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An insurance fund is analysing the performance of three different fund managers A, B and C.  Each manager invests in one third of all asset classes to maintain a well diversified portfolio.   The following information is available:     A B C Market portfolio Average net return (%) 5 8 9 9 Volatility (%) 18 24 21 20 Beta 0.8 1.1 1.3     A risk free rate is established to be 2%.   Calculate for each of the fund managers the expected return using CAPM, ex post Sharpe Ratio, Treynor Ratio, M2 alpha and Jensen’s alpha. Interpret your results.

An insurance fund is analysing the performance of three different fund managers A, B and C.  Each manager invests in one third of all asset classes to maintain a well diversified portfolio.   The following information is available:     A B C Market portfolio Average net return (%) 5 8 9 9 Volatility (%) 18 24 21 20 Beta 0.8 1.1 1.3     A risk free rate is established to be 2%.   Calculate for each of the fund managers the expected return using CAPM, ex post Sharpe Ratio, Treynor Ratio, M2 alpha and Jensen’s alpha. Interpret your results.

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
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An insurance fund is analysing the performance of three different fund managers A, B and C.  Each manager invests in one third of all asset classes to maintain a well diversified portfolio.

 

The following information is available:

 

 

A

B

C

Market portfolio

Average net return (%)

5

8

9

9

Volatility (%)

18

24

21

20

Beta

0.8

1.1

1.3

 

 

A risk free rate is established to be 2%.

 

Calculate for each of the fund managers the expected return using CAPM, ex post Sharpe Ratio, Treynor Ratio, M2 alpha and Jensen’s alpha.

Interpret your results.

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