(b) The following data are available relating to the performance of Seminole Fund and the market...

  

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(b) The following data are available relating to the performance of Seminole Fund and the market portfolio: Average Return Standard Deviation of Returns Seminole 18% 30% 1.4 4.0% Beta Residual Standard Deviation The risk-free return during the sample period was 6%. (1) Calculate the M measure for the Seminole Fund. (5 marks) (11) If the Seminole Fund is actively managed and will be mixed with the market index portfolio, but you suspect it may be mispriced, calculate the value of the measure that should be used for evaluation. (5 marks) Bonds Stocks Market Portfolio 14% 22% 1.0 0% In a particular year, Aggie Mutual Fund earned a return of 15% by making the following investments in asset classes: Weight 10% 90% The return on a bogey portfolio was 10%, calculated as follows: Weight 50% 50% Return 6% 16% Return 5% 15% Bonds (Barclays Index) Stocks (S&P 500) (1) Find the contribution of asset allocation across markets to the Aggie Fund's total excess return. (5 marks) (11) Find the contribution of selection within markets to the Aggie Fund's total excess (5 marks) return. (b) The following data are available relating to the performance of Seminole Fund and the market portfolio: Average Return Standard Deviation of Returns Seminole 18% 30% 1.4 4.0% Beta Residual Standard Deviation The risk-free return during the sample period was 6%. (1) Calculate the M measure for the Seminole Fund. (5 marks) (11) If the Seminole Fund is actively managed and will be mixed with the market index portfolio, but you suspect it may be mispriced, calculate the value of the measure that should be used for evaluation. (5 marks) Bonds Stocks Market Portfolio 14% 22% 1.0 0% In a particular year, Aggie Mutual Fund earned a return of 15% by making the following investments in asset classes: Weight 10% 90% The return on a bogey portfolio was 10%, calculated as follows: Weight 50% 50% Return 6% 16% Return 5% 15% Bonds (Barclays Index) Stocks (S&P 500) (1) Find the contribution of asset allocation across markets to the Aggie Fund's total excess return. (5 marks) (11) Find the contribution of selection within markets to the Aggie Fund's total excess (5 marks) return.

Answer rating: 100% (QA)

SOLUTION a 1 Calculation of M l measure for the Seminole Fund The M l measure is calculated as M l R... View the full answer