Question: 3. You are given the following data on five mutual funds, SP 500, and Treasury Bills: Standard Fund Deviation A B D E SP 500

3. You are given the following data on five mutual funds,

3. You are given the following data on five mutual funds, SP 500, and Treasury Bills: Standard Fund Deviation A B D E SP 500 T-Bills Return Beta 14 12 16 10 20 13 3 6 4 8 6 10 1.5 0.5 1.0 0.5 2.0 1.0 0 5 0 A. Calculate Sharps's and Treynor's measure for these funds and determine which is earning superior risk adjusted returns. (11 points)

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

answer the third part of homework:Risk Budgeting. I.\tMatrix\tAlgebra\tand\tPortfolio\tMath\t(44\tpoints,\t4\tpoints\teach) Let Ri denote the simple return on asset i (i = 1, , N) with E[Ri] = i,...

Question 1 (1 point) You have deposited $5,000 in an account that pays 5% interest each year. How much will you have in the account at the end of six years? Round your answer to the nearest dollar...

Q 2 and 3 coefficient between returns on Microsoft stock and returns on the S&P 500 index is 0.8 You also estimated that the expected return on the S&P 500 index (the proxy for the market portfolio)...

Which fund has best performance according to the Treynor, Sharpe and Jensen indexes? You are given the following information concerning several mutual funds. Fund Rate of Return Standard Deviation of...

You are a hedge fund manager and need to create a portfolio that will hopefully outperform the stock market. The expected return and risk of your potential choices are: Asset Expected Return (%)...

Week 11: Discussion Board 3 This Discussion Board builds on applying two key concepts of diversification: correlation of asset returns and risk reduction. In Chapter 11 last week we developed the...

1. The expected return of a mutual fund is 8%. If the standard deviation of a mutual fund is 2.5%, what are the chances the return of the fund will be less than 10.5%? Assume a normal distribution....

Given the following data, answer questions 1 to 3 below: Average Standard Fund Beta return deviation EF 23% 33% 1.1 FG 15% 26% 1.3 GH 22 28 1.2 S&P500 14% 24% 1 Risk-free 5% 5 points 1. What is the...

give correct only678 16. Consider three stocks: Q. R and S. Beta STD (annual) Forecast for Nov 2008 Dividend Stock Price Q 0.45 35% $0.50 $45 R 1.45 10% 0 $75 S -0.20 40% $1.00 $20 33 2008, Andrew W....

Thomas wants to collect a monthly income of $1,500 at the beginning of each month for the next 6 years. He expects to earn 8.15% compounded monthly on his investments. What is the total amount of...

Find the linear least squares polynomial approximation on the interval [1, 1] for the following functions. a. f (x) = x2 2x + 3 b. f (x) = x3 c. f (x) = 1/(x + 2) d. f (x) = ex e. f (x) = 1/2 cos x...

ans Apoptosis in C.elegant differs from the mammalian pathway due to the O a. The lack of Bax and Bak O b. Involvement of BH3-only proteins in signalling O c. The absence of an apoptosome like...

I need help with #27! Thank you :) Elite Events Corporation has provided event planning services for several years. The company uses the percentage of credit sales method to estimate bad debts for...