Question: 2. The following data are available relating to the performance of Monarch Stock Fund and the market portfolio: Monarch Market Portfolio Average Return 16% 12%

2. The following data are available relating to the performance of Monarch Stock Fund and the market portfolio:

Monarch

Market Portfolio

Average Return

16%

12%

Standard Deviation of Returns

26%

22%

Beta

1.15

1.00

Residual Standard Deviation

1%

0%

The risk-free return during the sample period was 4%.

a) What is the information ratio measure of performance evaluation for Monarch Stock Fund?

b) Calculate Sharpe's measure of performance for Monarch Stock Fund.

c) Calculate Treynor's measure of performance for Monarch Stock Fund.

d) Calculate Jensen's measure of performance for Monarch Stock Fund.

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