Consider the following historical performance data for two different portfolios, the Standard and Poor's 500, and...
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Consider the following historical performance data for two different portfolios, the Standard and Poor's 500, and the 90-day T-bill. Investment Vehicle Fund 1 Fund 2 S&P 500 90-day T-bill Average Rate of Standard Return Deviation Beta R 26.80% 13.94 22.50% 13.90 1.292 0.763 0.875 0.730 16.26 5.90 12.80 0.60 a. Calculate the Fama overall performance measure for both funds. Round your answers to two decimal places. Overall performance (Fund 1): Overall performance (Fund 2): % % b. What is the return to risk for both funds? Do not round intermediate calculations. Round your answers to two decimal places. Return to risk (Fund 1): % Return to risk (Fund 2): % c. For both funds, compute the measures of (1) selectivity, (2) diversification, and (3) net selectivity. Do not round intermediate calculations. Round your answers to two decimal places. Use a minus sign to enter negative values, if any. Fund 1 Fund 2 Selectivity % % Diversification Net selectivity % % % % d. Explain the meaning of the net selectivity measure and how it helps you evaluate investor performance. Which fund had the best performance? The net selectivity is an unexplained portion of the excess -Select- diversification. The higher the net selectivity the -Select- -Select- investor performance is. -Select- had the best performance. Consider the following historical performance data for two different portfolios, the Standard and Poor's 500, and the 90-day T-bill. Investment Vehicle Fund 1 Fund 2 S&P 500 90-day T-bill Average Rate of Standard Return Deviation Beta R 26.80% 13.94 22.50% 13.90 1.292 0.763 0.875 0.730 16.26 5.90 12.80 0.60 a. Calculate the Fama overall performance measure for both funds. Round your answers to two decimal places. Overall performance (Fund 1): Overall performance (Fund 2): % % b. What is the return to risk for both funds? Do not round intermediate calculations. Round your answers to two decimal places. Return to risk (Fund 1): % Return to risk (Fund 2): % c. For both funds, compute the measures of (1) selectivity, (2) diversification, and (3) net selectivity. Do not round intermediate calculations. Round your answers to two decimal places. Use a minus sign to enter negative values, if any. Fund 1 Fund 2 Selectivity % % Diversification Net selectivity % % % % d. Explain the meaning of the net selectivity measure and how it helps you evaluate investor performance. Which fund had the best performance? The net selectivity is an unexplained portion of the excess -Select- diversification. The higher the net selectivity the -Select- -Select- investor performance is. -Select- had the best performance.
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Investment Analysis and Portfolio Management
ISBN: 978-0538482387
10th Edition
Authors: Frank K. Reilly, Keith C. Brown
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