You are evaluating Atlas fund. The following data, relating to the performance of the Atlas Fund...

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You are evaluating Atlas fund. The following data, relating to the performance of the Atlas Fund and the Market Portfolio over a recent year, are available. Measure Atlas Fund Market Portfolio Average return 16% 14% Standard deviation of returns 24% 16% Beta 1.15 1.00 Residual standard deviation 1.8% 0% The risk-free rate during the observed year was 4%. a. Calculate the following measures of performance evaluation for the Atlas Fund and the Market Portfolio over the observation year. The Sharpe ratio The Treynor ratio The Jensen alpha The information ratio. b. On the basis of your calculations, would you prefer to invest in the Atlas Fund or the Market portfolio? State why. You are evaluating Atlas fund. The following data, relating to the performance of the Atlas Fund and the Market Portfolio over a recent year, are available. Measure Atlas Fund Market Portfolio Average return 16% 14% Standard deviation of returns 24% 16% Beta 1.15 1.00 Residual standard deviation 1.8% 0% The risk-free rate during the observed year was 4%. a. Calculate the following measures of performance evaluation for the Atlas Fund and the Market Portfolio over the observation year. The Sharpe ratio The Treynor ratio The Jensen alpha The information ratio. b. On the basis of your calculations, would you prefer to invest in the Atlas Fund or the Market portfolio? State why.

Answer rating: 100% (QA)

Answer Performance Evaluation of Atlas Fund a Performance Measures 1 Sharpe Ratio Sharpe Ratio Rp Rf ... View the full answer