An investor was tracking SBI and HDFC mutual funds whose return and beta are as given below Observed Return Beta Portfolio SBI 18 0 75 Portfolio HDFC 25 1 25 Return on the market portfolio is 11 , while the risk free return is 8 Assume standard Deviation of the market to be 7 a Compute the Jensen ...

Solution aJensens index CAPM returnR f R m R f 1Portfolio SBI Given Rfrisk free return8 Rm market re ...

. An investor was tracking SBI and HDFC mutual funds whose return and beta are as given...

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. An investor was tracking SBI and HDFC mutual funds whose return and beta are as given below:

Observed Return		Beta
Portfolio SBI	18%		0.75
Portfolio HDFC	25%		1.25

Return on the market portfolio is 11%, while the risk-free return is 8%. Assume standard Deviation of the market to be 7%.

a. Compute the Jensen index for each of the funds and comment which one is better.

(5 Marks)

b. Compute the Treynor index for each of the funds and comment which one is better.

(5 Marks)

Related Book For answer-question

An introduction to management science quantitative approaches to decision making

ISBN: 978-1111532222

13th edition

Authors: David Anderson, Dennis Sweeney, Thomas Williams, Jeffrey Cam

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Posted Date: Apr 06, 2020 11:12 PM

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. An investor was tracking SBI and HDFC mutual funds whose return and beta are as given...

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Solution aJensens index CAPM returnR f R m R f 1Portfolio SBI Given Rfrisk free return8 Rm market re... View the full answer

An introduction to management science quantitative approaches to decision making

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