Question: Consider the following historical performance data for two different portfolios, the Stan- dard and Poor's 500, and the 90-day T-bill. Investment Vehicle Average Rate of

Consider the following historical performance data for two different portfolios, the Stan- dard and Poor's 500, and the 90-day T-bill.

Investment Vehicle Average Rate of Return Standard Deviation Beta R^2

Fund 1 26.40% 20.67% 1.351 0.751

Fund 2 13.22 14.20 0.905 0.713

S&P 500 15.71 13.25

90 day T-Bill 6.20 0.50

a. Calculate the Fama overall performance measure for both funds.

b. What is the return to risk for both funds?

c. For both funds, compute the measures of (1) selectivity, (2) diversification, and (3) net selectivity.

d. Explain the meaning of the net selectivity measure and how it helps you evaluate in- vestor performance. Which fund had the best performance?

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!

Q:

130 g of water is placed in a 10-g aluminum cup. Both the water and cup start at temperature 40 C. 30 g of ice at an initial temperature of 0 C is added to the water. The ice is allowed to melt and...

Q:

PLEASE HELP!!!Consider the following historical performance data for two different portfolios, the Stan- dard and Poors 500, and the 90-day T-bill. Investment Vehicle Average Rate of Return Standard...

Q:

Consider the following historical performance data for two different portfolios, the Standard and Poor's 500, and the 90-day T-bill. Investment Average Rate of Standard Vehicle Return Deviation Beta...

Q:

Problem 18-04 Consider the following historical performance data for two different portfolios, the Standard and Poor's 500, and the 90-day T-bill. Investment Average Rate of Standard Vehicle Return...

Q:

Note: The selection options for "d" are: "return/risk," "reduced by the cost of incomplete/ increased by the benefit from perfect," "better/ worse" and "fund 1/ fund 2" respectively. Problem 18-04...

Q:

Note: Select options are " return/risk" "reduced by the cost of incomplete/ increased by the benefit from perfect" "better/worse" and "fund1/ fund 2" respectively. Consider the following historical...

Q:

Consider the following historical performance data for two different portfolios, the Standard and Poor's 500, and the 90-day T-bill. Beta Investment Vehicle Fund 1 Fund 2 S&P 500 90-day T-bill...

Q:

Problem 18-04 Consider the following historical performance data for two different portfolios, the Standard and Poor's 500, and the 90-day T-bill. Investment Average Rate of Standard Vehicle Return...

Q:

Problem 18-04 Consider the following historical performance data for two different portfolios, the Standard and Poor's 500, and the 90-day T-bill. Standard Investment Vehicle Average Rate of Return...

Q:

Problem 18-04 Consider the following historical performance data for two different portfolios, the Standard and Poor's 500, and the 90-day T-bill. Investment Vehicle Average Rate of Return Standard...

Q:

Consider the following historical performance data for two different portfolios, the Standard and Poor's 500, and the 90-day T-bill. Beta R? Investment Average Rate of Standard Vehicle Return...

Q:

The Falcon Corporation has $68,000 in taxable income. Its accountant uncovered $87,000 in net positive adjustments and $2,000 of preference items in determining its alternative minimum taxable...

Q:

The following details relate to ready meals that are prepared by a food processing company: K L S per meal S per meal 5 3 3.60 1.80 0.50 0.30 0.90 0.90 10 4 Selling price Variable conversion costs...

Q:

Elegance Ltd shares currently sell for R21 a share and pays an annual dividend that increases by 5% annually. The market rate of return on this share is 14%. Calculate the most recent dividend per...

Q:

Question paper attached on Financial Statement, need to follow all the guidelines and finish the paper in 48 hours