6. Suppose that your first assignment as a financial analyst in the Giant Investment Company is...
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6. Suppose that your first assignment as a financial analyst in the Giant Investment Company is to evaluate the performance of the Mini Fund relative to BIST-30 index. Mini Fund invests in the small market capitalization stocks. You are given the following information: Observed r (arp) Standard Deviation (op) Beta (pp) c. Compute the Jensen's alpha of the Mini Fund. d. Compute the M-squared for the Mini Fund. Small Fund 15% Risk-free asset 5% Return on BIST-30 12% 4% a. Compute the reward to variability ratio (Sharpe ratio) of the Mini Fund. b. Compute the reward to volatility ratio (Treynor's ratio) of the Mini Fund. Residual Variance (Gep²) (Unique Risk) 0.02 1.25 e. Compute the information ratio. f. Comment on the Mini Fund's risk adjusted performance. g. What problems are associated with using BIST-30 index, a large capitalization index, as a benchmark in evaluating this small company mutual fund? 6. Suppose that your first assignment as a financial analyst in the Giant Investment Company is to evaluate the performance of the Mini Fund relative to BIST-30 index. Mini Fund invests in the small market capitalization stocks. You are given the following information: Observed r (arp) Standard Deviation (op) Beta (pp) c. Compute the Jensen's alpha of the Mini Fund. d. Compute the M-squared for the Mini Fund. Small Fund 15% Risk-free asset 5% Return on BIST-30 12% 4% a. Compute the reward to variability ratio (Sharpe ratio) of the Mini Fund. b. Compute the reward to volatility ratio (Treynor's ratio) of the Mini Fund. Residual Variance (Gep²) (Unique Risk) 0.02 1.25 e. Compute the information ratio. f. Comment on the Mini Fund's risk adjusted performance. g. What problems are associated with using BIST-30 index, a large capitalization index, as a benchmark in evaluating this small company mutual fund?
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Here are the steps on how to solve this question a Compute the reward to variability ratio Sharpe ratio of the Mini Fund The Sharpe ratio is a measure of the excess return of an investment over the ri... View the full answer
Related Book For
Accounting Tools for Business Decision Making
ISBN: 978-1118128169
5th edition
Authors: Paul D. Kimmel, Jerry J. Weygandt, Donald E. Kieso
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