You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that thereturn correlation between the fund and the market is 0.97.1ITTMarketRisk-FreeYearFund2011-21.8%-41.5%3%201225.121.2414.1201314.58.820146.44-2.222015-5.2What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimalplaces.)Sharpe ratioTreynor ratio

Calculation of Sharpe and Treynor ratio using excel is as follows:

Answered: You have been given the following…

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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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 2018 2019 2020 2021 2022 Fund -14.85% 25.1 12.9 7.2 -1.5 Market -29.5% 20.0 10.9 8.0 -3.2 Risk-Free 3% 5 2 5 What are the Sharpe and Treynor ratios for the fund? Note: Do not round intermediate calculations. Round your answers to 4 decimal places. Answer is complete but not entirely correct. Sharpe ratio Treynor ratio 0.1613 2.8377
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Suppose that today is December 31, 2021. Consider a hedge fund with the following investment strategy: buy high quality stocks and short-sell low quality ("junk") stocks. The hedge fund follows a beta- neutral strategy. The estimated betas of high and low quality stocks over the 01/2019 to 12/2021 time period are 1.01 and 1.32 respectively. If the hedge fund's gross leverage is capped at 2, then how much should the fund invest in high quality stocks? To answer this question, compute the weighted invested in high-quality stocks at the end of 12/2021. (Hint: the sign matters) The answer should be given in decimal form with three decimals. For example, write 0.105 instead of 10.5 or 10.5 % when the correct answer is 10.5 %.
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 4%. The characteristics of the risky funds are as follows: Stock fund (S) Exp. Return Bond fund (B) 0.43 15% O 1.00 0.70 11% The correlation between the fund returns is 0.2. Solve numerically for the Sharpe Ratio of the optimal risky portfolio. 0.66 Std. Deviation 0.85 26% 12%
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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
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. Tear 2015 2016 2017 2018 2019 Fund -15.8% 25.1 13.1 7.6 -1.62 Sharpe ratio Treynor ratio Market -31.50 20.2 11.5 8.0 -3.2 Risk-Free. 39 5 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.)
A pension fund manager is considering three mutual funds. The first in a stock fund The second is a long-term bond fund The third is a money market fund that provides a safe return of 5% The characterisitics of the risky funds are as follows: Use this data for problems #5 - #9 5.00% Stock Fund Bond Fund Correlation (rho) A 9224 6223 money market return 9123 Expected Return 28.00% What is the reward-to volatility ratio of the Optimal Capital Asset Line? This is the Sharpe Ratio. 20.00% -0.2000 Stdev 39.00% 26.00% I
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As an individual investor, you have three funds to invest into. The first is an equity fund, the second is a corporate bond fund, and the third is a T-bill money-market fund (your risk-free asset). Fund Expected rate of return Risk (Standard deviation) Equity fund 16% 32% Corporate bond fund 12% 18% T-bill money market fund 2% Correlation between equity fund and bond fund returns is 0.4. Find the Expected return of the minimum variance portfolio formed from Equity and Bond funds
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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 6%. The characteristics of the risky funds are as follows: Expected Return 21% 13 Standard Deviation 36% 22 Stock fund (s) Bond fund (B) The correlation between the fund returns is 0.13. 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.

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