An indexed mutual fund, Fund X, invests in the Australian public stocks which claim to have an
Question:
An indexed mutual fund, Fund X, invests in the Australian public stocks which claim to have an objective to track the performance of the ASX200 Stock Index. Using monthly returns on the fund and the ASX200 index in the past 12 months, the following regression analysis is performed to evaluate the fund performance in the last year. The figure below reports annualized information about fund excess return, alpha, and residual standard deviation. The annualized excess return on the ASX200 index in the same period was 30.37%.
Regression model: Rx - Rf = Alpha + Beta * (Rm - Rf) + e
Fund | (Annual) Fund Excess Return, (Rx-Rf) | (Annual) Alpha | Beta | R-square | (Annual) Residual Standard Deviation, |
Fund X | 30.46% | 1.69% | 0.95 | 0.9722 | 0.021 |
[Instruction: For a through to c, do not round the intermediate answers. Round final answers to two decimal places for your answer, e.g., 0.01; for d, no calculation is required]
QUESTIONS
- Calculate the fund's annual Treynor ratio.
- Calculate the fund's annual Information ratio.
- Calculate the fund's annual Sharpe ratio.
- Comment on whether the fund has achieved its objective of tracking the performance of ASX200.
Statistics For Business Decision Making And Analysis
ISBN: 9780321890269
2nd Edition
Authors: Robert Stine, Dean Foster