In a recent 5-year period, mutual fund manager Diana Sauros produced the following percentage rates of return for the MesozoicFund. Rates of return on the market index are given for comparison.FundMarket indexa.1-1.2-0.9b.2+24.8+16.0a. Calculate (a) the average return on both the Fund and the index, and (b) the standard deviation of the returns on each. (Do notround intermediate calculations. Round your answers to 2 decimal places.)b. Did Ms. Sauros do better or worse than the market index on these measures?Average returnStandard deviationDid Ms. Sauros do better or worse thanthe market index on these measures?3+40.7+31.7MesozoicFund ReturnBetter4+11.1+10.915.0616.04MarketPortfolioReturn5+0.3-0.710.7011.76

Average return and standard deviation are metrics that help in analyzing a portfolio of returns. The…

In a recent 5-year period, mutual fund manager Diana Sauros produced the following percentage rates of return for the Mesoz Fund. Rates of return on the market index are given for comparison. Fund Market index a. -1.2 -0.9 b. 2 +24.8 +16.0 a. Calculate (a) the average return on both the Fund and the index, and (b) the standard deviation of the returns on each. (Do no round intermediate calculations. Round your answers to 2 decimal places.) b. Did Ms. Sauros do better or worse than the market index on these measures? Average return Standard deviation Did Ms. Sauros do better or worse than the market index on these measures? 3 +40.7 +31.7 Mesozoic Fund Return Better 4 +11.1 +10.9 15.06 16.04 Market Portfolio Return 5 +0.3 -0.7 10.70 11.76

In a recent 5-year period, mutual fund manager Diana Sauros produced the following percentage rates of return for the Mesoz Fund. Rates of return on the market index are given for comparison. Fund Market index a. -1.2 -0.9 b. 2 +24.8 +16.0 a. Calculate (a) the average return on both the Fund and the index, and (b) the standard deviation of the returns on each. (Do no round intermediate calculations. Round your answers to 2 decimal places.) b. Did Ms. Sauros do better or worse than the market index on these measures? Average return Standard deviation Did Ms. Sauros do better or worse than the market index on these measures? 3 +40.7 +31.7 Mesozoic Fund Return Better 4 +11.1 +10.9 15.06 16.04 Market Portfolio Return 5 +0.3 -0.7 10.70 11.76

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

Section: Chapter Questions

Problem 1PS

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Mr. Abir, after joining in Classic Mutual Fund has been asked to compute the returns. Apart from this, he must have to highlight the other areas of the fund. Consider the following information about the returns on Classic Fund, the market returns, and the T-Bill returns. Year Returns on Classic Fund % Market Index (Nifty Returns) % T-Bills Returns % 2003 15.3 10.5 5.4 2004 14.2 16.5 6.1 2005 -5.0 -7.9 5.9 2006 21.2 18.0 6.2 2007 18.3 15.5 5.5 2008 12.5 10.7 5.4 2009 -9.5 -3.0 5.8 2010 -7.3 4.9 6.1 2011 8.5 -7.5 6.2 2012 -11.4 3.0 5.8 2013 25.2 20.5 5.7 2014 22.0 18.0 5.4 2015 -16.3 4.3 6.0 2016 14.7 12.0 6.2 2017 18.5 15.3 5.8 2018 20.2 18.0 6.0 From the above information calculate all the inputs required for determining the Sharpe’s Ratio Treynor Ratio Jensen Ratio
You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.97. 1ITT Market Risk-Free Year Fund 2011 -21.8% -41.5% 3% 2012 25.1 21.2 4 14.1 2013 14.5 8.8 2014 6.4 4 -2.22 2015 -5.2 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.) Sharpe ratio Treynor ratio
You wish to evaluate which of the two equity funds delivered a better risk adjusted return in terms of Sharpe ratio with the risk free rate currently at 1.58% UIT Fund Fund Return Standard Deviation Equity Fund A 8.60% 20.12% Equity Fund B 8.91% 18.12% Calculate the Sharpe ratios for both equity funds A and B and state which fund had superior risk-adjusted performance during this period, as measured by the Sharpe ratio
You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.97. Year 2011 2012 2013 2014 2015 Fund -15.2% 25.1 12.4 6.2 -1.2 Sharpe ratio Market -24.5% 19.5 9.4 7.6 -2.2 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.) Treynor ratio X Answer is complete but not entirely correct. Risk-Free 1% 3 2 4 2 0.2273 x 3.4773 X
You invested $90,000 in a mutual fund at the beginning of the year when the NAV was $54.3. At the end of the year, the fund paid $.40 in short-term distributions and $.57 in long-term distributions. If the NAV of the fund at the end of the year was $63.94, what was your return for the year? (A negative value should be indicated by a minus sign. Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places.)
None
You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is .97. Year 2015 2016 2017 2018 2019 Fund -17.0% Sharpe ratio Treynor ratio 25.1 13.3 6.4 -1.74 Market -33.5% 20.4 12.1 8.0 -3.2 Risk-Free 2% 6 2 5 3 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.)
You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.97. Year 2011 2012 2013 2014 2015 Fund -15.2% 25.1 12.4 6.2 -1.2 Market -24.5% 19.5 Jensen's alpha Information ratio 9.4 7.6 -2.2 Calculate Jensen's alpha for the fund, as well as its information ratio. (Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places.) Risk-Free 1% 3 2 4 2 %
Typed and correct answer please. I ll rate
Use the following data to answer the question regarding the performance of Guardian Stock Fund and the market portfolio. The risk- free return during the sample period was 5%. Average return Standard deviation of returns Beta Residual standard deviation Guardian 14% 26% 1.2 0.60 X 4% Calculate the information ratio measure of performance for Guardian Stock Fund. (Round your answer to 2 decimal places. Do not round intermediate calculations.) Answer is complete but not entirely correct. Information ratio Market Portfolio 10% 21% 1 0%
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 9%. The characteristics of the risky funds are as follows: Stock fund (S) Bond fund (B) Expected Return 19% 12 Standard Deviation 32% 15 The correlation between the fund returns is 0.11. Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. Note: Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places. Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation
A fund achieved a return of 9.5%; the risk free rate was 1.5% and the market portfolio achieved 6%. The fund had a target Beta of 0.8, but was actually 1.25. The fund had a standard deviation of 28%, and the market had a standard deviation of 16%. (a) Calculate the following performance measures for the fund: • Sharpe ratio • Jensen’s alpha • Treynor ratio (b) Calculate whether the fund or the market portfolio would have provided more utility to an investor with a risk aversion coefficient, A, of 1.0

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