You have performed a regression analysis of three mutual funds' performance data on market index, and...
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You have performed a regression analysis of three mutual funds' performance data on market index, and obtain the following table. This performance is measured over the same three year periods. Fund A B Alpha% 0.058 0.115 0.25 Beta 0.99 1.12 0.68 Std. Error% 0.533 5.844 2.165 Excess Return 0.18 0.48 0.05 You are required to calculate and rank the information ratio and Treynor ratio for each mutual fund, and briefly explain the reason for the conflicting results when using the Treynor measure versus the Information measure. You have performed a regression analysis of three mutual funds' performance data on market index, and obtain the following table. This performance is measured over the same three year periods. Fund A B Alpha% 0.058 0.115 0.25 Beta 0.99 1.12 0.68 Std. Error% 0.533 5.844 2.165 Excess Return 0.18 0.48 0.05 You are required to calculate and rank the information ratio and Treynor ratio for each mutual fund, and briefly explain the reason for the conflicting results when using the Treynor measure versus the Information measure.
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Information Ratio Treynor Ratio Fund ABC Fund A B Alpha 0058 0115 025 Excess ... View the full answer
Related Book For
Financial Accounting The Impact on Decision Makers
ISBN: 978-1305793194
10th edition
Authors: Gary A. Porter, Curtis L. Norton
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