You are analysing the success of four portfolio managers over a five year period. During this...

 

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You are analysing the success of four portfolio managers over a five year period. During this period risk free investments have returned 4% per year, the market has returned 5% per year, with standard deviation 10%. The four funds have performed as follows: Annual return Fund A Fund B Fund C Fund D -1% 12% 6% 7% Standard deviation 4% 25% 12% 14% Beta 0,3 4 1,1 2,4 Calculate the Sharpe and Treynor ratios for the four funds as well as Jensen's alpha measure and Modigliani's M² You are analysing the success of four portfolio managers over a five year period. During this period risk free investments have returned 4% per year, the market has returned 5% per year, with standard deviation 10%. The four funds have performed as follows: Annual return Fund A Fund B Fund C Fund D -1% 12% 6% 7% Standard deviation 4% 25% 12% 14% Beta 0,3 4 1,1 2,4 Calculate the Sharpe and Treynor ratios for the four funds as well as Jensen's alpha measure and Modigliani's M²

Answer rating: 100% (QA)

To calculate the Sharpe ratio Treynor ratio Jensens alpha and Modiglianis M for the four funds we need the following information Riskfree rate Rf 4 Market return Rm 5 Market standard deviation m 10 Fu... View the full answer