?
● Following results were obtained for the period of six months ending September 2022. Birla Sundaram Sun Nifty Rf Rp 25.38 36.28 45.56 36.74 9.00 Sigma 4.0 6.86 4.31 3.69 Beta 0.23 0.52 0.63 1.00 Using inputs, rank the funds according to the predictive ability of the fund's manager.
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The following information is provided regarding the performance of fund namely Birla Advantage, Sundaram Growth and Sun F&C Value for a period of six months ending August 2022. The Risk free rate of interest is assumed to be 9 percent. Rank them with the help of Treynor Index and discuss. Birla Sundaram Sun Rp 25.38 25.11 25.01 Sigma p 4 9.01 3.55 Beta 0.23 0.56 0.59
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In year 1, a fund increases from $179mm to $186mm (gross asset value). The fund has a 3/15 structure with a hurdle rate of 8%. How much are the performance fees for this year, assuming they are charged after management fees are first deducted from the gross asset value? 4 $1.935mm There are no performance fees for this year $0.065mm $0.1217mm
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Corporate Fund started the year with a net asset value of $12.50. By year-end, its NAV equaled $12.10. The fund paid year-end distributions of income and capital gains of $1.50. Required: What was the rate of return to an investor in the fund? (Round your answer to 2 decimal places.) Rate of return %