Consider the following partial attribution showing YWF fund 1Q 2013 performance relative to its benchmark Portfolio...
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Consider the following partial attribution showing YWF fund 1Q 2013 performance relative to its benchmark Portfolio Benchmark Weight Return Weight Return TOTAL 100.00 15.54 100.00 14.21 TECHNOLOGY 11.42 25.68 8.92 16.16 HEALTH CARE 5.09 14.39 7.17 17.10 CONSUMER DISCRETIONARY 12.59 16.21 10.04 13.63 CONSUMER STAPLES 3.28 12.25 4.76 18.96 ENERGY 8.38 16.91 9.13 15.71 MATERIALS & PROCESSING 8.57 3.56 6.36 6.20 PRODUCER DURABLES 14.37 16.56 11.31 15.73 FINANCIAL SERVICES 15.70 21.28 30.87 13.65 UTILITIES 16.19 12.49 11.45 12.99 4.40 0.05 0.00 0.00 CASH Also, consider the following statistics of YWF fund relative to the Foreman Fund: YWF Fund Foreman Fund 2013 Return 11.4% 9.25% Standard Deviation 20.0% 10.5% Beta (relative to benchmark) 0.75 1.05 C. d. Assume the Risk-Free Rate is 2.1%. From the 1Q2013 partial attribution, list three sectors with negative asset allocation? (6 marks) Using the Sharpe Ratio, which fund (YWF or Foreman) had the higher risk adjusted return? Show working. (5 marks) Using the Treynor Measure, which fund (YWF or Foreman) had the higher risk adjusted return? Show working. (5 marks) Consider the following partial attribution showing YWF fund 1Q 2013 performance relative to its benchmark Portfolio Benchmark Weight Return Weight Return TOTAL 100.00 15.54 100.00 14.21 TECHNOLOGY 11.42 25.68 8.92 16.16 HEALTH CARE 5.09 14.39 7.17 17.10 CONSUMER DISCRETIONARY 12.59 16.21 10.04 13.63 CONSUMER STAPLES 3.28 12.25 4.76 18.96 ENERGY 8.38 16.91 9.13 15.71 MATERIALS & PROCESSING 8.57 3.56 6.36 6.20 PRODUCER DURABLES 14.37 16.56 11.31 15.73 FINANCIAL SERVICES 15.70 21.28 30.87 13.65 UTILITIES 16.19 12.49 11.45 12.99 4.40 0.05 0.00 0.00 CASH Also, consider the following statistics of YWF fund relative to the Foreman Fund: YWF Fund Foreman Fund 2013 Return 11.4% 9.25% Standard Deviation 20.0% 10.5% Beta (relative to benchmark) 0.75 1.05 C. d. Assume the Risk-Free Rate is 2.1%. From the 1Q2013 partial attribution, list three sectors with negative asset allocation? (6 marks) Using the Sharpe Ratio, which fund (YWF or Foreman) had the higher risk adjusted return? Show working. (5 marks) Using the Treynor Measure, which fund (YWF or Foreman) had the higher risk adjusted return? Show working. (5 marks)
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Solution Based on the partial attribution for YWF fund the three sectors with negative asset allocation are 1 Energy The weighted return for Energy is ... View the full answer
Related Book For
Investment Analysis and Portfolio Management
ISBN: 978-0538482387
10th Edition
Authors: Frank K. Reilly, Keith C. Brown
Posted Date:
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