Đ The risk free rate is 3%. Calculate and rank the following funds using Jensen's Alpha,Treynor measure, Sharpe ratio and MFund 45.82%MarketIndex7.60%Fund 1Fund 2Fund 3Return6.45%8.96%9.44%0.881.021.380.801%BetaStd. dev.2.74%4.54%3.72%2.64%2.80%

Here, To Find: Jensen's Alpha =? Treynor measure =? Sharpe Ratio =? M squared =?

The risk free rate is 3%. Calculate and rank the following funds using Jensen's Alpha, Treynor measure, Sharpe ratio and M². Market Fund 1 Fund 2 Fund 3 Fund 4 Index Return 6.45% Beta Std. dev. 0.88 2.74% 8.96% 1.02 4.54% PE 2 9.44% M 1.38 ON 3.72% 5.82% 2.64% 0.80 7.60% 1% 2.80%

The risk free rate is 3%. Calculate and rank the following funds using Jensen's Alpha, Treynor measure, Sharpe ratio and M². Market Fund 1 Fund 2 Fund 3 Fund 4 Index Return 6.45% Beta Std. dev. 0.88 2.74% 8.96% 1.02 4.54% PE 2 9.44% M 1.38 ON 3.72% 5.82% 2.64% 0.80 7.60% 1% 2.80%

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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Question

Đ The risk free rate is 3%. Calculate and rank the following funds using Jensen's Alpha,
Treynor measure, Sharpe ratio and M
Fund 4
5.82%
Market
Index
7.60%
Fund 1
Fund 2
Fund 3
Return
6.45%
8.96%
9.44%
0.88
1.02
1.38
0.80
1%
Beta
Std. dev.
2.74%
4.54%
3.72%
2.64%
2.80%

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The output below e penerted from regreseing Fund As exess returns on wkets excees retume (8AP S00). Kiatimate Glet Pavelue intercept L0.000 o.0077 1.2767 0.2066 Market index 1.3258 0.2157 6.1451 0.0000 Adj Reg lObservatione o.3830 so How well does CAPM explain the retume on Fund A? O Expleine over 30% of the variation in Fund A's excess returns O Explains over 60% ofr the variation in Fund A's excess returns O Explains below 20% of the varlation in Fund A's excess returns O Explains below 30% of the variation in Fund A's excess returns
Calculate: Information Ratio (appraisal ratio) Fund Average return Standard Deviation Beta coefficient Unsystematic Risk A 0.240 0.220 0.800 0.017 B 0.200 0.170 0.900 0.450 C 0.290 0.380 1.200 0.074 D 0.260 0.290 1.100 0.026 E 0.180 0.400 0.900 0.121 F 0.320 0.460 1.100 0.153 G 0.250 0.190 0.700 0.120 Market 0.220 0.180 1.000 0.000 Risk free return 0.050 0.000
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Consider the following risk-return characteristics for funds A and B: Expected return Risk Fund A (Equity) 12% 20% Fund B (Debt) 9% 16% The correlation coefficient between the returns of fund A and fund B is 0.4. 1. Which Fund is riskier? Write 1 if your answer is Fund A, write 2 if your answer is Fund B, or write 3 if your answer is undetermined. 2.1 What is the weight of fund A in the minimum variance portfolio? 2.4 What is the risk of the minimum variance portfolio? 2.2 What is the weight of Fund B in the minimum variance portfolio? 2.3 What is the expected return of the minimum variance portfolio?
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Illustration 2 Annual returns for three funds and a market index are given below: Fund A Fund B 17.1 14.5 28.1 19.7 Beta(Bp) 1.20 0.92 Risk free rate= 8.6% Required: Performance evaluation of the 3 funds Rp Op Fund C 13 22.8 1.04 Rm 11 20.5 1.00
Sharpe’s ratio of the Fund A is 1.5, if the beta of Fund A is 1.2, and risk of the fund is 10, Treynor’s index for the same fund is a. 11.5 b. 13.75 c. 12.5 d. 15
Fund Beta Deviation (%) Return (%) Rf (%) XXX 1.07 5.13 19 6 YYY 1.02 4.28 17 6 ZZZ 0.86 3.52 12 6 Market 1 3.8 13 6 Compute the Sharpe Measure for the XXX fund. Compute the Treynor Ratio for the ZZZ fund. Compute the Jensen Measure for the YYY fund.
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INV4 4a. Consider the following funds and the market portfolio: Bell Fund Cloche Fund Tintinnabulum Fund Market Portfolio Average return 18% 12% 30% 15% Standard deviation 25% 15% 30% 20% Beta 1.25 0.6 2.5 The risk-free return during the sample period was 5%. Using Sharpe’s, Treynor’s, and Jensen’s measures, rank the results for each of the funds.

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