Example: Risk-adjusted performance appraisal measures The data in the table below has been collected to appraise the performance of four asset management firms: Performance Appraisal Data Fund 1 Fund 2 Fund 3 Fund 4 Market Index Return 6.45% 8.96% 9.44% 5.82% 7.60% Beta 0.88 1.02 1.36 0.80 1.00 Standard deviation 2.74% 4.54% 3.72% 2.64% 2.80% The risk-free rate of return for the relevant period was 3%. Calculate and rank the funds using ex post alpha, Treynor measure, Sharpe ratio, and M².

Example: Risk-adjusted performance appraisal measures The data in the table below has been collected to appraise the performance of four asset management firms: Performance Appraisal Data Fund 1 Fund 2 Fund 3 Fund 4 Market Index Return 6.45% 8.96% 9.44% 5.82% 7.60% Beta 0.88 1.02 1.36 0.80 1.00 Standard deviation 2.74% 4.54% 3.72% 2.64% 2.80% The risk-free rate of return for the relevant period was 3%. Calculate and rank the funds using ex post alpha, Treynor measure, Sharpe ratio, and M².

Financial Reporting, Financial Statement Analysis and Valuation

8th Edition

ISBN:9781285190907

Author:James M. Wahlen, Stephen P. Baginski, Mark Bradshaw

Publisher:James M. Wahlen, Stephen P. Baginski, Mark Bradshaw

Chapter5: Risk Analysis

Section: Chapter Questions

Problem 13PC: Calculating and Interpreting Risk Ratios. Refer to the financial statement data for Hasbro in...

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